Result of a Periodic Review of the JBA TIBOR Operational Framework
March 8, 2016
Ippan Shadan Hojin JBA TIBOR Administration
Ippan Shadan Hojin JBA TIBOR Administration (Chairman: Akihiro Wani; "JBATA") conducted a periodic review of the JBA TIBOR operational framework pursuant to Article 48(1) of the JBA TIBOR Operational Rules as described hereinafter.
In light of international discussions on the financial benchmark reforms, JBATA will continue its efforts to strengthen the operational framework with a view to enhancing the reliability and transparency of JBA TIBOR.
1. Condition of underlying markets of JBA TIBOR
The conditions of the underlying markets (i.e. the Japan unsecured call market in the case of Japanese yen TIBOR and the Japan Euroyen market in the case of Euroyen TIBOR; the same shall apply hereinafter) and other relevant markets of JBA TIBOR are as described in this section.
The estimated percentage of transactions executed by reference banks in the JBA TIBOR underlying markets is approximately 60%.
Note that the figures shown below are estimates calculated based on, among other things, published statistical data solely for purposes of JBATA's assessment and consideration. Therefore, JBATA is not liable for any loss or damage arising indirectly or directly from the use of these figures.
| (1) Estimated market size of the Japan unsecured call market | Approx. JPY16.0 tril.*1 |
|---|---|
| (2) Estimated market size of the Japan Euroyen market | Approx. JPY1.2 tril.*2 |
| (3) Estimated market size of NCD transactions | Approx. JPY 32.7 tril.*3 |
| (4) Estimated market size of large-account, time deposit transactions | (Approx. JPY 34.0 tril.)*4 |
*1 Estimated based on the "Trend in the Money Market in Japan - Tokyo Money Market Survey (15/8)" published by the Bank of Japan
*2 Estimated based on the "Balance of Offshore Account" published by the Mistry of Finance Japan
*3 Estimated based on statistics related to the Deposits and Loan Market (DL) published by the Bank of Japan
*4 Estimated based on the "Amounts Outstanding of Deposits by Depositor (semi-annual research <for domestic banks>)" published by the Bank of JapanTransactions for corporate entities only
2. Basis for reference rate calculation by reference banks
The basis for reference rate calculation by reference banks in December 2015 (21 business days in total) is as shown in the tables below.
(1) Japanese Yen TIBOR (15 reference banks)
|
Percentage of reference rates based on actual transaction data of the underlying and relevant markets*5 |
Percentage of reference rates based on qualitative information of the underlying and relevant markets other than actual transaction data*5 | |
|---|---|---|
| １W | 14％ | 86％ |
| １M | 16％ | 84％ |
| ２M | 13％ | 87％ |
| ３M | 13％ | 87％ |
| ６M | 13％ | 87％ |
| 12M | 13％ | 87％ |
(2) Euroyen TIBOR (14 reference banks)
|
Percentage of reference rates based on actual transaction data of the underlying and relevant markets*5 |
Percentage of reference rates based on qualitative information of the underlying and relevant markets other than actual transaction data*5 | |
|---|---|---|
| １W | 7％ | 93％ |
| １M | 10％ | 90％ |
| ２M | 7％ | 93％ |
| ３M | 7％ | 93％ |
| ６M | 7％ | 93％ |
| 12M | 7％ | 93％ |
*5 Including the case where expert judgment was relied on to calculate reference rates