MT 360 Field Specifications

39. Field 14G: Averaging Frequency and Method

FORMAT

Option G

1!a/8!a

(Frequency) (Method)

PRESENCE

Conditional (C16) in a conditional subsequence (C17)

DEFINITION

This field specifies the averaging frequency and method of observation of the rates in the case of an averaging swap.

CODES

Frequency must contain one of the following codes (Error code(s): T47):

D	Daily.
M	Monthly.
O	The averaging frequency is specified in field 37N in the same sequence.
W	Weekly.
Y	Yearly.

CODES

Method must contain one of the following codes (Error code(s): T48):

UNWEIGHT	Unweighted.
WEIGHTED	Weighted.

USAGE RULES

This field must only be used in the case of an averaging swap.

For OIS trades, this field must not be used.