MT 360 Field Specifications

49. Field 22D: Compounding Type

FORMAT

Option D

4!c

PRESENCE

Mandatory in a conditional subsequence (C16and C17 )

DEFINITION

This field specifies how the interest is compounded.

For an ISDA Master (Type in field 77H is ISDA), this field specifies the type (flat/straight) as per ISDA definitions.

CODES

One of the following codes must be used (Error code(s): T71):

FLAT	Flat compounding is applicable.
STRT	Straight compounding, ie, spread included.

USAGE RULES

The absence of this field means that the swap is not compounded.

For OIS trades, this field must not be used.

For a Straight Compounding contract, the spread is included in the interest rate; for a Flat Compounding contract, the interest amounts are the sum of the amount calculated by using the basic rate and the amount calculated by using the spread.