ISDA has published the following statement in response to today’s announcement by JBA TIBOR Administration (JBATA) on the future cessation of all euroyen TIBOR tenors.
“Today’s announcement constitutes an index cessation event under the ISDA 2020 IBOR Fallbacks Supplement, the 2021 ISDA Interest Rate Derivatives Definitions and the ISDA 2020 IBOR Fallbacks Protocol. As a result, the fallback spread adjustment published by Bloomberg is fixed as of the date of the announcement for all euroyen TIBOR settings.
“JBATA specifically announced that calculation and publication of all euroyen TIBOR tenors will cease immediately after final publication on December 30, 2024. The announcement follows a public consultation, the full results of which were also published today. The fallbacks (ie, to the adjusted risk-free rate plus spread) will automatically occur after December 30, 2024 for outstanding derivatives contracts that incorporate the IBOR Fallbacks Supplement, including as a result of both parties adhering to the ISDA 2020 IBOR Fallbacks Protocol, or the 2021 ISDA Interest Rate Derivatives Definitions.
“The ISDA 2020 IBOR Fallbacks Protocol, which incorporates the fallbacks into legacy non-cleared derivatives trades with other counterparties that choose to adhere to the protocol, remains open for adherence on the ISDA website.”
This statement is for information purposes only. It does not constitute legal advice and should not be considered an explanation of all relevant issues. You should consult your legal advisors and any other advisor you deem appropriate in considering the issues discussed herein.
For additional information on benchmark reform, including the operation of new derivatives fallbacks, visit ISDA’s benchmark reform and transition from LIBOR page on the ISDA website.
For Press Queries, Please Contact:
Nick Sawyer, ISDA London, +44 20 3808 9740, nsawyer@isda.org
Lauren (Dobbs) Springer, ISDA New York, +44 212 901 6019, ldobbs@isda.org
Joel Clark, ISDA London, +44 20 3808 9760, jclark@isda.org
Christopher Faimali, ISDA London, +44 20 3808 9736, cfaimali@isda.org
Nikki Lu, ISDA Hong Kong, +852 2200 5901, nlu@isda.org
Documents (1) for ISDA Statement on JBATA’s Euroyen TIBOR Announcement
Latest
Get Ready for the ISDA Notices Hub
No one wants to have to terminate a derivatives trading relationship – that usually means a counterparty has failed to make a payment or has become insolvent. At an already stressful time, the last thing anyone needs is to experience...
ISDA Publishes Paper on SFDR Review
On June 23, ISDA and the Association for Financial Markets in Europe (AFME) published a position paper on the review of the Sustainable Finance Disclosure Regulation (SFDR). The paper acknowledges that the SFDR needs to be revised in line with...
Developments in IRD Markets in China and Hong Kong
ISDA has published a new research paper that analyzes interest rate derivatives (IRD) trading activity reported in mainland China and Hong Kong. Key highlights from the report include: Mainland China’s renminbi (RMB)-denominated IRD market has expanded significantly since 2022, with...
ISDA Treasury Forum: Scott O’Malia Opening Remarks
ISDA Treasury Forum New York, June 24, 2025 Opening Remarks Scott O’Malia ISDA Chief Executive Officer Good morning, and welcome to the ISDA Treasury Forum. Thank you to CME Group, our founding sponsor, for partnering with us again on...