CME STP FIXML - TradeCaptureReport - UnderlyingStreamGrp - Futures and Options

/TrdCaptRpt/Undly/Strm (repeating)

Name	Abbr	Datatype	Description	Enumerations
Underlying Stream Type	Typ	int	Type of swap stream.	0 - Payment / cash settlement 1 - Physical delivery
Underlying Stream Pay Side	PaySide	int	Side value of party paying the stream.	1 - Buy 2 - Sell
Underlying Stream Receive Side	RcvSide	int	Side value of party receiving the stream.	1 - Buy 2 - Sell
Underlying Stream Notional	Notl	Amt	Notional, or initial notional value for the payment stream. Use <SwapSchedule> for steps.
Underlying Stream Notional Frequency Period	NotlPeriod	int	Time unit multiplier for the notional frequency. If present UnderlyingStreamNotionalFrequencyUnit(tbd) must be specified.
Underlying Stream Notional Frequency Unit	NotlUnit	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
Underlying Stream Notional Unit of Measure	NotlUOM	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)
Underlying Stream Total Notional	TotNotl	Qty	Total notional or delivery quantity over the term of the contract.
Underlying Stream Total Notional Unit of Measure	TotNotlUOM	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
→ Underlying Stream Commodity Base	Base	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.
→ Underlying Stream Commodity Description	Desc	String	Description of the commodity asset.
→ UnderlyingStreamAssetAttributeGrp (repeating)	AssetAttrb
→→ Underlying Stream Asset Attribute Type	Typ	String	Name of the attribute being specified.	See enumerated values
→→ Underlying Stream Asset Attribute Value	Val	String	Value of the attribute
→ UnderlyingStreamCommoditySettlementPeriodGrp (repeating)	SettlPeriod
→→ Underlying Stream Commodity Settlement Time Zone	TZ	String	Commodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time.
→→ Underlying Stream Commodity Settlement Flow Type	FlowTyp	int	Commodity delivery flow type.	0 - All times 1 - On-peak 2 - Off-peak 3 - Base 4 - Block hours 5 - Other
→→ Underlying Stream Commodity Settlement Holidays Processing Instruction	Holidays	int	Indicates whether holidays are included in the settlement periods. Required for electricity contracts.	0 - Do not include holidays 1 - Include holidays
UnderlyingStreamEffectiveDate	EfctvDt
→ Underlying Adjusted Effective Date	Dt	LocalMktDate	Adjusted effective date.
UnderlyingStreamTerminationDate	TrmtnDt
→ Underlying Adjusted Termination Date	Dt	LocalMktDate	Adjusted Termination Date.
UnderlyingPaymentStream	PmtStrm
→ UnderlyingPaymentStreamPaymentDates	PmtDts
→→ Underlying Payment Stream Payment Frequency Period	FreqPeriod	int	The period of frequency of payments.
→→ Underlying Payment Stream Payment Frequency Unit	FreqUnit	String	The unit of frequency of payments.	D - Day Mo - Month T - Term Wk - Week Yr - Year
→ UnderlyingPaymentStreamFixedRate	Fixed
→→ Underlying Rate	Rt	Percentage	Rate if the payment stream is a fixed rate stream.
→→ Underlying Rate or Amount Currency	Ccy	Currency	Specifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes.
→ UnderlyingPaymentStreamFloatingRate	Float
→→ Underlying Floating Rate Index	Ndx	String	Floating Rate Index.
→→ Underlying Floating Rate Index Location	NdxLctn	String	Specifies the location of the floating rate index.
→→ Underlying Floating Rate Multiplier	RtMult	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.
→→ Underlying Floating Rate Spread	Spread	PriceOffset	Spread from floating rate index.
UnderlyingDeliveryStream	DlvryStrm
→ Underlying Delivery Point	DlvryPnt	String	The point at which the commodity product will be delivered and received. Unconstrained string for most commodities. For bullion see https://www.fpml.org/spec/coding-scheme -bullionDeliveryLocationScheme
→ Underlying Delivery Restriction	DlvryRstctn	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 with Liquidating Damages 102 - WSPP Schedule C Firm with Liquidating Damages