IBOR Fallbacks

March 6, 2024

Technical Note

IBOR Fallbacks: Spread Fixing Event for
JPY Euroyen TIBORIBOR Spread Adjustment Fixing Date
On 6 March 2024, the Benchmark Administrator for the Japanese Yen Euroyen TIBOR (“Euroyen TIBOR”), JBA TIBOR
Administration, issued an announcement 1 on the future cessation of all Euroyen TIBOR tenors. As confirmed via theannouncement 2 by the International Swaps and Derivatives Association, Inc. (ISDA), today (6 March 2024) is the ‘Spread
Adjustment Fixing Date’ for all Euroyen TIBOR tenors.

BISL

Each Euroyen TIBOR tenor, ticker and associated fixed Spread Adjustment are set forth below in Figure 1. Going forward,
the ‘Fallback Rate’ calculated for each ‘Rate Record Day’ (as such terms are defined in the Rule Book) from and including
6 March 2024 will use the fixed Spread Adjustments set forth below. All Fallback Rates calculated for a Rate Record Dayprior to 6 March 2024 will use the Spread Adjustment previously published for such Rate Record Day. Users are referred
to applicable ISDA documentation as to the effectiveness of the Fallback Rates in their contracts.
Figure 1
List of Euroyen TIBOR Spread Adjustments
Euroyen TIBOR

TenorTicker

SpreadAdjustment
(%)

JPY

1 WeekYEUYN01W Index

0.04637%

JPY

1 MonthYEUYN01M Index

0.15673%

JPY

3 Months

YEUYN03M Index

0.01854%

JPY

6 Months

YEUYN06M Index

0.04287%

JPY

1 YearYEUYN1Y Index

0.18497%

If you have any questions, please contact the Bloomberg Help Desk (<Help><Help>), or email
indexhelp@bloomberg.net.

12

https://www.jbatibor.or.jp/english/news/tibor_18.html
https://www.isda.org/2024/03/06/euroyen-tibor-cessation-guidance/Technical Note1

Bloomberg Fixed Income Indices

March 6, 2024

Disclaimer
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. ("BFLP"). ISDA is a trademark and service mark of the International Swaps
and Derivatives Association, Inc. ("ISDA"). Bloomberg Index Services Limited ("BISL" and, collectively with BFLP and their 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 herein, the "Data") under an engagement
between BISL and ISDA. The Data, including any sample calculations, are for illustrative purposes only. Neither Bloomberg nor ISDA guarantees thetimeliness, accurateness, completeness of, or fitness for a particular purpose with respect to, the Data and each shall have no liability in connection
with the Data. Without limiting the foregoing, neither Bloomberg nor ISDA makes any representations regarding whether the Data would beappropriate for derivative or non-derivative financial instruments, including derivatives transacted outside of standard ISDA documentation andrelated protocols. Market participants are encouraged to consider and analyze the details of the Data and determine independently whether theywould be appropriate for any such use. These materials are intended for information purposes only. They are not intended to be comprehensive,
nor to provide legal or financial advice, and their contents should not be relied upon as legal or financial advice, either generally or in relation to
any specific matter. Neither Bloomberg nor ISDA accept any responsibility for any loss which may arise from reliance on the information containedin these materials.
The BLOOMBERG TERMINAL service and Bloomberg data products (the "Services") are owned and distributed by BFLP except (i) in Argentina,
Australia and certain jurisdictions in the Pacific islands, Bermuda, China, India, Japan, Korea and New Zealand, where Bloomberg L.P. and its
subsidiaries ("BLP") distribute these products, and (ii) in Singapore and the jurisdictions serviced by Bloomberg’s Singapore office, where asubsidiary of BFLP distributes these products. BLP provides BFLP and its subsidiaries with global marketing and operational support and service.
The following are trademarks and service marks of BFLP, a Delaware limited partnership, or its subsidiaries: BLOOMBERG, BLOOMBERG
ANYWHERE, BLOOMBERG MARKETS, BLOOMBERG NEWS, BLOOMBERG PROFESSIONAL, BLOOMBERG TERMINAL and BLOOMBERG.COM.
Absence of any trademark or service mark from this list does not waive Bloomberg’s intellectual property rights in that name, mark or logo. Allrights reserved. © 2024 Bloomberg.

Take the next step.
For additional information,email indexhelp@bloomberg.net
or press the <HELP> key twiceon the Bloomberg Terminal*
bloomberg.com/indicesTechnical Note

Beijing+86 10 6649 7500

Hong Kong+852 2977 6000

New York+1 212 318 2000

Singapore+65 6212 1000

Dubai+971 4 364 1000

London+44 20 7330 7500

San Francisco+1 415 912 2960

Sydney+61 2 9777 8600

Frankfurt+49 69 9204 1210

Mumbai+91 22 6120 3600

São Paulo+55 11 2395 9000

Tokyo+81 3 4565 8900
2