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
EUR-EuroSTR Average 1W
EUR-EuroSTR Average 3M
EUR-EuroSTR Average 6M
EUR-EuroSTR Compounded Index
GBP-SONIA ICE Term
GBP-SONIA Refinitiv Term
INR-Modified MIFOR
JPY-TONA Average 180D
JPY-TONA Average 30D
JPY-TONA Average 90D
JPY-TONA Compounded Index
JPY-TORF QUICK
USD-AMERIBOR Term Structure
USD-SOFR Average 180D
USD-SOFR Average 30D
USD-SOFR Average 90D
USD-SOFR CME Term
USD-SOFR Compounded Index
JPY-TONA TSR-10:00
19/11/2021
JPY-TONA TSR-15:00
USD-CRITR
USD-SOFR ICE Swap Rate
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.