Description

PaymentStreamFloatingRate is a subcomponent of the PaymentStream component used to report the floating rate attributes of the stream.

Note that if the floating rate index or the rate calculation goes negative for a calculation period and PaymentStreamNegativeRateTreatment <40807>=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer.

The Calculation Lag Interval (PaymentStreamCalculationLagPeriod <41209> and PaymentStreamCalculationLagUnit <41210>) and the First Observation Offset Duration (PaymentStreamFirstObservationDateOffsetPeriod <41211> and PaymentStreamFirstObservationDateOffsetUnit <41212>) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.

Structure

Tag Field Name Req'd Comments
40789 PaymentStreamRateIndex N
40790 PaymentStreamRateIndexSource N
43090 PaymentStreamRateIndexID N

Conditionally required when PaymentStreamRateIndexIDSource <43091> is specified.

43091 PaymentStreamRateIndexIDSource N

Conditionally required when PaymentStreamRateIndexID <43090> is specified.

40791 PaymentStreamRateIndexCurveUnit N

Conditionally required when PaymentStreamRateIndexCurvePeriod <40792> is specified.

40792 PaymentStreamRateIndexCurvePeriod N

Conditionally required when PaymentStreamRateIndexCurveUnit <40791> is specified.

43112 PaymentStreamRateIndex2 N
43113 PaymentStreamRateIndex2Source N
43114 PaymentStreamRateIndex2ID N

Conditionally required when PaymentStreamRateIndex2IDSource <43115> is specified.

43115 PaymentStreamRateIndex2IDSource N

Conditionally required when PaymentStreamRateIndex2ID <43114> is specified.

41194 PaymentStreamRateIndex2CurvePeriod N

Conditionally required when PaymentStreamRateIndex2CurveUnit <41195> is specified.

41195 PaymentStreamRateIndex2CurveUnit N

Conditionally required when PaymentStreamRateIndex2CurvePeriod <41194> is specified.

41196 PaymentStreamRateIndexLocation N
41197 PaymentStreamRateIndexLevel N
41198 PaymentStreamRateIndexUnitOfMeasure N
41199 PaymentStreamSettlLevel N
41200 PaymentStreamReferenceLevel N
41201 PaymentStreamReferenceLevelUnitOfMeasure N
41202 PaymentStreamReferenceLevelEqualsZeroIndicator N
40793 PaymentStreamRateMultiplier N
40794 PaymentStreamRateSpread N
41203 PaymentStreamRateSpreadCurrency N
41204 PaymentStreamRateSpreadUnitOfMeasure N
41205 PaymentStreamRateConversionFactor N
41206 PaymentStreamRateSpreadType N
40795 PaymentStreamRateSpreadPositionType N
40796 PaymentStreamRateTreatment N
40797 PaymentStreamCapRate N
40798 PaymentStreamCapRateBuySide N
40799 PaymentStreamCapRateSellSide N
40800 PaymentStreamFloorRate N
40801 PaymentStreamFloorRateBuySide N
40802 PaymentStreamFloorRateSellSide N
40803 PaymentStreamInitialRate N
41207 PaymentStreamLastResetRate N
41208 PaymentStreamFinalRate N
40804 PaymentStreamFinalRateRoundingDirection N
40805 PaymentStreamFinalRatePrecision N
40806 PaymentStreamAveragingMethod N
40807 PaymentStreamNegativeRateTreatment N
41209 PaymentStreamCalculationLagPeriod N

Conditionally required when PaymentStreamCalculationLagUnit <41210> is specified.

41210 PaymentStreamCalculationLagUnit N

Conditionally required when PaymentStreamCalculationLagPeriod <41209> is specified.

42663 PaymentStreamFirstObservationDateUnadjusted N
42664 PaymentStreamFirstObservationDateRelativeTo N
42665 PaymentStreamFirstObservationDateOffsetDayType N
41211 PaymentStreamFirstObservationDateOffsetPeriod N

Conditionally required when PaymentStreamFirstObservationDateOffsetUnit <41212> is specified.

41212 PaymentStreamFirstObservationDateOffsetUnit N

Conditionally required when PaymentStreamFirstObservationDateOffsetPeriod <41211> is specified.

42666 PaymentStreamFirstObservationDateAdjusted N
41213 PaymentStreamPricingDayType N
41214 PaymentStreamPricingDayDistribution N
41215 PaymentStreamPricingDayCount N
41216 PaymentStreamPricingBusinessCalendar N
41217 PaymentStreamPricingBusinessDayConvention N

When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of pricing dates.

Component Block - <PaymentStreamPricingBusinessCenterGrp> N

When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of pricing dates.

Component Block - <PaymentStreamPricingDayGrp> N
Component Block - <PaymentStreamPricingDateGrp> N
40808 PaymentStreamInflationLagPeriod N

Conditionally required when PaymentStreamInflationLagUnit <40809> is specified.

40809 PaymentStreamInflationLagUnit N

Conditionally required when PaymentStreamInflationLagPeriod <40808> is specified.

40810 PaymentStreamInflationLagDayType N
40811 PaymentStreamInflationInterpolationMethod N
40812 PaymentStreamInflationIndexSource N
40813 PaymentStreamInflationPublicationSource N
40814 PaymentStreamInflationInitialIndexLevel N
40815 PaymentStreamInflationFallbackBondApplicable N
40816 PaymentStreamFRADiscounting N
42667 PaymentStreamUnderlierRefID N
Component Block - <PaymentStreamFormula> N
Component Block - <DividendConditions> N
42668 ReturnRateNotionalReset N
Component Block - <ReturnRateGrp> N
42669 PaymentStreamLinkInitialLevel N
42670 PaymentStreamLinkClosingLevelIndicator N
42671 PaymentStreamLinkExpiringLevelIndicator N
42672 PaymentStreamLinkEstimatedTradingDays N
42673 PaymentStreamLinkStrikePrice N
42674 PaymentStreamLinkStrikePriceType N
42675 PaymentStreamLinkMaximumBoundary N
42676 PaymentStreamLinkMinimumBoundary N
42677 PaymentStreamLinkNumberOfDataSeries N
42678 PaymentStreamVarianceUnadjustedCap N
42679 PaymentStreamRealizedVarianceMethod N
42680 PaymentStreamDaysAdjustmentIndicator N
42681 PaymentStreamNearestExchangeContractRefID N
42682 PaymentStreamVegaNotionalAmount N

Used In