Japan’s Tibor swap rate faces cessation

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Chris Davis
26 Jan 2022

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The swap rate linked to the Tokyo interbank offered rate (Tibor) is facing an abrupt end as its administrator, Refinitiv, is proposing to kill off the rate at the end of January, following the departure of contributing panel banks.

The Tibor Tokyo swap rate (TSR) is a daily measure of the fixed leg of swaps with floating legs linked to euroyen Tibor (Z-Tibor) with tenors from one to 10 years. It is not a widely used benchmark – Refinitiv believes its use was restricted to some loans and private

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