Yen Libor Death Knell Sounds as Traders Close In on Replacement
- Deals based on Tokyo Overnight Average Rate doubled in July
- OIS transactions may overtake yen Libor as early as August
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The hunt for a benchmark to replace yen Libor is gaining ground, with Japan’s traders leaning toward the Tokyo Overnight Average Rate in the battle to dominate the financing of the country’s $27 trillion derivatives market.
Transactions using TONA -- which is based on overnight index swaps -- almost doubled to 16 trillion yen ($147 billion) in July from the previous month, according to data from Japan Securities Clearing Corp. Those based on the Tokyo Interbank Offered Rate, another potential alternative benchmark known as Tibor, climbed just 11% to 7 trillion yen.