NotionalStepRule

A type defining a parametric representation of the notional step schedule, i.e. parameters used to generate the notional balance on each step date. The step change in notional can be expressed in terms of either a fixed amount or as a percentage of either the initial notional or previous notional amount. This parametric representation is intended to cover the more common amortizing/accreting.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
calculationPeriodDatesReference	CalculationPeriodDatesReference	A pointer style reference to the associated calculation period dates component defined elsewhere in the document.	Calculation period dates reference.		0-1, ncf	At the first stage the repository doesn't use relative dates.
stepFrequency	Period	The frequency at which the step changes occur. This frequency must be a multiple of the stream calculation period frequency.	Step frequency.		0-1, mre
firstNotionalStepDate	xsd:date	Effective date of the first change in notional (i.e. a calculation period start date).	First notional step date.		0-1, mre, mfr
lastNotionalStepDate	xsd:date	Effective date of the last change in notional (i.e. a calculation period start date).	Last notional step date.		0-1, mre, mfr
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notionalStepAmount	xsd:decimal	The explicit amount that the notional changes on each step date. This can be a positive or negative amount.	Notional step amount.		1-1, mre, mfr
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notionalStepRate	xsd:decimal	The percentage amount by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value of the element stepRelativeTo. The percentage can be either positive or negative. A percentage of 5% would be represented as 0.05.	Notional step rate.		0-1, mre, mfr
stepRelativeTo	StepRelativeToEnum	Specifies whether the notionalStepRate should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.	Base for notional step calculation.		0-1, mre, mfr
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NotionalStepRule

stepFrequency(Period)

The frequency at which the step changes occur. This frequency must be a multiple of the stream calculation period frequency.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

firstNotionalStepDate(date)

	Effective date of the first change in notional (i.e. a calculation period start date).

lastNotionalStepDate(date)

	Effective date of the last change in notional (i.e. a calculation period start date).

A choice of notional amount change type.

notionalStepAmount(decimal)

	The explicit amount that the notional changes on each step date. This can be a positive or negative amount.

Sequence

notionalStepRate(decimal)

	The percentage amount by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value of the element stepRelativeTo. The percentage can be either positive or negative. A percentage of 5% would be represented as 0.05.

stepRelativeTo(StepRelativeToEnum)

	Specifies whether the notionalStepRate should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
	Initial;Previous;