List of Indicators

Fairways Debt's 437 indicators enable you to build and customize template-based reports.

 

See the Indicators section for more details.

 

Indicator \ Type Spot Periodic Cash Flow Schedule
Absorption Rate
Accrued Bond Premium      
Accrued Bond Premium (end of period)      
Accrued Bond Premium (over period)      
Accrued Bond Premium (start of period)      
Accrued Fees      
Accrued Fees (end of period, end of day, base currency)      
Accrued Fees (end of period, end of day)      
Accrued Fees (end of period, start of day)      
Accrued Fees (start of period, end of day, base currency)      
Accrued Fees (start of period, end of day)      
Accrued Fees (start of period, start of day)      
Accrued Fees over Period      
Accrued Interest      
Accrued Interest (base currency)      
Accrued Interest (end of period, end of day, base currency)      
Accrued Interest (end of period, end of day)      
Accrued Interest (end of period, start of day)      
Accrued Interest (start of period, end of day, base currency)      
Accrued Interest (start of period, end of day)      
Accrued Interest with Payment Date      
Accrued Interest with Payment Date (base currency)      
Accrued Periodic Fees      
Accrued Periodic Fees (end of period)      
Accrued Periodic Fees (start of period)      
Accrued Periodic Fees over Period      
Accrued Rent (in advance)      
Accrued Rent (in arrears)      
Accrued Rent over Period      
Accrued Upfront Fees      
Accrued Upfront Fees (end of period)      
Accrued Upfront Fees (start of period)      
Accrued Upfront Fees over Period      
Activation Date of Subsidy Table
Allocated Amount      
Allocated Ratio      
Amortization Type
Amount      
Amount Paid over Period (payment date, base currency)      
Amount Paid over Period (payment date)      
Amount Paid over Period (reference date)      
Announced Amount
Availability Period
Available Amount      
Available Amount (base currency)      
Available Amount (end of period)      
Available Amount (start of period)      
Available Guaranteed Amount      
Available Guaranteed Amount (end of period)      
Available Guaranteed Amount (start of period)      
Average Guaranteed Amount      
Average Outstanding Notional Amount      
Base Forward Amount
Base Rate  
Base Spot Amount
Basis Point Value      
Borrower / Address / Address 1
Borrower / Address / Address 2
Borrower / Address / City
Borrower / Address / Country
Borrower / Address / Zip Code
Borrower / Code
Borrower / Country
Borrower / LEI
Borrower / Name
Buy/Sell
Calendars
Capital Commitment      
Capital Commitment (end of period)      
Capital Commitment (start of period)      
Capitalized Interest      
Capitalized Interest (end of period)      
Capitalized Interest (start of period)      
CDC Amortization Progression      
CDC Construction Rate      
CDC Initial Progression      
CDC Initial Stock      
CDC Pre-Financing Interest      
CDC Pre-Financing Rate      
CDC Pre-Financing Type      
CDC Progress Type      
CDC Revision Floor      
CDC Revision Type      
CDC Stock      
CDC Stock (base currency)      
Clean Market Value      
Clean Market Value (base currency)      
Clean MTM of Embedded Derivatives      
Clean MTM of Embedded Derivatives (base currency)      
Collateral First Revision Date      
Collateral Market Value      
Collateral Name      
Collateral Next Revision Date      
Collateral Nominal Value      
Collateral Type      
Committed Amount      
Committed Amount (base currency)      
Consolidation Start Date
Converted Amount (Analysis Date)      
Converted Amount (Cash Flow Date)      
Converted Amount (Transaction Forex Rate)      
Counterparty / Address / Address 1
Counterparty / Address / Address 2
Counterparty / Address / City
Counterparty / Address / Country
Counterparty / Address / Zip Code
Counterparty / Code
Counterparty / Country
Counterparty / LEI
Counterparty / Name
Count of Rents
Coverage Rate
Credit Indexing / Day Count Convention      
Credit Indexing / First Fixing Value      
Credit Indexing / Index      
Credit Indexing / Interest Rate      
Credit Indexing / Max. Interest Rate      
Credit Indexing / Min. Interest Rate      
Credit Indexing / Spread      
Credit Indexing / Type      
Currency
Current Allocation Rate      
Current Limit Amount      
Current Principal      
Current Rate (30/360) (end of period)      
Current Rate (30/360) (start of period)      
Current Rate (Actual/360) (end of period)      
Current Rate (Actual/360) (start of period)      
Current Rate (allocation inc.)      
Current Rate (end of period)      
Current Rate (start of period)      
Current Spread      
Day Count      
Day Count Convention  
Debit Indexing / Day Count Convention      
Debit Indexing / First Fixing Value      
Debit Indexing / Index      
Debit Indexing / Interest Rate      
Debit Indexing / Max. Interest Rate      
Debit Indexing / Min. Interest Rate      
Debit Indexing / Spread      
Debit Indexing / Type      
Effective Rate (fees inc.)      
End Date of Period      
External Reference Code
Facility Agreement Owner / Address / Address 1
Facility Agreement Owner / Address / Address 2
Facility Agreement Owner / Address / City
Facility Agreement Owner / Address / Country
Facility Agreement Owner / Address / Zip Code
Facility Agreement Owner / Code
Facility Agreement Owner / Country
Facility Agreement Owner / LEI
Facility Agreement Owner / Name
Fee Amount      
Fee Amount (base currency)      
Fees Paid over Period (payment date, base currency)      
Fees Paid over Period (payment date)      
Financial Costs (with fees, base currency)      
Financial Costs (with fees)      
First Rent
Fixing Date      
Fixing Value      
Flow Type      
Foreign Forward Amount
Foreign Spot Amount
Forex Rate    
Forex Rate (Analysis Date)      
Forex Rate (Cash Flow Date)      
Forward Forex Rate
Guaranteed Amount      
Guaranteed Amount (end of day)      
Guaranteed Amount (end of period, end of day)      
Guaranteed Amount (end of period)      
Guaranteed Amount (start of period, end of day)      
Guaranteed Amount (start of period)      
Guarantee Fee Rate      
Guarantee Fee Rate (Actual/360)      
Guarantee Fee Rate (US 30/360)      
Guarantee Limit Amount      
Guarantee Limit Amount (end of period)      
Guarantee Limit Amount (start of period)      
Guarantee Percentage
Guarantor / Code
Guarantor / LEI
Guarantor / Name
Hedged Amount      
Hedged Ratio      
Hedging Interest Expense (account currency)      
Hedging Interest Expense (base currency)      
Hedging Interest Paid (over period, payment date, account currency)      
Hedging Interest Paid (over period, payment date, base currency)      
In Advance Interest Payment      
In Advance Interest Payment (end of period)      
In Advance Interest Payment (start of period)      
Index  
Indexation / Cap/Floor Rate Option (start of period)    
Indexation / Cap Strike      
Indexation / Estimated Fixed Rate    
Indexation / First Fixing Value    
Indexation / Floor Strike      
Indexation / Max. Interest Rate    
Indexation / Min. Interest Rate    
Indexation / Spread (Begin Period)      
Indexation Type  
Indexation / Yield    
Initial Accrued Interest      
Initial Guarantee Amount
Initial Issuing Date      
Initial Limit Amount    
Initial Limit Amount of Guarantee
Initial Maturity Date
Initial Principal    
Initial Term to Maturity
Initial Weighted Average Remaining Term      
Interest      
Interest (base currency)      
Interest Calculation Adjustment    
Interest Expense      
Interest Expense (base currency)      
Interest Paid over Period (payment date, base currency)      
Interest Paid over Period (payment date)      
Interest Paid over Period (reference date)      
Interest Payment Frequency      
Interest Rate  
Interest Rate Sensitivity (100bp)      
ISIN Code
Issuing and Paying Agent / Code
Issuing and Paying Agent / LEI
Issuing and Paying Agent / Name
Issuing Price
KRD      
KRD (base currency)      
Last Rent
Lease Payment Type
Lender / Address / Address 1
Lender / Address / Address 2
Lender / Address / City
Lender / Address / Country
Lender / Address / Zip Code
Lender / Code
Lender / Country
Lender / LEI
Lender / Name
Limit      
Limit Amount (end of period)      
Limit Amount (start of period)      
Managed Transaction
Margin Commitment      
Margin Commitment (end of period)      
Margin Commitment (start of period)      
Margin Revision Date      
Market Rate      
Mark-to-Market      
Mark-to-Market (base currency)      
Mark-to-Market (counterparty, base currency)      
Mark-to-Market (counterparty)      
Mark-to-Market (party, base currency)      
Mark-to-Market (party)      
Mark-to-Market with Premium Fees      
Maturity Date
Minimum Balance      
MTM Computation Time      
MTM of Embedded Derivatives      
MTM of Embedded Derivatives (base currency)      
Netting Interest Expense (account currency)      
Netting Interest Expense (base currency)      
Netting Interest Paid (over period, payment date, account currency)      
Netting Interest Paid (over period, payment date, base currency)      
Next Cancelation Date      
Next Fixing      
Next Fixing Date      
Next Payment / Amount      
Next Payment / Payback      
Next Payment / Payment Date      
Next Prepayment Penalty      
Next Prepayment Penalty (end of period)      
Next Prepayment Penalty (start of period)      
Next Prepayment Penalty Date      
Next Prepayment Penalty Date (end of period)      
Next Prepayment Penalty Date (start of period)      
Next Prepayment Penalty Details      
Next Prepayment Penalty Details (end of period)      
Next Prepayment Penalty Details (start of period)      
Non-Usage Fee / Indexation      
Notional Amount
OnDate / In Indicator Currency      
OnDate / In Indicator Currency (end of period)      
OnDate / In Indicator Currency (start of period)      
OnDate / In Report Currency      
OnDate / In Report Currency (end of period)      
OnDate / In Report Currency (start of period)      
Outstanding Balance      
Outstanding Balance (average)      
Outstanding Balance (base currency)      
Outstanding Balance (end of day, base currency)      
Outstanding Balance (end of day)      
Outstanding Balance (end of period, start of day, base currency)      
Outstanding Balance (end of period, start of day)      
Outstanding Balance (start of day, base currency)      
Outstanding Balance (start of day)      
Outstanding Balance (start of period, end of day)      
Outstanding Balance (start of period, start of day, base currency)      
Outstanding Balance (start of period, start of day)      
Outstanding Balance (with accrued premium)      
Outstanding Balance (with accrued premium, end of period, start of day)      
Outstanding Balance (with accrued premium, start of period, end of day)      
Outstanding Notional Amount      
Outstanding Notional Amount (base currency)      
Outstanding Notional Amount (end of day, base currency)      
Outstanding Notional Amount (end of day)      
Outstanding Notional Amount (end of period, base currency)      
Outstanding Notional Amount (end of period)      
Outstanding Notional Amount (start of day)      
Outstanding Notional Amount (start of period, base currency)      
Outstanding Notional Amount (start of period)      
Outstanding Transactions Count      
Participation Share
Participation Side
Participation Tranche
Party / Address / Address 1
Party / Address / Address 2
Party / Address / City
Party / Address / Country
Party / Address / Zip Code
Party / Code
Party / Country
Party / LEI
Party / Name
Paying Leg Indexing / Base Rate      
Paying Leg Indexing / Day Count Convention      
Paying Leg Indexing / First Fixing Value      
Paying Leg Indexing / Index      
Paying Leg Indexing / Interest Rate      
Paying Leg Indexing / Max. Interest Rate      
Paying Leg Indexing / Min. Interest Rate      
Paying Leg Indexing / Spread      
Paying Leg Indexing / Type      
Paying Leg Indexing / Yield      
Payment Amount      
Payment Amount (base currency)      
Payment Category      
Payment Date    
Payment Date Adjustment
Payment Status Code    
Payment Status Name    
Payment Type      
PIK Balance    
PIK Interest Amount       ✓ 
PIK Interest Rate      
Premium
Prepaid Expenses      
Principal      
Principal (base currency)      
Principal Amortization Frequency
Principal Amortized over Period (payment date, base currency)      
Principal Amortized over Period (payment date)      
Principal Amortized over Period (reference date)      
Principal Drawn over Period (payment date, base currency)      
Principal Drawn over Period (payment date)      
Principal Drawn over Period (reference date)      
Principal Flows over Period (payment date, base currency)      
Principal Flows over Period (payment date)      
Principal Flows over Period (reference date)      
Principal Guaranteed Amount      
Principal Guaranteed Amount (end of period)      
Principal Guaranteed Amount (start of period)      
Prorata Interest      
Prorata Interest (base currency)      
Rate (average)      
Rate (current, 30/360)      
Rate (current, actual/360)      
Rate (current)      
Rate Commitment      
Rate Commitment (end of period)      
Rate Commitment (start of period)      
Rate of Return      
Rate Revision Date      
Received Leg Indexing / Base Rate      
Received Leg Indexing / Day Count Convention      
Received Leg Indexing / First Fixing Value      
Received Leg Indexing / Index      
Received Leg Indexing / Interest Rate      
Received Leg Indexing / Max. Interest Rate      
Received Leg Indexing / Min. Interest Rate      
Received Leg Indexing / Spread      
Received Leg Indexing / Type      
Received Leg Indexing / Yield      
Reference Code
Rent
Residual Value
Revolving / Non-Revolving      
Spot Forex Rate
Spread  
Spread Revision Date      
Start Date
Start Date of Period      
Submitted Amount
Subsidized Part      
Subsidized Part (end of period)      
Subsidized Part (start of period)      
Subsidy Interest Cap
Subsidy Ratio      
Subsidy Ratio (end of period)      
Subsidy Ratio (start of period)      
Subsidy Table
Swap Point      
Swaption Exercise Probability      
Swaption Type
Tags
Technical ID (qualifying)
Technical ID (standard)
Term to Maturity      
Term to Maturity (end of period)      
Term to Maturity (start of period)      
Time To Capital Revision      
Time to Margin Revision      
Time To Rate Revision      
Trade Date
Transaction Category
Transaction Hedging Notional Amount      
Transaction Hedging Notional Amount (base currency)      
Transaction Role  
Transaction Status
Transaction Type
Underlying Index
Underlying Swaption Exercise Probability      
Underlying Swaption Mark-to-Market      
Unrealized Guaranteed Amount      
Unrealized Guaranteed Amount (end of period)      
Unrealized Guaranteed Amount (start of period)      
UTI Code
Weighted Average Remaining Term      
Yield      
Yield Average      

 

Spot Indicators

Computed at a specific date.

Absorption Rate

Ratio between the principal amount and the submitted amount.

Principal * 100 / Submitted amount

Accrued Interest with Payment Date

Accrued interest with a payment date on the computation date.

Announced Amount

Amount announced in the market.

Only applicable to bonds and certificates.

Capital Commitment

Remaining time to the earliest date on which the lender can claim repayment. It can differ from term to maturity, especially if the bank can draw callable clauses.

  • For a derivative: 0 by definition.
  • For a portfolio: The capital commitment of several loans is equal to the average of each capital commitment, weighted by the outstanding amount at the computation date.
Clean Market Value

Mark-to-market minus accrued interest at the computation date.

Coverage Rate

Ratio between the submitted amount and the announced amount.

Submitted amount * 100 / Announced amount

Current Principal

Principal following life cycle actions. Can be different from the outstanding balance.

Effective Transaction Count

Can be used either to display in a report if a transaction is effective or mature, or to display the number of effective transactions in a portfolio.

Hedging Notional Amount
  • For a debt instrument: Notional amount of the derivative instruments that are part of the hedging relationship.
  • For a derivative: 0 by definition.
Hedge Ratio

Equal to the Hedging Notional Amount divided by the Outstanding Balance of an instrument.

Interest Rate Sensitivity (100 bp)

As an amount, the impact of a 100 bp parallel shift in market data on the mark-to-market value (short and long term rates).

Limit Amount

Maximum limit amount that can be drawn in a facility, e.g. Credit Facility or Cash Facility). This indicator is only available for the transactions with facility as the nature.

Mark-to-Market

Present value, inc. accrued interest and, in the case of loans, principal.

Prepaid Expenses

Interest amount of a transaction at a specific market date. If the market and interest payment dates are different, Fairways Debt computes a pro-rata amount, based on the next interest amount.

Rate Commitment

Remaining time to the latest date for which the applicable interest rate is known with certainty.

In a portfolio, the rate commitment is computed by using the average rate commitment of each transaction, weighted by the outstanding balance.

Specific rules

  • For loans: If the outstanding balance is 0 and the transaction is not mature (started or not), the rate commitment of the transaction is weighted by the principal.
  • For swaps: Each leg of the swap is considered as a single loan. The notional becomes the principal in the calculation. Receiving legs always get a negative principal. As for loans, if the outstanding balance is 0 and the transaction is not mature (started or not), the rate commitment of the transaction is weighted by the principal.

Remarks

  • Swaps can increase (or decrease) the interest rate commitment of a portfolio but options do not.
  • Transactions starting during the analyzed period (but not necessarily in the displayed period) are included in the total rate commitment calculation. E.g. a periodic analysis between 2016 and 2018, on a portfolio with transactions starting in 2017, displayed in 2016, shows the rate commitment in 2016 of these forward-starting transactions and includes them in the total rate commitment. Only mature transactions, either at the start date or the end date of the displayed analysis period, are not taken into account when calculating the total rate commitment.
Rate of Return

Rate of return of bonds.

Strike

Interest rate level (in percentage) at which the caplet or floorlet becomes active.

 

Submitted Amount

Market response rate.

Only applicable to bonds and certificates.

Time to Capital Revision

Number of calendar days between the analysis date and the earliest date on which the lender can call in the loan (repayment request).

  • For a (single) loan: Time to maturity.
  • For a derivative: 0 by definition.
  • For a portfolio: The time to capital revision of several loans is equal to the average of each loan’s time to capital revision, weighted by the outstanding amount at the analysis date.
Time to Rate Revision

Number of calendar days between the analysis date and the latest date for which the applicable interest rate, as an absolute number, is known with certainty.

  • For a fixed-rate loan with future assumed phases: Rate revision date.
  • For a fixed-rate loan with no assumptions for future phases: Maturity date.
  • For floating-rate loans: Rate commitment.

This indicator also applies to both legs of interest rate swaps (but not to other derivatives).

For a portfolio or at an aggregated level, the time to rate revision of several loans is equal to the average of each loan’s time to rate revision, weighted by the outstanding amount at the analysis date.

For forward-starting transactions, use the same convention as for existing indicators (as if starting on analysis date).

Note: Knowing the applicable index is not equivalent to knowing the applicable rate.

Consider a loan with straight-line amortization, start date on 22/05/2016 and end date on 22/05/2036. The borrower pays a fixed rate of 3% in the first ten years, then (on 22/05/2026) there will be an interest rate revision. There are no callable/extension clauses in the contract. The interest rate revision on 22/05/2016 is a scheduled renegotiation of the interest rate only (the funds are provided until the end date).

On 22/09/2016, the time to rate revision is 9,66 years. This corresponds to the actual number of calendar days between 22/09/2016 and 22/05/2026, expressed in years. As a comparison, the rate commitment is 7,29 years.

The indicator will give the same results whether the second phase is base on a “known” floating rate index, or it “unknown”, as the interest rate in the second phase is not known with certainty.

Time to Spread Revision

Number of days between the analysis date and the spread revision date. For forward-starting transactions, use the same convention as for existing indicators (as if starting on analysis date).

Consider a loan with straight-line amortization, start date on 22/05/2016 and end date on 22/05/2036. The borrower pays EURIBOR 6M + 1% in the first ten years, then (on 22/05/2026) there will be a review of the credit spread. There are no callable/extension clauses in the contract. The credit spread review on 22/05/2016 is a scheduled renegotiation of the credit component only (the funds are provided until the end date).

On 22/09/2016, the time to spread revision is 9,66 years. This corresponds to the actual number of calendar days between 22/09/2016 and 22/05/2026, expressed in years. As a comparison, the rate commitment is 0,17 years.

If a transaction has no spread revision date, this indicator will show N/A. This would be the case for floating-rate loans without spread revision and other transactions. For this reason, there is no time to spread revision for a portfolio.

Underlying Swaption Exercise Probability

Probability that the swap will be canceled (for cancelable swap) or extended (for extendable swap). When the option has been exercised, this indicator will not return any value.

Weighted Average Remaining Term

Weighted average of the remaining time before cash flows are received.

For a derivative, the weighted average remaining term is 0.

In a portfolio, the weighted average remaining term is computed by using an average of each weighted average remaining term, weighted by the outstanding balance of the loan.

Initial Weighted Average Remaining Term

Weighted average of the remaining time before cash flows are received on the start date of the transaction.

For a derivative, the weighted average remaining term is 0.

In a portfolio, the weighted average remaining term is computed by using an average of each weighted average remaining term, weighted by the outstanding balance of the loan.

 

Periodic Indicators

Measures and figures that can be calculated over a period of time.

Average Outstanding Notional Amount
  • For the analysis period: Computed on a daily basis, taking into account each change in the notional amount of the transaction (e.g. amortized swap).
  • For a loan: 0.
Capital Commitment at Period End

Value of the Capital Commitment spot indicator, computed at the end date of the analysis period.

Capital Commitment at Period Start

Value of the Capital Commitment spot indicator, computed at the start date of the analysis period.

Current Rate at Period End

Value of the Current Rate spot indicator, computed at the end date of the analysis period.

Current Rate (30/360) at Period End

Value of the Current Rate (30/360) spot indicator, computed at the end date of the analysis period.

Current Rate (30/360) at Period Start

Value of the Current Rate (30/360) spot indicator, computed at the start date of the analysis period.

Current Rate (Actual/360) at Period End

Value of the Current Rate (Actual/360) spot indicator, computed at the end date of the analysis period.

Current Rate (Actual/360) at Period Start

Value of the Current Rate (Actual/360) spot indicator, computed at the start date of the analysis period.

Current Rate at Period Start

Value of the Current Rate spot indicator, computed at the start date of the analysis period.

Effective Rate (inc. Fees)

Funding rate for the analysis period, including fees.

This rate is converted into a uniform interest rate method (30/360 US, also called 30/360 Bond Basis).

The Effective Rate is computed on the basis of Financial Costs and Average Outstanding Balance for the analysis period:

Effective Rate (inc. Fees) = (Interest Expense + Accrued Fees over the Period) / (Average Outstanding Balance * year fraction for analysis period)

Forex Rate at Period End

Value of the foreign exchange rate spot indicator, computed at the end date of the analysis period.

Forex Rate at Period Start

Value of the foreign exchange rate spot indicator, computed at the start date of the analysis period.

Rate Commitment at Period End

Value of the Rate Commitment spot indicator, computed at the end date of the analysis period.

Rate Commitment at Period Start

Value of the Rate Commitment spot indicator, computed at the start date of the analysis period.

 

Cash Flow Indicators

Amount

Amount paid or received for the current flow.

Converted Amount (Analysis Date)

Paid or received amount for the current cash flow at the analysis date.

Converted Amount (Cash Flow Date)

Paid or received amount for the current cash flow at the moment when the cash flow takes place.

Converted Amount (Transaction Forex Rate)

Paid or received amount for the current cash flow converted into the analysis currency.

Currency

Currency used for the current flow.

Date

Date when the cash flow occurs.

Forex Rate (Analysis Date)

Foreign exchange rate on the analysis date for the two currencies of the transaction to which the flow refers.

Forex Rate (Cash Flow Date)

Foreign exchange rate on the cash flow date for the two currencies of the transaction to which the flow refers.

Payment Nature

Category defining a payment type.

Payment Type

Payment type of the current cash flow, e.g. interest, drawing or amortization.

Transaction

Transaction to which the cash flow refers.

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