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 (PaymentStreamFirstObservationOffsetPeriod(41211) and PaymentStreamFirstObservationOffsetUnit(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.
 | 40789 | PaymentStreamRateIndex | Ndx | | | Added EP161
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| 40790 | PaymentStreamRateIndexSource | NdxSrc | | | Added EP161
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| 43090 | PaymentStreamRateIndexID | NdxID | | Conditionally required when PaymentStreamRateIndexIDSource(43091) is specified. | Added EP235
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| 43091 | PaymentStreamRateIndexIDSource | NdxIDSrc | | Conditionally required when PaymentStreamRateIndexID(43090) is specified. | Added EP235
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| 40791 | PaymentStreamRateIndexCurveUnit | NdxUnit | | Conditionally required when PaymentStreamRateIndexCurvePeriod(40792) is specified. | Added EP161
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| 40792 | PaymentStreamRateIndexCurvePeriod | NdxPeriod | | Conditionally required when PaymentStreamRateIndexCurveUnit(40791) is specified. | Added EP161
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| 43112 | PaymentStreamRateIndex2 | Ndx2 | | | Added EP271
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| 43113 | PaymentStreamRateIndex2Source | Ndx2Src | | | Added EP271
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| 43114 | PaymentStreamRateIndex2ID | Ndx2ID | | Conditionally required when PaymentStreamRateIndex2IDSource(43115) is specified. | Added EP271
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| 43115 | PaymentStreamRateIndex2IDSource | Ndx2IDSrc | | Conditionally required when PaymentStreamRateIndex2ID(43114) is specified. | Added EP271
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| 41194 | PaymentStreamRateIndex2CurvePeriod | Ndx2Period | | Conditionally required when PaymentStreamRateIndex2CurveUnit(41195) is specified. | Added EP169
Updated EP271
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| 41195 | PaymentStreamRateIndex2CurveUnit | Ndx2Unit | | Conditionally required when PaymentStreamRateIndex2CurvePeriod(41194) is specified. | Added EP169
Updated EP271
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| 41196 | PaymentStreamRateIndexLocation | NdxLctn | | | Added EP169
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| 41197 | PaymentStreamRateIndexLevel | NdxLvl | | | Added EP169
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| 41198 | PaymentStreamRateIndexUnitOfMeasure | NdxUOM | | | Added EP169
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| 41199 | PaymentStreamSettlLevel | SettlLvl | | | Added EP169
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| 41200 | PaymentStreamReferenceLevel | RefLvl | | | Added EP169
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| 41201 | PaymentStreamReferenceLevelUnitOfMeasure | RefUOM | | | Added EP169
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| 41202 | PaymentStreamReferenceLevelEqualsZeroIndicator | RefLvlZero | | | Added EP169
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| 40793 | PaymentStreamRateMultiplier | RtMult | | | Added EP161
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| 40794 | PaymentStreamRateSpread | Spread | | | Added EP161
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| 41203 | PaymentStreamRateSpreadCurrency | SpreadCcy | | | Added EP169
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| 41204 | PaymentStreamRateSpreadUnitOfMeasure | SpreadUOM | | | Added EP169
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| 41205 | PaymentStreamRateConversionFactor | RtFctr | | | Added EP169
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| 41206 | PaymentStreamRateSpreadType | SpreadTyp | | | Added EP169
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| 40795 | PaymentStreamRateSpreadPositionType | SpreadPosTyp | | | Added EP161
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| 40796 | PaymentStreamRateTreatment | RtTrtmt | | | Added EP161
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| 40797 | PaymentStreamCapRate | CapRt | | | Added EP161
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| 40798 | PaymentStreamCapRateBuySide | CapRtBuy | | | Added EP161
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| 40799 | PaymentStreamCapRateSellSide | CapRtSell | | | Added EP161
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| 40800 | PaymentStreamFloorRate | FlrRt | | | Added EP161
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| 40801 | PaymentStreamFloorRateBuySide | FlrRtBuy | | | Added EP161
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| 40802 | PaymentStreamFloorRateSellSide | FlrRtSell | | | Added EP161
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| 40803 | PaymentStreamInitialRate | InitRt | | | Added EP161
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| 41207 | PaymentStreamLastResetRate | LastResetRt | | | Added EP169
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| 41208 | PaymentStreamFinalRate | FnlRt | | | Added EP169
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| 40804 | PaymentStreamFinalRateRoundingDirection | FnlRtRndDirctn | | | Added EP161
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| 40805 | PaymentStreamFinalRatePrecision | FnlRtPrcsn | | | Added EP161
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| 40806 | PaymentStreamAveragingMethod | AvgngMeth | | | Added EP161
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| 40807 | PaymentStreamNegativeRateTreatment | NegtvRtTrtmt | | | Added EP161
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| 41209 | PaymentStreamCalculationLagPeriod | CalcLagPeriod | | Conditionally required when PaymentStreamCalculationLagUnit(41210) is specified. | Added EP169
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| 41210 | PaymentStreamCalculationLagUnit | CalcLagUnit | | Conditionally required when PaymentStreamCalculationLagPeriod(41209) is specified. | Added EP169
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| 42663 | PaymentStreamFirstObservationDateUnadjusted | FirstObsvtnDtUnadj | | | Added EP208
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| 42664 | PaymentStreamFirstObservationDateRelativeTo | FirstObsvtnReltv | | | Added EP208
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| 42665 | PaymentStreamFirstObservationDateOffsetDayType | FirstObsvtnOfstDayTyp | | | Added EP208
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| 41211 | PaymentStreamFirstObservationDateOffsetPeriod | FirstObsvtnOfstPeriod | | Conditionally required when PaymentStreamFirstObservationOffsetUnit(41212) is specified. | Added EP169
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| 41212 | PaymentStreamFirstObservationDateOffsetUnit | FirstObsvtnOfstUnit | | Conditionally required when PaymentStreamFirstObservationOffsetPeriod(41211) is specified. | Added EP169
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| 42666 | PaymentStreamFirstObservationDateAdjusted | FirstObsvtnDt | | | Added EP208
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| 41213 | PaymentStreamPricingDayType | PxngDayTyp | | | Added EP169
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| 41214 | PaymentStreamPricingDayDistribution | PxngDayDistrib | | | Added EP169
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| 41215 | PaymentStreamPricingDayCount | PxngDayCnt | | | Added EP169
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| 41216 | PaymentStreamPricingBusinessCalendar | PxngClndr | | | Added EP169
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| 41217 | PaymentStreamPricingBusinessDayConvention | PxngBizDayCnvtn | | 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. | Added EP169
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| Component(-) | PaymentStreamPricingBusinessCenterGrp | PxngBizCtr | | 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. | Added EP169
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