Estimated interest in the Maturity Report
For future interest payments in the maturity report for SEK positions based on Stibor, including Stibor loans, bonds, interest rate caps, and floating legs in swaps, an estimated interest rate is now used based on the market forecast from the previous banking day. The estimation now takes into account the maturity of each Stibor. It appears as a separate payment type in the maturity report called "estimated interest" The current interest rate includes the interest rate forecast for the current Stibor per the interest retrieval date plus any credit margin. For interest rate caps, the difference between the interest rate forecast and the strike level (if reached) is shown as the current interest rate.
Below you'll find an image showing how this looks:
