From the Collaborative Bond and Money Market Data Portal

In the Collaborative Bond and Money Market Data Model, the attribute "Floating Rate" appears both in the field Coupon Type and Category or Structure.

Dictionary definition: Floating Rate Benchmarks are published reference interest rates used to reset the coupon on floating-rate instruments and related contracts at agreed intervals. They provide the variable base rate in the pricing formula, with the final coupon typically set as benchmark plus or minus a fixed spread. Economically, the benchmark transfers short-term interest-rate movements into the cash flows of the instrument, so investor income and issuer funding cost move with market rates rather than staying fixed. In current market practice, these benchmarks are usually either interbank offered rates such as EURIBOR or overnight risk-free rates such as SOFR, SONIA, and €STR, depending on currency, product type, and documentation standards.business.

For traders and investors, this field helps identify which market rate drives repricing risk, income variability, hedge alignment, and fallback risk if the benchmark is reformed or discontinued. In practical terms, two floating-rate notes may have similar maturities and spreads but materially different behaviour if one references 3‑month EURIBOR and the other compounded SOFR, because reset mechanics, liquidity, and basis risk can differ.

Typical floating rate benchmarks used in bond and money markets include:

• USD benchmarks:

  • SOFR – Secured Overnight Financing Rate (USD overnight nearly risk‑free rate, replacing USD LIBOR in most new contracts).

  • Term SOFR – Forward-looking term settings derived from SOFR for loan and some securitisation use cases.

• GBP benchmarks:

  • SONIA – Sterling Overnight Index Average (GBP overnight nearly risk‑free rate, replacing GBP LIBOR).

  • Term SONIA – Forward‑looking SONIA‑based term rates used under specific UK use‑case guidance.

• EUR benchmarks:

  • €STR – Euro Short‑Term Rate, the euro overnight nearly risk‑free rate that has replaced EONIA.

  • EURIBOR – Euro Interbank Offered Rate, a term unsecured benchmark still widely used for EUR loans and FRNs after methodology reform.

• CHF benchmarks:

  • SARON – Swiss Average Rate Overnight, the CHF nearly risk‑free rate that has replaced CHF LIBOR.

• JPY benchmarks:

  • TONA / TONAR – Tokyo Overnight Average Rate, the JPY overnight nearly risk‑free rate used as the primary replacement for JPY LIBOR.

• AUD benchmarks:

  • AONIA – AUD Overnight Index Average, the AUD overnight nearly risk‑free rate used in place of BBSW for some derivatives and cash products.

  • CAD benchmarks:

  • CORRA – Canadian Overnight Repo Rate Average, the CAD overnight nearly risk‑free rate replacing CDOR in many contracts.

• Other RFRs commonly seen in cross‑border issuance and swaps:

  • SORA – Singapore Overnight Rate Average (SGD).

  • HONIA – Hong Kong Dollar Overnight Index Average (HKD).

  • THOR – Thai Overnight Repurchase Rate (THB).

  • NZIONA – New Zealand Overnight Index Average (NZD).

Legacy IBORs (for example reformed EURIBOR, or remaining local term IBORs) may still appear in documentation, but regulatory benchmark reform has shifted most new issuance and hedging activity toward overnight nearly risk‑free rates and associated term benchmarks where permitted.fsb+1

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