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MT 362 Guidelines

1. Use of the Message

The message is sent to confirm:

  1. the fixing of the floating rate for one and only one calculation period, or for one compounding period only in the case of compounding swaps,

  2. the calculated interest for both a floating leg for that period and a fixed leg (sequences B and D),

  3. the amount(s) to be settled on the payment date for the same calculation period (sequences C and E). For compounding swaps, this is applicable only if there is an interest payment at the end of the compounding period.

The information included in the message relates to one payment date only, one MT 362 must not contain information related to multiple payment dates. An MT 362 sent for a payment date must contain the value 'NEWT' in field 22A. Only a change or a cancellation of a message already sent for the same payment date should contain AMND or CANC otherwise MTs 362 related to different payment dates will be chained.

For compounding swaps, the information included in the message relates to one compounding period only, one MT 362 must not contain information related to multiple compounding periods. An MT 362 sent for a new compounding period must contain the value 'NEWT' in field 22A. Only a change or a cancellation of a message already sent for the same compounding period should contain AMND or CANC otherwise MTs 362 related to different compounding periods will be chained.

For OIS trades, MTs 362 are exchanged only when an interest amount is calculated and the interest settled. The message is sent as soon as the calculation is made. The reset rate in the OIR leg of this message must contain the calculation rate: that is, the rate used to calculate the interest.

The message is used as follows when:

  1. The calculation/compounding periods for the two legs are different

    1. Floating leg

      For the fixing of the floating leg and the confirmation of the settlement amount, if applicable, one MT 362 is sent on the fixing date. This message contains either sequence B or D, never both. This message also contains either sequence C or E, never both.

      No message must be sent on the payment date as it will contain the same information as in the original message sent on the fixing date. For compounding swaps, in sequences B and D: the start date (field 30X) contains the start date of the compounding period and field 30F (and optionally field 30Q) the end date of the compounding period. Field 32H, interest amount contains the calculated interest for that period.

      For sequences C and E, when there is no payment at the end of the compounding period, field 32M, payment amount, contains the value 0, (zero) and the settlement instructions, that is, field 57a contains :57D:NONE.

      When the end date of the compounding period is a payment date, normal rules apply to field 32M.

      Timing: the message is sent on the fixing date.

    2. Fixed leg

      The calculated amount, and thus the settlement amount, is confirmed using one MT 362. This message contains either sequence B or D, never both. This message also contains either sequence C or E, never both. The reset rate field will contain the fixed rate. The spread is zero.

      Timing: the message is sent at the beginning of the calculation period.

  2. Some or all payment dates for the two legs are the same

    1. Same payment dates

      The MT 362 contains a floating leg including the reset rate and calculated interest (sequence B/D). Usually, when payment dates are the same, the interests are netted. Therefore, the message also contains a fixed leg with the fixed rate and calculated interest (sequence D/B). The information about the fixed payment is included to enable the reconstitution of the net amount. The two legs may contain different calculation periods, however the payment dates must be the same. The message must contain either sequence C or E to confirm the net interest.

      No message must be sent on the payment date as it will contain the same information as in the original message sent on the fixing date. When interests are settled gross we also recommend, for reconciliation purposes, to include the fixed leg for the same payment date (sequence D/B). The message will then contain both sequences C and E.

      Timing: the message is sent on the fixing date.

    2. Different payment dates

      For the non-common payment dates, the same applies as stated above (that is, the periods of the two legs are different).

2. Use of the sequences C/E and the repetitive payments block

The following is valid when payment dates coincide for the two legs.

Single currency interest rate swaps:

For cross currency interest rate swaps (always gross settled), the same applies as for the single currency swap. There is one more occurrence of the payments block when the principal, or part of it, is paid at the same time and is not netted with the interest but settled separately.

When interests are netted and the resulting amount is zero, either sequence C or E can be used.

3. Cancellation of a message

The MT 392 can also be used for cancellation. The following issues however, have to be considered:

4. Settlement Details

The table below shows how the different settlement parties involved in the deal can be identified .The table is presented from party A's point of view.

Whenever possible, users should use option A to identify institutions in these fields. Use of free text, that is, option D, except when used to specify recognized code words, is strongly discouraged. Option D not only precludes party B from matching and further processing the message automatically but also is contrary to the message text standards which state that option D is only to be used when no other option is available.

Note:  It is only necessary to quote an account number when multiple accounts are serviced for the same institution.

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