10.10 MT 360 Single Currency Interest Rate Derivative Confirmation

This topic describes the MT 360 Single Currency Interest Rate Derivative Confirmation.

This message is exchanged by or on behalf of the institutions or corporates, party A and party B, which have agreed to a single currency interest rate swap, a cap, a collar or a floor. The confirmed transaction is covered by a BBAIRS (British Bankers' Association Interest Rate Swap), ISDA (International Swaps and Derivatives Association), Deutscher Rahmenvertrag für Finanztermingeschäfte or AFB (Association Française de Banques) Master Agreement.

The message also covers deals which are not part of an ISDA, AFB, Deutscher Rahmenvertrag für Finanztermingeschäfte or BBAIRS Master. In this case, party A and party B must have another bilateral agreement in place. This message may also be sent by a money broker to the two parties (party A and party B) for which the broker arranged the deal. If there are two money brokers involved in arranging a deal between party A and party B, this message is also exchanged between these money brokers. The MT 360 may be used to:

• confirm the details of a new transaction between the parties
• correct a previously sent confirmation
• cancel a previously sent confirmation

Maximum Length: 10000

Table 10-65 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	Currency, 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 10-66 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 10-67 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 10-68 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 10-69 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 10-70 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 10-71 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 10-72 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 10-73 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 10-74 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 10-75 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 10-76 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
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 10-77 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 10-78 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 10-79 Optional Sequence H Amortising Schedule

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 10-80 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 10-81 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 10-82 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