MT 360 Field Specifications

44. Field 17F: Period End Date Adjustment Indicator

FORMAT

Option F

1!a

(Indicator)

PRESENCE

Mandatory in conditional (see rule C16) subsequence C1

DEFINITION

This field specifies whether the interest calculation period end dates are adjusted to the payment dates.

CODES

Indicator must contain one of the following codes (Error code(s): T36):

N	The interest calculation period end dates are not adjusted to the payment dates.
Y	The interest calculation period end dates are adjusted to the payment dates.

USAGE RULES

The correct meaning of this field is that the interest calculation periods are unadjusted, not that the payment dates themselves are not adjusted on the confirmation.

This field is usually 'Y' as 85% to 90% of all Interest Rate Swaps traded are not traded on the basis of fixed periods.