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. |
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40543 | Underlying Stream Pay Side | PaySide | N | int | Side value of party paying the stream. |
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40544 | Underlying Stream Receive Side | RcvSide | N | int | Side value of party receiving the stream. |
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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. |
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42022 | Underlying Stream Notional Unit of Measure | NotlUOM | N | String | Delivery UnderlyingStream quantity UOM. |
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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. |
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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. |
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→→42013 | Underlying Stream Commodity Settlement Holidays Processing Instruction | Holidays | N | int | Indicates whether holidays are included in the settlement periods. Required for electricity contracts. |
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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. |
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→ 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. |
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