TIBOR-related data and details

UTS Data of Libor Transition and Data provision

DTIBOR SWAP Specifications

Floating Rate	JBATA Japanese Yen TIBOR (DTIBOR)
Day count convention	ACT/365 fixed、ACT/365
Frequency of Cash-flow	Semi-annual （1M and3M DTIBOR are available but prices are differrent）
Region of Business Day	Tokyo Modified Following
Settelment	Settlement on balance
Settelment Date	2 Tokyo business days later from the maturity date
Clearing	JSCC available (up to 30year) LCH unavailable
DTIBOR Formura of floating D	DTIBOR will be fixed in advance. DTIBOR will be published on 2 Tokyo business days before each roll date. Day count convention is act/365.

10-May-2024

SB6 DTIBOR SWAP FIXING ３PM
Tenor(static)	ASK	BID	MID	CHG
1Y	0.46250	0.36250	0.41250	+ 0.00625
18M	0.53625	0.43625	0.48625	+ 0.00250
2Y	0.59750	0.49750	0.54750	+ 0.00125
3Y	0.68875	0.58875	0.63875	+ 0.00375
4Y	0.75875	0.65875	0.70875	+ 0.00500
5Y	0.82875	0.72875	0.77875	+ 0.00375
6Y	0.90250	0.80250	0.85250	+ 0.00250
7Y	0.98250	0.88250	0.93250	+ 0.00250
8Y	1.06000	0.96000	1.01000	+ 0.00250
9Y	1.13125	1.03125	1.08125	+ 0.00250
10Y	1.20250	1.10250	1.15250	+ 0.00250
11Y	1.26750	1.16750	1.21750	+ 0.00250
12Y	1.32750	1.22750	1.27750	+ 0.00375
15Y	1.49875	1.39875	1.44875	+ 0.00500
20Y	1.72125	1.62125	1.67125	+ 0.00750
25Y	1.83875	1.73875	1.78875	+ 0.01000
30Y	1.90000	1.80000	1.85000	+ 0.01000
35Y	1.91875	1.81875	1.86875	+ 0.01000
40Y	1.92500	1.82500	1.87500	+ 0.01000

Update Time:　10-May-2024 (update at 4pm every business days)

You can view our TIBOR data screen on Bloomberg and Refinitiv Eikon.
Bloomberg: TRAT <GO>, Refinitiv Eikon: <TRADTINDEX>
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

DTIBOR vs OIS + Spread SWAP Specifications

Floating rate	Compounded TONA vs JBATA Japanes yen TIBOR (DTIBOR)
Day count convention	TONA ACT/365 、DTIBOR ACT/365
Frequency of cash-flow	OIS Annual / DTIBOR SWAP Semi-annual
Region of Business Day	Tokyo　Modified Following
Settlement	２SWAP or 1SWAP
Settlement date	TONA 2 Tokyo business days later from the maturity day/ DTIBOR on Roll Date
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 r_i TONA rate for [i]th bank business day d_i Number of days ri applied (If Friday, 3days including weekend) a Number of days for calculating period
DTIBOR Formura of floating D	ZTIBOR will be fixed in advance. ZTIBOR will be published on 2 Tokyo business days before each roll date. Day count convention is act/360 same as TONA
Clearing	JSCC available (up to 30year) LCH unavailable

10-May-2024

SB6 DTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static)	ASK	BID	MID	CHG
6M	17.62500	7.62500	12.62500	+ 0.50000
1Y	22.37500	12.37500	17.37500	+ 0.25000
18M	22.37500	12.37500	17.37500	0.00000
2Y	22.37500	12.37500	17.37500	0.00000
3Y	22.37500	12.37500	17.37500	+ 0.12500
4Y	22.37500	12.37500	17.37500	+ 0.25000
5Y	22.37500	12.37500	17.37500	+ 0.12500
6Y	22.37500	12.37500	17.37500	+ 0.12500
7Y	22.37500	12.37500	17.37500	+ 0.12500
8Y	22.25000	12.25000	17.25000	+ 0.12500
9Y	22.12500	12.12500	17.12500	+ 0.12500
10Y	22.00000	12.00000	17.00000	+ 0.12500
11Y	21.87500	11.87500	16.87500	+ 0.12500
12Y	21.62500	11.62500	16.62500	+ 0.12500
15Y	21.12500	11.12500	16.12500	+ 0.12500
20Y	20.00000	10.00000	15.00000	+ 0.12500
25Y	19.75000	9.75000	14.75000	+ 0.12500
30Y	19.75000	9.75000	14.75000	+ 0.12500
35Y	19.75000	9.75000	14.75000	+ 0.12500
40Y	19.75000	9.75000	14.75000	+ 0.12500

Update Time:　10-May-2024 (update at 4pm every business days)

You can view our TONA data screen on Bloomberg and Refinitiv Eikon.
Bloomberg: TRAT <GO>, Refinitiv Eikon: <TRADTINDEX>
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

ZTIBOR vs OIS + Spread as 2 Swaps Specifications

Floating rate	Compounded TONA vs JBATA Euroyen TIBOR (ZTIBOR)
Day count convention	TONA ACT/365、ZTIBOR ACT/360
Frequency of cash-flow	TONA OIS Annual / ZTIBOR SWAP Semi-annual
Region of Business Day	Tokyo Modified Following
Settlement	２Swaps
Settlement date	TONA 2 Tokyo business days later from each roll day / ZTIBOR on Roll Date
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 r_i TONA rate for [i]th bank business day d_i Number of days ri applied (If Friday, 3days including weekend) a Number of days for calculating period
ZTIBOR Formula of floating Z	ZTIBOR will be fixed in advance. ZTIBOR will be published on 2 Tokyo business days before each roll date. Day count convention is act/360 and it's different from TONA.
Clearing	JSCC available (Up to 30year) LCH unavailable

10-May-2024

SB6 ZTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static)	ASK	BID	MID	CHG
6M	0.25000	-9.75000	-4.75000	+ 0.62500
1Y	4.87500	-5.12500	-0.12500	+ 0.25000
18M	6.62500	-3.37500	1.62500	0.00000
2Y	7.37500	-2.62500	2.37500	0.00000
3Y	8.25000	-1.75000	3.25000	0.00000
4Y	8.62500	-1.37500	3.62500	0.00000
5Y	8.87500	-1.12500	3.87500	0.00000
6Y	9.12500	-0.87500	4.12500	0.00000
7Y	9.12500	-0.87500	4.12500	0.00000
8Y	9.12500	-0.87500	4.12500	0.00000
9Y	9.25000	-0.75000	4.25000	0.00000
10Y	9.25000	-0.75000	4.25000	0.00000
11Y	9.25000	-0.75000	4.25000	0.00000
12Y	9.25000	-0.75000	4.25000	0.00000
15Y	9.25000	-0.75000	4.25000	0.00000
20Y	9.25000	-0.75000	4.25000	0.00000
25Y	9.25000	-0.75000	4.25000	0.00000
30Y	9.25000	-0.75000	4.25000	0.00000
35Y	9.25000	-0.75000	4.25000	0.00000
40Y	9.25000	-0.75000	4.25000	0.00000

Update Time:　10-May-2024 (update at 4pm every business days)

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

6v3 DTIBOR single currency basis SWAP

Floating interest rate	The pre-determined Japanese yen TIBOR rate published by JBATA.
Day count of TONA floating、DTIBORFloating	JPY Yen TIBOR　ACT/365
The recommended frequency for cash flow	every 6ｍ and 3ｍ
Business Day	Tokyo　Modified Following
Settlement method	１SWAP　Cash settlement
Settlement day	2 Tokyo business days after the maturity date
DTIBOR - The Calculation Method of Floating Interest Rate (Annual %)	DTIBOR is a pre-determined interest rate. The DTIBOR rate two Tokyo business days prior to the roll date will be used. The day counting system is act/365.
Clearing eligibility　（clearing period）	JSCC: Clearing eligible transactions (30 years) LCH: Non-clearing eligible transactions

10-May-2024

3PM FIXING JPY 6M V 3M DTIBOR
Tenor(static)	ASK	BID	MID	CHG
6M	2.87500	-7.12500	-2.12500	-0.12500
1Y	5.87500	-4.12500	0.87500	-0.12500
18M	5.62500	-4.37500	0.62500	-0.12500
2Y	5.25000	-4.75000	0.25000	-0.12500
3Y	4.87500	-5.12500	-0.12500	0.00000
4Y	4.75000	-5.25000	-0.25000	+ 0.12500
5Y	4.62500	-5.37500	-0.37500	0.00000
6Y	4.37500	-5.62500	-0.62500	-0.25000
7Y	4.50000	-5.50000	-0.50000	-0.25000
8Y	4.62500	-5.37500	-0.37500	-0.12500
9Y	4.75000	-5.25000	-0.25000	-0.12500
10Y	4.87500	-5.12500	-0.12500	-0.12500
11Y	5.12500	-4.87500	0.12500	-0.12500
12Y	5.25000	-4.75000	0.25000	-0.12500
15Y	5.75000	-4.25000	0.75000	0.00000
20Y	6.37500	-3.62500	1.37500	0.00000
25Y	6.37500	-3.62500	1.37500	0.00000
30Y	6.37500	-3.62500	1.37500	0.00000
35Y	6.37500	-3.62500	1.37500	0.00000
40Y	6.37500	-3.62500	1.37500	0.00000