Description

The StreamGrp is a repeating subcomponent of the Instrument 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 StreamDesc <40051> with a descriptive string such as "Float" or "Fixed". However the choice of description should have no effect on the stream's purpose.

StreamPaySide <40052> and StreamReceiveSide <40053> 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 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

StreamPaySide <40052> and StreamReceiveSide <40053> to the opposite side of the aggressor's role.

Structure

Tag Field Name Req'd Comments
40049 NoStreams N
40050 StreamType N

Required if NoStreams <40049> > 0.

41303 StreamXID N
40051 StreamDesc N
42784 StreamVersion N
42785 StreamVersionEffectiveDate N
40052 StreamPaySide N
40053 StreamReceiveSide N
41305 StreamNotionalXIDRef N
40054 StreamNotional N
40055 StreamCurrency N
42786 StreamNotionalDeterminationMethod N
42787 StreamNotionalAdjustments N
41306 StreamNotionalFrequencyPeriod N

Conditionally required when StreamNotionalFrequencyUnit <41307> is specified.

41307 StreamNotionalFrequencyUnit N

Conditionally required when StreamNotionalFrequencyPeriod <41306> is specified.

41308 StreamNotionalCommodityFrequency N
41309 StreamNotionalUnitOfMeasure N
41310 StreamTotalNotional N
41311 StreamTotalNotionalUnitOfMeasure N
Component Block - <StreamCommodity> N
Component Block - <StreamEffectiveDate> N
Component Block - <StreamTerminationDate> N
Component Block - <StreamCalculationPeriodDates> N
Component Block - <PaymentStream> N
Component Block - <PaymentScheduleGrp> N
Component Block - <PaymentStubGrp> N
Component Block - <DeliveryStream> N
Component Block - <DeliveryScheduleGrp> N
40056 StreamText N
40982 EncodedStreamTextLen N

Must be set if EncodedStreamText <40983> field is specified and must immediately precede it.

40983 EncodedStreamText N

Encoded (non-ASCII characters) representation of the StreamText <40056> field in the encoded format specified via the MessageEncoding <347> field.

Used In