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MT 360 Examples

Example 1: Fixed/Floating Single Currency Interest Rate Swap Confirmation

Narrative

On 05 March 2002, Chase New York and Barclays Bank London enter into an ISDA swap agreement with each other.

The terms of the contract are:

The swap is not compounded, not amortised, there are no stub periods, there is no averaging, the calculation dates are adjusted to the payment dates and the swap is included in the collateral agreement.

Message 1: SWIFT Message from Chase New York

Explanation Format
Sender CHASUS33
Message Type 360
Receiver BARCGB2L
Message Text
General Information :15A:
Sender's Reference :20:TW9235
Type of Operation :22A:NEWT
Scope of Operation :94A:BILA
Common Reference :22C:BARC2L0603CHAS33
Identification of the Swap :23A:FLOATFIXED/NET
Contract Number Party A :21N:SCS001
Trade Date :30T:20020305
Effective Date :30V:20020305
Termination Date :30P:20060305
Business Day Convention :14A:MODIFIEDF
Currency, Notional Amount :32B:GBP35000000,00
Party A :82A:CHASUS33
Party B :87A:BARCGB2L
Type, Date, Version of the Agreement :77H:ISDA/19980316//1991
Year of Definitions :14C:1991
Fixed Interest Payable by Party B :15B:
Fixed Rate :37U:5,475
Number of Repetitions :18A:8
Payment Date :30F:20020905
Payment Date :30F:20030305
Payment Date :30F:20030905
Payment Date :30F:20040305
Payment Date :30F:20040905
Payment Date :30F:20050305
Payment Date :30F:20050905
Payment Date :30F:20060305
Period End Date Adjustment Indicator :17F:Y
Day Count Fraction :14D:AFI/365
Business Day Convention :14A:MODIFIEDF
Number of Repetitions :18A:1
Financial Centre :22B:GBLO
Payment Instructions for Interest Payable by Party B :15D:
Receiving Agent :57A:MIDLGB22
Floating Interest Payable by Party A :15F:
Floating Rate Option :14F:GBP-LIBOR-BBA
Reset Date Specification :14J:FIRST
Designated Maturity :38E:6M
Number of Repetitions :18A:8
Payment Date :30F:20020905
Payment Date :30F:20030305
Payment Date :30F:20030905
Payment Date :30F:20040305
Payment Date :30F:20040905
Payment Date :30F:20050305
Payment Date :30F:20050905
Payment Date :30F:20060305
Period End Date Adjustment Indicator :17F:Y
Day Count Fraction :14D:AFI/365
Business Day Convention :14A:MODIFIEDF
Number of Repetitions :18A:1
Financial Centre :22B:GBLO
Spread :37R:N0,2
Payment Instructions for Interest Payable by Party A :15G:
Receiving Agent :57A:BARCGB2L
Optional General Information :15N:
Contact Information :29A:/NAME/Richard Jones
/PHON/212-1234567

Example 2: Fixed/Floating Single Currency Interest Rate Swap Confirmation

Narrative

Idem example 1, except that there is an initial stub period and that the notional amount is amortised over the 5 years (the notional amount is decreased by 5.000.000 GBP per year) of the contract. The rate for the stub period is interpolation between the 4M and the 5M Libor.

Message 1: SWIFT Message from Chase New York

Explanation Format
Sender CHASUS33
Message Type 360
Receiver BARCGB2L
Message Text  
General Information :15A:
Sender's Reference :20:TW9235
Type of Operation :22A:NEWT
Scope of Operation :94A:BILA
Common Reference :22C:BARC2L0603CHAS33
Identification of the Swap :23A:FLOATFIXED/NET
Contract Number Party A :21N:SCA001
Trade Date :30T:20020305
Effective Date :30V:20020405
Termination Date :30P:20060305
Business Day Convention :14A:MODIFIEDF
Currency, Notional Amount :32B:GBP40000000,00
Party A :82A:CHASUS33
Party B :87A:BARCGB2L
Type, Date, Version of the Agreement :77H:ISDA/19980316//1991
Year of Definitions :14C:1991
Fixed Interest Payable by Party B :15B:
Fixed Rate :37U:5,475
Number of Repetitions :18A:8
Payment Date :30F:20020905
Payment Date :30F:20030305
Payment Date :30F:20030905
Payment Date :30F:20040305
Payment Date :30F:20040905
Payment Date :30F:20050305
Payment Date :30F:20050905
Payment Date :30F:20060305
Period End Date Adjustment Indicator :17F:Y
Day Count Fraction :14D:AFI/365
Business Day Convention :14A:MODIFIEDF
Number of Repetitions :18A:1
Financial Centre :22B:GBLO
Payment Instructions for Interest Payable by Party B :15D:
Receiving Agent :57A:MIDLGB22
Floating Interest Payable by Party A :15F:
Floating Rate Option :14F:GBP-LIBOR-BBA
Reset Date Specification :14J:FIRST
Designated Maturity :38E:6M
Number of Repetitions :18A:8
Payment Date :30F:20020905
Payment Date :30F:20030305
Payment Date :30F:20030905
Payment Date :30F:20040305
Payment Date :30F:20040905
Payment Date :30F:20050305
Payment Date :30F:20050905
Payment Date :30F:20060305
Period End Date Adjustment Indicator :17F:Y
Day Count Fraction :14D:AFI/365
Business Day Convention :14A:MODIFIEDF
Number of Repetitions :18A:1
Financial Centre :22B:GBLO
Spread :37R:N0,2
First Stub Period, Interpolation Period :38G:4M/5M
Payment Instructions for Interest Payable by Party A :15G:
Receiving Agent :57A:BARCGB2L
Amortising Schedule :15H:
Number of Repetitions :18A:5
Variable Notional Start and End Date :30G:20020405/20020905
Outstanding Notional Currency and Amount :32U:GBP40000000,00
Variable Notional Start and End Date :30G:20020905/20030305
Outstanding Notional Currency and Amount :32U:GBP35000000,00
Variable Notional Start and End Date :30G:20030305/20030905
Outstanding Notional Currency and Amount :32U:GBP30000000,00
Variable Notional Start and End Date :30G:20030905/20040305
Outstanding Notional Currency and Amount :32U:GBP25000000,00
Variable Notional Start and End Date :30G:20040305/20040905
Outstanding Notional Currency and Amount :32U:GBP20000000,00
Variable Notional Start and End Date :30G:20040905/20050305
Outstanding Notional Currency and Amount :32U:GBP15000000,00
Variable Notional Start and End Date :30G:20050305/20050905
Outstanding Notional Currency and Amount :32U:GBP10000000,00
Variable Notional Start and End Date :30G:20050905/20060305
Outstanding Notional Currency and Amount :32U:GBP5000000,00
Business Day Convention :14A:MODIFIEDF
Number of Repetitions :18A:1
Financial Centre :22B:GBLO
Optional General Information :15N:
Contact Information :29A:/NAME/Richard Jones
/PHON/212-1234567

Example 3: CAP

Narrative

On 16 December, Chase New York sells a cap of 8% over 5 years against 6M LIBOR to Barclays Bank, London.

The notional amount is 50,000,000 GBP.

Barclays pays a premium of 102,000 GBP to Chase.

Message 1: SWIFT Message From Chase New York

Explanation Format
Sender CHASUS33
Message Type 360
Receiver BARCGB2L
Message Text
General Information :15A:
Sender's Reference :20:TW9249
Type of Operation :22A:NEWT
Scope of Operation :94A:BILA
Common Reference :22C:BARC2L0712CHAS33
Identification of the Swap :23A:CAPSELLER
Contract Number Party A :21N:CP001
Trade Date :30T:20021216
Effective Date :30V:20021217
Termination Date :30P:20071217
Business Day Convention :14A:MODIFIEDF
Currency, Notional Amount :32B:GBP50000000,00
Party A :82A:CHASUS33
Party B :87A:BARCGB2L
Type, Date, Version of the Agreement :77H:ISDA/19980316//1991
Year of Definitions :14C:1991
Payment Instructions for Interest Payable by Party B :15D:
Receiving Agent :57D:NONE
Floating Interest Payable by Party A :15F:
Floating Rate Option :14F:GBP-LIBOR-BBA
Cap Rate :37J:8,
Reset Date Specification :14J:FIRST
Designated Maturity :38E:6M
Number of Repetitions :18A:10
Payment Date :30F:20030617
Payment Date :30F:20031217
Payment Date :30F:20040617
Payment Date :30F:20041217
Payment Date :30F:20050617
Payment Date :30F:20051217
Payment Date :30F:20060617
Payment Date :30F:20061217
Payment Date :30F:20070617
Payment Date :30F:20071217
Period End Date Adjustment Indicator :17F:Y
Day Count Fraction :14D:AFI/365
Business Day Convention :14A:MODIFIEDF
Number of Repetitions :18A:1
Financial Centre :22B:GBLO
Spread :37R:N0,2
Payment Instructions for Interest Payable by Party A :15G:
Receiving Agent :57A:BARCGB2L
Additional Amounts Payable by Party B :15L:
Number of Repetitions :18A:1
Type of Payment :22E:PRMP
Payment Date :30F:20021217
Currency, Payment Amount :32M:GBP102000,00
Business Day Convention :14A:MODIFIEDF
Number of Repetitions :18A:1
Financial Centre :22B:GBLO
Receiving Agent :57A:MIDLGB22
Optional General Information :15N:
Contact Information :29A:/NAME/Richard Jones
/PHON/212-1234567

Example 4: Amortizing swap

Narrative

On May 28 2007, Bank A New York and Bank B London agree on an Interest rate Swap Trade.

Bank A will pay the fixed rate while Bank B will pay the floating rate. The contract starts on May 30 and ends on November 30, 2009. The notional amount is amortized irregularly as follows:

EUR 9,940,248,500. until August 31, 2008

EUR 8,210,205,250. until November 31, 2008

EUR 6,870,171,750. until February 28, 2009

EUR 5,630,140,750. until May 31, 2009

EUR 4,900,112,250. until August 31, 2009

EUR 4,100,102,500. until November 30, 2009

The interests are settled net every 3 months, the floating rate option is EUR-LIBOR-BBA and the resets occur on the first day of the calculation period. The fixed rate is of 6%.

Message 1: SWIFT Message from Bank A, New York

Explanation Format
Sender BANAUS33
Message Type 360
Receiver BANBGB2L
General Information :15A:
Sender's Reference :20:IRS123
Type of Operation :22A:NEWT
Scope of Operation :94A:BILA
Common Reference :22C:BANA33BANB2L
Identification of the Swap :23A:FIXEDFLOAT/NET
Contract Number Party A :21N:ABC123
Trade Date :30T:20070528
Effective Date :30V:20070530
Termination Date :30P:20091130
Business Day Convention :14A:FOLLOWING
Currency, Notional Amount :32B:EUR9940248500,
Party A :82A:BANAUS33
Party B :87A:BANBGB2L
Type, Date, Version of the Agreement :77H:ISDA/20010201//01
Year of Definitions :14C:2000
Floating Interest Payable by Party B :15C:
Floating Rate Option :14F:EUR-LIBOR-BBA
Reset Date Specification :14J:FIRST
Designated Maturity :38E:3M,
Number of Repetitions :18A:10
Payment Date :30F:20070831
Payment Date :30F:20071130
Payment Date :30F:20080229
Payment Date :30F:20080530
Payment Date :30F:20080902
Payment Date :30F:20081202
Payment Date :30F:20090302
Payment Date :30F:20090602
Payment Date :30F:20090902
Payment Date :30F:20091202
Period End Date :17F:N
Adjustment Indicator Day Count Fraction :14D:ACT/360
Business Day Convention :14A:FOLLOWING
Number of Repetitions :18A:1
Financial Centre :22B:DEFR
Payment Instructions for Interest Payable by Party B :15D:
Receiving Agent :57A:BANADEFF
Fixed Interest Payable by Party A :15E:
Fixed Rate :37U:6
Number of Repetitions :18A:10
Payment Date :30F:20070831
Payment Date :30F:20071130
Payment Date :30F:20080229
Payment Date :30F:20080530
Payment Date :30F:20080902
Payment Date :30F:20081202
Payment Date :30F:20090302
Payment Date :30F:20090602
Payment Date :30F:20090902
Payment Date :30F:20091202
Business Day Convention :14A:FOLLOWING
Number of Repetitions :18A:1
Financial Centre :22B:DEFR
Payment Instructions for Interest Payable by Party A :15G:
Receiving Agent :57A:BANADEFF
Amortising Schedule :15H:
Number of Repetitions :18A:6
Variable Notional Start and End Date :30G:20070530/20080831
Outstanding Notional Currency and Amount Variable :32U:EUR9940248500,
Variable Notional Start and End Date :30G:20080831/20081130
Outstanding Notional Currency and Amount Variable :32U:EUR8210205250,
Variable Notional Start and End Date :30G:20081130/20090228
Outstanding Notional Currency and Amount Variable :32U:EUR6870171750,
Variable Notional Start and End Date :30G:20090228/20090531
Outstanding Notional Currency and Amount Variable :32U:EUR5630140750,
Variable Notional Start and End Date :30G:20090531/20090831
Outstanding Notional Currency and Amount Variable :32U:EUR4900112250,
Variable Notional Start and End Date :30G:20090831/20091130
Outstanding Notional Currency and Amount :32U:EUR4100102500
Business Day Convention :14A:FOLLOWING
Number of Repetitions :18A:1
Financial Centre :22B:DEFR

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