Spreadsheet: jeffrey_a_shankman__13928__JCC Swap Model-DPR (JH)
Sheet: IR-FX Curves

Interest Rate and Foreign Exchange Forward Curves
Last Update | 2001-10-17 15:40:20
Monthly Date | US LIBOR | JAP LIBOR | USD-YEN FX
 | Cost of Funds | Cost of Funds | Yen/USD
2001-09-01 00:00:00 | n/a | n/a | n/a
2001-10-01 00:00:00 | n/a | n/a | 121.26
2001-11-01 00:00:00 | 0.0254297980314799 | 0.0005115950056052 | 121.136771080496
2001-12-01 00:00:00 | 0.0247486493803435 | 0.0005930315705891 | 120.901921344236
2002-01-01 00:00:00 | 0.0246169887504557 | 0.0007186902853773 | 120.662279259446
2002-02-01 00:00:00 | 0.0245051907075804 | 0.00078373938178 | 120.42550899505
2002-03-01 00:00:00 | 0.0240933574059925 | 0.0008239416196574 | 120.227952415218
2002-04-01 00:00:00 | 0.0238540037817891 | 0.0008672940442049 | 120.007469101689
2002-05-01 00:00:00 | 0.0239089710312008 | 0.0009059089128272 | 119.781481866673
2002-06-01 00:00:00 | 0.0239657705233327 | 0.0009458109549891 | 119.548084505523
2002-07-01 00:00:00 | 0.0241368175784782 | 0.0009744225996715 | 119.311866972146
2002-08-01 00:00:00 | 0.0245014753359221 | 0.0009877840655559 | 119.046434115048
2002-09-01 00:00:00 | 0.0248661331383224 | 0.0010011455327232 | 118.774603773544
2002-10-01 00:00:00 | 0.0252872035472209 | 0.0010193456532805 | 118.498469687485
2002-11-01 00:00:00 | 0.0258191452085534 | 0.0010456368266807 | 118.194867430465
2002-12-01 00:00:00 | 0.0263339275524839 | 0.0010710799024412 | 117.892309348101
2003-01-01 00:00:00 | 0.0269162300620538 | 0.0011044030256859 | 117.564647704553
2003-02-01 00:00:00 | 0.0275596849294666 | 0.0011462649438032 | 117.219303887479
2003-03-01 00:00:00 | 0.0281408700911365 | 0.0011840757193737 | 116.898166139581
2003-04-01 00:00:00 | 0.0287771499333354 | 0.001225937661447 | 116.533718625112
2003-05-01 00:00:00 | 0.0293760396632536 | 0.0012664492302767 | 116.17411430013
2003-06-01 00:00:00 | 0.0299948925112554 | 0.0013083111971177 | 115.792735450778
2003-07-01 00:00:00 | 0.030593949914302 | 0.0013488227899146 | 115.414258432516
2003-08-01 00:00:00 | 0.0312132269271861 | 0.0013906847815215 | 115.013541726707
2003-09-01 00:00:00 | 0.0318325040693006 | 0.0014325467857139 | 114.603205464505
2003-10-01 00:00:00 | 0.0324197401247028 | 0.0014730584146574 | 114.199708523989
2003-11-01 00:00:00 | 0.0330114473389589 | 0.0015306840669544 | 113.780844735822
2003-12-01 00:00:00 | 0.0335840673359566 | 0.0016106048020705 | 113.373187111973
2004-01-01 00:00:00 | 0.0341672368419648 | 0.0016931896098771 | 112.946185895681
2004-02-01 00:00:00 | 0.0347412993244705 | 0.0017757744666582 | 112.513765830897
2004-03-01 00:00:00 | 0.0352783256181422 | 0.0018530313124989 | 112.102479407447
2004-04-01 00:00:00 | 0.0358181947935017 | 0.0019356162640647 | 111.664908477769
2004-05-01 00:00:00 | 0.03630535238318 | 0.0020155372315593 | 111.244850031228
2004-06-01 00:00:00 | 0.0368087486429847 | 0.0020981222794814 | 110.804859531544
2004-07-01 00:00:00 | 0.0372761969445787 | 0.002178043340221 | 110.379182634133
2004-08-01 00:00:00 | 0.0377376005020449 | 0.0022606284844913 | 109.940384761208
2004-09-01 00:00:00 | 0.0381990041310205 | 0.0023432136777237 | 109.496477449709
2004-10-01 00:00:00 | 0.038626782915054 | 0.0024231348790806 | 109.068028361958
2004-11-01 00:00:00 | 0.0390508073449891 | 0.0025057201686498 | 108.626554524967
2004-12-01 00:00:00 | 0.039461153624972 | 0.0025856414632326 | 108.195218682502
2005-01-01 00:00:00 | 0.0398735256885199 | 0.0026682268491318 | 107.74928322859
2005-02-01 00:00:00 | 0.0402763016436034 | 0.0027508122839826 | 107.302675140472
2005-03-01 00:00:00 | 0.0406400993272311 | 0.0028254056220502 | 106.896029357328
2005-04-01 00:00:00 | 0.0410145093466214 | 0.002907991150062 | 106.45249078899
2005-05-01 00:00:00 | 0.0413522275667058 | 0.0029879126753856 | 106.029205083379
2005-06-01 00:00:00 | 0.0417012031009678 | 0.0030704982997078 | 105.589023010351
2005-07-01 00:00:00 | 0.0420250174392871 | 0.0031504199182324 | 105.165696516987
2005-08-01 00:00:00 | 0.0423462462876638 | 0.0032330056388581 | 104.730970743578
2005-09-01 00:00:00 | 0.0426674751706226 | 0.0033155914084224 | 104.29395086123
2005-10-01 00:00:00 | 0.0429704113499203 | 0.0033955131674976 | 103.872076829718
2005-11-01 00:00:00 | 0.0432656706074979 | 0.0034780990333534 | 103.441353468127
2005-12-01 00:00:00 | 0.0435514054007009 | 0.0035580208856105 | 103.022800760241
2006-01-01 00:00:00 | 0.0438267572707107 | 0.003640606847751 | 102.596962929528
2006-02-01 00:00:00 | 0.0440659138085153 | 0.0037231928588199 | 102.18519045809
2006-03-01 00:00:00 | 0.044281926181704 | 0.0037977867173229 | 101.812445108023
2006-04-01 00:00:00 | 0.0445210827559577 | 0.0038803728215084 | 101.398876439008
2006-05-01 00:00:00 | 0.0447525246202418 | 0.003960294904398 | 100.997785172035
2006-06-01 00:00:00 | 0.0449916812321716 | 0.0040428811048492 | 100.582456715211
2006-07-01 00:00:00 | 0.0452231231329119 | 0.0041228032808958 | 100.17971017577
2006-08-01 00:00:00 | 0.0454622797825093 | 0.0042053895776046 | 99.7627205223394
2006-09-01 00:00:00 | 0.045701436451246 | 0.004287975923229 | 99.3449243208198
2006-10-01 00:00:00 | 0.0459328784069539 | 0.0043678982397597 | 98.9398613204338
2006-11-01 00:00:00 | 0.046147828840315 | 0.0044886063812415 | 98.5511941993213
2006-12-01 00:00:00 | 0.0463234101969388 | 0.0046565020558957 | 98.2166836123015
2007-01-01 00:00:00 | 0.0465048442762823 | 0.0048299944653754 | 97.8721466547204
2007-02-01 00:00:00 | 0.0466862783666358 | 0.0050034870906561 | 97.5287486502699
2007-03-01 00:00:00 | 0.0468501543286757 | 0.0051601902925089 | 97.2195587677608
2007-04-01 00:00:00 | 0.0470315884399803 | 0.0053336833284567 | 96.8783188329786
2007-05-01 00:00:00 | 0.0472071698484973 | 0.00550158002028 | 96.5491615050731
2007-06-01 00:00:00 | 0.0473886039814602 | 0.0056750734807469 | 96.2101395987432
2007-07-01 00:00:00 | 0.0475641854109345 | 0.0058429705833607 | 95.8831222841683
2007-08-01 00:00:00 | 0.0477456195655508 | 0.0060164644682779 | 95.5463050617339
2007-09-01 00:00:00 | 0.0479270537311702 | 0.0061899585688714 | 95.210603161458
2007-10-01 00:00:00 | 0.0481026351922451 | 0.006357856290911 | 94.8867890701302
2007-11-01 00:00:00 | 0.048284069379513 | 0.0065313508158482 | 94.5532718635424
2007-12-01 00:00:00 | 0.0484596508615356 | 0.0066992489485087 | 94.2315656132375
2008-01-01 00:00:00 | 0.0486410850704484 | 0.006872743897719 | 93.9002199356674
2008-02-01 00:00:00 | 0.0488225192903586 | 0.0070462390625168 | 93.5699727997336
2008-03-01 00:00:00 | 0.0489922480866829 | 0.0072085411860328 | 93.2620234606174
2008-04-01 00:00:00 | 0.049173682327877 | 0.0073820367680453 | 92.93389296261
2008-05-01 00:00:00 | 0.0493492638620832 | 0.0075499359235973 | 92.6173839112989
2008-06-01 00:00:00 | 0.0495306981249124 | 0.0077234319297084 | 92.2913924473845
2008-07-01 00:00:00 | 0.0497062796800538 | 0.0078913314956446 | 91.9769471700669
2008-08-01 00:00:00 | 0.0498877139645146 | 0.0080648279257844 | 91.6530818226228
2008-09-01 00:00:00 | 0.0500691482599676 | 0.0082383245713871 | 91.3302920326236
2008-10-01 00:00:00 | 0.0502447298466766 | 0.0084062247561354 | 91.0189357737313
2008-11-01 00:00:00 | 0.0503943459154468 | 0.0085740323802783 | 90.7144579041267
2008-12-01 00:00:00 | 0.0504903818972644 | 0.0087277093388702 | 90.4461223908236
2009-01-01 00:00:00 | 0.0505896190817103 | 0.0088865090402845 | 90.1705947459251
2009-02-01 00:00:00 | 0.0506888562694434 | 0.009045308922131 | 89.896837039443
2009-03-01 00:00:00 | 0.0507784898611887 | 0.0091887412285496 | 89.6510839911009
2009-04-01 00:00:00 | 0.0508777270551772 | 0.00934754145376 | 89.3806639925569
2009-05-01 00:00:00 | 0.0509737630524891 | 0.0095012192628174 | 89.1206218092137
2009-06-01 00:00:00 | 0.0510730002529454 | 0.0096600198429795 | 88.8536106399843
2009-07-01 00:00:00 | 0.0511690362565154 | 0.0098136979955128 | 88.5968468928297
2009-08-01 00:00:00 | 0.0512682734634375 | 0.0099724989305723 | 88.3332024968554
2009-09-01 00:00:00 | 0.0513675106736464 | 0.0101313000459693 | 88.0712531793951
2009-10-01 00:00:00 | 0.0514635466866542 | 0.0102849787164327 | 87.819357791372
2009-11-01 00:00:00 | 0.0515627839033286 | 0.0104437801866464 | 87.560713067054
2009-12-01 00:00:00 | 0.0516588199225931 | 0.0105974592004547 | 87.311996038396
2010-01-01 00:00:00 | 0.0517580571457326 | 0.0107562610254321 | 87.0566154913051
2010-02-01 00:00:00 | 0.0518572943721574 | 0.0109150630306782 | 86.8028785037512
2010-03-01 00:00:00 | 0.0519469279988485 | 0.0110584972548664 | 86.5751009042612
2010-04-01 00:00:00 | 0.0520461652315252 | 0.011217299603167 | 86.3244638934567
2010-05-01 00:00:00 | 0.0521422012662756 | 0.0113709794666725 | 86.0834489800619
2010-06-01 00:00:00 | 0.0522414385054155 | 0.0115297821696045 | 85.8359788117805
2010-07-01 00:00:00 | 0.0523374745464205 | 0.0116834623762752 | 85.5980100021996
2010-08-01 00:00:00 | 0.0524367117920237 | 0.011842265433784 | 85.3536684247554
2010-09-01 00:00:00 | 0.0525359490409114 | 0.0120010686714673 | 85.1109023204635
2010-10-01 00:00:00 | 0.0526319850913484 | 0.0121547493956009 | 84.8774583550263
2010-11-01 00:00:00 | 0.052731222346698 | 0.0123135529877807 | 84.6377642830049
2010-12-01 00:00:00 | 0.0528272584033886 | 0.0124672340549501 | 84.4072753923142
2011-01-01 00:00:00 | 0.0529264956651989 | 0.012626038001573 | 84.1706165885882
2011-02-01 00:00:00 | 0.0530257329302932 | 0.0127848421283021 | 83.9354863942752
2011-03-01 00:00:00 | 0.0531153665919097 | 0.0129282782685292 | 83.7244168942205
2011-04-01 00:00:00 | 0.0532146038632528 | 0.0130870827380032 | 83.4921704370147
2011-05-01 00:00:00 | 0.0533106399354204 | 0.0132407646541033 | 83.2688459007894
2011-06-01 00:00:00 | 0.0534098772132232 | 0.0133995694778886 | 83.0395461664829
2011-07-01 00:00:00 | 0.0535059132916413 | 0.0135532517368437 | 82.8190563922321
2011-08-01 00:00:00 | 0.0536051505759034 | 0.0137120569148865 | 82.5926685812612
2011-09-01 00:00:00 | 0.0537043878634473 |  | 82.3677474389743
2011-10-01 00:00:00 | 0.053800423951293 |  | 82.1514700149151
2011-11-01 00:00:00 | 0.0538842016132382 |  | 82.1514700149151
2011-12-01 00:00:00 | 0.0539445616320209 |  | 82.1514700149151
2012-01-01 00:00:00 | 0.0540069336527056 |  | 82.1514700149151
2012-02-01 00:00:00 | 0.0540693056746866 |  | 82.1514700149151
2012-03-01 00:00:00 | 0.0541276536964226 |  | 82.1514700149151
2012-04-01 00:00:00 | 0.0541900257209131
2012-05-01 00:00:00 | 0.054250385745847
2012-06-01 00:00:00 | 0.0543127577728875
2012-07-01 00:00:00 | 0.05437311780029
2012-08-01 00:00:00 | 0.0544354898298809
2012-09-01 00:00:00 | 0.0544978618607686
2012-10-01 00:00:00 | 0.054558221891893
2012-11-01 00:00:00 | 0.0546205939253306
2012-12-01 00:00:00 | 0.0546809539589232
2013-01-01 00:00:00 | 0.0547433259949108
2013-02-01 00:00:00 | 0.0548056980321943
2013-03-01 00:00:00 | 0.0548620340669839
2013-04-01 00:00:00 | 0.0549244061067333
2013-05-01 00:00:00 | 0.0549847661464349
2013-06-01 00:00:00 | 0.0550471381887343
2013-07-01 00:00:00 | 0.0551074982309028
2013-08-01 00:00:00 | 0.0551698702757517
2013-09-01 00:00:00 | 0.0552322423218965
2013-10-01 00:00:00 | 0.0552926023677864
2013-11-01 00:00:00 | 0.0553549744164803
2013-12-01 00:00:00 | 0.0554153344648372
2014-01-01 00:00:00 | 0.0554777065160805
2014-02-01 00:00:00 | 0.0555400785686189
2014-03-01 00:00:00 | 0.0555964146171868
2014-04-01 00:00:00 | 0.0556587866721907
2014-05-01 00:00:00 | 0.0557191467266542
2014-06-01 00:00:00 | 0.0557815187842068
2014-07-01 00:00:00 | 0.0558418788411368
2014-08-01 00:00:00 | 0.055904250901238
2014-09-01 00:00:00 | 0.055966622962635
2014-10-01 00:00:00 | 0.0560269830232842
2014-11-01 00:00:00 | 0.0560893550872294
2014-12-01 00:00:00 | 0.0561497151503452
2015-01-01 00:00:00 | 0.0562120872168386
2015-02-01 00:00:00 | 0.0562744592846274
2015-03-01 00:00:00 | 0.0563307953469683
2015-04-01 00:00:00 | 0.0563931674172218
2015-05-01 00:00:00 | 0.0564535274864411
2015-06-01 00:00:00 | 0.0565158995592423
2015-07-01 00:00:00 | 0.0565762596309276
2015-08-01 00:00:00 | 0.0566386317062761
2015-09-01 00:00:00 | 0.0567010037829201
2015-10-01 00:00:00 | 0.0567613638583233
2015-11-01 00:00:00 | 0.0568237359375146
2015-12-01 00:00:00 | 0.0568840960153834
2016-01-01 00:00:00 | 0.0569464680971219
2016-02-01 00:00:00 | 0.057008840180155
2016-03-01 00:00:00 | 0.0570671882590026
2016-04-01 00:00:00 | 0.0571295603445408
2016-05-01 00:00:00 | 0.0571899204285522
2016-06-01 00:00:00 | 0.0572522925166372
2016-07-01 00:00:00 | 0.0573126526031138
2016-08-01 00:00:00 | 0.0573750246937457
2016-09-01 00:00:00 | 0.0574373967856725
2016-10-01 00:00:00 | 0.0574977568758657
2016-11-01 00:00:00 | 0.0575601289703389
2016-12-01 00:00:00 | 0.0576204890629963
2017-01-01 00:00:00 | 0.057682861160016
2017-02-01 00:00:00 | 0.0577452332583293
2017-03-01 00:00:00 | 0.0578015693482405
2017-04-01 00:00:00 | 0.0578639414490172
2017-05-01 00:00:00 | 0.0579243015477746
2017-06-01 00:00:00 | 0.0579866736510972
2017-07-01 00:00:00 | 0.0580470337523185
2017-08-01 00:00:00 | 0.058109405858187
2017-09-01 00:00:00 | 0.0581717779653492
2017-10-01 00:00:00 | 0.0582321380702862
2017-11-01 00:00:00 | 0.0582945101799939
2017-12-01 00:00:00 | 0.0583548702873946
2018-01-01 00:00:00 | 0.0584172423996483
2018-02-01 00:00:00 | 0.0584796145131952
2018-03-01 00:00:00 | 0.0585359506168657
2018-04-01 00:00:00 | 0.0585983227328746
2018-05-01 00:00:00 | 0.0586586828463727
2018-06-01 00:00:00 | 0.0587210549649266
2018-07-01 00:00:00 | 0.0587814150808881
2018-08-01 00:00:00 | 0.0588437872019871
2018-09-01 00:00:00 | 0.0589061593243798
2018-10-01 00:00:00 | 0.0589665194440556
2018-11-01 00:00:00 | 0.0590288915689925
2018-12-01 00:00:00 | 0.0590892516911312
2019-01-01 00:00:00 | 0.0591516238186132
2019-02-01 00:00:00 | 0.0592139959473883
2019-03-01 00:00:00 | 0.0592703320648127
2019-04-01 00:00:00 | 0.0593327041960485
2019-05-01 00:00:00 | 0.0593930643242824
2019-06-01 00:00:00 | 0.0594554364580628
2019-07-01 00:00:00 | 0.0595157965887587
2019-08-01 00:00:00 | 0.0595781687250834
2019-09-01 00:00:00 | 0.0596405408627008
2019-10-01 00:00:00 | 0.0597009009971097
2019-11-01 00:00:00 | 0.0597632731372713
2019-12-01 00:00:00 | 0.0598236332741418
2020-01-01 00:00:00 | 0.0598860054168471
2020-02-01 00:00:00 | 0.0599483775608447
2020-03-01 00:00:00 | 0.0600067256967227
2020-04-01 00:00:00 | 0.0600690978432219
2020-05-01 00:00:00 | 0.0601294579862266
2020-06-01 00:00:00 | 0.0601918301352695
2020-07-01 00:00:00 | 0.0602521902807354
2020-08-01 00:00:00 | 0.0603145624323211
2020-09-01 00:00:00 | 0.0603769345851997
2020-10-01 00:00:00 | 0.0604372947343772
2020-11-01 00:00:00 | 0.060499666889799
2020-12-01 00:00:00 | 0.0605600270414373
2021-01-01 00:00:00 | 0.0606223991994015
2021-02-01 00:00:00 | 0.0606847713586585
00:00:00 | #N/A
00:00:00 | #N/A
00:00:00 | #N/A
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3
3
3
3
5
5
4
1995
0
0
0
1
4
Prior MonthNet Position!        LL$     Gross Book Balance!kD%-
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3
3
3
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4
4
2
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0
1
3
3
3
33
354
4
5
5
5
55
5
6
6
6
66
6
7
7
7
77
8
8
8
88
9
9
9
99
4
6
1
9
59
5
5
5
8
0
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4
8
2
11
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19966
3
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3
-2
3
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34
-4
-5
-6