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Tokyo Swap Reference Rates

An interest rate swap is an agreement between two parties to exchange one stream of interest payments for another, over a set period of time. Swaps are derivative contracts and trade over-the-counter. A reference rate is a rate that determines pay-offs in a financial contract and that is outside the control of the parties to the contract. It is often some form of LIBOR rate, but it can take many forms, such as a consumer price index, a house price index or an unemployment rate. Parties to the contract choose a reference rate that neither party has power to manipulate. The most common use of reference rates is that of short-term interest rates such as LIBOR in floating rate notes, loans, swaps, short-term interest rate futures contracts, etc.

The “swap rate” is the fixed interest rate that the receiver demands in exchange for the uncertainty of having to pay the short-term LIBOR (floating) rate over time. At any given time, the market’s forecast of what LIBOR will be in the future is reflected in the forward LIBOR curve.

The Japanese yen LIBOR interest rate is the average interbank interest rate at which a large number of banks on the London money market are prepared to lend one another unsecured funds denominated in Japanese yen. The Japanese yen (JPY) LIBOR interest rate is available in 7 maturities, from overnight (on a daily basis) to 12 months. The Japanese yen LIBOR interest rate serves as a base rate for all sorts of other products such as savings accounts, mortgages and loans. Alongside the Japanese yen LIBOR there are also LIBOR interest rates in 4 other currencies. See the list of links at the bottom of the page for a summary of all LIBOR currencies.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 50 Japanese Yen Interest Rates. Some of the data items available include:

  • Asset Class
  • CESR EEA Regulated Flag
  • Closing Unadjusted Price
  • Exchange Identification Code
  • Inversion Flag
  • IPC Code
  • Security Type
  • Series Value
  • Status Flag
  • Unadjusted Last Trade

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