Reinvestment Rate

Field 4.11 | Matching Date: n/a | Tolerance: n/a>

Status: Best Practice Finalised, Last Updated: 26/04/2021

Field 4.11 | Matching Date: n/a | Tolerance: n/a

Description:
The average interest rate received on cash collateral reinvestment by the lender.

Best Practice:
If Field 4.6 (Type of Collateral Component) is populated with "CASH" a value (x11 numerical characters including up to x10 decimals) shall be provided, else the field should be left blank.

See Guidelines on reporting under Articles 4 and 12 SFTR 06 January 2020 - ESMA70-151-2703 :

416. Field 4.12 (Type of Reinvested Cash Investment) and Field 4.13 (Reinvested Cash Amount) should be broken down by currency of the cash collateral reinvested (Field 4.14). Since counterparties are expected to report a single reinvestment rate without a breakdown by currency, Field 4.11 (Reinvestment Rate) should be calculated as the weighted-average rate based on the Field 4.13 (Reinvested Cash Amount) following conversion into the reinvested cash currency (Field 4.14).

This will produce a meaningless rate, members should look to make a calculation that gives a result on a best efforts basis, utilising firms internal overnight treasury rates may be a practical solution. Further advocacy work with ESMA to produce ensure the rate is repeatable at a currency level is required. (SFTR-130)