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Principal at Maturity (PAM)

Description​

Principal payment fully at Initial Exchange Date (IED) and repaid at Maturity Date (MD). Fixed and variable rates.

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

All kind of bonds, term deposits, bullet loans and mortgages etc.

Required Terms​

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

Conditional Groups​

Group 1​

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

Group 2​

  • Drivers: cycleAnchorDateOfInterestPayment, cycleOfInterestPayment
  • Required if triggered: None
  • Optional: cyclePointOfInterestPayment

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, cyclePointOfRateReset, fixingPeriod, nextResetRate, rateMultiplier

Standalone Optional Terms​

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

Notes​

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