 Option A |
10a/5a |
(Type of Swap)(Settlement Method) |
Mandatory in mandatory sequence A
This field specifies the type of the underlying transaction for which the reset/advice is sent. It also specifies the settlement method used.
Type of Swap must contain one of the following codes (Error code(s): T47):
| CAPBUYER |
Party A bought the cap and paid the premium. |
| CAPSELLER |
Party A sold the cap and received the premium. |
| COLLARBYER |
Party A bought the collar and paid the premium. |
| COLLARSLLR |
Party A sold the collar and received the premium. |
| 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 |
IRS or CS where both parties pay fixed rates. |
| FIXEDFLOAT |
IRS or CS where party A pays fixed and receives floating rates. |
| FLOATFIXED |
IRS or CS where party A pays floating and receives fixed rates. |
| FLOATFLOAT |
IRS or CS where both parties pay floating rates. |
| FLOORBUYER |
Party A bought the floor and paid the premium. |
| FLOORSLLER |
Party A sold the floor and received the premium. |
| 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 must contain one of the following codes (Error code(s): T48):
| GROSS |
All due amounts are to be paid in full. |
| NET |
All due amounts are to be netted, resulting in a single payment when due dates coincide. |
Netting refers only to the individual deal and not to the client transaction portfolio which would be provided for within Master Documentation.
