ISDA has published the following statement in response to today’s publication of comments on certain aspects of the recent consultation on euroyen TIBOR by JBA TIBOR Administration (JBATA), the administrator of yen TIBOR and euroyen TIBOR, and subsequent remarks by the Financial Services Agency of Japan (JFSA).
“JBATA launched a public consultation on whether to permanently cease euroyen TIBOR and the timing of any cessation on August 1, 2023, which closed on September 30, 2023. In response to requests from market participants, JBATA has published comments on certain questions related to timing of when to cease entering into new cash and interest rate swap transactions referencing euroyen TIBOR. JBATA has stated it will publish the full results of the consultation along with an official statement on whether to permanently cease publication of euroyen TIBOR and the timing of any cessation by March 31, 2024. The JFSA subsequently stated that if a determination is made to permanently cease euroyen TIBOR on December 31, 2024, it suggests market participants cease entering into new trades referencing the benchmark by the end of June 2024 at the latest.
“Publication of the consultation comments and the JBATA and JFSA statements do not constitute an index cessation event under the ISDA 2020 IBOR Fallbacks Supplement to the 2006 ISDA Definitions, the 2021 ISDA Interest Rate Derivatives Definitions or the ISDA 2020 IBOR Fallbacks Protocol. They will therefore not trigger the fallbacks for euroyen TIBOR under the supplement, definitions or protocol (ie, to the adjusted risk-free rate plus spread) or have any effect on the calculation of the spread applicable to these fallbacks. The consultation comments and statements will also not trigger fallbacks under the 2018 ISDA Benchmarks Supplement or its protocol.”
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, 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
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
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