MT 360 Format Specifications

The MT 360 consists of twelve sequences:

• Sequence A provides general information about the contract, that is, the principals, the type of transaction, the currency and notional amount, the contract numbers. It also provides information about the confirmation itself, that is, 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, that is, the identification of the money broker, the dealing method, contact information etc.

• Optional sequence O provides transaction information that must be reported to a trade repository. This sequence is optional and is only to be used for reporting to trade repositories, although some fields, for example, unique transaction identifier and prior unique transaction identifier, might be used on regular confirmations.

Note:

Where stated as such, the field names are based upon standard ISDA terms. For the exact definition of those fields, see the ISDA Definitions, the version of which is specified in field 14C of sequence A.

MT 360 Single Currency Interest Rate Derivative Confirmation

Status	Tag	Field Name	Content/Options	No.
Mandatory Sequence A General Information
M	15A	New Sequence	Empty field	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	83a	Fund or Beneficiary Customer	A, D, or J	17
O	17A	Collateral Agreement Indicator	1!a	18
M	77H	Type, Date, Version of the Agreement	6a[/8!n][//4!n]	19
O	77D	Additional Conditions	6*35x	20
M	14C	Year of Definitions	4!n	21
O	72	Sender to Receiver Information	6*35x	22
End of Sequence A General Information
Optional Sequence B Fixed Interest Payable by Party B
M	15B	New Sequence	Empty field	23
O	37U	Fixed Rate	12d	24
O	37N	Details of Interest Rate	6*35x	25
Optional Subsequence B1 Interest Details
M	18A	Number of Repetitions	5n	26
----->
M	30F	Payment Date	8!n	27
O	32M	Currency, Payment Amount	3!a15d	28
-----|
O	17F	Period End Date Adjustment Indicator	1!a	29
O	14D	Day Count Fraction	7x	30
M	14A	Business Day Convention	9a	31
M	18A	Number of Repetitions	5n	32
----->
M	22B	Financial Centre	4!c	33
-----|
End of Subsequence B1 Interest Details
End of Sequence B Fixed Interest Payable by Party B
Optional Sequence C Floating Interest Payable by Party B
M	15C	New Sequence	Empty field	34
M	14F	Floating Rate Option	24x	35
O	37J	Cap Rate	12d	36
O	37L	Floor Rate	12d	37
O	37N	Details of Interest Rate	6*35x	38
Optional Subsequence C1 Interest Details
M	14J	Reset Date Specification	5a	39
O	14G	Averaging Frequency and Method	1!a/8!a	40
M	38E	Designated Maturity	2n1!a	41
M	18A	Number of Repetitions	5n	42
----->
M	30F	Payment Date	8!n	43
-----|
M	17F	Period End Date Adjustment Indicator	1!a	44
M	14D	Day Count Fraction	7x	45
M	14A	Business Day Convention	9a	46
M	18A	Number of Repetitions	5n	47
----->
M	22B	Financial Centre	4!c	48
-----|
O	37R	Spread	[N]12d	49
End of Subsequence C1 Interest Details
Optional Subsequence C2 Compounding Details
M	22D	Compounding Type	4!c	50
M	18A	Number of Repetitions	5n	51
----->
M	30X	Compounding Date	8!n	52
-----|
End of Subsequence C2 Compounding Details
Optional Subsequence C3 Interpolation for Stub Periods
O	38G	First Stub Period, Interpolation Period	2n1!a/2n1!a	53
O	38H	Last Stub Period, Interpolation Period	2n1!a/2n1!a	54
End of Subsequence C3 Interpolation for Stub Periods
End of Sequence C Floating Interest Payable by Party B
Mandatory Sequence D Payment Instructions for Interest Payable by Party B
M	15D	New Sequence	Empty field	55
O	53a	Delivery Agent	A or D	56
O	56a	Intermediary	A or D	57
O	86a	Second Intermediary	A or D	58
M	57a	Receiving Agent	A or D	59
End of Sequence D Payment Instructions for Interest Payable by Party B
Optional Sequence E Fixed Interest Payable by Party A
M	15E	New Sequence	Empty field	60
O	37U	Fixed Rate	12d	61
O	37N	Details of Interest Rate	6*35x	62
Optional Subsequence E1 Interest Details
M	18A	Number of Repetitions	5n	63
----->
M	30F	Payment Date	8!n	64
O	32M	Currency, Payment Amount	3!a15d	65
-----|
O	17F	Period End Date Adjustment Indicator	1!a	66
O	14D	Day Count Fraction	7x	67
M	14A	Business Day Convention	9a	68
M	18A	Number of Repetitions	5n	69
----->
M	22B	Financial Centre	4!c	70
-----|
End of Subsequence E1 Interest Details
End of Sequence E Fixed Interest Payable by Party A
Optional Sequence F Floating Interest Payable by Party A
M	15F	New Sequence	Empty field	71
M	14F	Floating Rate Option	24x	72
O	37J	Cap Rate	12d	73
O	37L	Floor Rate	12d	74
O	37N	Details of Interest Rate	6*35x	75
Optional Subsequence F1 Interest Details
M	14J	Reset Date Specification	5a	76
O	14G	Averaging Frequency and Method	1!a/8!a	77
M	38E	Designated Maturity	2n1!a	78
M	18A	Number of Repetitions	5n	79
----->
M	30F	Payment Date	8!n	80
-----|
M	17F	Period End Date Adjustment Indicator	1!a	81
M	14D	Day Count Fraction	7x	82
M	14A	Business Day Convention	9a	83
M	18A	Number of Repetitions	5n	84
----->
M	22B	Financial Centre	4!c	85
-----|
O	37R	Spread	[N]12d	86
End of Subsequence F1 Interest Details
Optional Subsequence F2 Compounding Details
M	22D	Compounding Type	4!c	87
M	18A	Number of Repetitions	5n	88
----->
M	30X	Compounding Date	8!n	89
-----|
End of Subsequence F2 Compounding Details
Optional Subsequence F3 Interpolation for Stub Periods
O	38G	First Stub Period, Interpolation Period	2n1!a/2n1!a	90
O	38H	Last Stub Period, Interpolation Period	2n1!a/2n1!a	91
End of Subsequence F3 Interpolation for Stub Periods
End of Sequence F Floating Interest Payable by Party A
Mandatory Sequence G Payment Instructions for Interest Payable by Party A
M	15G	New Sequence	Empty field	92
O	53a	Delivery Agent	A or D	93
O	56a	Intermediary	A or D	94
O	86a	Second Intermediary	A or D	95
M	57a	Receiving Agent	A or D	96
End of Sequence G Payment Instructions for Interest Payable by Party A
Optional Sequence H Amortising Schedule
M	15H	New Sequence	Empty field	97
M	18A	Number of Repetitions	5n	98
----->
M	30G	Variable Notional Start and End Date	8!n/8!n	99
M	32U	Outstanding Notional Currency and Amount	3!a15d	100
-----|
M	14A	Business Day Convention	9a	101
M	18A	Number of Repetitions	5n	102
----->
M	22B	Financial Centre	4!c	103
-----|
End of Sequence H Amortising Schedule
Optional Sequence L Additional Amounts Payable by Party B
M	15L	New Sequence	Empty field	104
M	18A	Number of Repetitions	5n	105
----->
M	22E	Type of Payment	4!c	106
M	30F	Payment Date	8!n	107
M	32M	Currency, Payment Amount	3!a15d	108
-----|
M	14A	Business Day Convention	9a	109
M	18A	Number of Repetitions	5n	110
----->
M	22B	Financial Centre	4!c	111
-----|
O	53a	Delivery Agent	A or D	112
O	56a	Intermediary	A or D	113
O	86a	Second Intermediary	A or D	114
O	57a	Receiving Agent	A or D	115
End of Sequence L Additional Amounts Payable by Party B
Optional Sequence M Additional Amounts Payable by Party A
M	15M	New Sequence	Empty field	116
M	18A	Number of Repetitions	5n	117
----->
M	22E	Type of Payment	4!c	118
M	30F	Payment Date	8!n	119
M	32M	Currency, Payment Amount	3!a15d	120
-----|
M	14A	Business Day Convention	9a	121
M	18A	Number of Repetitions	5n	122
----->
M	22B	Financial Centre	4!c	123
-----|
O	53a	Delivery Agent	A or D	124
O	56a	Intermediary	A or D	125
O	86a	Second Intermediary	A or D	126
O	57a	Receiving Agent	A or D	127
End of Sequence M Additional Amounts Payable by Party A
Optional Sequence N Optional General Information
M	15N	New Sequence	Empty field	128
O	29A	Contact Information	4*35x	129
O	24D	Dealing Method	4!c[/35x]	130
O	88a	Broker Identification	A or D	131
O	71F	Broker's Commission	3!a15d	132
O	21G	Broker's Reference	16x	133
End of Sequence N Optional General Information
Optional Sequence O Reporting Information
M	15O	New Sequence	Empty field	134
-----> Optional Repetitive Subsequence O1 Reporting Parties
M	22L	Reporting Jurisdiction	35x	135
O	91a	Reporting Party	A, D, or J	136
-----> Optional Repetitive Subsequence O1a Unique Transaction Identifier
M	22M	UTI Namespace/Issuer Code	20x	137
M	22N	Transaction Identifier	32x	138
-----> Optional Repetitive Subsequence O1a1 Prior Unique Transaction Identifier
M	22P	PUTI Namespace/Issuer Code	20x	139
M	22R	Prior Transaction Identifier	32x	140
-----| End of Subsequence O1a1 Prior Unique Transaction Identifier
-----| End of Subsequence O1a Unique Transaction Identifier
-----| End of Subsequence O1 Reporting Parties
O	96a	Clearing Exception Party	A, D, or J	141
----->
O	22S	Clearing Broker Identification	1!a/35x	142
-----|
O	22T	Cleared Product Identification	35x	143
O	17E	Clearing Threshold Indicator	1!a	144
O	22U	Underlying Product Identifier	6a	145
O	17H	Allocation Indicator	1!a	146
O	17P	Collateralisation Indicator	1!a	147
O	22V	Execution Venue	35x	148
O	98D	Execution Timestamp	8!n6!n[,3n][/[N]2!n[2!n]]	149
O	17W	Non Standard Flag	1!a	150
O	17Y	Financial Nature of the Counterparty Indicator	1!a	151
O	17Z	Collateral Portfolio Indicator	1!a	152
O	22Q	Collateral Portfolio Code	10x	153
O	17L	Portfolio Compression Indicator	1!a	154
O	17M	Corporate Sector Indicator	1!a	155
O	17Q	Trade with Non-EEA Counterparty Indicator	1!a	156
O	17S	Intragroup Trade Indicator	1!a	157
O	17X	Commercial or Treasury Financing Indicator	1!a	158
O	77A	Additional Reporting Information	20*35x	159
End of Sequence O Reporting Information
M = Mandatory, O = Optional