Submitter Withdrawals Trigger Tokyo Swap Rate Amendment

Refinitiv has announced that it will amend the methodology of Tokyo Swap Rate (for swaps referencing Tibor) as the existing methodology for publication is not viable beyond the end of January due to a rapid withdrawal of banks contributing to the rate.

On 19 January 2022 the firm 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 says it 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 Tone) and 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,” Refinitiv says. “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.”