CME STP FIX - TradeCaptureReport - UnderlyingStreamGrp

/TrdCaptRpt/Undly/Strm (repeating)

Tag	Name	FIXML Abbr	Req	Format	Description	Enumerations
40540	NoUnderlyingStreams		N	NuminGroup	Number of swap streams in the repeating group.
40541	Underlying Stream Type	Typ	N	int	Type of swap stream.	0 - Payment / cash settlement 1 - Physical delivery
40543	Underlying Stream Pay Side	PaySide	N	int	Side value of party paying the stream.	1 - Buy 2 - Sell
40544	Underlying Stream Receive Side	RcvSide	N	int	Side value of party receiving the stream.	1 - Buy 2 - Sell
40545	Underlying Stream Notional	Notl	N	Amt	Notional, or initial notional value for the payment stream. Use <SwapSchedule> for steps.
42019	Underlying Stream Notional Frequency Period	NotlPeriod	N	int	Time unit multiplier for the notional frequency. If present UnderlyingStreamNotionalFrequencyUnit(tbd) must be specified.
42020	Underlying Stream Notional Frequency Unit	NotlUnit	N	String	Time unit associated with the notional frequency. If present UnderlyingStreamNotionalFrequencyPeriod(tbd) must be specified.	D - Day H - Hour Min - Minute Mo - Month S - Second Wk - Week Yr - Year
42022	Underlying Stream Notional Unit of Measure	NotlUOM	N	String	Delivery UnderlyingStream quantity UOM.	Alw - Allowances BDFT - Board feet Bbl - Barrels Bcf - Billion cubic feet Bu - Bushels CBM - Cubic Meters CER - Certified Emissions Reduction CRT - Climate Reserve Tonnes Ccy - Amount of currency EnvCrd - Environmental Credit EnvOfst - Environmental Offset GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs Gal - Gallons IPNT - Index point L - Liters MMBtu - One Million BTU MMbbl - Million Barrels MW-M - Megawatt-Month (electrical capacity) MWh - Megawatt hours PRINC - Principal with relation to debt instrument cwt - Hundredweight (US) day - Days dt - Dry metric tons g - Grams kL - Kiloliters kW-M - Kilowatt-Month (electrical capacity) kWh - Kilowatt hours kg - Kilograms lbs - pounds oz_tr - Troy Ounces t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US)
42023	Underlying Stream Total Notional	TotNotl	N	Amt	Total notional or delivery quantity over the term of the contract.
42024	Underlying Stream Total Notional Unit of Measure	TotNotlUOM	N	String	Delivery UnderlyingStream quantity UOM.	Alw - Allowances BDFT - Board feet Bbl - Barrels Bcf - Billion cubic feet Bu - Bushels CBM - Cubic Meters CER - Certified Emissions Reduction CRT - Climate Reserve Tonnes Ccy - Amount of currency EnvCrd - Environmental Credit EnvOfst - Environmental Offset GJ - Gigajoules GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs Gal - Gallons IPNT - Index point L - Liters MMBtu - One Million BTU MMbbl - Million Barrels MW-M - Megawatt-Month (electrical capacity) MWh - Megawatt hours PRINC - Principal with relation to debt instrument cwt - Hundredweight (US) day - Days dt - Dry metric tons g - Grams kL - Kiloliters kW-M - Kilowatt-Month (electrical capacity) kWh - Kilowatt hours kg - Kilograms lbs - pounds oz_tr - Troy Ounces t - Metric Tons (aka Tonne) thm - Therms tn - Tons (US)
UnderlyingStreamCommodity		Cmdty
→ 41964	Underlying Stream Commodity Base	Base	N	String	Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
→ 41968	Underlying Stream Commodity Description	Desc	N	String	Description of the commodity asset.
→ UnderlyingStreamAssetAttributeGrp (repeating)		AssetAttrb
→41800	NoUnderlyingStreamAssetAttributes		N	NuminGroup	Number of asset attribute entries in the group.
→→41801	Underlying Stream Asset Attribute Type	Typ	N	String	Name of the attribute being specified.	See enumerations.
→→41802	Underlying Stream Asset Attribute Value	Val	N	String	Value of the attribute
→UnderlyingStreamCommoditySettlementPeriodGrp (repeating)		SettlPeriod
→42002	NoUnderlyingStreamCommoditySettlPeriods		N	NuminGroup	Number of commodity settlement periods in the repeating group.
→→42004	Underlying Stream Commodity Settlement Time Zone	TZ	N	String	Commodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time.
→→42005	Underlying Stream Commodity Settlement Flow Type	FlowTyp	N	int	Commodity delivery flow type.	0 - All times 1 - On-peak 2 - Off-peak 3 - Base 4 - Block hours 5 - Other
→→42013	Underlying Stream Commodity Settlement Holidays Processing Instruction	Holidays	N	int	Indicates whether holidays are included in the settlement periods. Required for electricity contracts.	0 - Do not include holidays 1 - Include holidays
UnderlyingStreamEffectiveDate		EfctvDt
→40064	Underlying Adjusted Effective Date	Dt	N	LocalMktDate	Adjusted effective date.
UnderlyingStreamTerminationDate		TrmtnDt
→40555	Underlying Adjusted Termination Date	Dt	N	LocalMktDate	Adjusted Termination Date.
UnderlyingPaymentStream		PmtStrm
→ UnderlyingPaymentStreamPaymentDates		PmtDts
→→40583	Underlying Payment Stream Payment Frequency Period	FreqPeriod	N	int	The period of frequency of payments.
→→40584	Underlying Payment Stream Payment Frequency Unit	FreqUnit	N	String	The unit of frequency of payments.	D - Day Mo - Month T - Term Wk - Week Yr - Year
→ UnderlyingPaymentStreamFixedRate		Fixed
→→40615	Underlying Rate	Rt	N	Percentage	Rate if the payment stream is a fixed rate stream.
→→40617	Underlying Rate or Amount Currency	Ccy	N	Currency	Specifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes.
→ UnderlyingPaymentStreamFloatingRate		Float
→→40620	Underlying Floating Rate Index	Ndx	N	String	Floating Rate Index.
→→41913	Underlying Floating Rate Index Location	NdxLctn	N	String	Specifies the location of the floating rate index.
→→40624	Underlying Floating Rate Multiplier	RtMult	n	float	A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
→→40625	Underlying Floating Rate Spread	Spread	N	PriceOffset	Spread from floating rate index.
UnderlyingDeliveryStream		DlvryStrm
→41781	Underlying Delivery Point	DlvryPnt	N	String	The point at which the commodity product will be delivered and received. Unconstrained string for most commodities. For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location
→41782	Underlying Delivery Restriction	DlvryRstctn	N	int	Specifies under what conditions the buyer and seller should be excused of their delivery obligations.	1 - Firm (never excused of delivery obligations) 2 - Interruptible or Non-firm (excused when interrupted for any reason or for no reason without liability) 3 - Force majeure (excused when prevented by force majeure). 4 - System firm (must be supplied from the owned or controlled generation or pre-existing purchased power assets of the system specified) 5 - Unit firm (must be supplied from the generation asset specified) 101 - Firm Liquidating Damages 102 - WSPP Sched C Firm Liquidating Damages