MT 360 Format Specifications

The MT 360 consists of eleven sequences:

• Sequence A provides general information about the contract, ie, the principals, the type of transaction, the currency and notional amount, the contract numbers. It also provides information about the confirmation itself, ie, if it is sent by a third party, by a money broker, if it is a new confirmation, an amendment or a cancellation

• Optional Sequence B provides the details of the fixed interest leg payable by party B

• Optional Sequence C provides the details of the floating interest leg payable by party B

• Sequence D provides the payment instructions for the interest payments due by party B

• Optional Sequence E provides the details of the fixed interest leg payable by party A

• Optional Sequence F provides the details of the floating interest leg payable by party A

• Sequence G provides the payment instructions for the interest payments due by party A

• Optional Sequence H provides the amortising schedule when an amortising swap is confirmed

• Optional Sequence L provides the details of the premium and/or additional amounts payable by party B

• Optional Sequence M provides the details of the premium and/or additional amounts payable by party A

• Optional Sequence N provides optional additional information which is not match critical, ie, the identification of the money broker, the dealing method, contact information etc.

MT 360 Single Currency Interest Rate Derivative Confirmation

Status	Tag	Field Name	Content/Options	No.
Mandatory Sequence A General Information
M	15A	New Sequence	(CrLf)	1
M	20	Sender's Reference	16x	2
O	21	Related Reference	16x	3
M	22A	Type of Operation	4!c	4
O	94A	Scope of Operation	4!c	5
M	22C	Common Reference	4!a2!c4!n4!a2!c	6
M	23A	Identification of the Swap	10a/5a	7
M	21N	Contract Number Party A	16x	8
O	21B	Contract Number Party B	16x	9
M	30T	Trade Date	8!n	10
M	30V	Effective Date	8!n	11
M	30P	Termination Date	8!n	12
O	14A	Business Day Convention	9a	13
M	32B	Currency, Notional Amount	3!a15d	14
M	82a	Party A	A or D	15
M	87a	Party B	A or D	16
O	17A	Collateral Agreement Indicator	1!a	17
M	77H	Type, Date, Version of the Agreement	6a[/8!n][//4!n]	18
O	77D	Additional Conditions	6*35x	19
M	14C	Year of Definitions	4!n	20
O	72	Sender to Receiver Information	6*35x	21
Optional Sequence B Fixed Interest Payable by Party B
M	15B	New Sequence	(CrLf)	22
O	37U	Fixed Rate	12d	23
O	37N	Details of Interest Rate	6*35x	24
Optional Subsequence B1 Interest Details
M	18A	Number of Repetitions	5n	25
----->
M	30F	Payment Date	8!n	26
O	32M	Currency, Payment Amount	3!a15d	27
-----|
O	17F	Period End Date Adjustment Indicator	1!a	28
O	14D	Day Count Fraction	7x	29
M	14A	Business Day Convention	9a	30
M	18A	Number of Repetitions	5n	31
----->
M	22B	Financial Centre	4!c	32
-----| Optional Sequence C Floating Interest Payable by Party B
M	15C	New Sequence	(CrLf)	33
M	14F	Floating Rate Option	24x	34
O	37J	Cap Rate	12d	35
O	37L	Floor Rate	12d	36
O	37N	Details of Interest Rate	6*35x	37
Optional Subsequence C1 Interest Details
M	14J	Reset Date Specification	5a	38
O	14G	Averaging Frequency and Method	1!a/8!a	39
M	38E	Designated Maturity	2n1!a	40
M	18A	Number of Repetitions	5n	41
----->
M	30F	Payment Date	8!n	42
-----|
M	17F	Period End Date Adjustment Indicator	1!a	43
M	14D	Day Count Fraction	7x	44
M	14A	Business Day Convention	9a	45
M	18A	Number of Repetitions	5n	46
----->
M	22B	Financial Centre	4!c	47
-----|
O	37R	Spread	[N]12d	48
Optional Subsequence C2 Compounding Details
M	22D	Compounding Type	4!c	49
M	18A	Number of Repetitions	5n	50
----->
M	30X	Compounding Date	8!n	51
-----| Optional Subsequence C3 Interpolation for Stub Periods
O	38G	First Stub Period, Interpolation Period	2n1!a/2n1!a	52
O	38H	Last Stub Period, Interpolation Period	2n1!a/2n1!a	53
Mandatory Sequence D Payment Instructions for Interest Payable by Party B
M	15D	New Sequence	(CrLf)	54
O	53a	Delivery Agent	A or D	55
O	56a	Intermediary	A or D	56
O	86a	Second Intermediary	A or D	57
M	57a	Receiving Agent	A or D	58
Optional Sequence E Fixed Interest Payable by Party A
M	15E	New Sequence	(CrLf)	59
O	37U	Fixed Rate	12d	60
O	37N	Details of Interest Rate	6*35x	61
Optional Subsequence E1 Interest Details
M	18A	Number of Repetitions	5n	62
----->
M	30F	Payment Date	8!n	63
O	32M	Currency, Payment Amount	3!a15d	64
-----|
O	17F	Period End Date Adjustment Indicator	1!a	65
O	14D	Day Count Fraction	7x	66
M	14A	Business Day Convention	9a	67
M	18A	Number of Repetitions	5n	68
----->
M	22B	Financial Centre	4!c	69
-----| Optional Sequence F Floating Interest Payable by Party A
M	15F	New Sequence	(CrLf)	70
M	14F	Floating Rate Option	24x	71
O	37J	Cap Rate	12d	72
O	37L	Floor Rate	12d	73
O	37N	Details of Interest Rate	6*35x	74
Optional Subsequence F1 Interest Details
M	14J	Reset Date Specification	5a	75
O	14G	Averaging Frequency and Method	1!a/8!a	76
M	38E	Designated Maturity	2n1!a	77
M	18A	Number of Repetitions	5n	78
----->
M	30F	Payment Date	8!n	79
-----|
M	17F	Period End Date Adjustment Indicator	1!a	80
M	14D	Day Count Fraction	7x	81
M	14A	Business Day Convention	9a	82
M	18A	Number of Repetitions	5n	83
----->
M	22B	Financial Centre	4!c	84
-----|
O	37R	Spread	[N]12d	85
Optional Subsequence F2 Compounding Details
M	22D	Compounding Type	4!c	86
M	18A	Number of Repetitions	5n	87
----->
M	30X	Compounding Date	8!n	88
-----| Optional Subsequence F3 Interpolation for Stub Periods
O	38G	First Stub Period, Interpolation Period	2n1!a/2n1!a	89
O	38H	Last Stub Period, Interpolation Period	2n1!a/2n1!a	90
Mandatory Sequence G Payment Instructions for Interest Payable by Party A
M	15G	New Sequence	(CrLf)	91
O	53a	Delivery Agent	A or D	92
O	56a	Intermediary	A or D	93
O	86a	Second Intermediary	A or D	94
M	57a	Receiving Agent	A or D	95
Optional Sequence H Amortising Schedule
M	15H	New Sequence	(CrLf)	96
M	18A	Number of Repetitions	5n	97
----->
M	30G	Variable Notional Start and End Date	8!n/8!n	98
M	32U	Outstanding Notional Currency and Amount	3!a15d	99
-----|
M	14A	Business Day Convention	9a	100
M	18A	Number of Repetitions	5n	101
----->
M	22B	Financial Centre	4!c	102
-----| Optional Sequence L Additional Amounts Payable by Party B
M	15L	New Sequence	(CrLf)	103
M	18A	Number of Repetitions	5n	104
----->
M	22E	Type of Payment	4!c	105
M	30F	Payment Date	8!n	106
M	32M	Currency, Payment Amount	3!a15d	107
-----|
M	14A	Business Day Convention	9a	108
M	18A	Number of Repetitions	5n	109
----->
M	22B	Financial Centre	4!c	110
-----|
O	53a	Delivery Agent	A or D	111
O	56a	Intermediary	A or D	112
O	86a	Second Intermediary	A or D	113
O	57a	Receiving Agent	A or D	114
Optional Sequence M Additional Amounts Payable by Party A
M	15M	New Sequence	(CrLf)	115
M	18A	Number of Repetitions	5n	116
----->
M	22E	Type of Payment	4!c	117
M	30F	Payment Date	8!n	118
M	32M	Currency, Payment Amount	3!a15d	119
-----|
M	14A	Business Day Convention	9a	120
M	18A	Number of Repetitions	5n	121
----->
M	22B	Financial Centre	4!c	122
-----|
O	53a	Delivery Agent	A or D	123
O	56a	Intermediary	A or D	124
O	86a	Second Intermediary	A or D	125
O	57a	Receiving Agent	A or D	126
Optional Sequence N Optional General Information
M	15N	New Sequence	(CrLf)	127
O	29A	Contact Information	4*35x	128
O	24D	Dealing Method	4!c[/35x]	129
O	88a	Broker Identification	A or D	130
O	71F	Broker's Commission	3!a15d	131
O	21G	Broker's Reference	16x	132
M = Mandatory O = Optional