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The PaymentScheduleGrp is a repeating subcomponent of the StreamGrp component used to specify notional and rate steps of the payment stream.
The Fixing Lag Interval (PaymentScheduleFixingLagPeriod(41176) and PaymentScheduleFixingLagUnit(41177)) and the First Observation Offset Duration (PaymentScheduleFixingFirstObservationOffsetPeriod(41178) and PaymentScheduleFixingFirstObservationOffsetUnit(41179)) 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.
Used in :
| Tag | Field Name | FIXML | Req'd | Comments | |||
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| 40828 | NoPaymentSchedules | PmtSched | N |
Number of swap schedules in the repeating group |
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| => | 40829 | PaymentScheduleType | @Typ | C |
Required if NoPaymentSchedules(40828) > 0. |
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| => | 41164 | PaymentScheduleXID | @XID | N |
Identifier of this PaymentSchedule for cross referencing elsewhere in the message. |
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| => | 41165 | PaymentScheduleXIDRef | @XIDRef | N |
Reference to payment schedule elsewhere in the message. |
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| => | 40830 | PaymentScheduleStubType | @StubTyp | N |
Indicates to which stub this schedule applies. |
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| => | 40831 | PaymentScheduleStartDateUnadjusted | @StartDtUnadj | N |
The date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment. |
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| => | 40832 | PaymentScheduleEndDateUnadjusted | @EndDtUnadj | N |
The unadjusted end date of a cash flow payment. |
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| => | 40833 | PaymentSchedulePaySide | @PaySide | N |
The side of the party paying the step schedule. |
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| => | 40834 | PaymentScheduleReceiveSide | @RcvSide | N |
The side of the party receiving the stepf schedule. |
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| => | 40835 | PaymentScheduleNotional | @Notl | N |
The notional value for this step, or amount of a cashflow payment. |
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| => | 40836 | PaymentScheduleCurrency | @Ccy | N |
The currency for this step. Uses ISO 4217 currency codes. |
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| => | 40837 | PaymentScheduleRate | @Rt | N |
The rate value for this step schedule. |
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| => | 40838 | PaymentScheduleRateMultiplier | @RtMult | N |
A rate multiplier to apply to the floating rate. 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. |
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| => | 40839 | PaymentScheduleRateSpread | @Spread | N |
The spread value for this step schedule. |
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| => | 41166 | PaymentScheduleRateCurrency | @RtCcy | N |
The currency of the schedule rate. Uses ISO 4217 currency codes. |
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| => | 41167 | PaymentScheduleRateUnitOfMeasure | @RtUOM | N |
The schedule rate unit of measure (UOM). |
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| => | 41168 | PaymentScheduleRateConversionFactor | @RtFctr | N |
The number to be multiplied by the derived floating rate of the payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1. |
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| => | 41169 | PaymentScheduleRateSpreadType | @SpreadTyp | N |
Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate. |
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| => | 40840 | PaymentScheduleRateSpreadPositionType | @SpreadPosTyp | N |
Identifies whether the rate spread is applied to a long or short position. |
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| => | 40841 | PaymentScheduleRateTreatment | @RtTrtmt | N |
Specifies the yield calculation treatment for the step schedule. |
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| => | 40842 | PaymentScheduleFixedAmount | @FixedAmt | N |
The explicit payment amount for this step schedule. |
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| => | 40843 | PaymentScheduleFixedCurrency | @FixedCcy | N |
The currency of the fixed amount. Uses ISO 4217 currency codes. |
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| => | 41170 | PaymentScheduleSettlPeriodPrice | @SettlPx | N |
The schedule settlement period price. |
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| => | 41171 | PaymentScheduleSettlPeriodPriceCurrency | @SettlPxCcy | N |
Specifies the currency of the schedule settlement period price. Uses ISO 4217 currency codes. |
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| => | 41172 | PaymentScheduleSettlPeriodPriceUnitOfMeasure | @SettlPxUOM | N |
The settlement period price unit of measure (UOM). |
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| => | 41173 | PaymentScheduleStepUnitOfMeasure | @StepUOM | N |
The schedule step unit of measure (UOM). |
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| => | 40844 | PaymentScheduleStepFrequencyPeriod | @StepPeriod | N |
Conditionally required when PaymentScheduleStepFrequencyUnit(40845) is specified. |
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| => | 40845 | PaymentScheduleStepFrequencyUnit | @StepUnit | N |
Conditionally required when PaymentScheduleStepFrequencyPeriod(40844) is specified. |
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| => | 40846 | PaymentScheduleStepOffsetValue | @StepVal | N |
The explicit amount that the notional changes on each step date. This can be a positive or negative amount. |
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| => | 40847 | PaymentScheduleStepRate | @StepRt | N |
The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in PaymentScheduleStepRelativeTo(40849). The percentage can be either positive or negative. |
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| => | 40848 | PaymentScheduleStepOffsetRate | @StepOfstRt | N |
The explicit amount that the rate changes on each step date. This can be a positive or negative value. |
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| => | 40849 | PaymentScheduleStepRelativeTo | @StepReltv | N |
Specifies whether the PaymentScheduleStepRate(40847) or PaymentScheduleStepOffsetValue(40846) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount. |
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| => | <PaymentScheduleRateSourceGrp> | N | |||||
| => | 40850 | PaymentScheduleFixingDateUnadjusted | @FixngDtUnadj | N |
The unadjusted fixing date. |
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| => | 40851 | PaymentScheduleWeight | @Wt | N |
Floating rate observation weight for cashflow payment. |
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| => | 40852 | PaymentScheduleFixingDateRelativeTo | @FixngReltv | N |
Specifies the anchor date when the fixing date is relative to an anchor date. See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values. |
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| => | 40853 | PaymentScheduleFixingDateBusinessDayConvention | @FixngBizDayCnvtn | N |
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment schedule. |
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| => | <PaymentScheduleFixingDateBusinessCenterGrp> | N |
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment schedule. |
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| => | 40855 | PaymentScheduleFixingDateOffsetPeriod | @FixngPeriod | N |
Conditionally required when PaymentScheduleFixingDateOffsetUnit(40856) is specified. |
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| => | 40856 | PaymentScheduleFixingDateOffsetUnit | @FixngUnit | N |
Conditionally required when PaymentScheduleFixingDateOffsetPeriod(40855) is specified. |
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| => | 40857 | PaymentScheduleFixingDateOffsetDayType | @FixngDayTyp | N |
Specifies the day type of the relative fixing date offset. |
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| => | 41174 | PaymentScheduleFixingDayDistribution | @FixngDayDistrib | N |
The distribution of fixing days. |
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| => | 41175 | PaymentScheduleFixingDayCount | @FixngDayCnt | N |
The number of days over which fixing should take place. |
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| => | 40858 | PaymentScheduleFixingDateAdjusted | @FixngDt | N |
The adjusted fixing date. |
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| => | <PaymentScheduleFixingDayGrp> | N | |||||
| => | 41176 | PaymentScheduleFixingLagPeriod | @FixngLagPeriod | N |
Conditionally required when PaymentScheduleFixingLagUnit(41177) is specified. |
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| => | 41177 | PaymentScheduleFixingLagUnit | @FixngLagUnit | N |
Conditionally required when PaymentScheduleFixingLagPeriod(41176) is specified. |
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| => | 41178 | PaymentScheduleFixingFirstObservationDateOffsetPeriod | @FixngFirstObsvtnPeriod | N |
Conditionally required when PaymentScheduleFixingFirstObservationDateOffsetUnit(41179) is specified. |
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| => | 41179 | PaymentScheduleFixingFirstObservationDateOffsetUnit | @FixngFirstObsvtnUnit | N |
Conditionally required when PaymentScheduleFixingFirstObservationDateOffsetPeriod(41178) is specified. |
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| => | 40859 | PaymentScheduleFixingTime | @FixngTm | N |
The fixing time associated with the step schedule. |
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| => | 40860 | PaymentScheduleFixingTimeBusinessCenter | @FixngTmBizCtr | N |
Business center for determining fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values. |
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| => | 40861 | PaymentScheduleInterimExchangePaymentDateRelativeTo | @IntrmExchDtReltv | N |
Specifies the anchor date when the interim exchange payment date is relative to an anchor date. See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values. |
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| => | 40862 | PaymentScheduleInterimExchangeDatesBusinessDayConvention | @IntrmExchDtBizDayCnvtn | N |
When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment schedule. |
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| => | <PaymentScheduleInterimExchangeDateBusinessCenterGrp> | N |
When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment schedule. |
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| => | 40864 | PaymentScheduleInterimExchangeDatesOffsetPeriod | @IntrmExchDtPeriod | N |
Conditionally required when PaymentScheduleInterimExchangeDatesOffsetUnit(40865) is specified. |
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| => | 40865 | PaymentScheduleInterimExchangeDatesOffsetUnit | @IntrmExchDtUnit | N |
Conditionally required when PaymentScheduleInterimExchangeDatesOffsetPeriod(40864) is specified. |
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| => | 40866 | PaymentScheduleInterimExchangeDatesOffsetDayType | @IntrmExchDayTyp | N |
Specifies the day type of the relative interim exchange date offset. |
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| => | 40867 | PaymentScheduleInterimExchangeDateAdjusted | @IntrmExchDt | N |
The adjusted interim exchange date. |
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