QUICK Corp. (Head Office: Chuo-ku, Tokyo, President & CEO: Katsuyoshi Kondo, hereinafter referred to as “QUICK”) is pleased to announce that we have decided the official name of the Japanese yen term risk free rate, for which prototype values are being calculated, to be "Tokyo Term Risk Free Rate", and the abbreviation to be “TORF”.
TORF is one of the alternative benchmarks to London Interbank Offered Rate (LIBOR), and QUICK has been publishing prototype rates on a weekly basis since May and plans to switch to a daily basis by autumn this year. We will work to promote the use of TORF to support the smooth transition from LIBOR.
|Official name||"Tokyo Term Risk Free Rate"|
It is an alternative interest rate benchmark to replace LIBOR which is expected to be discontinued at the end of 2021. The term risk free rate (Interest rates on risk free assets) is calculated based on the Japanese overnight index swap (OIS). This is characterized by its "fixing in advance" method whereby the applied interest rate is fixed prior to the commencement of the application of the rate.
In the results of the public consultation announced by Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks at the end of November 2019, "fixing in advance" rate received overwhelming support from a wide range of industries including financial institutions, institutional investors, and non-financial corporates. QUICK was selected as a calculating and publishing entity of “prototype rates” for term reference rates in February 2020.
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.