Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks

• Terms of Reference and List of the Participants
• Public Consultation Materials
• Other Releases
• Meeting Materials
• Task Force on Term Reference Rates
• Sub-Groups
• Links to Related Websites
• Study Group on Risk-Free Reference Rates

The Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks was established in August 2018 to conduct necessary deliberations with aims to facilitate market participants and interest rate benchmark users to appropriately choose and use Japanese yen interest rate benchmarks.

Terms of Reference and List of the Participants

Table : Terms of Reference and List of the Participants

Date	Title
July  1, 2021	List of the Participants [PDF 211KB]
Aug.  1, 2018	Terms of Reference [PDF 48KB]

Public Consultation Materials

Table : Public Consultation Materials

Date	Title
Nov. 19, 2021	Final Report on the Results of the Public Consultation on the Treatment of Tough Legacy Contracts in Japan [PDF 501KB]
Sept. 28, 2021	Public Consultation on the Treatment of Tough Legacy Contracts in Japan [PDF 523KB]
Sept. 28, 2021	Public Consultation on the Treatment of Tough Legacy Contracts in Japan (Appendix 3-b, Answer Format) [XLSX 18KB]
Nov. 30, 2020	Final Report on the Results of the Second Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks [PDF 429KB]
Aug.  7, 2020	Second Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks [PDF 832KB]
Aug.  7, 2020	Second Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks (Appendix 3-b, Answer Format) [XLSX 17KB]
Nov. 29, 2019	Main Points of the Final Report on the Results of the Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks [PDF 380KB]
Nov. 29, 2019	Final Report on the Results of the Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks [PDF 544KB]
July  2, 2019	Main Points of the Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks [PDF 568KB]
July  2, 2019	Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks [PDF 699KB]
July  2, 2019	Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks (Appendix) [PDF 421KB]
July  2, 2019	Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks (Appendix 5-a, Issues Subject to Public Comments) [PDF 170KB]
July  2, 2019	Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks (Appendix 5-b, Answer Format) [DOCX 24KB]

Other Releases

Table :Other Releases

Date	Title
Aug. 26, 2021	Response to "Consultation on proposed decision under Article 23D Benchmarks Regulation for 6 sterling and yen LIBOR settings"
Apr. 26, 2021	Statement regarding Calculation and Publication of Production Rates for Term Reference Rates
Apr. 16, 2021	Update on "Roadmap to Prepare for the Discontinuation of Japanese Yen LIBOR"
Mar. 11, 2021	Response to the Letter regarding Transition Away from LIBOR, Published Jointly by the FSA and BOJ [PDF 225KB]
Feb.  3, 2021	Response to "Consultation on proposed policy with respect to the exercise of the FCA's powers under new Article 23D"
Nov.  6, 2020	Statement regarding Adherence to the IBOR Fallbacks Protocol Launched by ISDA [PDF 201KB]
May  26, 2020	Statement regarding Calculation and Publication of Prototype Rates for Term Reference Rates
Feb. 26, 2020	Determination of the Calculating and Publishing Entities of Prototype Rates for Term Reference Rates [PDF 147KB]
Dec.  6, 2019	Closing of the Call for Application of Calculating and Publishing Entities of Prototype Rates for Term Reference Rates (Swap) [PDF 144KB]
Oct. 29, 2019	Solicitation of the Calculating and Publishing Entities of Prototype Rates for Term Reference Rates (Swap) [PDF 161KB]
Aug. 30, 2019	Interest Rate Benchmark Reform Forum "Main Points of the Public Consultation and Overview of Deliberations on Interest Rate Benchmark Reform in Japan and Abroad"
Aug. 28, 2019	Establishment of the "Task Force on Term Reference Rates" and Holding of the First Meeting [PDF 155KB]
July 30, 2019	Establishment of the "Task Force on Term Reference Rates" [PDF 161KB]
July 20, 2018	Establishment of the "Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks" [PDF 54KB]

Meeting Materials

Task Force on Term Reference Rates

The Task Force on Term Reference Rates was established in cooperation with the Committee to provide practical support to the calculating and publishing entities of term structures based on the risk-free reference rate (Term Reference Rates).

Table : Task Force on Term Reference Rates

Date	Title
Sept. 25, 2019	List of the Members of Task Force on Term Reference Rates [PDF 170KB]
Sept. 25, 2019	Terms of Reference [PDF 119KB]

Sub-Groups

Sub-Groups were established by the decision of the Committee under the Committee to conduct necessary deliberations by products or by themes drawing on the views of practitioners or experts.

Sub-Group on Loans

Table : Sub-Group on Loans

Date	Title
July  1, 2021	List of the Participants of Sub-Group on Loans [PDF 210KB]
Dec. 25, 2020	TONA (Fixing in Arrears) Conventions to Use in Loans (Excerpt from "Report from the Sub-Group on Loans", meeting material of Dec. 25, 2020 Meeting) [PDF 701KB]
Nov. 30, 2020	Example of the Spread Adjustment Methodology Using the "Historical Median Approach over a 5-year Lookback Period" Applicable to TIBOR (Excerpt from "Report from the Sub-Group on Loans," meeting item for the Nov. 5, 2020 Meeting) [PDF 349KB]
Aug.  1, 2018	Terms of Reference [PDF 41KB]

Sub-Group on Bonds

Table : Sub-Group on Bonds

Date	Title
July  1, 2021	List of the Participants of Sub-Group on Bonds [PDF 210KB]
Aug.  1, 2018	Terms of Reference [PDF 41KB]

Sub-Group for the Development of Term Reference Rates

Table : Sub-Group for the Development of Term Reference Rates

Date	Title
Sept. 28, 2021	Cessation of the initiation of new interest rate swaps referencing JPY LIBOR
July 26, 2021	Transition of Quoting Conventions in the JPY interest rate swaps market ("TONA First")
July  1, 2021	List of the Participants of Sub-Group for the Development of Term Reference Rates [PDF 215KB]
Mar. 26, 2021	Preparations for the discontinuation of LIBOR in the JPY interest rate swaps market (Excerpt from "Report from the Sub-Group for the Development of Term Reference Rates", meeting material of Mar. 26, 2021 Meeting) [PDF 205KB]
Aug.  1, 2018	Terms of Reference [PDF 42KB]

Working Group on Currency Swaps

Table : Sub-Group for the Development of Term Reference Rates

Date	Title
Aug. 13, 2021	Transition of Quoting Conventions in the Cross-Currency Swap Market(Excerpt from "Report from the Working Group on Currency Swaps", meeting material of Aug. 13, 2021 Meeting) [PDF 219KB]
Nov. 16, 2018	List of the Participants of Working Group on Currency Swaps [PDF 170KB]
Nov.  8, 2018	Terms of Reference [PDF 43KB]

Links to Related Websites

• Bank of Japan Link to Interest Rate Benchmark Reform (Preparedness for the Discontinuation of LIBOR)
• Financial Services Agency Link to "Financial Services Agency" website

National Working Groups and Related Associations, etc.

• GBP Link to "Sterling RFR WG" Website
• USD Link to "ARRC" Website
• EUR Link to "WG on euro RFR" Website
• CHF Link to "NWG" Website
• ISDA Link to "ISDA" Website
• Japanese Bankers Association Link to "Japanese Bankers Association" Website
• QUICK Production Rates for Term Reference Rates (Link to QUICK's Website)
• QUICK Benchmarks Link to "QUICK Benchmarks(QBS)" Website

Study Group on Risk-Free Reference Rates

The Study Group on Risk-Free Reference Rates has conducted necessary deliberations on the identification of a Japanese yen nearly risk-free benchmark rate and usage of the rate since April 2015.

• Study Group on Risk-Free Reference Rates