| ID | Abbr |
|---|---|
| 4074 | Float |
| Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|
| FIX.5.0SP2 | 161 | FIX.5.0SP2 | 169 |
| ID | Name | Abbr | Presence | Description |
|---|---|---|---|---|
| 40789 | PaymentStreamRateIndex | Ndx | optional | SYNOPSIS:
The payment stream floating rate index.
|
| 40790 | PaymentStreamRateIndexSource | NdxSrc | optional | SYNOPSIS:
The source of the payment stream floating rate index.
|
| 43090 | PaymentStreamRateIndexID | NdxID | optional | SYNOPSIS:
Security identifier of the floating rate index.
|
| 43091 | PaymentStreamRateIndexIDSource | NdxIDSrc | optional | SYNOPSIS:
Source for the floating rate index identified in PaymentStreamRateIndexID(43090).
|
| 40791 | PaymentStreamRateIndexCurveUnit | NdxUnit | optional | SYNOPSIS:
Time unit associated with the floating rate index.
|
| 40792 | PaymentStreamRateIndexCurvePeriod | NdxPeriod | optional | SYNOPSIS:
Time unit multiplier for the floating rate index.
|
| 41194 | PaymentStreamRateIndex2CurvePeriod | Ndx2Period | optional | SYNOPSIS:
Secondary time unit multiplier for the payment stream's floating rate index curve.
ELABORATION: May be used for a Forward Rate Agreement (FRA) with an average rate between two curve points. |
| 41195 | PaymentStreamRateIndex2CurveUnit | Ndx2Unit | optional | SYNOPSIS:
Secondary time unit associated with the payment stream's floating rate index curve.
|
| 41196 | PaymentStreamRateIndexLocation | NdxLctn | optional | SYNOPSIS:
Specifies the location of the floating rate index.
|
| 41197 | PaymentStreamRateIndexLevel | NdxLvl | optional | SYNOPSIS:
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
|
| 41198 | PaymentStreamRateIndexUnitOfMeasure | NdxUOM | optional | SYNOPSIS:
The unit of measure (UOM) of the rate index level.
|
| 41199 | PaymentStreamSettlLevel | SettlLvl | optional | SYNOPSIS:
Specifies how weather index units are to be calculated.
|
| 41200 | PaymentStreamReferenceLevel | RefLvl | optional | SYNOPSIS:
This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.
|
| 41201 | PaymentStreamReferenceLevelUnitOfMeasure | RefUOM | optional | SYNOPSIS:
The unit of measure (UOM) of the rate reference level.
|
| 41202 | PaymentStreamReferenceLevelEqualsZeroIndicator | RefLvlZero | optional | SYNOPSIS:
When set to 'Y', it indicates the weather reference level equals zero.
|
| 40793 | PaymentStreamRateMultiplier | RtMult | optional | SYNOPSIS:
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 | PaymentStreamRateSpread | Spread | optional | SYNOPSIS:
Spread from floating rate index.
|
| 41203 | PaymentStreamRateSpreadCurrency | SpreadCcy | optional | SYNOPSIS:
Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.
|
| 41204 | PaymentStreamRateSpreadUnitOfMeasure | SpreadUOM | optional | SYNOPSIS:
Species the unit of measure (UOM) of the floating rate spread.
|
| 41205 | PaymentStreamRateConversionFactor | RtFctr | optional | SYNOPSIS:
The number to be multiplied by the derived floating rate of the payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.
|
| 41206 | PaymentStreamRateSpreadType | SpreadTyp | optional | SYNOPSIS:
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.
|
| 40795 | PaymentStreamRateSpreadPositionType | SpreadPosTyp | optional | SYNOPSIS:
Identifies whether the rate spread is applied to a long or short position.
|
| 40796 | PaymentStreamRateTreatment | RtTrtmt | optional | SYNOPSIS:
Specifies the yield calculation treatment for the index.
|
| 40797 | PaymentStreamCapRate | CapRt | optional | SYNOPSIS:
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
|
| 40798 | PaymentStreamCapRateBuySide | CapRtBuy | optional | SYNOPSIS:
Reference to the buyer of the cap rate option through its trade side.
|
| 40799 | PaymentStreamCapRateSellSide | CapRtSell | optional | SYNOPSIS:
Reference to the seller of the cap rate option through its trade side.
|
| 40800 | PaymentStreamFloorRate | FlrRt | optional | SYNOPSIS:
The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
|
| 40801 | PaymentStreamFloorRateBuySide | FlrRtBuy | optional | SYNOPSIS:
Reference to the buyer of the floor rate option through its trade side.
|
| 40802 | PaymentStreamFloorRateSellSide | FlrRtSell | optional | SYNOPSIS:
Reference to the seller of the floor rate option through its trade side.
|
| 40803 | PaymentStreamInitialRate | InitRt | optional | SYNOPSIS:
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.
|
| 41207 | PaymentStreamLastResetRate | LastResetRt | optional | SYNOPSIS:
The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
|
| 41208 | PaymentStreamFinalRate | FnlRt | optional | SYNOPSIS:
The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.
|
| 40804 | PaymentStreamFinalRateRoundingDirection | FnlRtRndDirctn | optional | SYNOPSIS:
Specifies the rounding direction.
|
| 40805 | PaymentStreamFinalRatePrecision | FnlRtPrcsn | optional | SYNOPSIS:
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.
|
| 40806 | PaymentStreamAveragingMethod | AvgngMeth | optional | SYNOPSIS:
When rate averaging is applicable, used to specify whether a weighted or unweighted average calculation method is to be used.
|
| 40807 | PaymentStreamNegativeRateTreatment | NegtvRtTrtmt | optional | SYNOPSIS:
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
|
| 41209 | PaymentStreamCalculationLagPeriod | CalcLagPeriod | optional | SYNOPSIS:
Time unit multiplier for the calculation lag duration.
|
| 41210 | PaymentStreamCalculationLagUnit | CalcLagUnit | optional | SYNOPSIS:
Time unit associated with the calculation lag duration.
|
| 42663 | PaymentStreamFirstObservationDateUnadjusted | FirstObsvtnDtUnadj | optional | SYNOPSIS:
The unadjusted initial price observation date.
|
| 42664 | PaymentStreamFirstObservationDateRelativeTo | FirstObsvtnReltv | optional | SYNOPSIS:
Specifies the anchor date when the initial price observation date is relative to an anchor date.
See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.
|
| 42665 | PaymentStreamFirstObservationDateOffsetDayType | FirstObsvtnOfstDayTyp | optional | SYNOPSIS:
Specifies the day type of the initial price observation date offset.
|
| 41211 | PaymentStreamFirstObservationDateOffsetPeriod | FirstObsvtnOfstPeriod | optional | SYNOPSIS:
Time unit multiplier for the relative first observation date offset.
ELABORATION: If the first observation offset is specified, the observation period will start the specified interval prior to each calculation period - i.e. if the first observation offset is 4 months and the lag duration is 3 months, observations will be taken in months 4, 3 and 2 (but not 1) prior to each calculation period. If no first observation offset is specified, the observation period will end immediately preceding each calculation period. |
| 41212 | PaymentStreamFirstObservationDateOffsetUnit | FirstObsvtnOfstUnit | optional | SYNOPSIS:
Time unit associated with the relative first observation date offset.
|
| 42666 | PaymentStreamFirstObservationDateAdjusted | FirstObsvtnDt | optional | SYNOPSIS:
The adjusted initial price observation date.
|
| 41213 | PaymentStreamPricingDayType | PxngDayTyp | optional | SYNOPSIS:
Specifies the commodity pricing day type.
|
| 41214 | PaymentStreamPricingDayDistribution | PxngDayDistrib | optional | SYNOPSIS:
The distribution of pricing days.
|
| 41215 | PaymentStreamPricingDayCount | PxngDayCnt | optional | SYNOPSIS:
The number of days over which pricing should take place.
|
| 41216 | PaymentStreamPricingBusinessCalendar | PxngClndr | optional | SYNOPSIS:
Specifies the business calendar to use for pricing.
See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.
|
| 41217 | PaymentStreamPricingBusinessDayConvention | PxngBizDayCnvtn | optional | SYNOPSIS:
The business day convention used to adjust the payent stream's pricing dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.
|
| 4170 | PaymentStreamPricingBusinessCenterGrp | PxngBizCtr | optional | SYNOPSIS:
The PaymentStreamPricingBusinessCenterGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.
ELABORATION: |
| 4173 | PaymentStreamPricingDayGrp | PxngDay | optional | SYNOPSIS:
The PaymentStreamPricingDayGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to detail periodic pricing days.
ELABORATION: If the fixing days are not specified, then every day of the week will be a fixing day. |
| 4172 | PaymentStreamPricingDateGrp | PxngDt | optional | SYNOPSIS:
The PaymentStreamPricingDateGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to detail fixed pricing dates.
ELABORATION: |
| 40808 | PaymentStreamInflationLagPeriod | LagPeriod | optional | SYNOPSIS:
Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determines the reference period for which the inflation index is observed.
|
| 40809 | PaymentStreamInflationLagUnit | LagUnit | optional | SYNOPSIS:
Time unit associated with the inflation lag period.
|
| 40810 | PaymentStreamInflationLagDayType | LagDayTyp | optional | SYNOPSIS:
The inflation lag period day type.
|
| 40811 | PaymentStreamInflationInterpolationMethod | IntrpltnMeth | optional | SYNOPSIS:
The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.
|
| 40812 | PaymentStreamInflationIndexSource | InfltnNdxSrc | optional | SYNOPSIS:
The inflation index reference source.
|
| 40813 | PaymentStreamInflationPublicationSource | PublctnSrc | optional | SYNOPSIS:
The current main publication source such as relevant web site or a government body.
|
| 40814 | PaymentStreamInflationInitialIndexLevel | InitLvl | optional | SYNOPSIS:
Initial known index level for the first calculation period.
|
| 40815 | PaymentStreamInflationFallbackBondApplicable | FallbckBond | optional | SYNOPSIS:
Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).
|
| 40816 | PaymentStreamFRADiscounting | FRADisc | optional | SYNOPSIS:
The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.
|
| 42667 | PaymentStreamUnderlierRefID | UndlrRefID | optional | SYNOPSIS:
References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
|
| 4373 | PaymentStreamFormula | Frmla | optional | SYNOPSIS:
PaymentStreamFormula is a subcomponent of the PaymentStreamFloatingRate component used to report the parameters for determining the floating rate of the stream e.g. for equity swaps.
ELABORATION: |
| 4323 | DividendConditions | DividendConds | optional | SYNOPSIS:
The DividendConditions component is a subcomponent of PaymentStream used to specify the conditions' valuations and dates governing the payment of dividends.
ELABORATION: |
| 42668 | ReturnRateNotionalReset | RtnRtNotlReset | optional | SYNOPSIS:
Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.
|
| 4380 | ReturnRateGrp | RtnRt | optional | SYNOPSIS:
ReturnRateGrp is a repeating subcomponent within the PaymentStreamFloatingRate component. It is used to specify the multiple return rates for an equity return swap payment stream.
ELABORATION: |
| 42669 | PaymentStreamLinkInitialLevel | LinkInitLvl | optional | SYNOPSIS:
Price level at which the correlation or variance swap contract will strike.
|
| 42670 | PaymentStreamLinkClosingLevelIndicator | LinkClsngLvl | optional | SYNOPSIS:
Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.
|
| 42671 | PaymentStreamLinkExpiringLevelIndicator | LinkExpngLvl | optional | SYNOPSIS:
Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.
|
| 42672 | PaymentStreamLinkEstimatedTradingDays | LinkEstTrdgDays | optional | SYNOPSIS:
The expected number of trading days in the variance or correlation swap stream.
|
| 42673 | PaymentStreamLinkStrikePrice | LinkStrkPx | optional | SYNOPSIS:
The strike price of a correlation or variance swap stream.
|
| 42674 | PaymentStreamLinkStrikePriceType | LinkStrkPxTyp | optional | SYNOPSIS:
For a variance swap specifies how PaymentStreamLinkStrikePrice(42673) is expressed.
|
| 42675 | PaymentStreamLinkMaximumBoundary | LinkMaxBndry | optional | SYNOPSIS:
Specifies the maximum or upper boundary for variance or strike determination.
For a variation swap stream all observations above this price level will be excluded from the variance calculation.
For a correlation swap stream the maximum boundary is a percentage of the strike price.
|
| 42676 | PaymentStreamLinkMinimumBoundary | LinkMinBndry | optional | SYNOPSIS:
Specifies the minimum or lower boundary for variance or strike determination.
For a variation swap stream all observations below this price level will be excluded from the variance calculation.
For a correlation swap stream the minimum boundary is a percentage of the strike price.
|
| 42677 | PaymentStreamLinkNumberOfDataSeries | LinkNumDataSeries | optional | SYNOPSIS:
Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.
|
| 42678 | PaymentStreamVarianceUnadjustedCap | VarncCap | optional | SYNOPSIS:
Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.
|
| 42679 | PaymentStreamRealizedVarianceMethod | RlzdVarncMeth | optional | SYNOPSIS:
Indicates which price to use to satisfy the boundary condition.
|
| 42680 | PaymentStreamDaysAdjustmentIndicator | DaysAdjmt | optional | SYNOPSIS:
Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.
|
| 42681 | PaymentStreamNearestExchangeContractRefID | ExchCtrctRefID | optional | SYNOPSIS:
References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.
|
| 42682 | PaymentStreamVegaNotionalAmount | VegaNotlAmt | optional | SYNOPSIS:
"Vega Notional" represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
|