MT 360 Field Specifications

46. Field 14A: Business Day Convention

FORMAT

Option A

9a

(Convention)

PRESENCE

Mandatory in conditional (see rule C16) subsequence C1

DEFINITION

This field specifies the convention for adjusting the payment dates or amortising periods if these would otherwise fall on a day that is not a valid business day.

For an ISDA Master (Type in field 77H is ISDA), this field specifies the Business Day Convention as per ISDA definitions.

CODES

Convention must be one of the following codes (Error code(s): T36):

FOLLOWING	The non-business date will be adjusted to the first following day that is a business day.
FRN	FRN convention.
MODIFIEDF	The non-business date will be adjusted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day.
OTHER	The business day convention is specified in field 37N of the same sequence.
PRECEDING	The non-business date will be adjusted to the first preceding day that is a business day.

USAGE RULES

For OIS trades, this field must be MODIFIEDF.