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January 31, 2022

Refinitiv to revise Tokyo Swap Rate (for swaps referencing TIBOR®) methodology

Tokyo / London – Refinitiv today announced that it will amend the methodology of Tokyo Swap Rate (for swaps referencing TIBOR®).

The publication of Tokyo Swap Rate (for swaps referencing TIBOR®) using the existing methodology is not viable beyond the end of January due to a rapid withdrawal of banks contributing to the rate. On 19 January 2022 Refinitiv issued a consultation paper to collect feedback on the level of use of Tokyo Swap Rate (for swaps referencing TIBOR®) and the approach for an orderly cessation. In response to consultation feedback and to support users, Refinitiv will make material changes to the current methodology to ensure continuity of publication.

Effective 1 February 2022, the fallback procedure in the methodology will be updated to allow publication of the rate based on Tokyo Swap Rate (for swaps referencing TONA) plus a spread adjustment. The spread adjustment will be equal to the trimmed average difference between Tokyo Swap Rate (for swaps referencing TONA) and Tokyo Swap Rate (for swaps referencing TIBOR®) for the 10 business days prior to 31 January 2022.

The revised methodology is designed to support continued publication of the rate on a temporary basis whilst users implement their robust written fallback plans or other arrangements for alternatives. This is not a cessation notice for Tokyo Swap Rate (for swaps referencing TIBOR®). Refinitiv plans to issue a cessation notice for Tokyo Swap Rate (for swaps referencing TIBOR®) in due course.

From 1 February 2022, users of Tokyo Swap Rate (for swaps referencing TIBOR®) will be able to access the revised rate through the existing identifiers.

RICs and pages that will publish the updated rate

Tenor Tokyo Swap Rate (for swaps referencing TIBOR®)
All tenors JPYTSRT= and 27143
1-Year JPYTSRT1Y=
18-Months JPYTSRT18M=
2-Years JPYTSRT2Y=
3-Years JPYTSRT3Y=
4-Years JPYTSRT4Y=
5-Years JPYTSRT5Y=
6-Years JPYTSRT6Y=
7-Years JPYTSRT7Y=
8-Years JPYTSRT8Y=
9-Years JPYTSRT9Y=
10-Years JPYTSRT10Y=

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.  For more information visit: www.refinitiv.com

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