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Libor transition

Tokyo Swap Rate

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 family originally comprised of two types of IRS benchmarks with tenors from 1-year to 40-years. Tokyo Swap Rate benchmarks are determined using input data from a panel of banks and rates are published on each business day in Japan at 10:30 and 15:30 Tokyo time.

On 5 March 2021, the UK Financial Conduct Authority (FCA), the regulator of LIBOR, announced that most LIBOR currencies and tenors, including all Japanese Yen LIBOR settings, would cease to be published in their current form immediately following 31 December 2021.

As part of the LIBOR transition and subject to sufficient liquidity, Refinitiv anticipates that the Tokyo Swap Rate (as presented on Eikon page <17143> and other RICs) will cease publication immediately following 31 December 2021. A notice will be issued once this has been confirmed.

To support the market transition away from LIBOR, Refinitiv has introduced two new prototype versions: a Tokyo Swap Rate (for swaps referencing TONA) and Tokyo Swap Rate Fallback version.

The Tokyo Swap Rate (for swaps referencing TONA) is designed to support new market conventions and the fallback is intended for use by those market participants with legacy contracts which expire after 31-December 2021.

The prototype Tokyo Swap Rate (for swaps referencing TONA) settings are based 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. We expect to add data from major interdealer brokers as a secondary source to improve the robustness of the new settings prior to the production launch.

The prototype Tokyo Swap Rate Fallback settings are 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.

Following a short prototype period, to enable market participants to evaluate the rates and provide feedback, Refinitiv plans to release the Tokyo Swap Rate (for swaps referencing TONA) settings as production benchmarks. The prototype settings should not be used for any other purpose including as a reference, index or benchmark in financial instruments or financial contracts. The Tokyo Swap Rate Fallback settings will be released as production benchmarks at the start of 2022. The production benchmark will be administered by Refinitiv Benchmark Services (UK) Limited (RBSL) in compliance with the UK Benchmark Regulation.

Features & benefits

What you get with Tokyo Swap Rate

  • Well established and widely used – existing production benchmark settings are widely adopted in the market
  • New Tokyo Swap Rate (for swaps referencing TONA) settings are being introduced to support new market conventions
  • New Tokyo Swap Rate Fallback settings are being introduced to ensure on-going support for legacy contracts
  • Benchmark will be administered by Refinitiv Benchmark Services (UK) Limited (RBSL) to the highest regulatory standards


2021 © Refinitiv. All rights reserved. This is a prototype of the Tokyo Swap Rate (“Prototype TSR”) and is provided for informational purposes only. 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 Prototype 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 Prototype TSR or as to the results to be obtained by you, or any other person or entity from the use of the Prototype 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 Prototype TSR.

No information provided, displayed or contained in the Prototype TSR is intended to be, or should be construed or used as, a benchmark, whether as a reference rate in financial instruments, or financial contract; or for valuation and pricing activities ("Prohibited Use"). Whether you have entered into a contract with Refinitiv or not, you are not permitted to access or use in any way such information for the Prohibited Use and may breach the Benchmark Regulation and/or any contract with Refinitiv if you do. Refinitiv does not warrant that the Prototype TSR are provided in accordance with the Benchmark Regulation. "Benchmark Regulation" means, in respect of the EEA, EU Regulation 2016/1011, in respect of the UK, the UK benchmark regulation and in respect of another country, the equivalent legislation. If you are in any doubt about the meaning of Prohibited Use or your obligations under the Benchmark Regulation, you should seek professional advice.

Bloomberg ISDA spread adjustments are used as an input into the Prototype 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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Refinitiv DataScope is a strategic custom delivery platform that supports a full cross-asset offering for pricing, reference data, and derived analytics. Covering all major asset classes, including fixed income, equities, futures and options, money, funds, loans, CDS/IRS and OTC equity options, as well as corporate actions data, estimates, entity data and news, Refinitiv DataScope Select provides flexible extraction capabilities, including file customization, scheduling and trigger options, intraday snaps and third-party entitlements. Cross-platform support is available for data retrieval and includes a zero-footprint web interface, FTP connection (internet or private network (BT Radianz (MPLS) or Delivery Direct) and API internet client server. Fee-liable, subject to terms and conditions.

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