Page 141 - 《期货和衍生品行业监管动态》（2022年合集）

期货和衍生品行业监管动态

rate index from each of the fixed-to-floating swap, basis swap, and
forward rate agreement (FRA) classes, as applicable.

 Remove swaps denominated in Euro (EUR) that reference Euro

Overnight Index Average (EONIA) as a floating rate index from the

overnight index swap (OIS) class.

 Add to the OIS class:

 Swaps denominated in USD that reference the Secured

Overnight Financing Rate (SOFR) as a floating rate index with a

stated termination date range of 7 days to 50 years;

 Swaps denominated in EUR that reference the Euro

Short-Term Rate (€STR) as a floating rate index with a stated

termination date range of 7 days to 3 years;

 Swaps denominated in CHF that reference the Swiss
Average Rate Overnight (SARON) as a floating rate index with a

stated termination date range of 7 days to 30 years;

 Swaps denominated in JPY that reference the Tokyo

Overnight Average rate (TONA) as a floating rate index with a

stated termination date range of 7 days to 30 years; and

 Swaps denominated in Singapore dollar (SGD) that

reference the Singapore Overnight Rate Average (SORA) as a

floating rate index with a stated termination date range of 7 days to

10 years.

 Change the maximum stated termination date range for swaps

denominated in GBP that reference the Sterling Overnight Index

Average (SONIA) as a floating rate index in the OIS class to 50 years,
for a total termination date range of 7 days to 50 years.

 Effective July 1, 2023:

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