Contents and Explanation of the Portfolio Report
Page 1 - Cover Page
The first page is a cover page for the portfolio report, stating the selection criteria you have chosen and the logo.
On the first page, you can choose to have your own logo. Please email your logo to support@nordkap.se, and we will be happy to assist in adding it.
Page 2 - Key Figures
This page displays key figures with comparisons for the current quarter and the past year from the selected reporting date.
The following key figures are presented in the portfolio report:
Debt Volume: Outstanding volume of loans, certificates, and bonds as of the analysis date.
Derivative Volume (% of Debt): The percentage of interest rate swaps in relation to the debt volume.
Average Interest Rate: Volume-weighted average of applicable interest rates for loans, interest rate swaps, certificates, and bonds. Includes over/undervalue (bond-specific) and the cap level for interest rate caps.
Average Interest Rate including Credit Facilities: Volume-weighted average of applicable interest rates for all positions, including credit facilities. Calculated considering the current or available amount of the credit facility.
Average Credit Margin: Volume-weighted average of applicable credit margins for floating loans and floating bonds. Excludes over/undervalue due to bond price.
Interest Binding Period (years): Volume-weighted average of the remaining time until the next interest rate turnover for loans, interest rate swaps, and bonds, considering amortization. Includes the cap level for interest rate caps.
Interest Binding Period including Future Derivatives (years): Volume-weighted average of the remaining time until the next interest rate turnover, including interest rate swaps with future start dates.
Interest Binding (<1 year): The percentage of interest rate turnover within 1 year from the analysis date. Affected by interest rate changes in the next year.
Duration: Effective maturity of loans, interest rate swaps, and bonds. A measure of the portfolio's sensitivity to interest rate changes. Includes over/undervalue for bonds.
Capital Binding Period (years): Volume-weighted average of the remaining time until the maturity date for loans, certificates, and bonds, considering amortization.
Capital Binding (<1 year): The percentage of capital maturity within 1 year from the analysis date.
Capital Binding Period Bonds, Loans including Credit Facilities: Volume-weighted average of the remaining time until the maturity date for bonds, loans, or linked credit facilities, considering amortization.
Capital Binding Period including Bonds, Loans, Certificates, and Credit Facilities (years): Volume-weighted average of the remaining time until the maturity date for bonds, loans, certificates, or credit facilities, considering amortization.
Number of Loans, Interest Rate Swaps, Bonds, Interest Rate Caps, and Certificates: Summary of the number of outstanding positions in the debt portfolio.
Page 3 - Debt Distribution and Counterparty Distribution
Here you can see the distribution of the volume between loans, certificates, swaps, and bonds. Additionally, you get a breakdown between fixed and variable-rate loans. The page also includes an overview of the volume distribution for different counterparties concerning loans, swaps, interest rate caps, certificates, and bonds. Please note that the graphs and tables do not include any positions with negative amounts in the calculation.
The page contains graphs and tables, see below:
Please note that the graphs and tables do not include any positions with negative amounts in the calculation.
Page 4 - Interest Rate Binding and Capital Binding
Here you can see a breakdown of interest and capital maturity per year. The difference from key figures such as interest rate binding time and capital binding time is that future amortizations are not considered here. The volume shown is the current amount at the reporting date.
The calculation includes active loans, certificates, bonds, interest rate caps (if the cap level has been reached), and interest rate swaps (both legs are included).
For "pay swap," the floating leg is deducted during the period < 1 year, and the fixed leg increases during the period corresponding to the swap's maturity, and vice versa for "receive swap."
If an interest rate cap is active, the volume decreases during the period < 1 year and increases at the same time over the period corresponding to the remaining time for the interest rate cap. This also affects the average interest rate in these periods.
The total average interest rate in the table corresponds, in principle, to the key figure "Average Interest Rate." Interest rate swaps can affect the average interest rate over different time periods, including interest rate caps where the cap level has been reached.
Further down on the page, there is a breakdown of capital maturity per year. The difference from the capital binding time in the key figures is that future amortizations are not considered here. The current amount at the reporting date includes loans, bonds, and certificates. Note that interest rate swaps and interest rate caps do not affect the capital binding table, which can result in a different average interest rate compared to the interest rate binding table.
The page includes the following graphs and tables for additional illustration:
Page 5 - Definition
On page 5, you will find explanations of the key figures included in the portfolio report.
Page 6 - Positions
The final page provides a summary of all positions included in the selection. When converted to the base currency, positions are displayed by currency, and at the bottom of the page, currency exchange rates are presented.