MT 360 Field Specifications

65. Field 17F: Period End Date Adjustment Indicator

FORMAT

Option F

1!a

(Indicator)

PRESENCE

Conditional (C12) in a conditional subsequence (C16 C17 )

DEFINITION

This field specifies whether the interest calculation period end dates are adjusted to the payment dates.

CODES

One of the following codes must be used (Error code(s): T36):

N	The interest calculation period end dates are not adjusted to the payment dates.
Y	The interest calculation period end dates are adjusted to the payment dates.

USAGE RULES

The correct meaning of this field is that the interest calculation periods are unadjusted, not that the payment dates themselves are not adjusted on the confirmation.

This field is usually 'Y' as 85% to 90% of all Interest Rate Swaps traded are not traded on the basis of fixed periods.