UnderlyingPaymentStreamFloatingRate is a subcomponent of the UnderlyingPaymentStream component used to report the floating rate attributes of the stream.
Note that if the floating rate index or the rate calculation goes negative for a calculation period and UnderlyingPaymentStreamNegativeRateTreatment(40638)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer.
The Calculation Lag Interval (UnderlyingPaymentStreamCalculationLagPeriod(41926) and UnderlyingPaymentStreamCalculationLagUnit(41927)) and the First Observation Offset Duration (UnderlyingPaymentStreamFirstObservationOffsetPeriod(41928) and UnderlyingPaymentStreamFirstObservationOffsetUnit(41929)) 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.
 | 40620 | UnderlyingPaymentStreamRateIndex | Ndx | | | Added EP161
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| 40621 | UnderlyingPaymentStreamRateIndexSource | NdxSrc | | | Added EP161
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| 43092 | UnderlyingPaymentStreamRateIndexID | NdxID | | Conditionally required when UnderlyingPaymentStreamRateIndexIDSource(43093) is specified. | Added EP235
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| 43093 | UnderlyingPaymentStreamRateIndexIDSource | NdxIDSrc | | Conditionally required when UnderlyingPaymentStreamRateIndexID(43092) is specified. | Added EP235
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| 40622 | UnderlyingPaymentStreamRateIndexCurveUnit | NdxUnit | | Conditionally required when UnderlyingPaymentStreamRateIndexCurvePeriod(40623) is specified. | Added EP161
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| 40623 | UnderlyingPaymentStreamRateIndexCurvePeriod | NdxPeriod | | Conditionally required when UnderlyingPaymentStreamRateIndexCurveUnit(40622) is specified. | Added EP161
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| 43120 | UnderlyingPaymentStreamRateIndex2 | Ndx2 | | | Added EP271
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| 43121 | UnderlyingPaymentStreamRateIndex2Source | Ndx2Src | | | Added EP271
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| 43122 | UnderlyingPaymentStreamRateIndex2ID | Ndx2ID | | Conditionally required when UnderlyingPaymentStreamRateIndex2IDSource(43123) is specified. | Added EP271
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| 43123 | UnderlyingPaymentStreamRateIndex2IDSource | Ndx2IDSrc | | Conditionally required when UnderlyingPaymentStreamRateIndex2ID(43122) is specified. | Added EP271
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| 41911 | UnderlyingPaymentStreamRateIndex2CurveUnit | Ndx2Unit | | Conditionally required when UnderlyingPaymentStreamRateIndex2CurvePeriod(41912) is specified. | Added EP169
Updated EP271
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| 41912 | UnderlyingPaymentStreamRateIndex2CurvePeriod | Ndx2Period | | Conditionally required when UnderlyingPaymentStreamRateIndex2CurveUnit(41911) is specified. | Added EP169
Updated EP271
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| 41913 | UnderlyingPaymentStreamRateIndexLocation | NdxLctn | | | Added EP169
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| 41914 | UnderlyingPaymentStreamRateIndexLevel | NdxLvl | | | Added EP169
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| 41915 | UnderlyingPaymentStreamRateIndexUnitOfMeasure | NdxUOM | | | Added EP169
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| 41916 | UnderlyingPaymentStreamSettlLevel | SettlLvl | | | Added EP169
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| 41917 | UnderlyingPaymentStreamReferenceLevel | RefLvl | | | Added EP169
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| 41918 | UnderlyingPaymentStreamReferenceLevelUnitOfMeasure | RefUOM | | | Added EP169
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| 41919 | UnderlyingPaymentStreamReferenceLevelEqualsZeroIndicator | RefLvlZero | | | Added EP169
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| 40624 | UnderlyingPaymentStreamRateMultiplier | RtMult | | | Added EP161
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| 40625 | UnderlyingPaymentStreamRateSpread | Spread | | | Added EP161
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| 41920 | UnderlyingPaymentStreamRateSpreadCurrency | SpreadCcy | | | Added EP169
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| 41921 | UnderlyingPaymentStreamRateSpreadUnitOfMeasure | SpreadUOM | | | Added EP169
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| 41922 | UnderlyingPaymentStreamRateConversionFactor | RtFctr | | | Added EP169
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| 41923 | UnderlyingPaymentStreamRateSpreadType | SpreadTyp | | | Added EP169
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| 40626 | UnderlyingPaymentStreamRateSpreadPositionType | SpreadPosTyp | | | Added EP161
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| 40627 | UnderlyingPaymentStreamRateTreatment | RtTrtmt | | | Added EP161
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| 40628 | UnderlyingPaymentStreamCapRate | CapRt | | | Added EP161
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| 40629 | UnderlyingPaymentStreamCapRateBuySide | CapRtBuy | | | Added EP161
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| 40630 | UnderlyingPaymentStreamCapRateSellSide | CapRtSell | | | Added EP161
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| 40631 | UnderlyingPaymentStreamFloorRate | FlrRt | | | Added EP161
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| 40632 | UnderlyingPaymentStreamFloorRateBuySide | FlrRtBuy | | | Added EP161
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| 40633 | UnderlyingPaymentStreamFloorRateSellSide | FlrRtSell | | | Added EP161
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| 40634 | UnderlyingPaymentStreamInitialRate | InitRt | | | Added EP161
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| 41924 | UnderlyingPaymentStreamLastResetRate | LastResetRt | | | Added EP169
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| 41925 | UnderlyingPaymentStreamFinalRate | FnlRt | | | Added EP169
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| 40635 | UnderlyingPaymentStreamFinalRateRoundingDirection | FnlRtRndDirctn | | | Added EP161
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| 40636 | UnderlyingPaymentStreamFinalRatePrecision | FnlRtPrcsn | | | Added EP161
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| 40637 | UnderlyingPaymentStreamAveragingMethod | AvgngMeth | | | Added EP161
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| 40638 | UnderlyingPaymentStreamNegativeRateTreatment | NegtvRtTrtmt | | | Added EP161
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| 41926 | UnderlyingPaymentStreamCalculationLagPeriod | CalcLagPeriod | | Conditionally required when UnderlyingPaymentStreamCalculationLagUnit(41927) is specified. | Added EP169
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| 41927 | UnderlyingPaymentStreamCalculationLagUnit | CalcLagUnit | | Conditionally required when UnderlyingPaymentStreamCalculationLagPeriod(41926) is specified. | Added EP169
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| 42958 | UnderlyingPaymentStreamFirstObservationDateUnadjusted | FirstObsvtnDtUnadj | | | Added EP208
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| 42959 | UnderlyingPaymentStreamFirstObservationDateRelativeTo | FirstObsvtnReltv | | | Added EP208
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| 42960 | UnderlyingPaymentStreamFirstObservationDateOffsetDayType | FirstObsvtnOfstDayTyp | | | Added EP208
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| 41928 | UnderlyingPaymentStreamFirstObservationDateOffsetPeriod | FirstObsvtnOfstPeriod | | Conditionally required when UnderlyingPaymentStreamFirstObservationOffsetUnit(41929) is specified. | Added EP169
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| 41929 | UnderlyingPaymentStreamFirstObservationDateOffsetUnit | FirstObsvtnOfstUnit | | Conditionally required when UnderlyingPaymentStreamFirstObservationOffsetPeriod(41928) is specified. | Added EP169
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| 42961 | UnderlyingPaymentStreamFirstObservationDateAdjusted | FirstObsvtnDt | | | Added EP208
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| 41930 | UnderlyingPaymentStreamPricingDayType | PxngDayTyp | | | Added EP169
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| 41931 | UnderlyingPaymentStreamPricingDayDistribution | PxngDayDistrib | | | Added EP169
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| 41932 | UnderlyingPaymentStreamPricingDayCount | PxngDayCnt | | | Added EP169
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| 41933 | UnderlyingPaymentStreamPricingBusinessCalendar | PxngClndr | | | Added EP169
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| 41934 | UnderlyingPaymentStreamPricingBusinessDayConvention | PxngBizDayCnvtn | | 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 pricing dates. | Added EP169
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