ISO 15022 Data Field Dictionary

MT518: (32) Field 22F: Indicator

FORMAT

Option F :4!c/[8c]/4!c (Qualifier)(Data Source Scheme)(Indicator)

PRESENCE

Optional in optional subsequence B2

QUALIFIER

(Error code(s): T89)

Order

M/O

Qualifier

R/N

CR

Options

Qualifier Description

1

O

MICO

N

 

F

Method of Interest Computation Indicator

2

O

FORM

N

 

F

Form of Securities Indicator

3

O

PFRE

N

 

F

Payment Frequency Indicator

4

O

PAYS

N

 

F

Payment Status Indicator

5

O

CFRE

N

 

F

Variable Rate Change Frequency Indicator

DEFINITION

This qualified generic field specifies:

CFRE

Variable Rate Change Frequency Indicator

Specifies the frequency of change to the variable rate of an interest bearing instrument.

FORM

Form of Securities Indicator

Specifies the form of the financial instrument.

MICO

Method of Interest Computation Indicator

Specifies the computation method of (accrued) interest of the financial instrument.

PAYS

Payment Status Indicator

Specifies the status of the payment of a financial instrument at a particular time, as agreed with the issuer.

PFRE

Payment Frequency Indicator

Specifies the frequency of a payment.

CODES

If Qualifier is MICO and Data Source Scheme is not present, Indicator must contain one of the following codes:

A001

30/360 (ISDA) or 30/360 (American Basic Rule)

Method whereby interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February, and provided that the interest period started on a 30th or a 31st. This means that a 31st is assumed to be a 30th if the period started on a 30th or a 31st and the 28 Feb (or 29 Feb for a leap year) is assumed to be a 28th (or 29th). It is the most commonly used 30/360 method for US straight and convertible bonds.

A002

30/365

Method whereby interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31st is assumed to be a 30th and the 28 Feb (or 29 Feb for a leap year) is assumed to be a 28th (or 29th).

A003

30/Actual

Method whereby interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31st is assumed to be a 30th and the 28 Feb (or 29 Feb for a leap year) is assumed to be a 28th (or 29th). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year.

A004

Actual/360

Method whereby interest is calculated based on the actual number of accrued days in the interest period and a 360-day year.

A005

Actual/365 (Fixed)

Method whereby interest is calculated based on the actual number of accrued days in the interest period and a 365-day year.

A006

Actual/Actual (ICMA)

Method whereby interest is calculated based on the actual number of accrued days and the assumed number of days in a year, that is, the actual number of days in the coupon period multiplied by the number of interest payments in the year. If the coupon period is irregular (first or last coupon), it is extended or split into quasi interest periods that have the length of a regular coupon period and the computation is operated separately on each quasi interest period and the intermediate results are summed up.

A007

30E/360 or Eurobond basis

Method whereby interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31st is assumed to be a 30th and the 28 Feb (or 29 Feb for a leap year) is assumed to be equivalent to a 30 Feb. However, if the last day of the maturity coupon period is the last day of February, it will not be assumed to be a 30th. It is a variation of the 30/360 (ICMA) method commonly used for eurobonds. The usage of this variation is only relevant when the coupon periods are scheduled to end on the last day of the month.

A008

Actual/Actual (ISDA)

Method whereby interest is calculated based on the actual number of accrued days of the interest period that fall on a normal year, divided by 365, added to the actual number of days of the interest period that fall on a leap year, divided by 366.

A009

Actual/365L or Actual/Actual (basic rule)

Method whereby interest is calculated based on the actual number of accrued days and a 365-day year (if the coupon payment date is NOT in a leap year) or a 366-day year (if the coupon payment date is in a leap year).

A010

Actual/Actual (AFB)

Method whereby interest is calculated based on the actual number of accrued days and a 366-day year (if 29 Feb falls in the coupon period) or a 365-day year (if 29 Feb does not fall in the coupon period). If a coupon period is longer than one year, it is split by repetitively separating full year sub-periods counting backwards from the end of the coupon period (a year backwards from a 28 Feb being 29 Feb, if it exists). The first of the sub-periods starts on the start date of the accrued interest period and thus is possibly shorter than a year. Then the interest computation is operated separately on each sub-period and the intermediate results are summed up.

A011

30/360 (ICMA) or 30/360 (basic rule)

Method whereby interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31st is assumed to be a 30th and the 28 Feb (or 29 Feb for a leap year) is assumed to be a 28th (or 29th). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 01/01/1999.

A012

30E2/360 or Eurobond basis model 2

Method whereby interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31st is assumed to be a 30th and the 28th Feb of a non-leap year is assumed to be equivalent to a 29th Feb when the first day of the interest period is a 29th, or to a 30th Feb when the first day of the interest period is a 30th or a 31st. The 29th Feb of a leap year is assumed to be equivalent to a 30th Feb when the first day of the interest period is a 30th or a 31st. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30th Feb when the end of the period is a 30th or a 31st, or two days of interest in February when the end of the period is a 29th, or 3 days of interest in February when it is the 28th Feb of a non-leap year and the end of the period is before the 29th.

A013

30E3/360 or Eurobond basis model 3

Method whereby interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31st is assumed to be a 30th and the 28 Feb (or 29 Feb for a leap year) is assumed to be equivalent to a 30 Feb. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30th, even if it is the last day of the maturity coupon period.

A014

Actual/365NL or Actual/365 No Leap

Method whereby interest is calculated based on the actual number of accrued days in the interest period, excluding any leap day from the count, and a 365-day year.

OTHR

Other

Other method than A001-A014. See Narrative.

CODES

If Qualifier is FORM and Data Source Scheme is not present, Indicator must contain one of the following codes:

BEAR

Bearer Security

Financial instruments are in bearer form.

REGD

Registered Security

Financial instruments are in registered form.

CODES

If Qualifier is PFRE and Data Source Scheme is not present, Indicator must contain one of the following codes:

ANNU

Annual

Payment frequency is annual.

MNTH

Monthly

Payment frequency is monthly.

QUTR

Quarterly

Payment frequency is quarterly.

SEMI

Semi-Annual

Payment frequency is semi-annual.

WEEK

Weekly

Payment frequency is weekly.

CODES

If Qualifier is PAYS and Data Source Scheme is not present, Indicator must contain one of the following codes:

FULL

Fully Paid

Financial instrument is fully paid.

NILL

Nil Paid

Financial instrument is nil paid.

PART

Partially Paid

Financial instrument is partially paid.

CODES

If Qualifier is CFRE and Data Source Scheme is not present, Indicator must contain one of the following codes:

ANNU

Annual

Frequency is annual.

MNTH

Monthly

Frequency is monthly.

QUTR

Quarterly

Frequency is quarterly.

SEMI

Semi-Annual

Frequency is semi-annual.

WEEK

Weekly

Frequency is weekly.

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