CORPORATEREFINITIV BENCHMARKSERVICES (UK) LIMITEDTOKYO SWAP RATE (FOR SWAPS REFERENCING TONA)
BENCHMARKTOKYO SWAP RATE FALLBACK BENCHMARKMETHODOLOGY

Effective Date: 17 June 2024

Last Review Date: 21 March 2024

Document Classification: Public

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

2Contents
INTRODUCTION ..............................................................................................................................................................31.
1.1

Overview ..........................................................................................................................................................................3

1.2

Benchmark Administrator .................................................................................................................................................3

1.3

Description of the Benchmarks .........................................................................................................................................3

1.4

Purpose of the Benchmark ...............................................................................................................................................4

1.5

Intended Readership ........................................................................................................................................................4

1.6

Document Publication.......................................................................................................................................................4
INPUT DATA ....................................................................................................................................................................52.
2.1

Tokyo Swap Rate (for Swaps Referencing TONA) Benchmark ........................................................................................5

2.2

Tokyo Swap Rate Fallback Benchmark ............................................................................................................................5
DETERMINATION OF THE BENCHMARKS ...................................................................................................................63.
3.1

Tokyo Swap Rate (for Swaps Referencing TONA) Benchmark ........................................................................................6

3.1.1

Waterfall Methodology ............................................................................................................................................6

3.1.2

Level One Determination ........................................................................................................................................6

3.1.3

Level Two Determination ........................................................................................................................................6

3.1.4

No Fix .....................................................................................................................................................................7

3.2

Tokyo Swap Rate Fallback Benchmark ............................................................................................................................7

3.3

Expert Judgment ..............................................................................................................................................................7
PUBLICATION AND REFIX POLICY ..............................................................................................................................84.
4.1

Publication ........................................................................................................................................................................8

4.2

Delayed Publication ..........................................................................................................................................................8

4.3

Refix Policy .......................................................................................................................................................................8

4.4

Publication RIC Identifiers ................................................................................................................................................94.4.1

Tokyo Swap Rate (for Swaps Referencing TONA) Benchmark RICs .....................................................................9

4.4.2

Tokyo Swap Rate Fallback Benchmark RICs .........................................................................................................9

BENCHMARK METHODOLOGY REVIEWS AND CHANGE PROCEDURES .............................................................. 11

5.
5.1

Review of the Methodology and Input Data Providers .................................................................................................... 11

5.2

Changes to the Methodology .......................................................................................................................................... 11

5.3

Objective of the Methodology ......................................................................................................................................... 11

5.4

Identification of Potential Limitations of the Benchmark .................................................................................................12
GOVERNANCE AND FURTHER INFORMATION ......................................................................................................... 13

6.
6.1

Benchmark Administrator ............................................................................................................................................... 13

6.2

Oversight Committee ...................................................................................................................................................... 13

6.3

Benchmark Manager ...................................................................................................................................................... 13

6.4

User Feedback ............................................................................................................................................................... 13

6.5

Further Information ......................................................................................................................................................... 13

7.
ANNEX

DISCLAIMER .................................................................................................................................................................14
CLIMATE RELATED DISCLOSURES ..................................................................................................................... 152024 © Refinitiv. All rights reserved. See disclaimer in Section 7.

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

3

1. INTRODUCTION
1.1

Overview
This document specifies the methodology (“Methodology”) of (i) the Tokyo Swap Rate1 (for swaps
referencing TONA) benchmark and (ii) the Fallback benchmark for the Tokyo Swap Rate (for swaps
referencing 6-month JPY interbank offered rates from London banks) (“TSR Fallback”).
This Methodology, the TSR (for swaps referencing TONA) benchmark and the TSR Fallback benchmark
are subject to the disclaimer in Section 7 below.

1.2

Benchmark Administrator
Refinitiv Benchmark Services (UK) Limited ("RBSL") is the Administrator of the TSR (for swaps referencing
TONA) benchmark and the TSR Fallback benchmark. RBSL is incorporated in England and Wales and is awholly owned subsidiary of Refinitiv Limited (“RL”), itself a wholly owned indirect subsidiary of London
Stock Exchange Group plc (“LSEG”).
RBSL is authorised and regulated in the UK by the Financial Conduct Authority ("FCA"), FCA Reference
Number 610678.
As Administrator, RBSL is responsible for collecting input data, determining and publishing thebenchmarks, and for all aspects of governance, oversight, compliance and integrity of the benchmarks.

1.3

Description of the Benchmarks
The TSR (for swaps referencing TONA) benchmark is calculated using a waterfall methodology comprising
two levels (“Level 1” and “Level 2”).
Level 1 is based on executable dealer-to-client quotes in spot starting TONA overnight index swap (OIS)
contracts from Tradeweb. The data is collected during a 20-minute window from 09:50 to 10:10 (Tokyotime) in the morning and 14:40-15:00 (Tokyo time) in the afternoon and published at 10:30 (Tokyo time)and 15:30 (Tokyo time) respectively. Use of Level 1 for the determination of each benchmark tenor isbased on a threshold for input data sufficiency.
Level 2 is based on rates for spot starting TONA OIS contracts from (i) two inter-dealer brokers (Tradition
and TP ICAP), (ii) Tradeweb (composite indicative rates) and (iii) any executable dealer-to-client quotes
from Tradeweb that, when considered alone, are insufficient to reach the threshold for Level 1. Use of
Level 2 for determination of each benchmark tenor is based on a threshold for input data sufficiency.
The benchmark comprises the following tenors: 1 year, 18 months, 2-10 years, 12 years, 15 years, 20
years, 25 years, 30 years and 40 years.

1 “Tokyo Swap Rate” is abbreviated as “TSR” throughout this Methodology

An LSEG BusinessTOKYO SWAP RATE METHODOLOGYThe TSR Fallback benchmark is derived from the TSR (for swaps referencing TONA) benchmark using a
constant spread adjustment. The TSR Fallback benchmark is published at the same time and with thesame tenors as the TSR (for swaps referencing TONA) benchmark.

1.4

Purpose of the Benchmark
The purpose of the TSR (for swaps referencing TONA) benchmark is to provide a representative
benchmark rate for Japanese yen (JPY) OIS contracts that reference TONA.
The purpose of the TSR Fallback benchmark is to provide a fallback rate for legacy financial products thatcurrently reference the Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from
London banks) for use after the cessation or non-representativeness of JPY LIBOR by stakeholders thatelect to use it.

1.5

Intended ReadershipThis document is intended for Stakeholders of the Benchmark.

1.6

Document Publication
This document is available on the Refinitiv website and on request. In the event of any discrepancies the
English language version takes precedence.

An LSEG Business

4

TOKYO SWAP RATE METHODOLOGY

5

2. INPUT DATA
2.1

Tokyo Swap Rate (for Swaps Referencing TONA) Benchmark
Input data for Level 1 of the TSR (for swaps referencing TONA) benchmark is taken from a dealer-to-client
trading platform, Tradeweb. Input data comprises quotes from each dealer captured every 30 seconds over
20 minute windows from 09:50 to 10:10 Tokyo time for the morning setting and 14:40 to 15:00 Tokyo time
for the afternoon setting. The precise time of capture within each 30 second period varies. Quotes arecaptured 40 times over each 20 minute window.
Quotes are captured for spot starting TONA OIS contracts cleared by the Japan Securities Clearing
Corporation (JSCC) in respect of each tenor of the Benchmark.
The dealer-to-client platform has been selected as source of input data as it involves a representative
number of dealers active in the market for TONA OIS contracts. The Level 1 input data is therefore
sufficient to represent accurately and reliably the market for TONA OIS contracts.
Input data for Level 2 of the Benchmark comprises indicative rates for spot starting TONA OIS contracts
cleared by the JSCC taken from two inter-dealer brokers (Tradition and TP ICAP) and Tradeweb(composite rates). In addition, any dealer quotes from Tradeweb that are available but, when consideredalone, are insufficient to meet the threshold for Level 1 for a specific tenor of the Benchmark will be
included as input data for Level 2.
For Level 2, indicative quotes from the inter-dealer brokers and Tradeweb and any available dealer quotes
from Tradeweb are captured every 30 seconds over 20 minute windows from 09:50 to 10:10 Tokyo time forthe morning setting and 14:40 to 15:00 Tokyo time for the afternoon setting. The precise time of capture
within each 30 second period varies.
Indicative quotes from the inter-dealer brokers and Tradeweb have been selected as input data as theplatforms arrange TONA OIS transactions and their data are widely used as references by the market. The
Level 2 input data is therefore sufficient to represent accurately and reliably the market for TONA OIS
contracts.

2.2

Tokyo Swap Rate Fallback Benchmark
The TSR Fallback benchmark uses TSR (for swaps referencing TONA) benchmark settings of thecorresponding tenor as input data. The constant JPY LIBOR ISDA 6 month spread adjustment calculated
by Bloomberg is used in the determination of the TSR Fallback benchmark.

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

6

3. DETERMINATION OF THE BENCHMARKS
3.1

Tokyo Swap Rate (for Swaps Referencing TONA) Benchmark

3.1.1 Waterfall Methodology
The TSR (for swaps referencing TONA) benchmark is calculated using Level 1 of the Methodology subject
to a threshold. If the threshold is not reached, the benchmark is calculated using Level 2 of the
Methodology subject to a second threshold. If the second threshold is not met, “No Fix” is published for the
relevant tenor or tenors. The Level 1 and Level 2 thresholds have been calibrated to ensure a sufficientquantity of eligible input data.
The waterfall is applied individually to each tenor of the benchmark. Consequently, it is possible thatdifferent tenors are determined using different levels of the waterfall on the same day.

3.1.2 Level One Determination
Every 30 seconds between 09:50 and 10:10 Tokyo time for the morning setting and 14:40 to 15:00 Tokyo
time for the afternoon setting, quotes from a dealer-to-client trading platform (Tradeweb) are captured. Inorder to be valid, each bid rate to offer rate must be less than or equal to a maximum spread that is
specified for each tenor, and the volume on the bid and offer rate must be greater than or equal to aminimum notional amount.
A mid-rate is calculated using each valid bid rate and offer rate pair. The TSR (for swaps referencing
TONA) benchmark is then determined as the median rate of the mid-rates.
The threshold for use of Level 1 in the determination of the TSR (for swaps referencing TONA) benchmark
is that at least 160 valid mid-rates are available and that these rates comprise at least a minimum numberof valid mid-rates from each of a minimum number of separate dealers.

3.1.3 Level Two Determination
Every 30 seconds between 09:50 and 10:10 Tokyo time for the morning setting and 14:40 to 15:00 Tokyo
time for the afternoon setting, indicative rates are captured from two inter-dealer brokers (Tradition and TP
ICAP) and Tradeweb (composite rates). In addition, any dealer quotes from Tradeweb that are available
but, when considered alone, are insufficient to meet the threshold for Level 1 for a specific tenor of thebenchmark are also captured.
In order to be valid, each inter-dealer bid rate to offer rate must be less than or equal to a maximum spreadthat is specified for each tenor. Dealer quotes are subject to the same maximum bid to offer and minimum
notional amount criteria as used in Level 1.
A mid-rate is calculated using each valid bid rate and offer rate pair. The TSR (for swaps referencing
TONA) benchmark is then determined as the median rate of the mid-rates.

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

7

The threshold for use of Level 2 in the determination of the TSR (for swaps referencing TONA) benchmark
is either•

60 valid indicative mid-rates from any combination of Tradition, TP ICAP and Tradeweb (composite
rates) are captured, or•(i) at least 40 valid indicative mid-rates from any combination of Tradition, TP ICAP and Tradeweb(composite rates) and (ii) at least 90 valid mid-rates from Tradeweb dealer quotes (comprising atleast a minimum number of valid mid-rates from each of a minimum number of separate dealers)
are captured.

3.1.4 No Fix
If the thresholds for both Level 1 and Level 2 of the waterfall are not reached for a particular tenor andsetting, “No Fix” will be published for that tenor and setting.

3.2

Tokyo Swap Rate Fallback Benchmark
The TSR Fallback benchmark setting (morning or afternoon) for each tenor is determined using the TSR(for swaps referencing TONA) benchmark with the corresponding setting and corresponding tenor inaccordance with equation 1. The constant JPY LIBOR ISDA 6 month spread adjustment is calculated byBloomberg.
𝑻𝑺𝑹 𝑭𝒂𝒍𝒍𝒃𝒂𝒄𝒌 = 𝟐 × [√𝟏 + 𝑻𝑶𝑵𝑨 𝑻𝑺𝑹 − 𝟏] + 𝑰𝑺𝑫𝑨 𝟔𝑴 𝑺𝒑𝒓𝒆𝒂𝒅 ×

3.3

𝟑𝟔𝟓
𝟑𝟔𝟎

(1)

Expert Judgment
RBSL, as Administrator, will not exercise expert judgment or discretion in the determination of the TSR (forswaps referencing TONA) benchmark or TSR Fallback benchmark.

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

4. PUBLICATION AND REFIX POLICY
4.1

Publication
The Tokyo Swap Rate (for swaps referencing TONA) benchmark and the Tokyo Swap Rate Fallbackbenchmark are published for the morning setting at approximately 10:30 Tokyo time and for the afternoon
setting at approximately 15:30 on each Tokyo business day. Both benchmarks are published aspercentages rounded to three decimal places.
The Tokyo Swap Rate (for swaps referencing TONA) is published via various LSEG products including
Eikon, Workspace and Datascope. It is also published via third party data vendors.

4.2

Delayed Publication
The Administrator, RBSL, may at its discretion delay publication of the TSR (for swaps referencing TONA)
benchmark and the TSR Fallback benchmark in the event that technical difficulties prevent receipt of input
data or if RBSL has reason to believe that either the input data or the determination of the benchmarks
includes a potential error. In such cases, all reasonable efforts will be made to publish the benchmarks at
the earliest opportunity. If the potential error cannot be resolved or rectified, “No Fix” will be published forthe affected tenor(s) and setting.

4.3

Refix Policy
If following publication, a material error is identified in the input data or the determination of any tenor of aTokyo Swap Rate (for swaps referencing TONA) benchmark or the Tokyo Swap Rate Fallback benchmark
setting before 11:30am Tokyo time for the morning setting or 16:30 Tokyo time for the afternoon setting,
RBSL will refix the affected tenor(s) of the benchmark settings.
A material error is one that results in a change of + or – 0.1 basis points to the published value of theaffected tenor(s) of the benchmarks.
Errors that do not result in an intraday refix of the benchmarks will be reported quarterly to the OversightCommittee and published on the Administrator’s public website.

An LSEG Business

8

TOKYO SWAP RATE METHODOLOGY

4.4

Publication RIC Identifiers
The Tokyo Swap Rate (for swaps referencing TONA) benchmark and the Tokyo Swap Rate Fallbackbenchmark will be made available on the Refinitiv RICs listed below.

4.4.1 Tokyo Swap Rate (for Swaps Referencing TONA) Benchmark RICs
Tenor

TSR All Settings

Composite Tile

JPTSRTO=RFTB

TSR Morning Setting

TSR Afternoon Setting

Composite Tile

JPTSRTOA=RFTBJPTSRTOP=RFTB

1-Year

JPTSRTOA1Y=RFTBJPTSRTOP1Y=RFTB

18-Months

JPTSRTOA18M=RFTBJPTSRTOP18M=RFTB

2-Years

JPTSRTOA2Y=RFTBJPTSRTOP2Y=RFTB

3-Years

JPTSRTOA3Y=RFTBJPTSRTOP3Y=RFTB

4-Years

JPTSRTOA4Y=RFTBJPTSRTOP4Y=RFTB

5-Years

JPTSRTOA5Y=RFTBJPTSRTOP5Y=RFTB

6-Years

JPTSRTOA6Y=RFTBJPTSRTOP6Y=RFTB

7-Years

JPTSRTOA7Y=RFTBJPTSRTOP7Y=RFTB

8-Years

JPTSRTOA8Y=RFTBJPTSRTOP8Y=RFTB

9-Years

JPTSRTOA9Y=RFTBJPTSRTOP9Y=RFTB

10-Years

JPTSRTOA10Y=RFTBJPTSRTOP10Y=RFTB

12-Years

JPTSRTOA12Y=RFTBJPTSRTOP12Y=RFTB

15-Years

JPTSRTOA15Y=RFTBJPTSRTOP15Y=RFTB

20-Years

JPTSRTOA20Y=RFTBJPTSRTOP20Y=RFTB

25-Years

JPTSRTOA25Y=RFTBJPTSRTOP25Y=RFTB

30-Years

JPTSRTOA30Y=RFTBJPTSRTOP30Y=RFTB

40-Years

JPTSRTOA40Y=RFTBJPTSRTOP40Y=RFTB

4.4.2 Tokyo Swap Rate Fallback Benchmark RICs
Tenor

TSR Fallback All Settings

Composite Tile

JPTSRLF=RFTB

Composite Tile

TSR Fallback Morning Setting

TSR Fallback Afternoon Setting

JPTSRLFA=RFTBJPTSRLFP=RFTB

1-Year

JPTSRLFA1Y=RFTBJPTSRLFP1Y=RFTB

18-Months

JPTSRLFA18M=RFTBJPTSRLFP18M=RFTB

2-Years

JPTSRLFA2Y=RFTBJPTSRLFP2Y=RFTB

3-Years

JPTSRLFA3Y=RFTBJPTSRLFP3Y=RFTB

4-Years

JPTSRLFA4Y=RFTBJPTSRLFP4Y=RFTB

5-Years

JPTSRLFA5Y=RFTBJPTSRLFP5Y=RFTB

6-Years

JPTSRLFA6Y=RFTBJPTSRLFP6Y=RFTB

7-Years

JPTSRLFA7Y=RFTBJPTSRLFP7Y=RFTB

An LSEG Business

9

TOKYO SWAP RATE METHODOLOGY

8-Years

JPTSRLFA8Y=RFTBJPTSRLFP8Y=RFTB

9-Years

JPTSRLFA9Y=RFTBJPTSRLFP9Y=RFTB

10-Years

JPTSRLFA10Y=RFTBJPTSRLFP10Y=RFTB

12-Years

JPTSRLFA12Y=RFTBJPTSRLFP12Y=RFTB

15-Years

JPTSRLFA15Y=RFTBJPTSRLFP15Y=RFTB

20-Years

JPTSRLFA20Y=RFTBJPTSRLFP20Y=RFTB

25-Years

JPTSRLFA25Y=RFTBJPTSRLFP25Y=RFTB

30-Years

JPTSRLFA30Y=RFTBJPTSRLFP30Y=RFTB

40-Years

JPTSRLFA40Y=RFTBJPTSRLFP40Y=RFTB

An LSEG Business

10

TOKYO SWAP RATE METHODOLOGY

11

5. BENCHMARK METHODOLOGY REVIEWS ANDCHANGE PROCEDURES
5.1

Review of the Methodology and Input Data Providers
RBSL will carry out a review of the Methodology in respect of the Tokyo Swap Rate (for swaps referencing
TONA) benchmark and the Tokyo Swap Rate Fallback benchmark on at least an annual basis. Additional
reviews may be conducted at RBSL’s discretion. Reviews will include an analysis of the underlying market
that the benchmarks seek to represent, the availability and sufficiency of quotes from the dealer-to-client
trading platform and indicative rates from the inter-dealer brokers, and a review of other potential platforms.
The aim of the review will be to ensure that the benchmarks are still representative of the underlying
market, that the input data sufficiently represent the underlying market, and that the input data providers
have been providing input data in an accurate and timely manner.
Additional reviews may be conducted at the Administrator’s discretion. Such additional reviews may betriggered by (i) events affecting the Benchmark that are not optimally treated by the Methodology, (ii)events in the underlying market, (iii) developments in the source of input data used in the Benchmark
determination and (iv) issues raised by Stakeholders in the Benchmark.
The independent Benchmark Oversight Committee will provide input into the review and reviews areapproved by the appropriate RBSL board committee.
Back-testing shall take place at least at each annual review of the Methodology and following any materialchange of the Methodology. The Methodology shall include an assessment of the back-testing results,
including processes to ensure that systemic anomalies highlighted by back-testing are identified andproperly addressed. No significant issues were found under the back-test for the 12 month period to thedate of the last annual review shown on the cover of this Methodology.

5.2

Changes to the Methodology
Changes to the Methodology in respect of the Tokyo Swap Rate (for swaps referencing TONA) benchmark
and the Tokyo Swap Rate Fallback benchmark shall be made in accordance with the RBSL Benchmark
Methodology Change and Cessation Policy. The combined RBSL Benchmark Methodology Change andCessation Policy is available at https://www.refinitiv.com/en/financial-data/financial-benchmarks.

5.3

Objective of the Methodology
The objective of this Methodology in respect of the Tokyo Swap Rate (for swaps referencing TONA)
benchmark is to reflect best practice across the industry for the calculation and administration ofbenchmarks that seek to represent the behaviour of markets showing similar characteristics as the market

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

12

for TONA OIS rates. Certain features of the Benchmark methodology such as the use of 20 minutewindows for input data capture and the selection of median rates mitigate the risk of data insufficiency andsignificant rate movements when determining the Benchmark.
The objective of this Methodology in respect of the Tokyo Swap Rate Fallback benchmark is to provide afallback rate for legacy financial products that currently reference the Tokyo Swap Rate (for swaps
referencing 6-month JPY interbank offered rates from London banks) for use after the cessation or nonrepresentativeness of JPY LIBOR by stakeholders that elect to use it.
The Methodology shall also comply with all applicable regulations and policies.

5.4

Identification of Potential Limitations of the Benchmark
The ability of the dealer-to-client trading platform and inter-dealer broker to provide accurate input data
relies on there being a liquid market in TONA OIS contracts. If any ongoing constraint or fragmentation toliquidity in this market is identified or foreseen, RBSL will consult with stakeholders as well as theindependent oversight committee.

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

13

6. GOVERNANCE AND FURTHER INFORMATION
6.1

Benchmark Administrator
Refinitiv Benchmark Services (UK) Limited (“RBSL”) is the administrator (“Administrator”) of the Tokyo
Swap Rate (for swaps referencing TONA) benchmark and the Tokyo Swap Rate Fallback benchmark. As
Administrator of the benchmarks, RBSL is responsible for collecting input data, determining and publishing
the Benchmark, and for all aspects of governance, oversight, compliance and integrity of the benchmarks.

6.2

Oversight Committee
The oversight committee (“Oversight Committee”) is responsible for oversight of all aspects of the provisionof the benchmarks including the reviews of the benchmark definitions and Methodology at least annually,
overseeing any changes to the benchmarks Methodology or cessation of the benchmarks, and overseeing
RBSL’s control framework, management and operation of the benchmarks.

6.3

Benchmark Manager
A benchmark manager is appointed from time to time by the Administrator who will be a subject matter
expert responsible for interpreting the Methodology in respect of the benchmarks.

6.4

User Feedback
RBSL shall communicate periodically with stakeholders in order to assess conditions in the market for
TONA OIS contracts over the relevant benchmark tenors and to assess the ongoing fitness and suitabilityof the Methodology in respect of the benchmarks. Such feedback may be used as part of the periodic
review of the Methodology in respect of the benchmarks.

6.5

Further Information
Further information is available at http://refinitiv.com/tokyoswaprate.
Refinitiv welcomes feedback. Any comments or questions regarding this Methodology, the Tokyo Swap
Rate (for swaps referencing TONA) benchmark or the Tokyo Swap Rate Fallback benchmark should besent to index_queries@refinitiv.com and include ‘Tokyo Swap Rate’ in the email subject line.

An LSEG BusinessTOKYO SWAP RATE METHODOLOGY

14

7. DISCLAIMER
2024 © 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 referencing TONA) (“TSR”) you will be unable to use it
for any purpose whatsoever including but not limited to commercial use whether as a reference 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 notguarantee the quality, accuracy and/or completeness of 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 a trademark and service mark of the International Swaps andDerivatives Association, Inc. ("ISDA"). Bloomberg Index Services Limited ("BISL" and, collectively with BFLP and theiraffiliates, "Bloomberg") maintains and calculates the ‘fallback’ data comprising the 'all in' fallback rates and theircomponent 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 particularpurpose 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 ofstandard ISDA documentation and related protocols. Market participants are encouraged to consider and analyze thedetails of the Fallback Data and determine independently whether they would be appropriate for any such use.

An LSEG BusinessTOKYO SWAP RATE METHODOLOGYANNEX

CLIMATE RELATED DISCLOSURES

EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE KEY ELEMENTS OF
THE BENCHMARK METHODOLOGY
Item 1. Name of the TSR (for swaps referencing TONA) benchmark and TSR
Fallback administrator.

Refinitiv Benchmark Services(UK) Limited

Item 2. Type of benchmark or family of benchmarks.

Other

Item 3. Name of the benchmark or family of benchmarks.

Tokyo Swap Rate

Item 4. Does the benchmark methodology for the benchmark or family ofbenchmarks take into account ESG factors?

□ Yes ☒ No

21 March 2024
Date on which information has been last updated and reason for the update:
Review of Methodology

An LSEG Business

15

TOKYO SWAP RATE METHODOLOGY

Refinitiv is one of the world’s largest providers of financial markets data and infrastructure, serving over 40,000 institutions in approximately
190 countries. It provides leading data and insights, trading platforms, and open data and technology platforms that connect a thriving global
financial markets community – driving performance in trading, investment, wealth management, regulatory compliance, market data
management, enterprise risk and fighting financial crime.

An LSEG Business | refinitiv.com

16