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Negative Amortizer (NAM)

Description​

Similar as ANN. However when resetting rate, total amount (interest plus principal) stay constant. MD shifts. Only variable rates.

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

Special class of ARM´s (adjustable rate mortgages), Certain loans.

Required Terms​

  • contractDealDate
  • contractID
  • contractRole
  • contractType
  • counterpartyID
  • creatorID
  • currency
  • dayCountConvention
  • initialExchangeDate
  • marketObjectCodeOfRateReset
  • nextPrincipalRedemptionPayment
  • nominalInterestRate
  • notionalPrincipal
  • rateSpread
  • 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: None
  • Required if triggered: None
  • Optional: cycleAnchorDateOfRateReset, cycleOfRateReset, lifeCap, lifeFloor, periodCap, periodFloor, fixingPeriod, nextResetRate, rateMultiplier

Standalone Optional Terms​

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

Notes​

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