 Option A |
10a/5a |
(Type of Swap)(Settlement Method) |
Mandatory in mandatory sequence A
This field specifies the type of cross currency interest rate swap (CS) being confirmed as well as the settlement method used.
Type of Swap must contain one of the following codes (Error code(s): T47):
| CORRBUYER
|
Party A pays the fixed rate leg of a correlation swap.
|
| CORRSELLER
|
Party A pays the floating amounts of annualised realised correlation of a collection of underlying products.
|
| FIXEDFIXED |
Both parties pay fixed rates |
| FIXEDFLOAT |
Party A pays fixed and receives floating rates |
| FLOATFIXED |
Party A pays floating and receives fixed rates |
| FLOATFLOAT |
Both parties pay floating rates |
| VARBUYER
|
Party A pays the fixed rate of a variation swap.
|
| VARSELLER
|
Party A pays the floating amounts of annualised realised variance of the price changes of the underlying product.
|
| VOLABUYER
|
Party A pays the fixed rate of a volatility swap.
|
| VOLASELLER
|
Party A pays the floating amounts of annualised realised volatility of a given underlying asset.
|
Settlement Method for this type of deal must contain the following code (Error code(s): T48):
| GROSS |
All due amounts are to be paid in full. |
