MT 361 Field Specifications

50. Field 22D: Compounding Type

FORMAT

Option D

4!c

(Type)

PRESENCE

Mandatory in a conditional subsequence (C17 and C18)

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

Type must contain one of the following codes (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 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.