2020/07/07 00:30:09

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Japanese Yen Term Risk Free Rate

QUICK LIBOR代替新指標の参考値を算出
QUICK Calculates Reference Rates (prototype rate) of New Alternative Benchmarks to LIBOR

QUICK Corp. starts to calculate and publish "Japanese Yen Term Risk Free Rate" as an alternative benchmark to replace the London Interbank Offered Rate (LIBOR), which is an interest rate benchmark calculated based on the Japanese Yen (JPY) overnight index swap (OIS).
In publishing the rate, a two-phase approach will be taken, i.e., phase 1 to publish the “prototype rate,” which will be used by market participants and interest rate benchmark users to make administrative preparations, and phase 2 to publish the “production rate,” which will be used for actual transactions.
Currently, this page provides the latest prototype rate and historical data. Please take this opportunity to use the Japanese Yen Term Risk Free Rate.

Japanese Yen Term Risk Free Rate (Prototype rate)

日本時間 17時 現在(5 P.M. JST)
1M 3M 6M
Date Rate Change Rate Change Rate Change

Disclosure procedure

Object data
The Japanese Yen (JPY) overnight index swap (OIS). ACT/365
Three tenors (1m/3m/6m)
Reference time
3 p.m. JST on the business day.
Publication time
毎週 第2国内営業日 17:00頃 ※前週営業日のデータ(通常5日分)を更新
Approximately 5 p.m. JST on the second business day every week.



・This data is prototype rates of term risk free rates derived from market data of Japanese-yen overnight index swap (OIS) referencing Tokyo overnight average rate (TONA). These rates are calculated and presented by QUICK Corp.
・These rates are prototypes, and the rates and the process by which they were calculated do not comply with the data quality, methodology, governance and other principles for financial benchmarks established by the International Organization of Securities Commissions (IOSCO).
・These rates are published for informational purpose only and are not intended to be used as reference rates in actual financial contracts.
・QUICK Corp. is not responsible for any damage caused by the use of these rates.
・These rates are calculated with reference to the calculation method presented in July 2019 by the "Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks". However, the method may be constantly revised during the prototyping period, and may differ from what will be used to calculate production rates, which is planned to start in 2021.
・The calculation method and the calculated historical data may be changed without notice during the prototype rate period.
・QUICK Corp. may constantly revise the date and time of calculation and publication, and may postpone or cancel the calculation and publication without notice.
・This data may not be edited, processed, or secondarily used without permission, or may not be reproduced or incorporated into a device other than the terminal where this information is viewed.
・If an information vendor or others wish to acquire this data for secondary use (distribution to a third party, etc.), please contact us at the following inquiries:
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