Publication of TORF production rates from April 26
QUICK Corp. (Head Office: Chuo-ku, Tokyo, President & CEO: Shinzo Takami, hereinafter “QUICK”) and its group company, QUICK Benchmarks Inc. (Head Office: Chuo-ku, Tokyo, President & CEO: Masahiro Sasaki, hereinafter “QBS”) are pleased to announce that QBS started to calculate and publish production rates of Tokyo Term Risk Free Rate (TORF) for actual trading from Monday April 26.
TORF is one of the interest benchmarks for the Japanese yen, an alternative to the London Interbank Offered Rate (LIBOR), and QUICK has been calculating and publishing prototype rates to help implement a smooth transition from LIBOR since May 2020. The production rates are published each business day’s rates on the same day at 17:00, the same as the prototype rates.
The TORF production rates are available in the following services. Also, the morning edition of Nikkei Newspaper cites on its market information page the rates published daily.
[Services to be provided]
– QUICK: Information terminals (Code: TORF@) and website, API, Data files, etc.
– Nikkei: “Nikkei Economic Electronic Databank System (NEEDS)”
*The QUICK’s website posts data with a 24-hour delay.
*To utilize the TORF production rates, a license agreement with QUICK is required. For the details, please contact us.
QUICK established QBS on January 18, 2021 to be responsible for the calculation and publication of TORF. QBS calculates and publishes the TORF production rates to keep the transparency of its calculation and operational soundness, in addition, to comply with Principles for Financial Benchmarks set forth by IOSCO, International Organization of Securities Commissions.
QUICK aims for TORF to be designated as a “Specified Financial Benchmark” under the Financial Instruments and Exchange Act and for QBS to be designated as a “Specified Financial Benchmark Administrator”.
[Description of TORF publication]
|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|
[Transition of Japanese Yen LIBOR]
|2013||Dec||Publication of the Summary of Discussions of the Study Group on Regulation of Financial Benchmarks|
|2015||Apr||Establish “Study Group on Risk-Free Reference Rates”|
|2018||Aug||Establish “Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks”|
|2019||Jul||Establish “Task Force on Term Reference Rates”|
|2019||Oct||Solicitation of the Calculating and Publishing Entities of Prototype Rates for Term Reference Rates|
|2020||Feb||Selected as Calculating and Publishing Entity for Term Risk Free Rates (prototype rates)|
|2020||May||Begin weekly publication of TORF prototype rates|
|2020||Oct||Begin daily publication of TORF prototype rates|
|2021||Jan||Establish “QUICK Benchmarks Inc. (QBS)”|
|2021||Apr||Begin the publication of TORF production rates on April 26|
|2021||Dec||Cease the publication of Japanese yen LIBOR (scheduled)|
[About QBS] QBS’s corporate website is now available.