| ID | Abbr |
|---|---|
| 4070 | PmtStrm |
| Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|
| FIX.5.0SP2 | 161 |
| ID | Name | Abbr | Presence | Description |
|---|---|---|---|---|
| 40738 | PaymentStreamType | Typ | optional | SYNOPSIS:
Identifies the type of payment stream associated with the swap.
|
| 40739 | PaymentStreamMarketRate | MktRt | optional | SYNOPSIS:
Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.
|
| 40740 | PaymentStreamDelayIndicator | DelayInd | optional | SYNOPSIS:
Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.
Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.
Commercial mortgage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.
|
| 42600 | PaymentStreamCashSettlIndicator | CshSettlInd | optional | SYNOPSIS:
Indicates whether cash settlement is applicable.
|
| 40741 | PaymentStreamSettlCurrency | SettlCcy | optional | SYNOPSIS:
Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.
|
| 40742 | PaymentStreamDayCount | DayCnt | optional | SYNOPSIS:
The day count convention used in the payment stream calculations.
|
| 43106 | PaymentStreamOtherDayCount | OtherDayCnt | optional | SYNOPSIS:
The industry name of the day count convention not listed in PaymentStreamDayCount(40742).
|
| 40743 | PaymentStreamAccrualDays | AcrlDays | optional | SYNOPSIS:
The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.
|
| 40744 | PaymentStreamDiscountType | DiscTyp | optional | SYNOPSIS:
The method of calculating discounted payment amounts
|
| 40745 | PaymentStreamDiscountRate | Disc | optional | SYNOPSIS:
Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.
|
| 40746 | PaymentStreamDiscountRateDayCount | DiscDayCnt | optional | SYNOPSIS:
The day count convention applied to the PaymentStreamDiscountRate(40745).
|
| 40747 | PaymentStreamCompoundingMethod | CmpndgMeth | optional | SYNOPSIS:
Compounding method.
|
| 42601 | PaymentStreamCompoundingXIDRef | CmpndgXIDRef | optional | SYNOPSIS:
Reference to the stream which details the compounding fixed or floating rate.
|
| 42602 | PaymentStreamCompoundingSpread | CmpndgSpread | optional | SYNOPSIS:
The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
|
| 42603 | PaymentStreamInterpolationMethod | IntrpltnMeth | optional | SYNOPSIS:
The method used when calculating the index rate from multiple points on the curve. The most common is linear method.
|
| 42604 | PaymentStreamInterpolationPeriod | IntrpltnPeriod | optional | SYNOPSIS:
Defines applicable periods for interpolation.
|
| 40748 | PaymentStreamInitialPrincipalExchangeIndicator | InitPrncplExchInd | optional | SYNOPSIS:
Indicates whether there is an initial exchange of principal on the effective date.
|
| 40749 | PaymentStreamInterimPrincipalExchangeIndicator | IntrmPrncplExchInd | optional | SYNOPSIS:
Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.
|
| 40750 | PaymentStreamFinalPrincipalExchangeIndicator | FnlPrncplExchInd | optional | SYNOPSIS:
Indicates whether there is a final exchange of principal on the termination date.
|
| 41180 | PaymentStreamFlatRateIndicator | FlatRtInd | optional | SYNOPSIS:
When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction “Fixed”. If 'N' it is taken on each Pricing Date “Floating”.
|
| 41181 | PaymentStreamFlatRateAmount | FlatRtAmt | optional | SYNOPSIS:
Specifies the actual monetary value of the flat rate when PaymentStreamFlatRateIndicator(41180) = 'Y'.
|
| 41182 | PaymentStreamFlatRateCurrency | FlatRtCcy | optional | SYNOPSIS:
Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.
|
| 41183 | PaymentStreamMaximumPaymentAmount | MaxPmtAmt | optional | SYNOPSIS:
Specifies the limit on the total payment amount.
|
| 41184 | PaymentStreamMaximumPaymentCurrency | MaxPmtCcy | optional | SYNOPSIS:
Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.
|
| 41185 | PaymentStreamMaximumTransactionAmount | MaxTxnAmt | optional | SYNOPSIS:
Specifies the limit on the payment amount that goes out in any particular calculation period.
|
| 41186 | PaymentStreamMaximumTransactionCurrency | MaxTxnCcy | optional | SYNOPSIS:
Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.
|
| 4071 | PaymentStreamPaymentDates | PmtDts | optional | SYNOPSIS:
PaymentStreamPaymentDates is a subcomponent of the PaymentStream component used to specify the payment dates of the stream.
ELABORATION: For equity return swaps this component is used to specify the interim price payment dates and the PaymentStreamFinalPricePaymentDate component is used to specify the final price payment date. |
| 4072 | PaymentStreamResetDates | ResetDts | optional | SYNOPSIS:
PaymentStreamResetDates is a subcomponent of the PaymentStream component used to specify the floating rate reset dates of the stream.
ELABORATION: |
| 4073 | PaymentStreamFixedRate | Fixed | optional | SYNOPSIS:
PaymentStreamFixedRate is a subcomponent of the PaymentStream component used to report the fixed rate or fixed payment amount of the stream.
ELABORATION: |
| 4074 | PaymentStreamFloatingRate | Float | optional | SYNOPSIS:
PaymentStreamFloatingRate is a subcomponent of the PaymentStream component used to report the floating rate attributes of the stream.
ELABORATION: Note that if the floating rate index or the rate calculation goes negative for a calculation period and PaymentStreamNegativeRateTreatment(40807)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer. The Calculation Lag Interval (PaymentStreamCalculationLagPeriod(41209) and PaymentStreamCalculationLagUnit(41210)) and the First Observation Offset Duration (PaymentStreamFirstObservationOffsetPeriod(41211) and PaymentStreamFirstObservationOffsetUnit(41212)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceeding each calculation. |
| 42605 | PaymentStreamCompoundingFixedRate | CmpndgFixedRt | optional | SYNOPSIS:
The compounding fixed rate applicable to the payment stream.
|
| 4367 | PaymentStreamCompoundingFloatingRate | CmpndgFloat | optional | SYNOPSIS:
PaymentStreamCompoundingFloatingRate is a subcomponent of the PaymentStream component used to report the parameters for determining the compounding floating rate of the stream.
ELABORATION: |
| 4364 | PaymentStreamCompoundingDates | CmpndgDts | optional | SYNOPSIS:
PaymentStreamCompoundingDates is a subcomponent of the PaymentStream component used to specify the compounding dates of the stream - either specific, relative or periodic dates.
ELABORATION: |
| 4075 | PaymentStreamNonDeliverableSettlTerms | NonDlvrblTrms | optional | SYNOPSIS:
PaymentStreamNonDeliverableSettlTerms is a subcomponent of the PaymentStream component used to specify the non-deliverable settlement terms of the payment stream.
ELABORATION: |