Benchmarks

Tokyo Swap Rate

An overview of Tokyo Swap Rate

RSBL calculates and administers the Tokyo Swap Rate (TSR), a Japanese yen (JPY) interest rate swap (IRS) benchmark family, which is widely used in the valuation of swaptions, CMS, structured loans and notes, FRNs and private finance initiatives.

The Tokyo Swap Rate benchmarks are published on each business day in Japan at 10:30 and 15:30 Tokyo time.

Key Facts 

  • Geographical coverage
    Japan
  • History
    From 2021
  • Data format
    CSV
    Delimited
    GZIP
    Python
    User Interface
    XML
    Zip Archive
  • Delivery mechanism
    API
    Desktop
    Excel
    FTP
    SFTP
  • Data frequency
    Two times a day

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Features & Benefits

What you get with Tokyo Swap Rate

  • Well established and widely used.
  • Tokyo Swap Rate (for swaps referencing TONA) supports new market conventions.
  • Tokyo Swap Rate Fallback settings ensure on-going support for legacy contracts.

How it works

Accessing the dataset

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