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Update of the floating rate indices effective on 01-Dec-2021

18 October 2021

Dear Participants,

Please note that the following update(s) of the floating rate indices will be supported in the HKTR system.


Code

Source

Description

Effective Date (DD/MM/YYYY)

EUR-EuroSTR Average 12M

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

EUR-EuroSTR Average 1M

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

EUR-EuroSTR Average 1W

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

EUR-EuroSTR Average 3M

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

EUR-EuroSTR Average 6M

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

EUR-EuroSTR Compounded Index

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

GBP-SONIA ICE Term

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

GBP-SONIA Refinitiv Term

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

INR-Modified MIFOR

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

JPY-TONA Average 180D

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

JPY-TONA Average 30D

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

JPY-TONA Average 90D

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

JPY-TONA Compounded Index

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

JPY-TORF QUICK

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

USD-AMERIBOR Term Structure

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

USD-SOFR Average 180D

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

USD-SOFR Average 30D

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

USD-SOFR Average 90D

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

USD-SOFR CME Term

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021

USD-SOFR Compounded Index

ISDA

Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/12/2021

Testing

19/10/2021


The full list of coding schemes and enumerations supported in the HKTR system is documented in the AIDG Appendix F available on this HKTR Info Page website. You may also use the “View Coding Scheme” function on the TR System to view the list of floating rate indices supported on the enquiry date. Thank you.

Last revision date:18 October 2021