Settlement Rates (Interest Rate Swaps)
2017/6/15
JPY OIS
１D
1W
2W
3W
1M
2M
3M
4M
5M
6M
7M
8M
9M
10M
11M
1Y
15M
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
11Y
12Y
15Y
20Y
25Y
30Y
35Y
40Y
-0.05553
-0.05644
-0.05730
-0.05823
-0.05831
-0.05856
-0.05856
-0.05852
-0.05851
-0.05853
-0.05825
-0.05818
-0.05736
-0.05725
-0.05687
-0.05716
-0.05506
-0.05281
-0.04914
-0.04504
-0.03778
-0.02873
-0.01836
-0.00805
0.00560
0.01943
0.03431
0.05618
0.08140
0.18688
0.33916
0.42328
0.46462
0.50650
0.53988
JPY 1M LIBOR
1M
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
25Y
30Y
35Y
40Y
-0.03821
-0.04132
-0.03504
-0.03074
5.45120
5.25001
5.36611
5.60264
5.73215
5.98499
6.49002
7.12269
7.75232
8.50958
9.36201
10.34692
10.86147
11.60131
12.72636
13.73390
13.75754
13.64897
JPY 3M LIBOR
3M
4M
5M
6M
7M
8M
9M
10M
11M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
25Y
30Y
35Y
40Y
-0.01093
-0.00614
-0.00104
0.00394
0.00481
0.00636
0.00708
0.01007
0.01232
2.37325
2.37500
2.49911
2.74829
3.00000
3.37471
3.99677
4.75000
5.50000
6.37500
7.24587
8.36089
8.87178
9.61136
10.87053
12.00000
12.12500
12.12570
JPY 6M LIBOR
6M
7M
8M
9M
10M
11M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
25Y
30Y
35Y
40Y
0.01771
0.02249
0.02642
0.02932
0.03294
0.03643
0.02877
0.03614
0.04365
0.05712
0.07463
0.09580
0.11955
0.14521
0.17383
0.20376
0.23504
0.30739
0.42927
0.60173
0.70355
0.76108
0.80488
0.83879
1
JPY 1M Euroyen TIBOR
(1M ZTIBOR)
1M
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
0.02814
0.02807
0.02194
0.01862
6.88605
6.62702
6.37769
6.12503
6.00002
5.87390
5.74893
5.50308
5.50000
5.49931
5.61349
5.01054
4.38642
3.99989
JPY 3M Euroyen TIBOR
(3M ZTIBOR)
3M
4M
5M
6M
7M
8M
9M
10M
11M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
0.05601
0.05253
0.04583
0.03935
0.03852
0.03732
0.03682
0.03659
0.03645
4.51146
4.25168
4.12488
3.87528
3.75110
3.62378
3.49999
3.37618
3.25766
3.25081
3.24216
2.88426
2.39483
2.13613
JPY 6M Euroyen TIBOR
(6M ZTIBOR)
6M
7M
8M
9M
10M
11M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
0.10201
0.09720
0.09008
0.08317
0.07900
0.07600
5.86298
4.75948
4.13112
3.50806
3.13264
3.25162
3.62819
4.25352
5.00000
5.74821
6.37757
7.86364
9.47789
9.33989
JPY 1M Japanese Yen
TIBOR (1M DTIBOR)
JPY 3M Japanese Yen
TIBOR (3M DTIBOR)
JPY 6M Japanese Yen
TIBOR (6M DTIBOR)
1M
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
0.11748
0.09657
0.09632
0.08711
0.10585
0.20198
0.20199
0.20393
0.20489
0.20545
0.20578
0.20600
0.20615
0.20628
0.20637
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
6M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
-0.35400
-0.36000
-0.36000
-0.36100
-0.36100
-0.36000
-0.36000
-0.36000
-0.35800
-0.35400
-0.34500
-0.32600
6.60000
7.40000
8.20000
8.60000
8.70000
8.70000
8.60000
8.40000
8.10000
7.60000
6.80000
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
EUR OIS
１D
1W
1M
2M
3M
4M
5M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
0.00694
0.19235
0.20093
0.20069
0.29196
0.38366
0.38459
0.38503
0.38528
0.38542
0.38549
0.38555
0.38559
0.38561
EUR 3M EURIBOR
-0.33100
-0.32500
-0.31400
6.70000
7.40000
8.05000
9.20000
10.20000
11.00000
11.25000
11.30000
11.20000
10.85000
10.40000
9.50000
8.35000
6.70000
0.22735
0.01734
0.40649
0.40465
0.40278
0.40184
0.40128
0.40091
0.40064
0.40044
0.40029
0.40016
USD OIS
１D
1W
1M
2M
3M
4M
5M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
25Y
30Y
EUR 6M EURIBOR
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
-0.27100
-0.25300
-0.25500
-0.23000
-0.19600
-0.11000
-0.00800
0.10600
0.23100
0.35800
0.48400
0.60700
0.72100
0.91700
1.12600
1.30700
0.91000
1.16300
1.14850
1.15100
1.15242
1.16150
1.17094
1.17873
1.20800
1.23700
1.29044
1.34440
18.50000
20.63000
22.25000
23.75000
24.75000
25.75000
26.50000
27.25000
28.25000
29.75000
30.75000
31.25000
32.00000
AUD OIS
１D
1W
1M
2M
3M
4M
5M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
1.50000
1.50000
1.49500
1.50000
1.49350
1.49500
1.49500
1.49500
1.49500
1.50100
1.53185
1.58500
22.75000
23.38000
24.00000
24.13000
24.25000
24.25000
24.25000
24.25000
USD 1M LIBOR
1M
2M
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
25Y
30Y
1.17167
1.21708
1.21875
1.27784
1.35500
6.12500
6.39122
6.62500
7.00000
7.12500
7.25000
7.00000
6.87500
6.75000
6.72188
6.62500
6.50000
6.50000
6.75000
7.25000
7.75000
AUD 3M BBSW
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
1.72000
1.72400
1.71500
1.72750
1.75662
1.80000
1.90000
13.75000
13.50000
13.25798
12.87500
12.51859
11.90366
11.37500
USD 3M LIBOR
3M
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
25Y
30Y
1.25439
1.33110
1.41712
1.38999
1.46194
1.53083
1.64450
1.73814
1.81892
1.89122
1.95657
2.01673
2.07000
2.11817
2.20108
2.28433
2.36229
2.39185
2.40207
USD 6M LIBOR
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
25Y
30Y
1.42600
1.48990
12.16667
11.66667
11.12500
10.66667
10.54167
10.62500
10.82143
11.04167
11.55826
11.87500
12.25000
12.88000
13.12500
13.25000
13.25000
13.08333
AUD 6M BBSW
6M
9M
1Y
18M
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
1.84500
1.86184
13.87500
14.26028
14.37500
14.12500
2.14125
2.23750
2.33500
2.42375
2.50250
2.57000
2.63250
【Disclaimer】
・Any and all rights related to the rates published by Japan Securities Clearing Corporation (hereinafter referred to “JSCC”) shall be vested in JSCC.
・External redistribution of the rates published by JSCC is strictly prohibited.
・The rates published by JSCC are calculated by JSCC for the purpose of calculating the current market values as well as Initial Margin, etc. pertaining to each IRS Clearing Participant’s day-to-day positions.
・The rates published by JSCC are the simple average values calculated using the current market prices as of 15:02 on the publication date, contributed by IRS Clearing Participants, etc. In the calculation of the average values, the highest and the lowest values are
excluded for each grid point on yield curves. When JSCC deems necessary for its risk management, such as in the volatile market condition, JSCC may revise the relevant average value.
・Not limited to the foregoing, JSCC may change the calculation method of, suspend calculation of, or cease any use of, the rates published by JSCC.
・JSCC is not able to answer any inquiry on the contributions by IRS Clearing Participants, etc. that are used to calculate the rates published.
・JSCC shall neither guarantee nor comment on results derived in connection with the use of the rates published by JSCC. Furthermore, JSCC shall not guarantee an accuracy or completeness of the rates published by JSCC.
・JSCC does not accept any liability for any monetary or non-monetary loss resulting from the use of the rates published by JSCC or as a result of fallacy, failure to reach, delay, omission, defect and interruption of information or system failure. The information and
other content on this site may be revised or deleted without prior notice.
・Not limited to the foregoing, JSCC shall bear no liability for any damage arising from a utilization of the rates published by JSCC.
【Contact】
Japan Securities Clearing Corporation OTC Derivatives Clearing Service
Tel : +81-3-3665-1405
e-mail ： [email protected]
2