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

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.


Tag Field Name Req'd Comments
40540 NoUnderlyingStreams N
40541 UnderlyingStreamType N

Required if NoUnderlyingStreams <40540> > 0.

42016 UnderlyingStreamXID N
40542 UnderlyingStreamDesc N
43083 UnderlyingStreamVersion N
43084 UnderlyingStreamVersionEffectiveDate N
40543 UnderlyingStreamPaySide N
40544 UnderlyingStreamReceiveSide N
42018 UnderlyingStreamNotionalXIDRef N
40545 UnderlyingStreamNotional N
40546 UnderlyingStreamCurrency N
43085 UnderlyingStreamNotionalDeterminationMethod N
43086 UnderlyingStreamNotionalAdjustments N
42019 UnderlyingStreamNotionalFrequencyPeriod N

Conditionally required when UnderlyingStreamNotionalFrequencyUnit <42020> is specified.

42020 UnderlyingStreamNotionalFrequencyUnit N

Conditionally required when UnderlyingStreamNotionalFrequencyPeriod <42019> is specified.

42021 UnderlyingStreamNotionalCommodityFrequency N
42022 UnderlyingStreamNotionalUnitOfMeasure N
42023 UnderlyingStreamTotalNotional N
42024 UnderlyingStreamTotalNotionalUnitOfMeasure N
Component Block - <UnderlyingStreamCommodity> N
Component Block - <UnderlyingStreamEffectiveDate> N
Component Block - <UnderlyingStreamTerminationDate> N
Component Block - <UnderlyingStreamCalculationPeriodDates> N
Component Block - <UnderlyingPaymentStream> N
Component Block - <UnderlyingPaymentScheduleGrp> N
Component Block - <UnderlyingPaymentStubGrp> N
Component Block - <UnderlyingDeliveryStream> N
Component Block - <UnderlyingDeliveryScheduleGrp> N
40547 UnderlyingStreamText N
40988 EncodedUnderlyingStreamTextLen N

Must be set if EncodedUnderlyingStreamText <40989> field is specified and must immediately precede it.

40989 EncodedUnderlyingStreamText N

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

Used In