Q&A: Japan RFR group head on term rates and Tonar liquidity

MUFG’s Matsuura discusses term benchmark options, cross-currency swaps and Tibor’s future

Photo: PA

Today, there is roughly $30 trillion notional outstanding on financial products linked to the yen Libor interest rate benchmark in Japan and beyond. By the end of 2021, regulators want to see the bulk of this switched to a new risk-free rate (RFR) before the publication of yen Libor potentially ends.

Between now and then, the industry has a great deal of work to do. First, liquidity must develop in derivatives referencing Japan’s risk-free Libor alternative, the Tokyo Overnight Average Rate.


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