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Rate Change Reporting Including Risk Free Rates

Rate Change Reporting Including Risk Free Rates


Status: Best Practice Finalised, Last Updated: 28/09/2021

When there is a reference rate changes (e.g. EONIA switch), how should the change be reported on outstanding SFTs?

Best Practice:
In an example such as the EONIA rate switch, which is not currently covered by an industry protocol, if the rate change is not covered by parties confirmation it is recommended parties agree with each other upfront and in writing on the ways to process the rate reference change.

Outstanding trades reported under SFTR should be amended as follows:
1. Send a MODI report amending Field 2.59 (Floating Rebate Rate) of the current trade on the effective date of the new rate, keeping the same UTI.
2. Otherwise, if both parties mutually agree up front on the termination of the existing trade indexed on the legacy rate, followed by reporting a new trade with a new UTI indexed with the new reference rate. This option would translate into an ETRM action type on the legacy trade followed by a NEWT action type with a new UTI and a new reference rate (fields rebate rate & spread).

This agreement is explicitly agreed / 'recorded' up front with the counterparty ahead of the events.

In the case of other alternative rates not covered by ISDA protocol or a confirmation, parties should send an action type MODI on existing trades in order to keep the same UTI, unless there is a bilateral agreement between parties to do otherwise.

All new rates should be reported using the assigned 4-letter code assigned to the new rate within the ISO20022 standard, to the extent that a code is available. For example, €STR should be reported with "ESTR". Full list of specified codes can be found here. (SFTR-444)


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