MT 360 Field Specifications

90. Field 38H: Last Stub Period, Interpolation Period

FORMAT

Option H

2n1!a/2n1!a

(Number From) (Period From) (Number To) (Period To)

PRESENCE

Optional in a conditional subsequence (C17)

DEFINITION

This field specifies the designated maturities used for the interpolation of the rates in the last stub period.

CODES

Period From and Period To must contain one of the following codes (Error code(s): T48):

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

USAGE RULES

If a specific designated maturity is applicable for the stub period, the 'to' and 'from' values are the same.

If this field is not present and there are stub periods, the rate defaults to the Designated Maturity in field 38E in the same sequence.

For OIS trades, this field must not be used.