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FIXtags

GROUP · SOURCE ID 4056

UnderlyingStreamGrp

Definition

The UnderlyingStreamGrp is a repeating subcomponent of the UnderlyingInstrument component used to detail the swap streams associated with the instrument.

Additional detail from the official source

A swap will ordinarily have one or two payment streams. Each one may contain an UnderlyingStreamDesc(40542) with a descriptive string such as "Float" or "Fixed". However the choice of description should have no effect on the stream's purpose.

UnderlyingStreamPaySide(40543) and UnderlyingStreamReceiveSide(40544) link the appropriate swap parties to their role in the stream. In pre-trade messages the side value (e.g. Side(54) field) of the request or order should be "1" (Buy) or "2" (Sell), and UnderlyingStreamPaySide(40543) and UnderlyingStreamReceiveSide(40544) should be set to the same side value indicating the aggressor's desired role. On fills and post-trade messages, the executing firm takes the opposite side and indicates its role by setting UnderlyingStreamPaySide(40543) and UnderlyingStreamReceiveSide(40544) to the opposite side of the aggressor's role.

This is a reusable definition. Requiredness is relative to this structure; its use and conditions in a message remain on that message's page. Version links browse the other dictionary, not an assumed equivalent component.

Direct members

  1. 40540 NoUnderlyingStreamsGroup countFrom usage
  2. 40541 UnderlyingStreamTypefield—

    Required if NoUnderlyingStreams(40540) > 0.

  3. 42016 UnderlyingStreamXIDfield—
  4. 40542 UnderlyingStreamDescfield—
  5. 43083 UnderlyingStreamVersionfield—
  6. 43084 UnderlyingStreamVersionEffectiveDatefield—
  7. 40543 UnderlyingStreamPaySidefield—
  8. 40544 UnderlyingStreamReceiveSidefield—
  9. 42018 UnderlyingStreamNotionalXIDReffield—
  10. 40545 UnderlyingStreamNotionalfield—
  11. 40546 UnderlyingStreamCurrencyfield—
  12. 43085 UnderlyingStreamNotionalDeterminationMethodfield—
  13. 43086 UnderlyingStreamNotionalAdjustmentsfield—
  14. 42019 UnderlyingStreamNotionalFrequencyPeriodfield—

    Conditionally required when UnderlyingStreamNotionalFrequencyUnit(42020) is specified.

  15. 42020 UnderlyingStreamNotionalFrequencyUnitfield—

    Conditionally required when UnderlyingStreamNotionalFrequencyPeriod(42019) is specified.

  16. 42021 UnderlyingStreamNotionalCommodityFrequencyfield—
  17. 42022 UnderlyingStreamNotionalUnitOfMeasurefield—
  18. 42023 UnderlyingStreamTotalNotionalfield—
  19. 42024 UnderlyingStreamTotalNotionalUnitOfMeasurefield—
  20. UnderlyingStreamCommoditycomponent—
  21. UnderlyingStreamEffectiveDatecomponent—
  22. UnderlyingStreamTerminationDatecomponent—
  23. UnderlyingStreamCalculationPeriodDatescomponent—
  24. UnderlyingPaymentStreamcomponent—
  25. UnderlyingPaymentScheduleGrpgroup—
  26. UnderlyingPaymentStubGrpgroup—
  27. UnderlyingDeliveryStreamcomponent—
  28. UnderlyingDeliveryScheduleGrpgroup—
  29. 40547 UnderlyingStreamTextfield—
  30. 40988 EncodedUnderlyingStreamTextLenfield—

    Must be set if EncodedUnderlyingStreamText(40989) field is specified and must immediately precede it.

  31. 40989 EncodedUnderlyingStreamTextfield—

    Encoded (non-ASCII characters) representation of the UnderlyingStreamText(40547) field in the encoded format specified via the MessageEncoding(347) field.

Used in messages

Direct parent structures