Option E2n1!a(Number) (Period)| Option E |
2n1!a |
(Number) (Period) |
Mandatory in a conditional subsequence (C18)
This field specifies the designated maturity of the floating rate option.
For an ISDA Master (Type in field 77H is ISDA), this field specifies the Designated Maturity as per ISDA definitions.
Period must be specified using 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. |
For OIS trades, the field must contain 'other', ie, Number must be 0 (zero) and Period must be 'O'.
When the period can be expressed in two different units, the highest one should be used ie 1Y instead of 12M.
For 3 monthly IMM trades, the field must contain '3M', ie, Number must be 3 and Period must be 'M' (months).
