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<UnderlyingPaymentScheduleGrp> component block

FIX 5.0 SP2 EP266

Description

The UnderlyingPaymentScheduleGrp is a repeating subcomponent of the UnderlyingPaymentStream component used to specify notional and rate steps in the payment stream.

The Fixing Lag Interval (UnderlyingPaymentScheduleFixingLagPeriod <41893> and UnderlyingPaymentScheduleFixingLagUnit <41894>) and the First Observation Offset Duration (UnderlyingPaymentScheduleFixingFirstObservationDateOffsetPeriod <41895> and UnderlyingPaymentScheduleFixingFirstObservationDateOffsetUnit <41896>) 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 preceding each calculation.

Structure

Tag Field Name Req'd Comments
40664 NoUnderlyingPaymentSchedules N
→ 40665 UnderlyingPaymentScheduleType N

Required if NoUnderlyingPaymentSchedules <40664> > 0.

→ 41881 UnderlyingPaymentScheduleXID N
→ 41882 UnderlyingPaymentScheduleXIDRef N
→ 40666 UnderlyingPaymentScheduleStubType N
→ 40667 UnderlyingPaymentScheduleStartDateUnadjusted N
→ 40668 UnderlyingPaymentScheduleEndDateUnadjusted N
→ 40669 UnderlyingPaymentSchedulePaySide N
→ 40670 UnderlyingPaymentScheduleReceiveSide N
→ 40671 UnderlyingPaymentScheduleNotional N
→ 40672 UnderlyingPaymentScheduleCurrency N
→ 40673 UnderlyingPaymentScheduleRate N
→ 40674 UnderlyingPaymentScheduleRateMultiplier N
→ 40675 UnderlyingPaymentScheduleRateSpread N
→ 41883 UnderlyingPaymentScheduleRateCurrency N
→ 41884 UnderlyingPaymentScheduleRateUnitOfMeasure N
→ 41885 UnderlyingPaymentScheduleRateConversionFactor N
→ 41886 UnderlyingPaymentScheduleRateSpreadType N
→ 40676 UnderlyingPaymentScheduleRateSpreadPositionType N
→ 40677 UnderlyingPaymentScheduleRateTreatment N
→ 40678 UnderlyingPaymentScheduleFixedAmount N
→ 40679 UnderlyingPaymentScheduleFixedCurrency N
→ 41887 UnderlyingPaymentScheduleSettlPeriodPrice N
→ 41888 UnderlyingPaymentScheduleSettlPeriodPriceCurrency N
→ 41889 UnderlyingPaymentScheduleSettlPeriodPriceUnitOfMeasure N
→ 41890 UnderlyingPaymentScheduleStepUnitOfMeasure N
→ 40680 UnderlyingPaymentScheduleStepFrequencyPeriod N

Conditionally required when UnderlyingPaymentScheduleStepFrequencyUnit <40681> is specified.

→ 40681 UnderlyingPaymentScheduleStepFrequencyUnit N

Conditionally required when UnderlyingPaymentScheduleStepFrequencyPeriod <40680> is specified.

→ 40682 UnderlyingPaymentScheduleStepOffsetValue N
→ 40683 UnderlyingPaymentScheduleStepRate N
→ 40684 UnderlyingPaymentScheduleStepOffsetRate N
→ 40685 UnderlyingPaymentScheduleStepRelativeTo N
→ Component Block - <UnderlyingPaymentScheduleRateSourceGrp> N
→ 40686 UnderlyingPaymentScheduleFixingDateUnadjusted N
→ 40687 UnderlyingPaymentScheduleWeight N
→ 40688 UnderlyingPaymentScheduleFixingDateRelativeTo N
→ 40689 UnderlyingPaymentScheduleFixingDateBusinessDayCnvtn N

When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment schedule.

→ Component Block - <UnderlyingPaymentScheduleFixingDateBusinessCenterGrp> N

When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment schedule.

→ 40691 UnderlyingPaymentScheduleFixingDateOffsetPeriod N

Conditionally required when UnderlyingPaymentScheduleFixingDateOffsetUnit <40692> is specified.

→ 40692 UnderlyingPaymentScheduleFixingDateOffsetUnit N

Conditionally required when UnderlyingPaymentScheduleFixingDateOffsetPeriod <40691> is specified.

→ 40693 UnderlyingPaymentScheduleFixingDateOffsetDayType N
→ 41891 UnderlyingPaymentScheduleFixingDayDistribution N
→ 41892 UnderlyingPaymentScheduleFixingDayCount N
→ 40694 UnderlyingPaymentScheduleFixingDateAdjusted N
→ Component Block - <UnderlyingPaymentScheduleFixingDayGrp> N
→ 41893 UnderlyingPaymentScheduleFixingLagPeriod N

Conditionally required when UnderlyingPaymentScheduleFixingLagUnit <41894> is specified.

→ 41894 UnderlyingPaymentScheduleFixingLagUnit N

Conditionally required when UnderlyingPaymentScheduleFixingLagPeriod <41893> is specified.

→ 41895 UnderlyingPaymentScheduleFixingFirstObservationDateOffsetPeriod N

Conditionally required when UnderlyingPaymentScheduleFixingFirstObservationDateOffsetUnit <41896> is specified.

→ 41896 UnderlyingPaymentScheduleFixingFirstObservationDateOffsetUnit N

Conditionally required when UnderlyingPaymentScheduleFixingFirstObservationDateOffsetPeriod <41895> is specified.

→ 40695 UnderlyingPaymentScheduleFixingTime N
→ 40696 UnderlyingPaymentScheduleFixingTimeBusinessCenter N
→ 40697 UnderlyingPaymentScheduleInterimExchangePaymentDateRelativeTo N
→ 40698 UnderlyingPaymentScheduleInterimExchangeDatesBusinessDayConvention N

When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment schedule.

→ Component Block - <UnderlyingPaymentScheduleInterimExchangeDateBusinessCenterGrp> N

When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment schedule.

→ 40700 UnderlyingPaymentScheduleInterimExchangeDatesOffsetPeriod N

Conditionally required when UnderlyingPaymentScheduleInterimExchangeDatesOffsetUnit <40701> is specified.

→ 40701 UnderlyingPaymentScheduleInterimExchangeDatesOffsetUnit N

Conditionally required when UnderlyingPaymentScheduleInterimExchangeDatesOffsetPeriod <40700> is specified.

→ 40702 UnderlyingPaymentScheduleInterimExchangeDatesOffsetDayType N
→ 40703 UnderlyingPaymentScheduleInterimExchangeDateAdjusted N

Used In

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