On Jun. 18, JPN SCC proposed revisions re Euroyen TIBOR cessation.
JPN SCC proposed a system for handling the conversion of Euroyen TIBOR-referenced interest rate swap clearing contracts to those referenced by JPY-TONA-OIS Compound.
To respond to permanent suspension of publication of Euroyen TIBOR from Dec. 2024.
Follows JPN FSA Mar. 2024 Euroyen TIBOR will not be issued from Dec., see #203561.
Proposed Revisions
Convert the interest rate swap clearing contracts that use JPY-Euroyen TIBOR as the method of determining the floating interest rate at the closing time on Nov. 22, 2024, to clearing contracts that use JPY-TONA-OIS Compound, as determined by JPN SCC.
Set conversion fee at JPY 3.5k per cleared transaction undergoing OIS conversion.
After OIS conversion, interest rate swaps using JPY-Euroyen TIBOR or JPY-TIBOR-ZTIBOR as the floating interest rate determination method are ineligible for clearing.
Consultation Period
Comments by Jul. 18, 2024, for planned implementation from Nov. 25, 2024.
Oct. 2024 Finalize Manual
On Oct. 17, 2024, JPN SCC revised the Interest rate swap clearing business manual, which makes Euroyen TIBOR ineligible for clearing, effective from Nov. 25, 2024.
Regulators
JPN SCC
Entity Types
B/D; Depo
Reference
RF 10/17/2024; CP 6/18/2024
Functions
Actuarial and Valuation; Compliance; Financial; Operations; Risk; Settlement; Trading; Treasury
