List of Indicators

Ratio between the principal amount and the submitted amount.

Principal * 100 / Submitted amount

Accrued interest with a payment date on the computation date.

Amount announced in the market.

Only applicable to bonds and certificates.

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.

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

Note: This indicator is not calculated for caps, floors, collars and swaptions defined with a custom index.

Ratio between the submitted amount and the announced amount.

Submitted amount * 100 / Announced amount

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

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.

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

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

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).

Note: This indicator is not calculated for caps, floors, collars and swaptions defined with a custom index.

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.

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

Note: This indicator is not calculated for caps, floors, collars and swaptions defined with a custom index.

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.

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 of bonds. Rate that cancels out the difference between the bond issue price and the present value of the future cash flows it generates.

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

Market response rate.

Only applicable to bonds and certificates.

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.

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.

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).

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 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.

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.

• 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.

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

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

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

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

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

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

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

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

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)

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

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

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

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

Amount paid or received for the current flow.

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

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

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

Currency used for the current flow.

Date when the cash flow occurs.

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

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

Category defining a payment type.

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

Transaction to which the cash flow refers.