Refinitiv publishes consultation paper on Tokyo Swap Rate benchmarks
Refinitiv today announced the publication of a consultation paper regarding the Tokyo Swap Rate benchmarks.
Refinitiv administers Tokyo Swap Rate, a Japanese yen (JPY) interest rate swap (IRS) benchmark family, which is used in the valuation of swaptions, CMS, structured loans and notes, FRNs and private finance initiatives.
The consultation paper seeks feedback from market participants on three topics: a proposed cessation plan for Tokyo Swap Rate (for swaps referencing TIBOR), a D-TIBOR version of Tokyo Swap Rate and publication of a benchmark value following issuance of a “no fix” for Tokyo Swap Rate (for swaps referencing TONA) and Tokyo Swap Rate Fallback. This consultation paper is not a cessation notice for Tokyo Swap Rate (for swaps referencing TIBOR).
Refinitiv welcomes industry feedback on the topics covered in the consultation paper prior to 12:00 (UK time) on 14 September 2022.
Jacob Rank-Broadley, Head of LIBOR Transition, Benchmarks & Indices at Refinitiv, said:
“Refinitiv welcomes industry feedback on proposed changes to Tokyo Swap Rate in order to ensure the benchmark continues to be aligned with the needs of its users.”