TR Question 53: Reporting of reference rates not included in Regulation (EU) 2017/105 [last update 20 May 2021]
To ensure consistency of reporting, it is important to clarify how the counterparties should report derivatives based on reference rates that are not included explicitly in the Regulation (EU) 2017/105, such as €STR? In particular:
(a) How the fields related to floating rate should be populated?
(b) How the fields related to underlying should be populated?
(c) Specifically, in the case of outstanding derivative contracts referencing EONIA, should the coun-terparties report to the TRs when change the reference rate from EONIA to €STR? How the coun-terparties should report in other similar scenarios, e.g. in the case of transition from LIBOR to risk-free rates?
(d) In the case of derivatives that are identified with an ISIN, should the counterparties modify also the field 2.6 Product ID?
TR Answer 53
(a) At the time the Regulation (EU) 2017/105 was developed, €STR was not yet available, therefore the list of standardised codes for reporting of floating rate specified in this Regulation (for the fields 2.55 Floating rate of leg 1 and 2.58 Floating rate of leg 2) does not provide the code for reporting of this reference rate. Consequently, the counterparties need to use the free-text field to report €STR.