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<UnderlyingPaymentStubGrp> Component Block

The UnderlyingPaymentStubGrp is a repeating subcomponent of the UnderlyingPaymentStream component used to specify front and back stubs in the payment stream.

Used in :

Tag Field Name FIXML Req'd Comments
40708 NoUnderlyingPaymentStubs N

Number of stubs in the repeating group
=> 40709 UnderlyingPaymentStubType @Typ C

Required if NoUnderlyingPaymentStubs(40708) > 0.
=> 40710 UnderlyingPaymentStubLength @Lngth N

Optional indication whether stub is shorter or longer than the regular swap period.
=> <UnderlyingPaymentStubStartDate> N
=> <UnderlyingPaymentStubEndDate> N
=> 40711 UnderlyingPaymentStubRate @Rt N

The agreed upon fixed rate for this stub.
=> 40712 UnderlyingPaymentStubFixedAmount @FixedAmt N

A fixed payment amount for the stub.
=> 40713 UnderlyingPaymentStubFixedCurrency @FixedCcy N

The currency of the fixed payment amount. Uses ISO 4217 currency codes.
=> 40714 UnderlyingPaymentStubIndex @Ndx N

The stub floating rate index.
=> 40715 UnderlyingPaymentStubIndexSource @NdxSrc N

The source for the underlying payment stub floating rate index.
=> 40716 UnderlyingPaymentStubIndexCurvePeriod @NdxPeriod N

Conditionally required when UnderlyingPaymentStubIndexCurveUnit(40717) is specified.
=> 40717 UnderlyingPaymentStubIndexCurveUnit @NdxUnit N

Conditionally required when UnderlyingPaymentStubIndexCurvePeriod(40716) is specified.
=> 40718 UnderlyingPaymentStubIndexRateMultiplier @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.

=> 40719 UnderlyingPaymentStubIndexRateSpread @Spread N

Spread from floating rate index.
=> 40720 UnderlyingPaymentStubIndexRateSpreadPositionType @SpreadPosTyp N

Identifies whether the rate spread is applied to a long or short position.
=> 40721 UnderlyingPaymentStubIndexRateTreatment @RtTrtmt N

Specifies the yield calculation treatment for the stub index.
=> 40722 UnderlyingPaymentStubIndexCapRate @CapRt N

The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

=> 40723 UnderlyingPaymentStubIndexCapRateBuySide @CapRtBuy N

Reference to the buyer of the cap rate option through its trade side.
=> 40724 UnderlyingPaymentStubIndexCapRateSellSide @CapRtSell N

Reference to the seller of the cap rate option through its trade side.
=> 40725 UnderlyingPaymentStubIndexFloorRate @FlrRt N

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

=> 40726 UnderlyingPaymentStubIndexFloorRateBuySide @FlrRtBuy N

Reference to the buyer of the floor rate option through its trade side.
=> 40727 UnderlyingPaymentStubIndexFloorRateSellSide @FlrRtSell N

Reference to the seller of the floor rate option through its trade side.
=> 40728 UnderlyingPaymentStubIndex2 @Ndx2 N

The second stub floating rate index.
=> 40729 UnderlyingPaymentStubIndex2Source @Ndx2Src N

The source of the second stub floating rate index.
=> 40730 UnderlyingPaymentStubIndex2CurvePeriod @Ndx2Period N

Conditionally required when UnderlyingPaymentStubIndex2CurveUnit(40731) is specified.
=> 40731 UnderlyingPaymentStubIndex2CurveUnit @Ndx2Unit N

Conditionally required when UnderlyingPaymentStubIndex2CurvePeriod(40730) is specified.
=> 40732 UnderlyingPaymentStubIndex2RateMultiplier @RtMult2 N

A rate multiplier to apply to the second 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.

=> 40733 UnderlyingPaymentStubIndex2RateSpread @Spread2 N

Spread from the second floating rate index.
=> 40734 UnderlyingPaymentStubIndex2RateSpreadPositionType @Spread2PosTyp N

Identifies whether the rate spread is applied to a long or short position.
=> 40735 UnderlyingPaymentStubIndex2RateTreatment @RtTrtmt2 N

Specifies the yield calculation treatment for the second stub index.
=> 40736 UnderlyingPaymentStubIndex2CapRate @CapRt2 N

The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

=> 40737 UnderlyingPaymentStubIndex2FloorRate @FlrRt2 N

The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

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