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

16 August 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 1W

ISDA

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

Production

01/10/2021

Testing

17/08/2021

EUR-EuroSTR Average 1M

ISDA

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

Production

01/10/2021

Testing

 

17/08/2021

EUR-EuroSTR Average 3M

ISDA

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

Production

01/10/2021

Testing

17/08/2021

EUR-EuroSTR Average 6M

ISDA

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

 

Production

01/10/2021

Testing

17/08/2021

EUR-EuroSTR Average 12M

ISDA

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

Production

01/10/2021

Testing

17/08/2021

EUR-EuroSTR Compounded Index

ISDA

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

Production

01/10/2021

Testing

17/08/2021

GBP-SONIA ICE Term

ISDA

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

Production

01/10/2021

Testing

17/08/2021

GBP-SONIA Refinitiv Term

ISDA

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

Production

01/10/2021

Testing

17/08/2021

HKD-HIBOR-HIBOR=

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-HIBOR-HIBOR=" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-HIBOR-HIBOR-Bloomberg

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-HIBOR-HIBOR-Bloomberg" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-Quarterly-Annual Swap Rate-4:00-BGCANTOR

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-Quarterly-Annual Swap Rate-4:00-BGCANTOR" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-Quarterly-Annual Swap Rate-11:00-BGCANTOR

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-Quarterly-Annual Swap Rate-11:00-BGCANTOR" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-Quarterly-Annual Swap Rate-11:00-TRADITION

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-Quarterly-Annual Swap Rate-11:00-TRADITION" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-Quarterly-Annual Swap Rate-Reference Banks

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-Quarterly-Annual Swap Rate-Reference Banks" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-Quarterly-Quarterly Swap Rate-4:00-ICAP

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-Quarterly-Quarterly Swap Rate-4:00-ICAP" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-Quarterly-Quarterly Swap Rate-11:00-ICAP

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-Quarterly-Quarterly Swap Rate-11:00-ICAP" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

HKD-Quarterly-Quarterly Swap Rate-Reference Banks

ISDA

code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.Deprecated usage: "HKD-Quarterly-Quarterly Swap Rate-Reference Banks" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

IDR-Semi Annual Swap Rate-Non-deliverable-16:00-Tullett Prebon

ISDA

Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

JPY-TONA Average 30D

ISDA

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

Production

01/10/2021

Testing

17/08/2021

JPY-TONA Average 90D

ISDA

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

Production

01/10/2021

Testing

17/08/2021

JPY-TONA Average 180D

ISDA

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

Production

01/10/2021

Testing

17/08/2021

JPY-TONA Compounded Index

ISDA

 

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

Production

01/10/2021

Testing

17/08/2021

MXN-TIIE-Banxico-Reference Banks

ISDA

Deprecated usage: MXN-TIIE-Banxico-Reference Banks. It was added to FpML in error, MXN-TIIE-Reference Banks should be used instead.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

MXN-TIIE-Reference Banks

ISDA

 

Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

NOK-NIBOR-NIBR-Bloomberg

ISDA

 

Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

NOK-NIBOR-NIBR-Reference Banks

ISDA

Deprecated usage: NOK-NIBOR-NIBR-Reference Banks. It was added to FpML in error, NOK-NIBOR-Reference Banks should be used instead


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

NOK-NOWA-OIS Compound

ISDA

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

Production

01/10/2021

Testing

17/08/2021

PHP-PHIREF-BAP

ISDA

code has been deprecated in supplement 45 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.Deprecated usage: "PHP-PHIREF-BAP" code has been deprecated in supplement 45 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

THB-Semi-Annual Swap Rate-11:00-BGCANTOR

ISDA

code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.Deprecated usage: "THB-Semi-Annual Swap Rate-11:00-BGCANTOR" code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

THB-Semi-Annual Swap Rate-Reference Banks

ISDA

code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.Deprecated usage: "THB-Semi-Annual Swap Rate-Reference Banks" code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

USD-AMERIBOR Term Structure

ISDA

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

Production

01/10/2021

Testing

17/08/2021

USD-SIBOR-SIBO

ISDA

code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.Deprecated usage: "USD-SIBOR-SIBO" code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.


Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.

Production

01/10/2021

Testing

17/08/2021

USD-SOFR Average 30D

ISDA

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

Production

01/10/2021

Testing

17/08/2021

USD-SOFR Average 90D

ISDA

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

Production

01/10/2021

Testing

17/08/2021

USD-SOFR Average 180D

ISDA

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

Production

01/10/2021

Testing

17/08/2021

USD-SOFR Compounded Index

ISDA

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

Production

01/10/2021

Testing

17/08/2021


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:16 August 2021