December 10, 2021
Refinitiv to cease Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) and launch regulated Tokyo Swap Rate Fallback
Tokyo / London – Refinitiv today announced that it will cease the publication of both morning and afternoon settings of Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks), as published on <17143> and other RICs, for all tenors via all delivery channels. The final publication will be the afternoon settings at 15:30 (Tokyo time) on 30 December 2021 prior to the Japanese market holiday on 31 December 2021.
Following the FCA’s announcement on 5 March 2021 regarding the future cessation and loss of representativeness of JPY LIBOR and an industry consultation process, Refinitiv does not expect panel banks to continue contributing to Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) after the end of the year.
Users of Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) should take into account this cessation notice and ensure their contractual and other arrangements linked to the benchmark contain appropriate and robust fallback plans or other arrangements to address the cessation.
Following the publication of Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) afternoon settings on 30 December 2021 the page <17143> will display the final published rates and the notice “Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) has now ceased. Users may want to consider using Tokyo Swap Rate (for swaps referencing TONA) or Tokyo Swap Rate Fallback.” The other RICs will display the final published rates without the notice. Three months after Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) cessation the RICs and pages shown in the table below will be removed from Refinitiv products.
Since October 2021, Refinitiv has been publishing Tokyo Swap Rate (for swaps referencing TONA) which is designed for use in financial contracts and adopts the new TONA market convention. This benchmark is available in tenors 1-40 years and is published in the morning and afternoon at the same times as the current Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks).
Refinitiv today announced that on 4 January 2022 Tokyo Swap Rate Fallback will become a production benchmark administered by Refinitiv Benchmark Services (UK) Limited (RBSL).
For market participants that elect to use it, the rate is designed to support the continuation of contracts referencing Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) post cessation in all tenors except 35 years.
There is no Tokyo Swap Rate Fallback for the 35-year tenor. Tokyo Swap Rate Fallback is based on Tokyo Swap Rate (for swaps referencing TONA) and a static spread adjustment. Tokyo Swap Rate Fallback is published on distinct RICs from Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) so users will need to take actions to ensure they source the Tokyo Swap Rate Fallback data.
RICs and pages subject to cessation
| Tenor | Tokyo Swap Rate AM | Tokyo Swap Rate PM |
|---|---|---|
| All tenors (AM&PM) | 17143 | 17143 |
| All tenors | JPYTSRA= | JPYTSRP= |
| 1-Year | JPYTSRA1Y= | JPYTSRP1Y= |
| 18-Months | JPYTSRA18M= | JPYTSRP18M= |
| 2-Years | JPYTSRA2Y= | JPYTSRP2Y= |
| 3-Years | JPYTSRA3Y= | JPYTSRP3Y= |
| 4-Years | JPYTSRA4Y= | JPYTSRP4Y= |
| 5-Years | JPYTSRA5Y= | JPYTSRP5Y= |
| 6-Years | JPYTSRA6Y= | JPYTSRP6Y= |
| 7-Years | JPYTSRA7Y= | JPYTSRP7Y= |
| 8-Years | JPYTSRA8Y= | JPYTSRP8Y= |
| 9-Years | JPYTSRA9Y= | JPYTSRP9Y= |
| 10-Years | JPYTSRA10Y= | JPYTSRP10Y= |
| 12-Years | JPYTSRA12Y= | JPYTSRP12Y= |
| 15-Years | JPYTSRA15Y= | JPYTSRP15Y= |
| 20-Years | JPYTSRA20Y= | JPYTSRP20Y= |
| 25-Years | JPYTSRA25Y= | JPYTSRP25Y= |
| 30-Years | JPYTSRA30Y= | JPYTSRP30Y= |
| 35-Years | JPYTSRA35Y= | JPYTSRP35Y= |
| 40-Years | JPYTSRA40Y= | JPYTSRP40Y= |
For more information about the Tokyo Swap Rate, please visit here.
Refinitiv has many years’ experience designing, calculating, governing, administering and publishing financial benchmarks that lie at the heart of the global financial system. For more information about Refinitiv benchmarks, visit here.
About Refinitiv
Refinitiv, an LSEG (London Stock Exchange Group) business, is one of the world’s largest providers of financial markets data and infrastructure. With more than 40,000 customers and 400,000 end users in approximately 190 countries, Refinitiv is powering participants across the global financial marketplace. We provide information, insights, and technology that enable customers to execute critical investing, trading and risk decisions with confidence. By combining a unique open platform with best-in-class data and expertise, we connect people with choice and opportunity – driving performance, innovation and growth for our customers and partners.
Contacts
Lemuel Brewster
Refinitiv, London Stock Exchange Group
Communications Director
Mobile +1 (917) 805-1089
Lemuel.brewster@refinitiv.com
Silke Marsh
Refinitiv, London Stock Exchange Group
Director, Communications, Asia Pacific
Mobile +65 9793 4140
Silke.marsh@refinitiv.com
