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Annuity (ANN)

Description​

Principal payment fully at IED and interest plus principal repaid periodically in constant amounts till MD. If variable rate, total amount for interest and principal is recalculated to be fully matured at MD.

Real-world Instrument Examples (but not limited to)​

Classical level payment mortgages, leasing contracts etc.

Required Terms​

  • contractDealDate
  • contractID
  • contractRole
  • contractType
  • counterpartyID
  • creatorID
  • currency
  • dayCountConvention
  • initialExchangeDate
  • nominalInterestRate
  • notionalPrincipal
  • statusDate

Conditional Groups​

Group 1​

  • Drivers: feeRate
  • Required if triggered: feeBasis
  • Optional: cycleAnchorDateOfFee, cycleOfFee, feeAccrued

Group 3​

  • Drivers: interestCalculationBase
  • Required if triggered: interestCalculationBaseAmount
  • Optional: cycleAnchorDateOfInterestCalculationBase, cycleOfInterestCalculationBase

Group 4​

  • Drivers: None
  • Required if triggered: None
  • Optional: cycleAnchorDateOfPrincipalRedemption, cycleOfPrincipalRedemption

Group 5​

  • Drivers: purchaseDate
  • Required if triggered: priceAtPurchaseDate
  • Optional: None

Group 6​

  • Drivers: terminationDate
  • Required if triggered: priceAtTerminationDate
  • Optional: None

Group 7​

  • Drivers: scalingEffect
  • Required if triggered: marketObjectCodeOfScalingIndex, scalingIndexAtContractDealDate, notionalScalingMultiplier, interestScalingMultiplier
  • Optional: cycleAnchorDateOfScalingIndex, cycleOfScalingIndex

Group 8​

  • Drivers: prepaymentEffect
  • Required if triggered: None
  • Optional: prepaymentPeriod, optionExerciseEndDate, cycleAnchorDateOfOptionality, cycleOfOptionality, penaltyType, penaltyRate

Group 9​

  • Drivers: cycleAnchorDateOfRateReset, cycleOfRateReset
  • Required if triggered: rateSpread, marketObjectCodeOfRateReset
  • Optional: lifeCap, lifeFloor, periodCap, periodFloor, fixingPeriod, nextResetRate, rateMultiplier

Standalone Optional Terms​

  • accruedInterest
  • amortizationDate
  • businessDayConvention
  • calendar
  • capitalizationEndDate
  • contractPerformance
  • creditLineAmount
  • cycleAnchorDateOfInterestPayment
  • cycleOfInterestPayment
  • delinquencyPeriod
  • delinquencyRate
  • endOfMonthConvention
  • gracePeriod
  • marketObjectCode
  • marketValueObserved
  • maturityDate
  • nextPrincipalRedemptionPayment
  • nonPerformingDate
  • premiumDiscountAtIED
  • seniority
  • settlementCurrency

Notes​

  • contractType is automatically set to "ANN" when using the class.