In the portfolio report, the average interest rate displayed in the key figures is not the same as the weighted interest rate shown under interest binding
For each interest binding interval, we calculate a volume. It is based on the loan volume, with the received leg of any interest rate swaps subtracted and the paying leg of interest rate swaps added in the respective interval.
Since the variable leg of interest rate swaps is usually received and always has interest binding in the 0-1Y interval, in practice, it means that the volume of interest rate swaps will be subtracted from the total volume in the 0-1Y interval.
The average interest rate is then calculated on the interest rate of the loans in the 0-1Y interval, as well as the opposite sign of the received interest rates from interest rate swaps. One can view it as if the interest rate swaps "take out" a portion of the loan volume and move it to a higher interest binding interval.
A similar principle applies to interest rate caps that have triggered at their interest level: the volume in this 0-1Y interval decreases. At the same time, the volume in the interval corresponding to the remaining tenure of the interest rate cap increases. This also affects the average interest rate in the respective interval.
Interest rate swaps do not completely offset the equivalent loan rates in the 0-1Y interval because loans have a margin against STIBOR (and an effective margin due to interest rate floors) that swaps do not have. The remaining, reduced volume in that interval must "absorb" the cost of the margins on the entire loan volume that was "canceled out."
To express it differently: The average interest rate is the sum of annual costs (without interest scenarios) in the first interval, divided by the volume in that interval. Interest rate swaps (and triggered interest rate caps) reduce the volume but do not reduce the interest payments by the same amount; thus, this figure can be larger than expected.