MT360 — Single Currency Interest Rate Derivative Confirmation
Bilateral confirmation of a single-currency Interest Rate Swap (IRS). The most traded financial instrument — the USD/SOFR IRS alone weighs over 250 trillion open notional (BIS Triennial 2025).
Purpose
MT360 confirms the terms of an IRS: notional, currency, start and end dates, day count convention, coupon exchange frequency, fixed leg (Sequence C) and floating leg (Sequence D). Issued post-matching in MarkitWire / Tradeweb / ICELink. For CCP-cleared MIRS (LCH SwapClear, Eurex Clearing), :94A: carries TRIL and a third party appears.
Sequences A to G
| Seq. | Role |
|---|---|
15A | General Information — ref, function, parties, bilateral/trilateral. |
15B | Transaction Details — trade date, value date, maturity, notional. |
15C | Fixed Leg — fixed rate :37N:, day count :14F:, frequency :14D:. |
15D | Floating Leg — index :14J: (USSO3, EUSA3), day count, frequency. |
15E | Amortizing — amortization schedule if amortising notional. |
15F | Optional General Information. |
15G | Settlement Details — correspondents. |
Real-world example
IRS USD 100M, 5 years, fixed leg 4.1250% 30/360 vs floating leg SOFR 3M ACT/360, BNP Paribas vs Barclays:
{1:F01BNPAFRPPAXXX0000000000}{2:I360BARCGB22XXXXN}{4:
:15A:
:20:IRS20260518777
:22A:NEWT
:94A:BILA
:22C:BNPAFR/BARCGB/IRS001
:82A:BNPAFRPPXXX
:87A:BARCGB22XXX
:15B:
:30T:20260520
:30F:20260520
:30P:20310520
:32B:USD100000000,00
:15C:
:17A:Y
:17F:N
:30F:20260520
:30P:20310520
:32M:USD100000000,00
:14D:5Y
:14F:30/360
:37N:4,1250
:15D:
:17F:N
:14D:5Y
:14F:ACT/360
:14J:USSO3
:15G:
:53A:BNPAFRPPXXX
:57A:BARCGB22XXX
-}{5:{CHK:CAFE12345678}}Common pitfalls
- :14J: with LIBOR: USD-LIBOR ceased 30 June 2023 (Fed/FCA). Use SOFR (USSO3), SONIA (GBSONIA), ESTR (EUESTR).
- Fixed leg without :37N:: fixed rate mandatory in sequence C.
- :94A:BILA for a cleared trade: inconsistency — TRIL mandatory if CCP.
- :14D: frequency != standard: 1Y/6M/3M/1M ; custom values are a source of breaks.
Related messages
- MT361 — Cross Currency Interest Rate Swap.
- MT364 — Single Currency IRS Termination.
- MT340 — FRA.
- trea.012 — ISO 20022 equivalent (Treasury Trade Confirmation).