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Libor transition

Tokyo Swap Rate


Refinitiv ceased Tokyo Swap Rate (for swaps referencing TIBOR®)

An overview of Tokyo Swap Rate

Refinitiv calculates and administers the Tokyo Swap Rate (TSR), a Japanese yen (JPY) interest rate swap (IRS) benchmark family, which is widely used in the valuation of swaptions, CMS, structured loans and notes, FRNs and private finance initiatives.

The Tokyo Swap Rate benchmarks are published on each business day in Japan at 10:30 and 15:30 Tokyo time.

Following the UK Financial Conduct Authority’s (FCA’s) 5 March 2021 announcement all JPY LIBOR settings have ceased. To support the market transition away from LIBOR, Refinitiv introduced Tokyo Swap Rate (for swaps referencing TONA) and Tokyo Swap Rate Fallback.

The Tokyo Swap Rate (for swaps referencing TONA) supports the TONA market convention and for market participants that elect to use it, Tokyo Swap Rate Fallback is designed to support the continuation of contracts referencing Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from London banks) which mature after the end of December 2021.

The Tokyo Swap Rate (for swaps referencing TONA) settings are based primarily upon dealer-to-client quotes in spot starting TONA OIS from the Tradeweb platform. The data is collected during a 20-minute window centred on 10:00 (Tokyo time) in the morning and 14:40-15:00 (Tokyo time) in the afternoon and published at 10:30 (Tokyo time) and 15:30 (Tokyo time) respectively. In the event of low liquidity Refinitiv use spot starting TONA OIS rates from (i) two inter-dealer brokers (Tradition and TP ICAP), (ii) Tradeweb (composite indicative rates) and (iii) any unused executable dealer-to-client quotes from Tradeweb collected during the same windows.

The Tokyo Swap Rate Fallback is derived from the Tokyo Swap Rate (for swaps referencing TONA) together with a constant spread adjustment in line with feedback from industry consultation, which is consistent with the methodology proposed by national working groups. The fallback settings are available in tenors from 1-year to 40-years and published at the same time as the Tokyo Swap Rate (for swaps referencing TONA) settings.

Tokyo Swap Rate (for swaps referencing TONA) and Tokyo Swap Rate Fallback are production benchmarks administered by Refinitiv Benchmark Services (UK) Limited (RBSL) in compliance with the UK Benchmark Regulation and can be used in financial contracts.

Calculation and publication of all tenors of Tokyo Swap Rate (for swaps referencing TIBOR®) permanently ceased immediately following the final publication at 15:30 (Tokyo time) on Friday 31 March 2023. For further details about Tokyo Swap Rate (for swaps referencing TIBOR®), please review the press release or contact Refinitiv.

Features & benefits

What you get with Tokyo Swap Rate

  • Well established and widely used
  • Tokyo Swap Rate (for swaps referencing TONA) supports new market conventions
  • Tokyo Swap Rate Fallback settings ensure on-going support for legacy contracts


© 2021 Refinitiv, an LSEG business. All rights reserved.

From 1 April 2022 if you have not signed up to a licensing agreement with Refinitiv for the use of and Tokyo Swap Rate Fallback and Tokyo Swap Rate (for swaps referencing TONA) (“TSR”) you will be unable to use it for any purpose whatsoever including but not limited to commercial use whether as a reference rate in financial instruments, financial contracts or for valuation and pricing activities, or as an input into a benchmark or an index or otherwise.

Refinitiv Limited, its affiliates (“Refinitiv”) and its third party providers (together “Refinitiv and Third Parties”) do not guarantee the quality, accuracy and/or completeness of the TSR or any data included therein. Refinitiv and Third Parties make no express or implied warranties, representations or guarantees concerning the accuracy or completeness of the TSR or as to the results to be obtained by you, or any other person or entity from the use of the TSR or any data included therein. In no event shall Refinitiv and Third Parties have any liability for any loss of profits, special, punitive indirect, incidental or consequential relating to any use of the TSR.

Bloomberg ISDA spread adjustments are used as an input into the TSR. BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. ("BFLP"). ISDA is a trademark and service mark of the International Swaps and Derivatives Association, Inc. ("ISDA"). Bloomberg Index Services Limited ("BISL" and, collectively with BFLP and their affiliates, "Bloomberg") maintains and calculates the ‘fallback’ data comprising the 'all in' fallback rates and their component parts, the adjusted ‘risk-free’ reference rates and the spread adjustment (collectively with any other data or information relating thereto or contained therein, the “Fallback Data") under an engagement between BISL and ISDA. Neither Bloomberg nor ISDA guarantees the timeliness, accurateness, completeness of, or fitness for a particular purpose with respect to, the Fallback Data and each shall have no liability in connection with the Fallback Data. Without limiting the foregoing, neither Bloomberg nor ISDA makes any representations regarding whether the Fallback Data would be appropriate for derivative or non-derivative financial instruments, including derivatives transacted outside of standard ISDA documentation and related protocols. Market participants are encouraged to consider and analyze the details of the Fallback Data and determine independently whether they would be appropriate for any such use.

TIBOR ® is a registered trademark of the Federation of Bankers Associations of Japan, registration number 4115624.

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