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

A swap will ordinarily have one or two streams. Each one may contain a LegStreamDesc <40243> with a descriptive string such as "Float" or "Fixed". However the choice of description should have no effect on the stream's purpose.

LegStreamPaySide <40244> and LegStreamReceiveSide <40245> 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 LegStreamPaySide <40244> and LegStreamReceiveSide <40245> 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 LegStreamPaySide <40244> and LegStreamReceiveSide <40245> to the opposite side of the aggressor's role.


Tag Field Name Req'd Comments
40241 NoLegStreams N
40242 LegStreamType N

Required if NoLegStreams <40241> > 0.

41700 LegStreamXID N
40243 LegStreamDesc N
42583 LegStreamVersion N
42584 LegStreamVersionEffectiveDate N
40244 LegStreamPaySide N
40245 LegStreamReceiveSide N
41702 LegStreamNotionalXIDRef N
40246 LegStreamNotional N
40247 LegStreamCurrency N
42585 LegStreamNotionalDeterminationMethod N
42586 LegStreamNotionalAdjustments N
41703 LegStreamNotionalFrequencyPeriod N

Conditionally required when LegStreamNotionalFrequencyUnit <41704> is specified.

41704 LegStreamNotionalFrequencyUnit N

Conditionally required when LegStreamNotionalFrequencyPeriod <41703> is specified.

41705 LegStreamNotionalCommodityFrequency N
41706 LegStreamNotionalUnitOfMeasure N
41707 LegStreamTotalNotional N
41708 LegStreamTotalNotionalUnitOfMeasure N
Component Block - <LegStreamCommodity> N
Component Block - <LegStreamEffectiveDate> N
Component Block - <LegStreamTerminationDate> N
Component Block - <LegStreamCalculationPeriodDates> N
Component Block - <LegPaymentStream> N
Component Block - <LegPaymentScheduleGrp> N
Component Block - <LegPaymentStubGrp> N
Component Block - <LegDeliveryStream> N
Component Block - <LegDeliveryScheduleGrp> N
40248 LegStreamText N
40978 EncodedLegStreamTextLen N

Must be set if EncodedLegStreamText <40979> field is specified and must immediately precede it.

40979 EncodedLegStreamText N

Encoded (non-ASCII characters) representation of the LegStreamText <40248> field in the encoded format specified via the MessageEncoding <347> field.

Used In