MOVEFORWARDSTokyo Swap Rate
The industry challenge
Swap rate benchmarks measure the fixed leg of a swap and are used in the valuationof derivatives such as swaptions and CMS, as well as in structured loans and notes,
floating-rate notes and private finance initiatives. Japanese yen (JPY) (LIBOR) was usedwidely as reference rates in interest rate swaps.
Following the Financial Conduct Authority’s (FCA’s) 5 March 2021 announcement all JPY LIBOR settings have ceased.
Market conventions have changed in response to the LIBOR transition and overnight risk-free rates such as theTokyo Overnight Average rate (TONA) have become widely used.

An LSEG BusinessTokyo Swap Rate

Our offering
Tokyo Swap Rate (TSR) is a JPY interest rate swap (IRS)
benchmark family composed of Tokyo Swap Rate (for swaps
referencing TONA) and Tokyo Swap Rate Fallback.
The Tokyo Swap Rate (for swaps referencing TONA) settings
are based upon dealer-to-client quotes in spot starting TONAOIS from the Tradeweb® platform. The data is collected during
a 20-minute window centred on 10:00 in the morning (Tokyotime) and 14:40-15:00 (Tokyo time) in the afternoon. Every 30
seconds during the collection window, individual dealer quotes
are sampled, and subject to sufficient volume and a sufficiently
tight bid-offer spread, the mid rate of each dealer is calculated.
The final rate is the median of the mid rates. In the event of
low liquidity, Refinitiv use spot starting TONA OIS rates from (i)two inter-dealer brokers (TP ICAP and Tradition), (ii) Tradeweb(composite indicative rates) and (iii) any unused executabledealer-to-client quotes from Tradeweb collected during thesame windows.
The use of prepublication input data quality checks andadopting the median value protects against the risk of errors
and manipulation. The final rates are published in tenors from
one to 40 years at 10:30 (Tokyo time) and 15:30 (Tokyo time)
respectively.
Tokyo Swap Rate Fallback is also available in tenors from
one to 40 years. For market participants who elect to use
it, Tokyo Swap Rate Fallback is designed to support thecontinuation of contracts referencing Tokyo Swap Rate (forswaps referencing six-month JPY interbank offered rates from
London banks) which mature after the end of December 2021.

It is derived from the Tokyo Swap Rate (for swaps referencingTONA) together with a constant spread adjustment in line withfeedback from the industry consultation, which is consistent
with the methodology proposed by national working groups.
Tokyo Swap Rate (for swaps referencing TONA) and Tokyo
Swap Rate Fallback are production benchmarks administeredby Refinitiv Benchmark Services (UK) Limited (RBSL) incompliance with the UK Benchmark Regulation and can beused in financial contracts.

2Tokyo Swap Rate

How to access the rates
The Tokyo Swap Rates can be accessed through the full suite of Refinitiv products, including Refinitiv® Eikon, Refinitiv® Real-Timeand Refinitiv® Datascope.

TOKYO SWAP RATE(FOR SWAPS REFERENCINGTONA) AM

All tenors AM and PM

TOKYO SWAP RATE(FOR SWAPS REFERENCING
TONA) PMJPTSRTO=RFTBTOKYO SWAP RATEFALLBACK AMTOKYO SWAP RATEFALLBACK PM

JPTSRLF=RFTB

All tenors

JPTSRTOA=RFTBJPTSRTOP=RFTBJPTSRLFA=RFTBJPTSRLFP=RFTB

One year

JPTSRTOA1Y=RFTBJPTSRTOP1Y=RFTBJPTSRLFA1Y=RFTBJPTSRLFP1Y=RFTB

18 months

JPTSRTOA18M=RFTBJPTSRTOP18M=RFTBJPTSRLFA18M=RFTBJPTSRLFP18M=RFTB

Two years

JPTSRTOA2Y=RFTBJPTSRTOP2Y=RFTBJPTSRLFA2Y=RFTBJPTSRLFP2Y=RFTB

Three years

JPTSRTOA3Y=RFTBJPTSRTOP3Y=RFTBJPTSRLFA3Y=RFTBJPTSRLFP3Y=RFTB

Four years

JPTSRTOA4Y=RFTBJPTSRTOP4Y=RFTBJPTSRLFA4Y=RFTBJPTSRLFP4Y=RFTB

Five years

JPTSRTOA5Y=RFTBJPTSRTOP5Y=RFTBJPTSRLFA5Y=RFTBJPTSRLFP5Y=RFTB

Six years

JPTSRTOA6Y=RFTBJPTSRTOP6Y=RFTBJPTSRLFA6Y=RFTBJPTSRLFP6Y=RFTB

Seven years

JPTSRTOA7Y=RFTBJPTSRTOP7Y=RFTBJPTSRLFA7Y=RFTBJPTSRLFP7Y=RFTB

Eight years

JPTSRTOA8Y=RFTBJPTSRTOP8Y=RFTBJPTSRLFA8Y=RFTBJPTSRLFP8Y=RFTB

Nine years

JPTSRTOA9Y=RFTBJPTSRTOP9Y=RFTBJPTSRLFA9Y=RFTBJPTSRLFP9Y=RFTB

10 years

JPTSRTOA10Y=RFTBJPTSRTOP10Y=RFTBJPTSRLFA10Y=RFTBJPTSRLFP10Y=RFTB

12 years

JPTSRTOA12Y=RFTBJPTSRTOP12Y=RFTBJPTSRLFA12Y=RFTBJPTSRLFP12Y=RFTB

15 years

JPTSRTOA15Y=RFTBJPTSRTOP15Y=RFTBJPTSRLFA15Y=RFTBJPTSRLFP15Y=RFTB

20 yearsJPTSRTOA20Y=RFTBJPTSRTOP20Y=RFTBJPTSRLFA20Y=RFTBJPTSRLFP20Y=RFTB

25 years

JPTSRTOA25Y=RFTBJPTSRTOP25Y=RFTBJPTSRLFA25Y=RFTBJPTSRLFP25Y=RFTB

30 years

JPTSRTOA30Y=RFTBJPTSRTOP30Y=RFTBJPTSRLFA30Y=RFTBJPTSRLFP30Y=RFTB

40 years

JPTSRTOA40Y=RFTBJPTSRTOP40Y=RFTBJPTSRLFA40Y=RFTBJPTSRLFP40Y=RFTB

3

Tokyo Swap Rate

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Terms and conditions
2022 © Refinitiv. All rights reserved.
From 1 April 2022 if you have not signed up to a licensing agreement with Refinitiv for the use of and Tokyo Swap Rate Fallback and Tokyo Swap Rate (for swaps referencingTONA) (“TSR”) you will be unable to use it for any purpose whatsoever including but not limited to commercial use whether as a re-ference rate in financial instruments,
financial contracts or for valuation and pricing activities, or as an input into a benchmark or an index or otherwise.
Refinitiv Limited, its affiliates (“Refinitiv”) and its third party providers (together “Refinitiv and Third Parties”) do not guarantee the quality, accuracy and/or completenessof the TSR or any data included therein. Refinitiv and Third Parties make no express or implied warranties, representations or guarantees concerning the accuracy orcompleteness of the TSR or as to the results to be obtained by you, or any other person or entity from the use of the TSR or any data included therein. In no event
shall Refinitiv and Third Parties have any liability for any loss of profits, special, punitive indirect, incidental or consequential relating to any use of the TSR .
Bloomberg ISDA spread adjustments are used as an input into the TSR. BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. (“BFLP”). ISDA is atrademark and service mark of the International Swaps and Derivatives Association, Inc. (“ISDA”). Bloomberg Index Services Limited (“BISL” and, collectively with BFLP andtheir affiliates, “Bloomberg”) maintains and calculates the ‘fallback’ data comprising the ‘all in’ fallback rates and their component parts, the adjusted ‘risk-free’ reference
rates and the spread adjustment (collectively with any other data or information relating thereto or contained therein, the “Fallback Data”) under an engagement between
BISL and ISDA. Neither Bloomberg nor ISDA guarantees the timeliness, accurateness, completeness of, or fitness for a particular purpose with respect to, the Fallback
Data and each shall have no liability in connection with the Fallback Data. Without limiting the foregoing, neither Bloomberg nor ISDA makes any representations
regarding whether the Fallback Data would be appropriate for derivative or non-derivative financial instruments, including derivatives transacted outside of standard ISDA
documentation and related protocols. Market participants are encouraged to consider and analyze the details of the Fallback Data and determine independently whether
they would be appropriate for any such use.
TIBOR® is a registered trademark of the Federation of Bankers Associations of Japan, registration number 4115624.

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