CME STP FIX - TradeCaptureReport - StreamGrp - Futures and Options

40049

NoStreams

N

NuminGroup

Number of swap streams in the repeating group.

40050

Stream Type

N

int

Type of swap stream. 

• 0 - Payment / cash settlement

• 1 - Physical delivery

40052

Stream Pay Side

N

int

Side value of party paying the stream.

• 1 - Buy

• 2 - Sell

40053

Stream Receive Side

N

int

Side value of party receiving the stream.

• 1 - Buy

• 2 - Sell

40054

Stream Notional

N

Amt

Notional, or initial notional value for the payment stream. Use <PaymentSchedule> for steps.

41306

Stream Notional Frequency Period

N

int

Time unit multiplier for the notional frequency. If present StreamNotionalFrequencyUnit(tbd) must be specified.

41307

Stream Notional Frequency Unit

N

String

Time unit associated with the notional frequency. If present StreamNotionalFrequencyPeriod(tbd) must be specified.

• D - Day

• H - Hour

• Min - Minute

• Mo - Month

• S - Second

• Wk - Week

• Yr - Year

41309

Stream Notional Unit of Measure

N

String

Stream notional UOM.

41310

Stream Total Notional

N

Amt

Total notional or delivery quantity over the term of the contract.

41311

Stream Total Notional Unit of Measure

N

String

Stream total notional UOM.

→ 41251

Stream Commodity 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.

→ 41255

Stream Commodity Description

N

String

Description of the commodity asset.

→ 41237 

NoStreamAssetAttributes

NuminGroup

Number of asset attribute entries in the group.

→→41238

Stream Asset Attribute Type

String

Name of the attribute being specified.

See enumerations.

→→41239 

Stream Asset Attribute Value

String

Value of the attribute

→41289

NoStreamCommoditySettlPeriods

N

NuminGroup

Number of commodity settlement periods in the repeating group.

→→41291

Stream Commodity Settlement Time Zone

String

Commodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time.

→→41292

Stream Commodity Settlement Flow Type

int

Commodity delivery flow type.

• 0 - All times

• 1 - On-peak

• 2 - Off-peak

• 3 - Base

• 4 - Block hours

• 5 - Other

→→41300

Stream Commodity Settlement Holidays Processing Instruction

int

Indicates whether holidays are included in the settlement periods. Required for electricity contracts.

• 0 - Do not include holidays

• 1 - Include holidays

→40914

Adjusted Effective Date

N

LocalMktDate

Adjusted effective date.

→40072

Adjusted Termination Date

N

LocalMktDate

Adjusted Termination Date.

→→42615

Payment Stream Payment Frequency Period

N

int

The period of frequency of payments.

→→42616

Payment Stream Payment Frequency Unit

N

String

The unit of frequency of payments.

• D - Day

• Mo - Month

• T - Term

• Wk - Week

• Yr - Year

→→40784

Rate

N

Percentage

Rate if the payment stream is a fixed rate stream.

→→40786

Rate or Amount Currency

N

Currency

Specifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denomincated. Uses ISO 4271 currency codes.

→→40789

Floating Rate Index

N

String

Floating Rate Index.

→→41196

Floating Rate Index Location

N

String

Specifies the location of the floating rate index.

→→40793

Floating Rate Multiplier

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.

→→40794

Floating Rate Spread

N

PriceOffset

Spread from floating rate index.

→41062

Delivery Point

N

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/fpml-schemes.html#s5.17

→41063

Delivery Restriction

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