REFINITIV BENCHMARKSERVICES (UK) LIMITEDTOKYO SWAP RATE (FOR SWAPS REFERENCING TONA)
BENCHMARKTOKYO SWAP RATE FALLBACK BENCHMARKBENCHMARK STATEMENT

Effective Date: 28 April 2022

Last Review Date: 15 December 2022

Refinitiv Document Classification: Public

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Contents
1.

INTRODUCTION ...............................................................................................................................................................32.

OVERVIEW OF METHODOLOGY ....................................................................................................................................43.

POTENTIAL LIMITATIONS OF THE BENCHMARK ........................................................................................................6

4.

METHODOLOGY CHANGES AND BENCHMARK CESSATION ....................................................................................65.

FURTHER INFORMATION ...............................................................................................................................................7

ANNEX: CLIMATE RELATED DISCLOSURES ............................................................................................................................8© Refinitiv 2022. All Rights Reserved.

Refinitiv, by publishing this document, does not guarantee that any information contained herein is or will remain accurate orthat use of the information will ensure correct and faultless operation of the relevant service or associated equipment. Neither
Refinitiv, nor its agents or employees, shall be held liable to any user or end user for any loss or damage (whether direct orindirect) whatsoever resulting from reliance on the information contained herein.

This document may not be reproduced, disclosed, or used in whole or part without the prior written consent of Refinitiv.

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1. INTRODUCTION
The Tokyo Swap Rate1 (for swaps referencing TONA) benchmark was launched on 28 October 2021 to establish atwice-daily benchmark reference rate for overnight index swaps (“OIS”) referencing JPY TONA. The TONA OIS market
exists primarily within Japan. In Japan, the Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks(“Cross-Industry Committee “) identified TONA as the Japanese risk-free rate (“RFR”) in March 2018.
The Fallback benchmark for the Tokyo Swap Rate (for swaps referencing 6-month JPY interbank offered rates from
London banks) (“TSR Fallback”) was launched on 4 January 2022 to provide a fallback rate for legacy financial
products that referenced 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 that elect to use it.
Following the announcement by the UK’s Financial Conduct Authority on 5 March 2021 that a number of LIBOR
settings including all JPY LIBOR settings would cease or no longer be representative immediately after 31 December
2021, the market in Japan has been transitioning from JPY LIBOR, as a reference in financial products includinginterest rate swaps, to primarily TONA.
In July 2021, the Cross-Industry Committee reached a consensus on the “TONA First” initiative to change quoting fromJPY LIBOR to TONA under which quoting conventions including trade execution of JPY LIBOR swaps and related JPY
LIBOR derivatives should cease immediately after 30 July 2021. In September 2021, a sub-group of the Cross-Industry
Committee reached a consensus that with some minor exceptions, initiation of new interest rate swaps referencing JPY
LIBOR and maturing after the end of 2021 shall cease by the end of September 2021.
Statistics from the Japan Securities Clearing Corporation2 (“JSCC”) state that over the 12 months to October 2021 itcleared in new executed contracts ¥453 trillion in JPY LIBOR swaps and ¥159.7 trillion in TONA OIS. In earlyNovember 2021, London Clearing House3 reported that the total outstanding amount of JPY interest rate swaps that itcleared was ¥648.8 trillion and in OIS ¥129.5 trillion.
Liquidity in JPY LIBOR interest rate swaps is largely expected to transition to TONA OIS following the Cross-Industry
Committee’s consensus on the TONA First initiative and the Tokyo Swap Rate (for swaps referencing TONA) is theprimary benchmark used by the market to represent TONA OIS cleared by JSCC. The Tokyo Swap Rate (TSR) familyof benchmarks, including TSR (for swaps referencing TONA) and the long-established TSRs (for swaps referencing
TIBOR® and JPY LIBOR), is widely used in a variety of products including swaptions and constant maturity swaps aswell as in structured loans and notes, floating-rate notes and private finance initiatives.
Refinitiv Benchmark Services (UK) Limited (“RBSL” or “the Administrator”) is the administrator of the Tokyo Swap Rate(for swaps referencing TONA) and the TSR Fallback. TSR (for swaps referencing TONA) and the TSR Fallback arebenchmarks subject to the UK Benchmark Regulation (“BMR”). RBSL has adopted policies and procedures to comply
with these regulations. TSR (for swaps referencing TONA) and the TSR Fallback are considered non-significant
benchmarks for the purposes of the BMR.
TSR (for swaps referencing TONA) is calculated using a waterfall methodology comprising two levels (“Level 1” and“Level 2”) and which operates individually for each tenor. Each level is subject to an input sufficiency threshold and
1 Tokyo Swap Rate” is abbreviated as “TSR” throughout this benchmark statement

2 https://www.jpx.co.jp/jscc/en/index.html
3 https://www.lch.com

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Level 2 is only used if the threshold for Level 1 is not achieved. Level 1 is based on executable dealer-to-client quotes
in spot starting TONA overnight index swap (OIS) contracts from Tradeweb. Level 2 is based on indicative rates forspot 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, areinsufficient to reach the threshold for Level 1.
The TSR Fallback is derived from the TSR (for swaps referencing TONA) benchmark using a constant spreadadjustment.
TSR (for swaps referencing TONA) and the TSR Fallback are published on each Tokyo business day with a morningand afternoon setting and with the following tenors: 1 year, 18 months, 2-10 years, 12 years, 15 years, 20 years, 25
years, 30 years and 40 years.
TSR (for swaps referencing TONA) and the TSR Fallback are considered to be reliable provided that:•

there is liquidity in the market for TONA OIS cleared by JSCC, and•the input data from the sources (Tradeweb, Tradition and TP ICAP) are representative of this TONA OIS
liquidity.

Both conditions should be satisfied in order for TSR (for swaps referencing TONA) and the TSR Fallback to be reliablereference rates for TONA OIS rates and fallbacks rates respectively over the relevant tenors.
This benchmark statement shall be reviewed at least every two years, or whenever there is a material change to either
the type of the benchmarks or to the Methodology used in the determination of the benchmarks.

2. OVERVIEW OF METHODOLOGY4
The TSR (for swaps referencing TONA) benchmark is calculated using Level 1 of the waterfall subject to a threshold. If
the threshold is not reached, the Benchmark is calculated using Level 2 of the waterfall 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 2thresholds have been calibrated to ensure a sufficient quantity of eligible input data.
The waterfall is applied individually to each tenor of the Benchmark. Consequently, it is possible that different tenors
are determined using different levels of the waterfall on the same day.
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 minutewindows 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 are captured 40 times over each 20
minute window.
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 thedetermination of the TSR (for swaps referencing TONA) benchmark is that at least 160 valid mid-rates are available

4 For further information and definitions, please to refer to the methodology at

www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/tsr-tona-tsr-fallback-methodology.pdf

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and that these rates comprise at least a minimum number of valid mid-rates from each of a minimum number of
separate dealers.
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 collectively 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 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.
In order to be valid, each inter-dealer bid rate to offer rate must be less than or equal to a maximum spread that is
specified for each tenor. Dealer quotes are subject to the same maximum bid to offer and minimum notional amountcriteria 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. The threshold for use of Level 2 in thedetermination of the TSR (for swaps referencing TONA) benchmark is either that (A) 60 valid indicative mid-rates fromany combination of Tradition, TP ICAP and Tradeweb (composite rates) are captured, or (B) (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 dealer quotes (comprising at least a minimum number of valid mid-rates from each of a minimum
number of separate dealers) are captured.
Quotes and rates for both levels are captured for spot starting TONA OIS contracts cleared by the JSCC in respect ofeach tenor of the benchmark.
The TSR Fallback uses TSR (for swaps referencing TONA) benchmark settings of the corresponding tenor as input
data. The constant JPY LIBOR ISDA 6 month spread adjustment is used in the determination of the TSR Fallbackbenchmark.
RBSL may at its discretion delay publication of the benchmarks 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 apotential 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 for the affected tenor(s) and setting(s).
If following publication, a material error is identified in the input data or the determination of any tenor of a 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. A material error is one that has an impact of one-tenth of one basis point ormore on the published benchmark.
No models or method of extrapolation or interpolation are used by RBSL when determining the benchmark. Further,the benchmark is not determined by means of a portfolio of constituents.
No discretion or expert judgment is exercised by RBSL in the determination of TSR (for swaps referencing TONA) or
the TSR Fallback.

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The benchmarks do not have corresponding ISINs. The benchmarks are determined using readily available input dataand is not based on contributed input data. Consequently, the benchmark is not any of the following types ofbenchmark as specifically defined by the BMR: regulated data, interest rate or commodity. Further, RBSL considers
that the input data sources as market intermediaries representing the activity of multiple market participants is arealistic minimum to ensure reliable and representative input and to avoid concentration of input data.

3. POTENTIAL LIMITATIONS OF THE BENCHMARKS
Determination of TSR (for swaps referencing TONA) is dependent on receiving sufficient input data from the input data
sources for each benchmark tenor. Technical problems or extreme market events may lead to insufficient input data foreither level of the waterfall, resulting in publication of a “No Fix”. Determination of the TSR Fallback is dependent solely
on the determination of the TSR (for swaps referencing TONA) benchmark.
The design of the benchmarks is therefore resilient in a wide range of market conditions. However, an extreme market
event may lead to a loss of liquidity in the underlying TONA OIS market inhibiting the availability of sufficient input data
for the determination of the benchmarks to the extent that a “No Fix” is issued.

4. METHODOLOGY CHANGES AND BENCHMARKCESSATION
The TSR (for swaps referencing TONA) and TSR Fallback Methodology has been adopted as being a reliable andresilient means for providing a benchmark that accurately represents TONA OIS rates and provide fallback rates forstakeholders that elect to use it.
The Methodology is subject to a review in order to assess its ongoing fitness for purpose on at least an annual basis. In
the event that the review leads RBSL to believe that a change to the Methodology is required and that the change ismaterial in its effect on the benchmarks, a market consultation will be conducted in accordance with the RBSL
Methodology Change Procedures5 in order to seek feedback from a range of stakeholders. RBSL will review all
feedback and if following such review it resolves to proceed with the proposed change or changes, it will provide
advance notice in accordance with the RBSL Methodology Change Procedures to users of the benchmarks before
implementing such change or changes.
Circumstances beyond the control of RBSL may necessitate an immediate change to or the cessation of thebenchmark. Such circumstances include without limitation (i) a loss of liquidity in the underlying TONA OIS marketsand (ii) a loss of sources of input data such that representative input data cannot be obtained.
In the event that an immediate change is required, RBSL will provide as much notice as is practicable and following
such change will conduct an internal review of the Methodology.
If it becomes necessary to cease calculation and distribution of the benchmarks, RBSL will implement the RBSL
Benchmark Cessation Policy6. This includes conducting an analysis of the estimated usage of the benchmarks and,
where feasible, the selection of credible alternative benchmarks. In all cases, RBSL will take all reasonable steps to

5 www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/rbsl-benchmark-methodology-change-cessation-

policy.pdf

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ensure that all users and other stakeholders are made aware as soon as possible of any intention or possible necessity
to cease the benchmarks.
Any material change to the Methodology or cessation of the benchmarks may have an impact on any financial contract
or financial instrument that references the benchmarks or on the measurement of the performance of an investment
fund that uses or refers to the benchmarks. A material change to the Methodology may lead to a change in theeconomic reality represented by the benchmarks and therefore to the economic exposure of any financial contract orfinancial instrument that references the benchmarks. Any financial contracts or other financial instruments thatreference the index or investment funds which use the benchmarks to measure their performance should be able towithstand, or otherwise address the possibility of changes to, or cessation of, the benchmarks.

5. FURTHER INFORMATION
Further information including the Methodology used in the determination of TSR (for swaps referencing TONA) and the
TSR Fallback is available on Refinitiv’s Tokyo Swap Rate website6. For further information about the Tokyo Swap
Rate, please contact RBSL at index_queries@refinitiv.com.

6 www.refinitiv.com/en/financial-data/financial-benchmarks/tokyo-swap-rate

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8ANNEX: CLIMATE RELATED DISCLOSURESSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark administrator.

Refinitiv Benchmark Services (UK) Limited

Item 2. Type of benchmark or family of benchmarks.

Other

Choose the relevant underlying asset from the list provided in Annex II.
Item 3. Name of the benchmark or family of benchmarks.

Tokyo Swap Rate (for swaps referencing
TONA)
TSR Fallback

Item 4. Are there in the portfolio of the benchmark administrator any EU Climate ☐ Yes ☒ No
Transition Benchmarks, EU Paris-aligned Benchmarks, benchmarks that
pursue ESG objectives or benchmarks that take into account ESG factors?
Item 5. Does the benchmark or family of benchmarks pursue ESG objectives? ☐ Yes ☒ No
SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition
Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall also disclose the following information.
By 31 December 2021, benchmark administrators shall, for each benchmark or, where applicable, each family of benchmarks,
disclose the following information:(a)Does the benchmark align with the target of reducing carbon emissions or the ☐ Yes ☒ No
attainment of the objectives of the Paris Agreement;
Date on which information has last been updated and reason for the update:

28 April 2022
Inclusion of input data from Tradition andTradeweb (composite rates)

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