Floating Rebate Rate Payment Frequency - Time Period

Field 2.62 | Matching Date: 2023-01-01 | Tolerance: None | Agent Lender Data Provision: No>

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

Field 2.62 | Matching Date: 2023-01-01 | Tolerance: None | Agent Lender Data Provision: No

Description:
Time period describing frequency of payments for the floating rebate rate.

Best Practice:
If Field 2.59 (Floating Rebate Rate) is populated, at least one code pertaining to the floating rebate rate payment frequency time period shall be provided, of which there are 4 options (x4 alphabetical characters), else the field should be left blank.

Fields 2.60 - Field 2.65 are only populated upon field 2.59 (Floating Rebate Rate) being populated.

For an example of a floating rebate rate payment frequency time period on a trade, see the following. If fees and rebates are paid:

Monthly
Field 2.62 = MNTH
Field 2.63 = 1

At the end of the trade and the trade has a term date
Field 2.62 = DAYS
Field 2.63 = X (being the number of days between the value date and the term date).

At the end of the trade and the trade does not have a term date
Field 2.62 = Month*
Field 2.63 = 1*

*It was acknowledged this is not correct however the values in Field 2.62 do not allow us to report this field correctly for open trades. We have asked ESMA for an additional value of "TERM" for Field 2.62 however; if this is not granted, the decision was to populate this field with "MNTH".

Time periods should be measured in weeks rather than days, months rather than weeks or days, and years rather than months, weeks or days, except if this would result in a fractional frequency, in which case, the immediately shorter time period should be used. (SFTR-82)