 Option D |
4!c |
Mandatory in conditional (see rule C16) subsequence C2
This field specifies how the interest is compounded.
For an ISDA Master (Type in field 77H is ISDA), this field specifies the type (flat/straight) as per ISDA definitions.
One of the following codes must be used (Error code(s): T71):
| FLAT |
Flat compounding is applicable |
| STRT |
Straight compounding, that is, spread included |
The absence of this field means that the swap is not compounded.
For OIS trades, this field must not be used.
For a Straight Compounding contract, the spread is included in the interest rate; for a Flat Compounding contract, the interest amounts are the sum of the amount calculated by using the basic rate and the amount calculated by using the spread.
