EBA NPL Swap Table
From Open Risk Manual
Table Fields
| Field | Type | Definition |
|---|---|---|
| Swap identifier | Text | Unique Swap identifier |
| Contract Identifier | Text | Institution internal identifier for the Loan Agreement |
| Type of Swap | Choice | Type of the Swap, i.e. currency swap and interest rate swap |
| Start Date of Swap | Date | Date that the Swap starts |
| End Date of Swap | Date | Date that the Swap ends |
| Currency of Swap | Choice | Currency that the Swap is expressed in when "Interest Rate Swap" is selected in field "Type of Swap" |
| Current Notional | Number | Current notional amount of the Swap |
| Type of Interest Rate - Institution | Text | Type of interest rate for Institution i.e. Fixed, LIBOR and EURIBOR, when "Interest Rate Swap" is selected in field "Type of Swap" |
| Interest Rate of Institution Leg | Percentage | Current level of the interest rate for the leg of the Institution when "Interest Rate Swap" is selected in field "Type of Swap" |
| Type of Interest Rate of Counterparty Leg | Text | Type of interest rate for the Counterparty i.e. Fixed, LIBOR and EURIBOR when "Interest Rate Swap" is selected in field "Type of Swap" |
| Interest Rate of Counterparty Leg | Percentage | Current level of the interest rate for the leg of the Counterparty when "Interest Rate Swap" is selected in field "Type of Swap" |
| Interest Rate Cap | Percentage | Maximum rate charged on the Swap when "Interest Rate Swap" is selected in field "Type of Swap" |
| Interest Rate Floor | Percentage | Minimum rate charged on the Swap when "Interest Rate Swap" is selected in field "Type of Swap" |
| Currency of Institution Leg | Choice | Currency of the leg of the Institution when "Currency Swap" is selected in field "Type of Swap" |
| Currency of Counterparty Leg | Choice | Currency of the leg of the Counterparty when "Currency Swap" is selected in field "Type of Swap" |
| Mark to Market | Number | Amount of mark to market of the Swap as at the cut-off date |
| Notional Schedule | Array | Amortisation profile of the Swap |
Disclaimer
- This text is generated automatically. Do not edit manually!
- This information is provided as is. Refer to the EBA NPL Template for pointers to definitive instructions
