Refinitiv Launches New Yen Reference Rate

With the deadline for the shift away from Japanese yen Libor fast approaching, Refinitiv has unveiled Tokyo Swap Rate (for swaps referencing Tona) – a new version of Tokyo Swap Rate, the yen interest rate swap benchmark family.

On 5 March 2021, the UK’s Financial Conduct Authority announced that all yen Libor settings, would cease to be published in their current form immediately following 31 December 2021.

The production benchmark is administered by Refinitiv Benchmark Services in compliance with the UK Benchmark Regulation and is available in tenors from one- to 40-years based upon dealer-to-client quotes in centrally cleared spot starting Tokyo Overnight Average rate  OIS. Refinitiv sources 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 and 15:30 (Tokyo time) daily.

“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,: says Jacob Rank-Broadley, head of Libor transition, benchmarks and indices at LSEG, which owns Refinitiv. “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.”

Refinitiv says it is using the new reference rate together with a constant spread adjustment in line with feedback from industry consultation to produce prototype Tokyo Swap Rate Fallback settings. The fallback settings are also available in tenors from one- to 40-years and published at the same time as the Tokyo Swap Rate (for swaps referencing Tona) settings. The new Fallback settings will remain in prototype status until the end of the year when it will become a production benchmark for the start of 2022.