Benchmarks

Tokyo Swap Rate

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OVERVIEW

  • RSBL is responsible for computing and managing the Tokyo Swap Rate (TSR), a benchmark series for Japanese yen (JPY) interest rate swaps (IRS).
  • This benchmark is extensively utilized in the pricing of swaptions, CMS, structured loans and notes, FRNs, and private finance initiatives.
  • The Tokyo Swap Rate benchmarks are released every business day in Japan at 10:30 and 15:30 Tokyo time.

DATA SPECIFICATIONS

Data Format
CSVDelimitedGZIPPythonUser InterfaceXMLZip Archive
Delivery Mechanism
APIDesktopExcelFTPSFTP
Data Frequency
Two times a day

FEATURES & CAPABILITIES

Enterprise-grade data infrastructure

RSBL is responsible for the computation and management of the Tokyo Swap Rate (TSR), a benchmark series for Japanese yen (JPY) interest rate swaps (IRS). This benchmark is extensively utilized in the pricing of swaptions, CMS, structured loans and notes, FRNs, and private finance projects.

The Tokyo Swap Rate benchmarks are released every business day in Japan at 10:30 AM and 3:30 PM Tokyo time.

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