Fields relating to index rates

Question

(a) How should fields relating to index rates (‘Current Interest Rate Index’, ‘Current Interest Rate Index Tenor’, etc.) be completed for fixed-rate arrangements? (b) If the interest rate index is tracking a central bank policy rate or single variable rate, would the Current Interest Rate Index Tenor be classified as ‘OTHR’ (representing ‘Other’)? (c) How should fields relating to the index be completed when the applicable index rate is in negative territory and a contractual floor applies?

European Securities and Markets Authority · Accepted Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.2.9] (a) These fields should be completed with ‘ND5’ (‘Not applicable’). (b) These fields should also be completed with ‘ND5’ (‘Not applicable’), insofar as these indices do not have a tenor in the same manner as other interest rate indices and, therefore, these fields are not applicable. (c) Even in these situations, the contractual floor must be disregarded and the index provided. The contractual floor is reflected in other fields in the templates (i.e. RREL49; CREL119; CRPL59; AUTL46; CMRL43; LESL42; ESTL44).

Fields relating to index rates

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