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Be careful when referencing tenor values from 360T.

• For Swaps,  the Far leg tenor is relative to the Near leg, rather than representing a date WRT Spot as per market convention:

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20200202-13:34:17.022155046 RX 8=FIX.4.4|9=555|35=R|34=118|49=360T_RFQ_TEST|52=20200202-13:34:16.959|56=MF_RFQ_TEST|131=35490095-MarketFactory.TEST|828=65|6215=6M|6216=1M|7070=20200205|7611=2|14001=5|14003=3|146=1|55=EUR/USD|48=EZHPPZCSQSC8|22=4|454=2|455=EZ0HL6Y6WL59|456=4|455=EZMBWZSKXQJ2|456=4|461=SFCXXP|167=FOR|537=1|54=1|38=1000000|64=20200805|193=20200908|192=1000000|15=EUR|1=MarketFactory Comp1.TEST|40=D|126=20200202-13:36:28.943|453=3|448=MarketFactory.TEST|447=D|452=35|448=MarketFactory Comp1.TEST|447=D|452=1|448=MFCOMP1.Treasurer1|447=D|452=11|553=MFCOMP1.Treasurer1|7071=FX-STD|7074=Y|10=089|

• Note also that in UAT at least, 360T Tenors via the Bridge are currently subject to change.

Block Pricing

When Whisperer receives a Block QuoteRequest from 360T, it needs to identify and net all allocations per value date leg, in order to determine and provide the overall LegSide in the Client QuoteRequest. All 360T Block requests are one-way.

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