Bank of Japan : Minutes of Study Group on Risk-Free Reference Rates (March 27, 2018)

(Tentative translation by the Secretariat)

Study Group on Risk-Free Reference Rates

Minutes for the March 27, 2018 Meeting

4:00 - 5:00 PM

(Meeting Room in the Bank of Japan)

• 1. Members approved the minutes of the October 6, 2017 meeting. They also approved the publication of the minutes on the Bank of Japan's website.

• 2. The Working Group on Use of the Risk-Free Rate reported briefly about its fourth meeting held in January. More specifically, the Working Group reported that it had drafted "Japanese yen OIS (Overnight Index Swap) -- Overview and Case Studies --," a guide containing basic information and case studies of OIS for financial institutions which had not used OIS transactions. The Chair proposed to publish it as the Study Group, and members agreed. The Study Group decided to publish the guide on the Bank of Japan's website in early April.

• 3. The Secretariat provided an update on recent developments in international discussions about risk-free reference rates. The ISDA provided an update on the progress of discussion in the ISDA Benchmark Working Group.

• 4. The Chair announced that the Study Group had achieved its primary objectives given that it had identified the Japanese yen risk-free rate and had completed the guide on Japanese yen OIS. Subsequently, members discussed the next steps for financial benchmark reform in Japan and shared the following views.

  • i. The establishment of a new body consisting of market participants, including a broad set of users of financial benchmarks, is important.

  • ii. Prior to its establishment, outreach to users of financial benchmarks, including those on the buy-side and non-financial corporates, is necessary.

  • iii. It would be appropriate that the Bank of Japan assumes the role as Secretariat for the new body.

• 5. The Chair proposed not to schedule the next meeting of the Study Group unless the need to newly conduct a study on Japanese yen risk-free reference rates arises, and members agreed.

Study Group on Risk-Free Reference Rates Attendance for the March 27, 2018 Meeting

(Attendees)

Chair	Bank of Tokyo-Mitsubishi UFJ	Takeshi Ogura
Vice Chair	Nomura Securities	Shigeru Hashimoto
SMBC Nikko Securities	Kazuhiro Ojima
SMBC Nikko Securities	Tomoki Kondo
Goldman Sachs	Kengo Taguchi
Daiwa Securities	Yuichiro Inada
Deutsche Bank	Ikuma Nagata
Deutsche Bank	Megumi Hirano
Nomura Securities	Hayato Ishida
Barclays Securities	Mark Shinoda
Mizuho Bank	Akihiro Kawano
Mizuho Bank	Hideki Kubo
Mizuho Bank	Hiroyuki Terashita
Mizuho Bank	Hiroyuki Masuda
Mizuho Securities	Hiromichi Kassai
Sumitomo Mitsui Banking Corporation	Shigetaka Tomura
Sumitomo Mitsui Banking Corporation	Hiroshi Yamamoto
Bank of Tokyo-Mitsubishi UFJ	Kazuhiro Ikebe
Mitsubishi UFJ Morgan Stanley Securities	Takehiro Seki
MorganStanley MUFG Securities	Jun Sawada
MorganStanley MUFG Securities	Shinya Yamamoto
ISDA	Tomoko Morita
Japanese Bankers Association	Hiroyuki Ohmine
Japanese Bankers Association	Hirotaka Koyama
Tokyo Financial Exchange	Kotaro Kuwabara
Tokyo Financial Exchange	Ryosuke Seo

(Observers)

Japan Securities Dealers Association	Hiromasa Oda
Japan Securities Dealers Association	Junichi Taguchi
Japan Securities Dealers Association	Yuya Nakase
Financial Services Agency	Shuhei Tanigawa
Financial Services Agency	Tomoaki Hayashi
Financial Services Agency	Akira Matsui
Bank of Japan	Ryota Hattori
Bank of Japan	Hiroki Ootake