Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve unpopular amid negative rate environment
Japan’s enduring negative interest rate environment could thwart efforts to build a term version of the overnight rate that has been selected as the market’s risk-free benchmark, dealers say.
A Bank of Japan working group is exploring ways to create a forward-looking curve for Tonar – the Tokyo overnight average rate – the benchmark chosen to replace yen Libor.
Two methods under consideration in other major currencies – deriving term rates from the prices of futures that reference the
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