10.1.11 MT 361 Cross Currency Interest Rate Swap Confirmation
This topic describes the MT 361 Cross Currency Interest Rate Swap Confirmation.
This message is exchanged by or on behalf of the institutions or corporates, party A and party B, which have agreed to a cross currency interest rate swap covered by a BBAIRS (British Bankers' Association Interest Rate Swap), Deutscher Rahmenvertrag für Finanztermingeschäfte or an ISDA (International Swaps and Derivatives Association) Master Agreement. The message also covers deals which are not part of an ISDA, Deutscher Rahmenvertrag für Finanztermingeschäfte or BBAIRS Master. In this case, party A and party B must have another bilateral agreement in place, except under AFB (Association Française de Banques) Master (until the AFB does define the interbank confirmation for cross currency swaps, the MT 361 cannot be used to confirm such transactions).
- confirm the details of a new transaction between the parties
- correct a previously sent confirmation
- cancel a previously sent confirmation
Table 10-96 Format Specifications
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15A | New Sequence | Empty field | M |
| 20 | Sender's Reference | 16x | M |
| 21 | Related Reference | 16x | O |
| 22A | Type of Operation | 4!c | M |
| 94A | Scope of Operation | 4!c | O |
| 22C | Common Reference | 4!a2!c4!n4!a2!c | M |
| 23A | Identification of the Swap | 10a/5a | M |
| 21N | Contract Number Party A | 16x | M |
| 21B | Contract Number Party B | 16x | O |
| 30T | Trade Date | 8!n | M |
| 30V | Effective Date | 8!n | M |
| 30P | Termination Date | 8!n | M |
| 14A | Business Day Convention | 9a | O |
| 32B | Party B Currency and Notional Amount | 3!a15d | M |
| 33B | Party A Currency and Notional Amount | 3!a15d | M |
| 82a | Party A | A or D | M |
| 87a | Party B | A or D | M |
| 83a | Fund or Beneficiary Customer | A, D, or J | O |
| 17A | Collateral Agreement Indicator | 1!a | O |
| 77H | Type, Date, Version of the Agreement | 6a[/8!n][//4!n] | M |
| 77D | Additional Conditions | 6*35x | O |
| 14C | Year of Definitions | 4!n | M |
| 72 | Sender to Receiver Information | 6*35x | O |
Table 10-97 Optional Sequence B Fixed Interest Payable by Party B
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15B | New Sequence | Empty field | M |
| 37U | Fixed Rate | 12d | O |
| 37N | Details of Interest Rate | 6*35x | O |
Table 10-98 Optional Subsequence B1 Interest Details
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 18A | Number of Repetitions | 5n | M |
| 30F | Payment Date | 8!n | M |
| 32M | Currency, Payment Amount | 3!a15d | O |
| 17F | Period End Date Adjustment Indicator | 1!a | O |
| 14D | Day Count Fraction | 7x | O |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
Table 10-99 Optional Sequence C Floating Interest Payable by Party B
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15C | New Sequence | Empty field | M |
| 14F | Floating Rate Option | 24x | M |
| 37J | Cap Rate | 12d | O |
| 37L | Floor Rate | 12d | O |
| 37N | Details of Interest Rate | 6*35x | O |
Table 10-100 Optional Subsequence C1 Interest Details
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 14J | Reset Date Specification | 5a | M |
| 14G | Averaging Frequency and Method | 1!a/8!a | O |
| 38E | Designated Maturity | 2n1!a | M |
| 18A | Number of Repetitions | 5n | M |
| 30F | Payment Date | 8!n | M |
| 17F | Period End Date Adjustment Indicator | 1!a | M |
| 14D | Day Count Fraction | 7x | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
| 37R | Spread | [N]12d | O |
Table 10-101 Optional Subsequence C2 Compounding Details
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 22D | Compounding Type | 4!c | M |
| 18A | Number of Repetitions | 5n | M |
| 30X | Compounding Date | 8!n | M |
Table 10-102 Optional Subsequence C3 Interpolation for Stub Periods
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 38G | First Stub Period, Interpolation Period | 2n1!a/2n1!a | O |
| 38H | Last Stub Period, Interpolation Period | 2n1!a/2n1!a | O |
Table 10-103 Mandatory Sequence D Payment Instructions for Interest Payable by Party B
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15D | New Sequence | Empty field | M |
| 53a | Delivery Agent | A or D | O |
| 56a | Intermediary | A or D | O |
| 86a | Second Intermediary | A or D | O |
| 57a | Receiving Agent | A or D | M |
Table 10-104 Optional Sequence E Fixed Interest Payable by Party A
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15E | New Sequence | Empty field | M |
| 37U | Fixed Rate | 12d | O |
| 37N | Details of Interest Rate | 6*35x | O |
Table 10-105 Optional Subsequence E1 Interest Details
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 18A | Number of Repetitions | 5n | M |
| 30F | Payment Date | 8!n | M |
| 32M | Currency, Payment Amount | 3!a15d | O |
| 17F | Period End Date Adjustment Indicator | 1!a | O |
| 14D | Day Count Fraction | 7x | O |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
Table 10-106 Optional Sequence F Floating Interest Payable by Party A
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15F | New Sequence | Empty field | M |
| 14F | Floating Rate Option | 24x | M |
| 37J | Cap Rate | 12d | O |
| 37L | Floor Rate | 12d | O |
| 37N | Details of Interest Rate | 6*35x | O |
Table 10-107 Optional Subsequence F1 Interest Details
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 14J | Reset Date Specification | 5a | M |
| 14G | Averaging Frequency and Method | 1!a/8!a | O |
| 38E | Designated Maturity | 2n1!a | M |
| 18A | Number of Repetitions | 5n | M |
| 30F | Payment Date | 8!n | M |
| 17F | Period End Date Adjustment Indicator | 1!a | M |
| 14D | Day Count Fraction | 7x | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
| 37R | Spread | [N]12d | O |
Table 10-108 Optional Subsequence F2 Compounding Details
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 22D | Compounding Type | 4!c | M |
| 18A | Number of Repetitions | 5n | M |
| 30X | Compounding Date | 8!n | M |
Table 10-109 Optional Subsequence F3 Interpolation for Stub Periods
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 38G | First Stub Period, Interpolation Period | 2n1!a/2n1!a | O |
| 38H | Last Stub Period, Interpolation Period | 2n1!a/2n1!a | O |
Table 10-110 Mandatory Sequence G Payment Instructions for Interest Payable by Party A
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15G | New Sequence | Empty field | M |
| 53a | Delivery Agent | A or D | O |
| 56a | Intermediary | A or D | O |
| 86a | Second Intermediary | A or D | O |
| 57a | Receiving Agent | A or D | M |
Table 10-111 Optional Sequence H Amortizing Schedule for Party B
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15H | New Sequence | Empty field | M |
| 18A | Number of Repetitions | 5n | M |
| 30G | Variable Notional Start and End Date | 8!n/8!n | M |
| 32U | Outstanding Notional Currency and Amount | 3!a15d | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
Table 10-112 Optional Sequence I Amortizing Schedule for Party A
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15I | New Sequence | Empty field | M |
| 18A | Number of Repetitions | 5n | M |
| 30G | Variable Notional Start and End Date | 8!n/8!n | M |
| 32U | Outstanding Notional Currency and Amount | 3!a15d | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
Table 10-113 Optional Sequence J Exchanges of Principal Payable by Party B
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15J | New Sequence | Empty field | M |
| 18A | Number of Repetitions | 5n | M |
| 22X | Type of Exchange | 4!c | M |
| 30F | Payment Date | 8!n | M |
| 32M | Currency, Payment Amount | 3!a15d | M |
| 53a | Delivery Agent | A or D | O |
| 56a | Intermediary | A or D | O |
| 86a | Second Intermediary | A or D | O |
| 57a | Receiving Agent | A or D | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
Table 10-114 Optional Sequence K Exchanges of Principal Payable by Party A
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15K | New Sequence | Empty field | M |
| 18A | Number of Repetitions | 5n | M |
| 22X | Type of Exchange | 4!c | M |
| 30F | Payment Date | 8!n | M |
| 32M | Currency, Payment Amount | 3!a15d | M |
| 53a | Delivery Agent | A or D | O |
| 56a | Intermediary | A or D | O |
| 86a | Second Intermediary | A or D | O |
| 57a | Receiving Agent | A or D | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
Table 10-115 Optional Sequence L Additional Amounts Payable by Party B
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15L | New Sequence | Empty field | M |
| 18A | Number of Repetitions | 5n | M |
| 22E | Type of Payment | 4!c | M |
| 30F | Payment Date | 8!n | M |
| 32M | Currency, Payment Amount | 3!a15d | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
| 53a | Delivery Agent | A or D | O |
| 56a | Intermediary | A or D | O |
| 86a | Second Intermediary | A or D | O |
| 57a | Receiving Agent | A or D | O |
Table 10-116 Optional Sequence M Additional Amounts Payable by Party A
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15M | New Sequence | Empty field | M |
| 18A | Number of Repetitions | 5n | M |
| 22E | Type of Payment | 4!c | M |
| 30F | Payment Date | 8!n | M |
| 32M | Currency, Payment Amount | 3!a15d | M |
| 14A | Business Day Convention | 9a | M |
| 18A | Number of Repetitions | 5n | M |
| 22B | Financial Centre | 4!c | M |
| 53a | Delivery Agent | A or D | O |
| 56a | Intermediary | A or D | O |
| 86a | Second Intermediary | A or D | O |
| 57a | Receiving Agent | A or D | O |
Table 10-117 Optional Sequence N Optional General Information
| Field Tag | Field Name | Format | Mandatory/Optional |
|---|---|---|---|
| 15N | New Sequence | Empty field | M |
| 29A | Contact Information | 4*35x | O |
| 24D | Dealing Method | 4!c[/35x] | O |
| 88a | Broker Identification | A or D | O |
| 71F | Broker's Commission | 3!a15d | O |
| 21G | Broker's Reference | 16x | O |