Debt Indicators

We are currently reviewing indicators and offering more detailed documentation about them. Please check out the Indicators section for more details.

 

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.

Was this article helpful?
0 out of 0 found this helpful