MT 361 Format Specifications

The MT 361 consists of sixteen fifteen sequences:

• Sequence A provides general information about the contract, that is, the principals, the type of transaction, the currencies and notional amounts, 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 details for correlation, volatility or variance swaps

• Optional sequence I H provides the amortising schedule for the notional for which party B pays interest, when an amortising swap is confirmed

• Optional sequence J I provides the amortising schedule for the notional for which party A pays interest, when an amortising swap is confirmed

• Optional sequence K J provides the details of optional exchanges of principal made by party B

• Optional sequence L K provides the details of optional exchanges of principal made by party A

• Optional sequence M L provides the details of optional payments made by party B

• Optional sequence N M provides the details of optional payments made by party A

• Optional sequence O 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 P 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 the 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 361 Cross Currency Interest Rate Swap 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
O M	32B	Party B Currency and Notional Amount	3!a15d	14
M	33B	Party A Currency and Notional Amount	3!a15d	15
M	82a	Party A	A or D	16
M	87a	Party B	A or D	17
O	83a	Fund or Beneficiary Customer	A, D, or J	18
O	17A	Collateral Agreement Indicator	1!a	19
M	77H	Type, Date, Version of the Agreement	6a[/8!n][//4!n]	20
O	77D	Additional Conditions	6*35x	21
M	14C	Year of Definitions	4!n	22
O	72	Sender to Receiver Information	6*35x	23
End of Sequence A General Information
Optional Sequence B Fixed Interest Payable by Party B
M	15B	New Sequence	Empty field	24
O	37U	Fixed Rate	12d	25
O	37N	Details of Interest Rate	6*35x	26
Optional Subsequence B1 Interest Details
M	18A	Number of Repetitions	5n	27
----->
M	30F	Payment Date	8!n	28
O	32M	Currency, Payment Amount	3!a15d	29
-----|
O	17F	Period End Date Adjustment Indicator	1!a	30
O	14D	Day Count Fraction	7x	31
M	14A	Business Day Convention	9a	32
M	18A	Number of Repetitions	5n	33
----->
M	22B	Financial Centre	4!c	34
-----|
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	35
M	14F	Floating Rate Option	24x	36
O	37J	Cap Rate	12d	37
O	37L	Floor Rate	12d	38
O	37N	Details of Interest Rate	6*35x	39
Optional Subsequence C1 Interest Details
M	14J	Reset Date Specification	5a	40
O	14G	Averaging Frequency and Method	1!a/8!a	41
M	38E	Designated Maturity	2n1!a	42
M	18A	Number of Repetitions	5n	43
----->
M	30F	Payment Date	8!n	44
-----|
M	17F	Period End Date Adjustment Indicator	1!a	45
M	14D	Day Count Fraction	7x	46
M	14A	Business Day Convention	9a	47
M	18A	Number of Repetitions	5n	48
----->
M	22B	Financial Centre	4!c	49
-----|
O	37R	Spread	[N]12d	50
End of Subsequence C1 Interest Details
Optional Subsequence C2 Compounding Details
M	22D	Compounding Type	4!c	51
M	18A	Number of Repetitions	5n	52
----->
M	30X	Compounding Date	8!n	53
-----|
End of Subsequence C2 Compounding Details
Optional Subsequence C3 Interpolation for Stub Periods
O	38G	First Stub Period, Interpolation Period	2n1!a/2n1!a	54
O	38H	Last Stub Period, Interpolation Period	2n1!a/2n1!a	55
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	56
O	53a	Delivery Agent	A or D	57
O	56a	Intermediary	A or D	58
O	86a	Second Intermediary	A or D	59
M	57a	Receiving Agent	A or D	60
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	61
O	37U	Fixed Rate	12d	62
O	37N	Details of Interest Rate	6*35x	63
Optional Subsequence E1 Interest Details
M	18A	Number of Repetitions	5n	64
----->
M	30F	Payment Date	8!n	65
O	32M	Currency, Payment Amount	3!a15d	66
-----|
O	17F	Period End Date Adjustment Indicator	1!a	67
O	14D	Day Count Fraction	7x	68
M	14A	Business Day Convention	9a	69
M	18A	Number of Repetitions	5n	70
----->
M	22B	Financial Centre	4!c	71
-----|
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	72
M	14F	Floating Rate Option	24x	73
O	37J	Cap Rate	12d	74
O	37L	Floor Rate	12d	75
O	37N	Details of Interest Rate	6*35x	76
Optional Subsequence F1 Interest Details
M	14J	Reset Date Specification	5a	77
O	14G	Averaging Frequency and Method	1!a/8!a	78
M	38E	Designated Maturity	2n1!a	79
M	18A	Number of Repetitions	5n	80
----->
M	30F	Payment Date	8!n	81
-----|
M	17F	Period End Date Adjustment Indicator	1!a	82
M	14D	Day Count Fraction	7x	83
M	14A	Business Day Convention	9a	84
M	18A	Number of Repetitions	5n	85
----->
M	22B	Financial Centre	4!c	86
-----|
O	37R	Spread	[N]12d	87
End of Subsequence F1 Interest Details
Optional Subsequence F2 Compounding Details
M	22D	Compounding Type	4!c	88
M	18A	Number of Repetitions	5n	89
----->
M	30X	Compounding Date	8!n	90
-----|
End of Subsequence F2 Compounding Details
Optional Subsequence F3 Interpolation for Stub Periods
O	38G	First Stub Period, Interpolation Period	2n1!a/2n1!a	91
O	38H	Last Stub Period, Interpolation Period	2n1!a/2n1!a	92
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	93
O	53a	Delivery Agent	A or D	94
O	56a	Intermediary	A or D	95
O	86a	Second Intermediary	A or D	96
M	57a	Receiving Agent	A or D	97
End of Sequence G Payment Instructions for Interest Payable by Party A
Optional Sequence H Correlation, Volatility and Variance Swaps
M	15H	New Sequence	Empty field	98
M	18D	Number of Dates	3n	99
M	30Y	Initial Observation Date	8!n	100
M	30Z	Final Observation Date	8!n	101
M	84a	Calculation Agent	A, B, D, or J	102
M	30M	Valuation Date	8!n	103
M	30S	Settlement Date	8!n	104
M	33H	Vega Notional Amount	3!a15d	105
M	32Q	Currency Pair	3!a/3!a	106
M	32E	Settlement Currency	3!a	107
----->
M	14S	Settlement Rate Option/Rate Source	3!a2n[/4!n/4!c]	108
-----|
End of Sequence H Correlation, Volatility and Variance Swaps
Optional Sequence I H Amortising Schedule for Party B
M	15I 15H	New Sequence	Empty field	109 98
M	18A	Number of Repetitions	5n	110 99
----->
M	30G	Variable Notional Start and End Date	8!n/8!n	111 100
M	32U	Outstanding Notional Currency and Amount	3!a15d	112 101
-----|
M	14A	Business Day Convention	9a	113 102
M	18A	Number of Repetitions	5n	114 103
----->
M	22B	Financial Centre	4!c	115 104
-----|
End of Sequence I H Amortising Schedule for Party B
Optional Sequence J I Amortising Schedule for Party A
M	15J 15I	New Sequence	Empty field	116 105
M	18A	Number of Repetitions	5n	117 106
----->
M	30G	Variable Notional Start and End Date	8!n/8!n	118 107
M	32U	Outstanding Notional Currency and Amount	3!a15d	119 108
-----|
M	14A	Business Day Convention	9a	120 109
M	18A	Number of Repetitions	5n	121 110
----->
M	22B	Financial Centre	4!c	122 111
-----|
End of Sequence J I Amortising Schedule for Party A
Optional Sequence K J Exchanges of Principal Payable by Party B
M	15K 15J	New Sequence	Empty field	123 112
M	18A	Number of Repetitions	5n	124 113
----->
M	22X	Type of Exchange	4!c	125 114
M	30F	Payment Date	8!n	126 115
M	32M	Currency, Payment Amount	3!a15d	127 116
O	53a	Delivery Agent	A or D	128 117
O	56a	Intermediary	A or D	129 118
O	86a	Second Intermediary	A or D	130 119
M	57a	Receiving Agent	A or D	131 120
-----|
M	14A	Business Day Convention	9a	132 121
M	18A	Number of Repetitions	5n	133 122
----->
M	22B	Financial Centre	4!c	134 123
-----|
End of Sequence K J Exchanges of Principal Payable by Party B
Optional Sequence L K Exchanges of Principal Payable by Party A
M	15L 15K	New Sequence	Empty field	135 124
M	18A	Number of Repetitions	5n	136 125
----->
M	22X	Type of Exchange	4!c	137 126
M	30F	Payment Date	8!n	138 127
M	32M	Currency, Payment Amount	3!a15d	139 128
O	53a	Delivery Agent	A or D	140 129
O	56a	Intermediary	A or D	141 130
O	86a	Second Intermediary	A or D	142 131
M	57a	Receiving Agent	A or D	143 132
-----|
M	14A	Business Day Convention	9a	144 133
M	18A	Number of Repetitions	5n	145 134
----->
M	22B	Financial Centre	4!c	146 135
-----|
End of Sequence L K Exchanges of Principal Payable by Party A
Optional Sequence M L Additional Amounts Payable by Party B
M	15M 15L	New Sequence	Empty field	147 136
M	18A	Number of Repetitions	5n	148 137
----->
M	22E	Type of Payment	4!c	149 138
M	30F	Payment Date	8!n	150 139
M	32M	Currency, Payment Amount	3!a15d	151 140
-----|
M	14A	Business Day Convention	9a	152 141
M	18A	Number of Repetitions	5n	153 142
----->
M	22B	Financial Centre	4!c	154 143
-----|
O	53a	Delivery Agent	A or D	155 144
O	56a	Intermediary	A or D	156 145
O	86a	Second Intermediary	A or D	157 146
O	57a	Receiving Agent	A or D	158 147
End of Sequence M L Additional Amounts Payable by Party B
Optional Sequence N M Additional Amounts Payable by Party A
M	15N 15M	New Sequence	Empty field	159 148
M	18A	Number of Repetitions	5n	160 149
----->
M	22E	Type of Payment	4!c	161 150
M	30F	Payment Date	8!n	162 151
M	32M	Currency, Payment Amount	3!a15d	163 152
-----|
M	14A	Business Day Convention	9a	164 153
M	18A	Number of Repetitions	5n	165 154
----->
M	22B	Financial Centre	4!c	166 155
-----|
O	53a	Delivery Agent	A or D	167 156
O	56a	Intermediary	A or D	168 157
O	86a	Second Intermediary	A or D	169 158
O	57a	Receiving Agent	A or D	170 159
End of Sequence N M Additional Amounts Payable by Party A
Optional Sequence O N Optional General Information
M	15O 15N	New Sequence	Empty field	171 160
O	29A	Contact Information	4*35x	172 161
O	24D	Dealing Method	4!c[/35x]	173 162
O	88a	Broker Identification	A or D	174 163
O	71F	Broker's Commission	3!a15d	175 164
O	21G	Broker's Reference	16x	176 165
End of Sequence O N Optional General Information
Optional Sequence P O Reporting Information
M	15P 15O	New Sequence	Empty field	177 166
-----> Optional Repetitive Subsequence P1 O1 Reporting Parties
M	22L	Reporting Jurisdiction	35x	178 167
O	91a	Reporting Party	A, D, or J	179 168
-----> Optional Repetitive Subsequence P1a O1a Unique Transaction Identifier
M	22M	UTI Namespace/Issuer Code	20x	180 169
M	22N	Transaction Identifier	32x	181 170
-----> Optional Repetitive Subsequence P1a1 O1a1 Prior Unique Transaction Identifier
M	22P	PUTI Namespace/Issuer Code	20x	182 171
M	22R	Prior Transaction Identifier	32x	183 172
-----| End of Subsequence P1a1 O1a1 Prior Unique Transaction Identifier
-----| End of Subsequence P1a O1a Unique Transaction Identifier
-----| End of Subsequence P1 O1 Reporting Parties
O	96a	Clearing Exception Party	A, D, or J	184 173
----->
O	22S	Clearing Broker Identification	1!a/35x	185 174
-----|
O	22T	Cleared Product Identification	35x	186 175
O	17E	Clearing Threshold Indicator	1!a	187 176
O	22U	Underlying Product Identifier	6a	188 177
O	17H	Allocation Indicator	1!a	189 178
O	17P	Collateralisation Indicator	1!a	190 179
O	22V	Execution Venue	35x	191 180
O	98D	Execution Timestamp	8!n6!n[,3n][/[N]2!n[2!n]]	192 181
O	17W	Non Standard Flag	1!a	193 182
O	17Y	Financial Nature of the Counterparty Indicator	1!a	194 183
O	17Z	Collateral Portfolio Indicator	1!a	195 184
O	22Q	Collateral Portfolio Code	10x	196 185
O	17L	Portfolio Compression Indicator	1!a	197 186
O	17M	Corporate Sector Indicator	1!a	198 187
O	17Q	Trade with Non-EEA Counterparty Indicator	1!a	199 188
O	17S	Intragroup Trade Indicator	1!a	200 189
O	17X	Commercial or Treasury Financing Indicator	1!a	201 190
O	77A	Additional Reporting Information	20*35x	202 191
End of Sequence P O Reporting Information
M = Mandatory, O = Optional