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Undefined Maturity Profile (UMP)

Description​

Principal paid in and out at any point in time without prefixed schedule. Interest calculated on outstanding and capitalized periodically. Needs link to a behavioral function describing expected flows.

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

Saving products of all kind, current accounts. In some countries even variable rate mortgages can be represented with this CT.

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 6​

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

Group 9​

  • Drivers: cycleAnchorDateOfRateReset, cycleOfRateReset
  • Required if triggered: rateSpread, marketObjectCodeOfRateReset
  • Optional: None

Standalone Optional Terms​

  • accruedInterest
  • businessDayConvention
  • calendar
  • contractPerformance
  • cycleAnchorDateOfInterestPayment
  • cycleOfInterestPayment
  • delinquencyPeriod
  • delinquencyRate
  • endOfMonthConvention
  • gracePeriod
  • maximumPenaltyFreeDisbursement
  • nonPerformingDate
  • prepaymentPeriod
  • seniority
  • settlementCurrency
  • xDayNotice

Notes​

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