| Floating rate | Compounded TONA |
|---|---|
| Day count convention | ACT/365 |
| Frequency of cash-flow |
|
| Region of Business Day | Tokyo Modified Following |
| Settlement | Settlement on balance |
| Settlement date | 2 Tokyo business days later from the maturity day |
| Clearing | JSCC available (Up to 14,623days≒40year)/ LCH available (Up to 41year) |
| Formula of floating H | 
n
Number of days for the interest calculating period (First day included, maturity date not included)
i
Pointing to which number of the bank business date on calculating period
ri
TONA rate for [i]th bank business day
di
Number of days ri applied (If Friday, 3days including weekend)
a
Number of days for calculating period
|
| JPY TONA OIS FIXING 3PM | ||||
|---|---|---|---|---|
| Tenor(static) | ASK | BID | MID | CHG |
| ON | 0.09700 | 0.05700 | 0.07700 | 0.00000 |
| 1W | 0.09750 | 0.05750 | 0.07750 | 0.00000 |
| 2W | 0.09750 | 0.05750 | 0.07750 | 0.00000 |
| 3W | 0.09750 | 0.05750 | 0.07750 | 0.00000 |
| 1M | 0.09875 | 0.05875 | 0.07875 | 0.00000 |
| 2M | 0.11500 | 0.07500 | 0.09500 | 0.00000 |
| 3M | 0.13250 | 0.09250 | 0.11250 | + 0.00125 |
| 4M | 0.14875 | 0.10875 | 0.12875 | + 0.00250 |
| 5M | 0.16250 | 0.12250 | 0.14250 | + 0.00250 |
| 6M | 0.17625 | 0.13625 | 0.15625 | + 0.00375 |
| 7M | 0.19000 | 0.15000 | 0.17000 | + 0.00375 |
| 8M | 0.20500 | 0.16500 | 0.18500 | + 0.00375 |
| 9M | 0.21875 | 0.17875 | 0.19875 | + 0.00375 |
| 10M | 0.23250 | 0.19250 | 0.21250 | + 0.00375 |
| 11M | 0.24625 | 0.20625 | 0.22625 | + 0.00375 |
| 1Y | 0.25875 | 0.21875 | 0.23875 | + 0.00375 |
| 18M | 0.33250 | 0.29250 | 0.31250 | + 0.00250 |
| 2Y | 0.39375 | 0.35375 | 0.37375 | + 0.00125 |
| 3Y | 0.48500 | 0.44500 | 0.46500 | + 0.00250 |
| 4Y | 0.55500 | 0.51500 | 0.53500 | + 0.00250 |
| 5Y | 0.62500 | 0.58500 | 0.60500 | + 0.00250 |
| 6Y | 0.69875 | 0.65875 | 0.67875 | + 0.00125 |
| 7Y | 0.77875 | 0.73875 | 0.75875 | + 0.00125 |
| 8Y | 0.85750 | 0.81750 | 0.83750 | + 0.00125 |
| 9Y | 0.93000 | 0.89000 | 0.91000 | + 0.00125 |
| 10Y | 1.00250 | 0.96250 | 0.98250 | + 0.00125 |
| 11Y | 1.06875 | 1.02875 | 1.04875 | + 0.00125 |
| 12Y | 1.13125 | 1.09125 | 1.11125 | + 0.00250 |
| 15Y | 1.30750 | 1.26750 | 1.28750 | + 0.00375 |
| 20Y | 1.54125 | 1.50125 | 1.52125 | + 0.00625 |
| 25Y | 1.66125 | 1.62125 | 1.64125 | + 0.00875 |
| 30Y | 1.72250 | 1.68250 | 1.70250 | + 0.00875 |
| 35Y | 1.74125 | 1.70125 | 1.72125 | + 0.00875 |
| 40Y | 1.74750 | 1.70750 | 1.72750 | + 0.00875 |
You can view our TONA data screen on Bloomberg and Refinitiv Eikon.
Bloomberg: TRAT<GO>, Refinitiv Eikon: <TRADT1>.
For enterprise usage, API for Direct access available. If you wish to use our rates in systems, printed materials, etc., please contact our support.
Email : md-support.tokyo@traditionasia.com Phone : 03-4360-3881
| Floating rate | Compounded TONA vs Compounded SOFR |
|---|---|
| Day count convention | JPY ACT/365、USD ACT/360 |
| Frequency of cash-flow | Every 3M in both Fix and Floaing (ARRC recommended） |
| Region of Business Day (Roll date) | Tokyo and New York Modified Following |
| Floating Rates Fixing Day | SOFR conform to USGS calendar / TONA conform to Tokyo Bank Business day |
| Settlement | Settlement on balance |
| Settlement date | 2 Tokyo business days later from each roll day |
| Principal Exchange | Exchange Pripcipal on the Start and the Maturity date |
| Mark-to-Market | Principal is reset every 3M the current FX rate. Applicable FX rate will be published on Refinitiv's WMRPSPOT01 at 11:00 AM (GMT) London time, 2 Tokyo/New York business days before on each roll day. |
| TONA Formula of floating H |
n
Number of days for the interest calculating period (First day included, maturity date not included)
i
Pointing to which number of the bank business date on calculating period
ri
TONA rate for [i]th bank business day
di
Number of days ri applied (If Friday, 3days including weekend)
a
Number of days for calculating period
|
| SOFR Formula of floating F | 
n
Number of days for the interest calculating period (First day included, maturity date not included)
i
Pointing to which number of the bank business date on calculating period
ri
SOFR rate for [i]th bank business day
di
Number of days ri applied (If Friday, 3days including weekend)
|
| USD SOFR vs JPY TONA FIXING 3PM | ||||
|---|---|---|---|---|
| Tenor(static) | ASK | BID | MID | CHG |
| 1M | -18.12500 | -24.12500 | -21.12500 | -0.37500 |
| 2M | -23.00000 | -29.00000 | -26.00000 | -0.50000 |
| 3M | -22.62500 | -28.62500 | -25.62500 | -0.25000 |
| 6M | -24.12500 | -30.12500 | -27.12500 | -0.12500 |
| 9M | -33.12500 | -39.12500 | -36.12500 | -0.37500 |
| 1Y | -33.12500 | -39.12500 | -36.12500 | + 0.12500 |
| 18M | -34.87500 | -40.87500 | -37.87500 | + 0.12500 |
| 2Y | -39.12500 | -45.12500 | -42.12500 | + 0.25000 |
| 3Y | -44.50000 | -50.50000 | -47.50000 | + 0.37500 |
| 4Y | -49.37500 | -55.37500 | -52.37500 | + 0.50000 |
| 5Y | -53.75000 | -59.75000 | -56.75000 | + 0.62500 |
| 6Y | -57.12500 | -63.12500 | -60.12500 | + 0.62500 |
| 7Y | -59.50000 | -65.50000 | -62.50000 | + 0.62500 |
| 8Y | -61.00000 | -67.00000 | -64.00000 | + 0.62500 |
| 9Y | -62.12500 | -68.12500 | -65.12500 | + 0.50000 |
| 10Y | -62.50000 | -68.50000 | -65.50000 | + 0.62500 |
| 11Y | -62.50000 | -68.50000 | -65.50000 | + 0.62500 |
| 12Y | -62.37500 | -68.37500 | -65.37500 | + 0.62500 |
| 15Y | -61.37500 | -67.37500 | -64.37500 | + 0.62500 |
| 20Y | -60.12500 | -66.12500 | -63.12500 | + 0.62500 |
| 25Y | -57.25000 | -63.25000 | -60.25000 | + 0.62500 |
| 30Y | -53.87500 | -59.87500 | -56.87500 | + 0.62500 |
| 35Y | -50.62500 | -56.62500 | -53.62500 | + 0.62500 |
| 40Y | -47.37500 | -53.37500 | -50.37500 | + 0.62500 |
For more information for SOFR calculation
https://www.newyorkfed.org/markets/opolicy/operating_policy_191104#_ftn4
You can view our TONA data screen on Bloomberg and Refinitiv Eikon.
Bloomberg: TRAT<GO>, Refinitiv Eikon: <TRADT1>.
For enterprise usage, API for Direct access available. If you wish to use our rates in systems, printed materials, etc., please contact our support.
Email : md-support.tokyo@traditionasia.com Phone : 03-4360-3881
| Floating interest rate | Calculated by compound interest calculation based on the confirmed rate of Japanese yen uncollateralized overnight call rate (TONA) |
|---|---|
| Fixed , Floating rate day calculation method | ACT/365、ACT/365 |
| Cash flow frequency | IMM Date" refers to the third Wednesday of the months of March, June, September, and December. It occurs every three months, both for fixed and floating terms. |
| Business Day | Tokyo Modified Following |
| Settlement method | Cash settlement |
| Settlement day | 2 Tokyo business days after the maturity date |
| Clearing eligibility （clearing period） | JSCC Cleared Transactions (40 years) LCH Cleared Transactions (30 years) OSE TONA 3-month interest rate futures (5 years) |
| The fomula of "Floating Interest Rate" (annual percentage). |
n
Number of days for the interest calculating period (First day included, maturity date not included)
i
Pointing to which number of the bank business date on calculating period
ri
TONA rate for [i]th bank business day
di
Number of days ri applied (If Friday, 3days including weekend)
a
Number of days for calculating period
|
| TRADTIMMRT JSCC IMM LIVV QQ % |
|
|---|---|
| Tenor(static) | MID |
| 3M (IMM 1st) | 0.07968 |
| 6M (IMM 1st) | 0.13079 |
| 9M (IMM 1st) | 0.17233 |
| 1Y (IMM 1st) | 0.21622 |
| 15M (IMM 1st) | 0.25252 |
| 18M (IMM 1st) | 0.28914 |
| 21M (IMM 1st) | 0.32496 |
| 2Y (IMM 1st) | 0.35485 |
| 3Y (IMM 1st) | 0.45600 |
| 4Y (IMM 1st) | 0.52910 |
| 5Y (IMM 1st) | 0.60362 |
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