Refinitiv releases regulated Tokyo Swap Rate

Refinitiv revealed today the launch of Tokyo Swap Rate (for swaps referencing TONA). This is a new version of Tokyo Swap Rate, the Japanese yen (JPY) interest rate swap (IRS) benchmark family.

The UK regulator FCA announced that after 31 December 2021 all Japanese Yen LIBOR settings, would cease to be published in their current form.

With the introduction of the new production Tokyo Swap Rate benchmark, the London Stock Exchange Group owned company aims to support the market transition away from LIBOR and adopt new market conventions.

Refinitiv stated:

The production benchmark is administered by Refinitiv Benchmark Services (UK) Limited (RBSL) in compliance with the UK Benchmark Regulation and is available in tenors from 1-year to 40-years based upon dealer-to-client quotes in centrally cleared spot starting TONA OIS. Refinitiv source the primary data from Tradeweb and the secondary data from TP ICAP. The data is collected during 20-minute windows shortly before publication at 10:30 (Tokyo time) and 15:30 (Tokyo time) daily.


Jacob Rank-Broadley, Head of LIBOR Transition, Benchmarks & Indices at LSEG, said:

Jacob Rank-Broadley, Refinitiv

Jacob Rank-Broadley

As the global financial markets migrate away from LIBOR, the launch of our Tokyo Swap Rate (for swaps referencing TONA) serves as a critical step to facilitate this transition to the new market convention. Now more than ever the industry requires robust and transparent rates that are administered by an experienced provider and subject to the highest regulatory standards, so markets can continue to function and grow even during periods of great uncertainty and stress.

The new benchmark is accessible on Refinitiv products Workspace, Eikon, DataScope and Refinitiv Real-Time. Firms can immediately start using it in financial contracts and production systems.

According to the official announcement, Refinitiv are using Tokyo Swap Rate with a constant spread adjustment in line with feedback from industry consultation to produce prototype Tokyo Swap Rate Fallback settings. They are also 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 Fallback settings will stay in this prototype status until the end of 2021 become a production benchmark in the beginning of next year.

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