QUICK Corp. (Head Office: Chuo-ku, Tokyo, President & CEO: Katsuyoshi Kondo, hereinafter referred to as “QUICK”) will publish the prototype rates of JPY term risk free rates, which is being developed as the alternative interest rates to the London Interbank Offered Rate (LIBOR), which is expected to be abolished at the end of 2021, at 17:00 JST on Tuesday, May 26, 2020.
For the time being, QUICK will publish a summary of the previous week's daily rates at approximately 17:00 JST on every Tuesday (the second business day of the week). QUICK plans to switch to daily publication around this autumn.
Prototype rates are available for free on QUICK terminals and on the QUICK website, etc.
The prototype rates are used for reference in the development of administrative systems, etc., and are not intended to be used in financial contracts.
|Name of Benchmark||Not yet determined|
|Data sources||Market data for Japanese yen OIS, ACT/365|
|Tenor||3 Tenor (1m/3m/6m)|
|Calculation time||15: 00 on a Tokyo business day|
|Publication time||Approximately 17:00 JST on the second business day of the week|
[JPY term risk free rates]
An interest rate benchmark developed as a risk-free rate for term instruments that is a substitute for the London Interbank Offered Rate (LIBOR), which is expected to be abolished at the end of 2021. This is an interest rate benchmark calculated based on market data for overnight interest rate swap (OIS) transactions in Japanese yen. It is characterized by the "forward looking" method, in which the applicable interest rate is fixed in advance at the time of the start of calculation period. In the results of the public consultation announced by the “Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks” at the end of November 2019, it received overwhelming support from a wide range of industries including financial institutions, institutional investors, and non-financial corporates. QUICK was selected in February 2020 as calculating and publishing entity of the prototype rates for term risk free rates.
In publishing the rate, a two-phase approach will be taken, i.e., phase 1 to publish the “prototype rate,” which will be used by market participants and interest rate benchmark users to make administrative preparations, and phase 2 to publish the “production rate,” which will be used for actual transactions.
[About QUICK Corp.]
Since its founding in 1971, QUICK has become Japan's largest financial information vendor, and has developed an information infrastructure that supports Japan’s securities and financial markets. It delivers high-value global market information from a fair and impartial perspective to a wide range of customers, from securities firms and financial institutions to institutional investors, corporations and individual investors. QUICK is a subsidiary of Nikkei, Japan's largest business media group.