Floating Rebate Rate

Field 2.59 | Matching Date: 2020-04-01 | Tolerance: Up to third digit after decimal. | Agent Lender Data Provision: No>

Status: Best Practice Finalised, Last Updated: 01/09/2021

Field 2.59 | Matching Date: 2020-04-01 | Tolerance: Up to third digit after decimal. | Agent Lender Data Provision: No

Description:
An indication of the reference interest rate used to calculate the rebate rate (rate agreed to be paid by the lender for the reinvestment of the cash collateral minus lending fee) paid by the lender of the security or commodity to the borrower (positive rebate rate) or by the borrower to the lender (negative rebate rate) on the balance of the provided cash collateral.

Best Practice:
If Field 2.73 (Collateralisation of Net Exposure) is populated with "FALSE", then one of either Field 2.58 (Fixed Rebate Rate) or Field 2.59 (Floating Rebate Rate) must be populated.

When floating, at least one code pertaining to the floating rebate rate shall be provided, of which there are 37 options (x4 alphabetical characters).

ESMA Final Report Reporting under Articles 4 and 12 SFTR: 06 January 2020

258. When reporting floating rates, counterparties should indicate the relevant rate and the applicable spread. Counterparties should update this information only when they agree to change the rate or the spread, but not on a daily basis.

For reference purposes please see Annex II: ICMA List of recommended codes for interest rate indexes to be used as below;

The following list consists of four-letter ISO codes for some of the short-term interest rate indexes that are or may be used as reference rates in the European repo market and recommended four-letter codes for such indexes where there is currently no ISO code.

The list also includes the most relevant of the indexes in the list in Annex I of the RTS on transaction reporting under SFTR. When used to determine a floating repo rate, these codes would be reported in Field 2.25 (Floating Rate)

• Australian Overnight Index Average (AONIA) - AONA

• Broad General Collateral Rate - BGCR

• CORRA Canadian Overnight Repo Rate Average - CORR

• Effective Fed Funds Rate - EFFR

• Euro Short Term Rate - ESTR*

• Overnight Broad Funding Rate - OBFR

• RepoFunds Rate Euro - RFRE

• RepoFunds Rate Germany - RFRD

• RepoFunds Rate France - RFRF

• RepoFunds Rate Italy - RFRI

• RepoFunds Rate Spain - RFRS

• RepoFunds Rate Netherlands - RFRN

• RepoFunds Rate Belgium - RFRB

• Sterling RepoFunds Rate - RFRU

• RONIA - RONA

• SARON - SARO

• SOFR - SOFR*

• SONIA - SONA*

• Singapore Overnight Rate Average - SORA

• STOXX GC Pooling EUR ON - GCPO

• STOXX GC Pooling EUR Extended ON - GPEO

• STOXX GC Pooling EUR TN - GCPT

• STOXX GC Pooling EUR Extended TN - GPET

• STOXX GC Pooling EUR SN - GCSN

• STOXX GC Pooling EUR Extended SN - GPSN

• STOXX GC Pooling EUR Funding Rate - GCFR

• STOXX GC Pooling EUR Deferred Funding Rate - GCDR

• STOXX GC Pooling EUR 1 Week - GC1W

• STOXX GC Pooling EUR 2 Weeks - GC2W

• STOXX GC Pooling EUR 1 Month - GC2M

• STOXX GC Pooling EUR 3 Months - GC3M

• STOXX GC Pooling EUR 6 Months - GC6M

• STOXX GC Pooling EUR 9 Months - GC9M

• STOXX GC Pooling EUR 12 Months - GC12

• Tri-Party General Collateral Rate - TPGR

• TOIS - TOIS

• TONAR - TONA

• ISO code. (SFTR-79)