MT 365 Field Specifications

8. Field 23A: Identification of the Swap

FORMAT

Option A

10a/5a

(Type of Swap)(Settlement Method)

PRESENCE

Mandatory in mandatory sequence A

DEFINITION

This field specifies the type of the original cross currency interest rate swap (CS) which is terminated/recouponed as well as the settlement method used.

CODES

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.

CODES

Settlement Method must contain the following code (Error code(s): T48):

GROSS

All due amounts are to be paid in full.