<UnderlyingInstrument> Component Block

Underlying security's SymbolSfx.

See SymbolSfx (65) field for description

Underlying security's SecurityID.

See SecurityID (48) field for description

Identifies class or source of the UnderlyingSecurityID(309) value.

Used for unique identification of the underlying instance that can subsequently be used to serve as input value for fields such as UnderlyingRefID(2841), for example, whenever a simple underlying reference is allowed or needed.

Underlying security's Product.

Valid values: see Product(460) field

Underlying security's CFICode.

Valid values: see CFICode (461) field

Uniquely identifies the product of an underlying instrument using ISO 4914. See UPICode(2891) for further detail.

Underlying security's SecurityType.

Valid values: see SecurityType (167) field

(see below for details concerning this fields use in conjunction with SecurityType=REPO)

The following applies when used in conjunction with SecurityType=REPO

Represents the general or specific type of security that underlies a financing agreement

Valid values for SecurityType=REPO:

If bonds of a particular issuer or country are wanted in an Order or are in the basket of an Execution and the SecurityType is not granular enough, include the UnderlyingIssuer (306), UnderlyingCountryOfIssue (592), UnderlyingProgram, UnderlyingRegType and/or < UnderlyingStipulations > block e.g.:

Underlying security's SecuritySubType.

See SecuritySubType (762) field for description

Underlying security's MaturityMonthYear. Can be used with standardized derivatives vs. the UnderlyingMaturityDate (542) field.

See MaturityMonthYear (200) field for description

Underlying security's maturity date.

See MaturityDate (541) field for description

Time of security's maturity expressed in local time with offset to UTC specified

Conditionally required when UnderlyingMaturityFrequencyPeriod(2985) is specified.

Conditionally required when UnderlyingMaturityFrequencyUnit(2984) is specified and the value is not EOM (End of Month) or F (Flexible).

Reference month if there is no applicable UnderlyingMaturityMonth(313) value for the contract or security.

Underlying security's CouponPaymentDate.

See CouponPaymentDate (224) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

See RestructuringType(1449)

See Seniority(1450)

Notional value for the equity or bond underlier.

Specifies the currency denomination of the notional value.

UnderlyingNotionalCurrencyCodeSource(2921) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Identifies class or source of the UnderlyingNotionalCurrency(2615) value.

Specifies the method of determining the notional amount.

See: http://www.fpml.org/coding-scheme/determination-method for values.

Specifies the conditions that govern the adjustment to the number of units of the return swap.

Cross reference to another notional amount for duplicating its properties.

See NotionalPercentageOutstanding(1451)

See OriginalNotionalPercentageOutstanding(1452)

See AttachmentPoint(1457).

See DetachmentPoint(1458).

Underlying security's IssueDate.

See IssueDate (225) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Underlying security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description.(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Underlying security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Underlying security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Underlying security's Factor.

See Factor (228) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Underlying security's CreditRating.

See CreditRating (255) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Underlying security's InstrRegistry.

See InstrRegistry (543) field for description

Underlying security's CountryOfIssue.

See CountryOfIssue (470) field for description

Underlying security's StateOrProvinceOfIssue.

See StateOrProvinceOfIssue (471) field for description

Underlying security's LocaleOfIssue.

See LocaleOfIssue (472) field for description

Underlying security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)

Underlying security's StrikePrice.

See StrikePrice (202) field for description

Currency in which the strike price of an underlying instrument is denominated

Identifies class or source of the UnderlyingStrikeCurrency(941) value.

Underlying security's OptAttribute.

See OptAttribute (206) field for description

Underlying security's ContractMultiplier.

See ContractMultiplier (231) field for description

Indicates the type of multiplier being applied to the contract.

Can be optionally used to further define what unit UnderlyingContractMultiplier(436) is expressed in.

Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.

As an example, 456 is the number of off-peak periods for a product with a minimum trading unit of 5 MWh resulting in 2280 total traded contracts.

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

Underlying unit of measure.

See UnitOfMeasure(996) for complete definition.

Refer to definition of UnitOfMeasureQty(1147)

Indicates the currency of the underlying unit of measure. Conditionally required when UnderlyingUnitOfMeasure(998) = Ccy

Identifies class or source of the UnderlyingUnitOfMeasureCurrency(1718) value.

Refer to definition for PriceUnitOfMeasure(1191)

Refer to definition of PriceUnitOfMeasureQty(1192)

Indicates the currency of the underlying price unit of measure. Conditionally required when UnderlyingPriceUnitOfMeasure(1424) = Ccy

Identifies class or source of the UnderlyingPriceUnitOfMeasureCurrency(1719) value.

Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)

Type of exercise of a derivatives security

Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.

Identifies class or source of the UnderlyingPriceQuoteCurrency(1526) value.

Underlying security's CouponRate.

See CouponRate (223) field for description

Underlying security's SecurityExchange. Can be used to identify the underlying security.

Valid values: see SecurityExchange (207)

Underlying security's Issuer.

See Issuer(106) field for description.

Short name of the financial instrument. Uses ISO 18774 (FINS) values.

In the context of MiFID II this maps to ESMA RTS 23 Annex I Table 3 Field 7 and may be used in other RTS that requires a similar field.

The full normative name of the underlying financial instrument.

In the context of ESMA reference data, this is used to provide the full name of the instrument as defined by the Derivatives Service Bureau (DSB).

Must be set if EncodedUnderlyingFinancialInstrumentFullName(2722) field is specified and must immediately precede it.

Encoded (non-ASCII characters) representation of the UnderlyingFinancialInstrumentFullName(2720) field in the encoded format specified via the MessageEncoding(347) field.

Requires UnderlyingSecurityID(305) to identify the index. Requires UnderlyingIndexCurvePeriod(2724).

Requires UnderlyingSecurityID(305) to identify the index. Requires UnderlyingIndexCurveUnit(2723).

Description of the underlying security.

Can be used by the venue or one of the trading parties to provide an optional non-normative textual description of the financial instrument.

The program under which the underlying commercial paper is issued

The registration type of the underlying commercial paper issuance

Specific to the < UnderlyingInstrument > Percent of the Strike Price that this underlying represents. Necessary for derivatives that deliver into more than one underlying instrument.

Specific to the <UnderlyingInstrument> (not in <Instrument>)

Identifies class or source of the UnderlyingCurrency(318) value.

Specific to the <UnderlyingInstrument> (not in <Instrument>)

Unit amount of the underlying security (par, shares, currency, etc.)

Specific to the < UnderlyingInstrument > Indicates order settlement period for the underlying deliverable component.

Specific to the < UnderlyingInstrument > Cash amount associated with the underlying component. Necessary for derivatives that deliver into more than one underlying instrument and one of the underlying's is a fixed cash value.

Specific to the < UnderlyingInstrument > Used for derivatives that deliver into cash underlying. Indicates that the cash is either fixed or difference value (difference between strike and current underlying price)

Specific to the <UnderlyingInstrument> (not in <Instrument>)

In a financing deal clean price (percent-of-par or per unit) of the underlying security or basket.

Specific to the <UnderlyingInstrument> (not in <Instrument>)

In a financing deal price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest

Specific to the <UnderlyingInstrument> (not in <Instrument>)

In a financing deal price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.

Specific to the <UnderlyingInstrument> (not in <Instrument>)

Currency value attributed to this collateral at the start of the agreement

Specific to the <UnderlyingInstrument> (not in <Instrument>)

Currency value currently attributed to this collateral

Specific to the <UnderlyingInstrument> (not in <Instrument>)

Currency value attributed to this collateral at the end of the agreement

Amount of accrued interest of underlying security.

Number of days of interest for underlying security.

Specific to the <UnderlyingInstrument> (not in <Instrument>). For listed derivatives margin management, this is the number of shares adjusted for upcoming corporate action. Used only for securities which are optionable and are between ex-date and settlement date (4 days).

Specific to the <UnderlyingInstrument> (not in <Instrument>). Foreign exchange rate used to compute UnderlyingCurrentValue (885) (or market value) from UnderlyingCurrency (318) to Currency (15).

Specific to the <UnderlyingInstrument> (not in <Instrument>). Specified whether UnderlyingFxRate (1045) should be multiplied or divided to derive UnderlyingCurrentValue (885).

Maximum notional value for a capped financial instrument

Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.

Used to express option right

Used to express in-the-moneyness behavior in general terms for the option without the use of UnderlyingStrikePrice(316) and UnderlyingPutOrCall(315).

Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of UnderlyingInTheMoneyCondition(2683). When not specified, the eligibility is undefined or not applicable.

For a basket, or pool, describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.

Specifies the coupon type of the underlying bond.

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.

Conditionally required when UnderlyingCouponFrequencyUnit(1992) is specified.

Conditionally required when UnderlyingCouponFrequencyPeriod(1991) is specified.

The day count convention used in interest calculations for a bond or an interest bearing security.

The industry name of the day count convention not listed in UnderlyingCouponDayCount(1993).

For a CDS basket or pool identifies the reference obligation.

UnderlyingObligationID(1994) is reserved for the reference entity for baskets or pools. In a CDS single name the reference entity is identified in instrument ID and the obligations are identified in UnderlyingObligationID(1994).

Conditionally required when UnderlyingObligationID(1994) is specified.

Specifies the equity in which a convertible bond can be converted.

Conditionally required when UnderlyingEquityID(1996) is specified.

In the case of an index underlier specifies the unique identifier for the referenced futures contract.

Required if UnderlyingFutureID(2620) is specified.

Indicates the seniority level of the lien in a loan.

Specifies the type of loan when the credit default swap's reference obligation is a loan.

Specifies the type of reference entity for first-to-default CDS basket contracts.

The series identifier of a credit default swap index.

The version identifier of a credit default swap index annex.

The date of a credit default swap index series annex.

The source of a credit default swap index series annex.

In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.

This is an optional qualifying attribute of UnderlyingSettlementRateIndex(2284) such as the delivery zone for an electricity contract.

Description of the option expiration.

Must be set if EncodedUnderlyingOptionExpirationDesc(2288) field is specified and must immediately precede it.

Encoded (non-ASCII characters) representation of the UnderlyingOptionExpirationDesc(2286) field in the encoded format specified via the MessageEncoding(347) field.

Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc

An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.

Indicator to determine if Instrument is Settle on Open.

Method under which assignment was conducted

Indicates the current state of the underlying instrument.

Type of reference obligation for credit derivatives contracts.

Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).

Required if UnderlyingAssetSubClass(2014) is specified.

Required if UnderlyingAssetType(2015) is specified.

Required if UnderlyingAssetSubType(2744) is specified.

Used to provide a more specific description of the asset specified in UnderlyingAssetType(2015).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

In the context of MiFID II, ESMA RTS 23 Annex I Table 2, this may indicate the 'Further sub product' or equity 'Parameter' fields.

The type or classification of swap. Additional values may be used by mutual agreement of the counterparties.

The sub-classification or notional schedule type of the swap.

Conditionally required when UnderlyingMthToDefault(2018) is specified.

The Mth reference obligation to default in a CDS reference basket. When UnderlyingNthToDefault(2017) and UnderlyingMthToDefault(2018) are represented then the CDS payout occurs between the Nth and Mth obligations to default.

Relevant settled entity matrix source.

Specifies the publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.

Used to express the unit of measure (UOM) of the price if different from the contract.

The point on the floating rate index curve. Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Specifies the index used to calculate the strike price.

The quote side from which the index price is to be determined.

Specifies the strike price offset from the named index.

Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.

When specified, UnderlyingPutOrCall(315), UnderlyingStrikePrice(316), and UnderlyingStrikePriceBoundaryPrecision(2025) must also be specified.

Used in combination with StrikePriceBoundaryMethod(1479) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Minimum price increment for the instrument. Could also be used to represent tick value.

Minimum price increment amount associated with the UnderlyingMinPriceIncrement(2026). For listed derivatives, the value can be calculated by multiplying UnderlyingMinPriceIncrement(2026) by UnderlyingContractMultiplier(436).

Indicates the type of valuation method or payout trigger for an in-the-money option.

Conditionally required if UnderlyingOptPayoutType(2028) = 3 (Binary).

Indicates the type of return or payout trigger for the swap or forward.

Method for price quotation.

Indicates type of valuation method used.

Specifies the source of trade valuation data.

Specifies the methodology and/or assumptions used to generate the trade value.

Indicates whether the instruments are pre-listed only or can also be defined via user request.

Used to express the ceiling price of a capped call.

Used to express the floor price of a capped put.

Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator.

Used to indicate if a product or group of product supports the creation of flexible securities.

Position limit for the instrument.

Position Limit in the near-term contract for a given exchange-traded product.

Identifies the mortgage backed security (MBS) / asset backed security (ABS) pool.

Specifies when the contract (i.e. MBS/TBA) will settle. Must be present for MBS/TBA.

If different from IssueDate()

If different from IssueDate and DatedDate

Indicates whether a restriction applies to short selling a security.

Spread table code referred by the security or symbol.

Reference to the protection terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the ProtectionTerms repeating group that applies to this Underlying.

Reference to the cash or physical settlement terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the appropriate repeating group that applies to this Underlying.

Specifies the type of trade strategy.

When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.

Specifies the consequences of settlement disruption events.

Specific delivery route or time charter average. Applicable to commodity freight contracts.

Specifies the rounding direction if not overridden elsewhere.

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.

For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.

This designation has significance for how share adjustments (arising from corporate actions) will be determined for the instrument. For an 'exchange look-alike' instrument the relevant share adjustments will follow that for a corresponding designated contract listed on the related exchange (referred to as Options Exchange Adjustment (ISDA defined term)), otherwise the share adjustments will be determined by the calculation agent (referred to as Calculation Agent Adjustment (ISDA defined term)).

The limit of average percentage of individual securities traded in a day or a number of days.

Specifies the limitation period for average daily trading volume in number of days.

Indicates whether the underlier is a depository receipt.

A depository receipt is a negotiable certificate issued by a trust company or security depository.

The number of units (units of the index or number of securities, par amount of a bond) that constitute the underlier. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.

Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.

Identifier for referencing this UnderlyingInstrument from a parent instrument or a convertible instrument.