QUICK Corp. (Head Office: Chuo-ku, Tokyo; President & CEO: Katsuyoshi Kondo), starting Friday, October 9, will calculate and publish daily prototype rates of Tokyo Term Risk Free Rate (TORF).
TORF is one of the alternative benchmarks replacing London Interbank Offered Rate (LIBOR). QUICK has published prototype rates of TORF since May. So far, it publishes on every Tuesday or the second business day of the week, the rates of the preceding week’s business days. Starting Friday, October 9, it will publish each business day’s rate on the same day at 5:00 p.m. By having the publication of prototype rates align with definite rates, of which we plan to begin publishing in mid-2021, we seek to help implement smooth transition from LIBOR.
The prototype rates published daily will be accessible, as in the case of conventional publications, from QUICK’s information terminals (Code: QTRF001) and website, “Eikon” service provided by Refinitive, Jiji Press’s financial and securities information service, and the “Nikkei Economic Electronic Databank System (NEEDS)”. Also, the morning edition of Nikkei Newspaper will cite on its market information page the rates published daily.
The prototype rates are only reference rates which are to be used for preparation of administrative framework etc. and not intended for use in referencing for financial contracts. Calculation and publication of rates may be delayed or suspended and the published data might be retroactively corrected without prior notice.
|Name of the benchmark||Tokyo Term Risk Free Rate (TORF)|
|Data sources||Market data relating to Japanese yen overnight index swap (OIS), ACT/365|
|Tenor||3 Tenors (1m/3m/6m)|
|Calculation time||15:00 JST on Tokyo business days|
|Publication time||around 17:00 JST on Tokyo business days|
TORF 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. The results of consultation undertaken by the Review Committee on Japanese yen interest rate benchmarks, which were announced at the end of November 2019, indicated support from a range of sectors including financial institutions, institutional investors, and business corporations. In February 2020, QUICK was designated as a Calculating and Publishing Entity of prototype rates.
Rate publication is divided into two phases: the publication of prototype rates, reference rates market participants and interest rate benchmark users use for developing their administrative frameworks etc.; and the publication of definite rates that are used in actual transactions. QUICK began publishing prototype rates on a weekly basis in May 2020.