| 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 | 0.10100 | 0.06100 | 0.08100 | + 0.00100 |
| 1W | 0.14000 | 0.10000 | 0.12000 | + 0.02250 |
| 2W | 0.14500 | 0.10500 | 0.12500 | + 0.01000 |
| 3W | 0.15000 | 0.11000 | 0.13000 | + 0.00500 |
| 1M | 0.15500 | 0.11500 | 0.13500 | + 0.00250 |
| 2M | 0.16375 | 0.12375 | 0.14375 | + 0.00125 |
| 3M | 0.18500 | 0.14500 | 0.16500 | -0.00125 |
| 4M | 0.20625 | 0.16625 | 0.18625 | -0.00250 |
| 5M | 0.22375 | 0.18375 | 0.20375 | -0.00375 |
| 6M | 0.24625 | 0.20625 | 0.22625 | -0.00375 |
| 7M | 0.26500 | 0.22500 | 0.24500 | -0.00375 |
| 8M | 0.28250 | 0.24250 | 0.26250 | -0.00375 |
| 9M | 0.29875 | 0.25875 | 0.27875 | -0.00500 |
| 10M | 0.31500 | 0.27500 | 0.29500 | -0.00500 |
| 11M | 0.33000 | 0.29000 | 0.31000 | -0.00500 |
| 1Y | 0.34500 | 0.30500 | 0.32500 | -0.00250 |
| 18M | 0.41750 | 0.37750 | 0.39750 | -0.00375 |
| 2Y | 0.47875 | 0.43875 | 0.45875 | -0.00500 |
| 3Y | 0.56750 | 0.52750 | 0.54750 | -0.00875 |
| 4Y | 0.63000 | 0.59000 | 0.61000 | -0.01000 |
| 5Y | 0.68500 | 0.64500 | 0.66500 | -0.01125 |
| 6Y | 0.74250 | 0.70250 | 0.72250 | -0.01375 |
| 7Y | 0.80625 | 0.76625 | 0.78625 | -0.01500 |
| 8Y | 0.87000 | 0.83000 | 0.85000 | -0.01625 |
| 9Y | 0.93250 | 0.89250 | 0.91250 | -0.01750 |
| 10Y | 0.99750 | 0.95750 | 0.97750 | -0.01750 |
| 11Y | 1.06000 | 1.02000 | 1.04000 | -0.01875 |
| 12Y | 1.11875 | 1.07875 | 1.09875 | -0.02000 |
| 15Y | 1.28250 | 1.24250 | 1.26250 | -0.02125 |
| 20Y | 1.50625 | 1.46625 | 1.48625 | -0.02000 |
| 25Y | 1.62000 | 1.58000 | 1.60000 | -0.02250 |
| 30Y | 1.67625 | 1.63625 | 1.65625 | -0.02500 |
| 35Y | 1.71125 | 1.67125 | 1.69125 | -0.02625 |
| 40Y | 1.72875 | 1.68875 | 1.70875 | -0.02625 |
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 | -15.25000 | -21.25000 | -18.25000 | -0.62500 |
| 2M | -17.25000 | -23.25000 | -20.25000 | -1.00000 |
| 3M | -20.75000 | -26.75000 | -23.75000 | -1.50000 |
| 6M | -33.00000 | -39.00000 | -36.00000 | -2.12500 |
| 9M | -32.25000 | -38.25000 | -35.25000 | -2.25000 |
| 1Y | -32.50000 | -38.50000 | -35.50000 | -2.37500 |
| 18M | -36.25000 | -42.25000 | -39.25000 | -2.62500 |
| 2Y | -37.75000 | -43.75000 | -40.75000 | -2.62500 |
| 3Y | -42.37500 | -48.37500 | -45.37500 | -2.50000 |
| 4Y | -46.25000 | -52.25000 | -49.25000 | -2.50000 |
| 5Y | -49.50000 | -55.50000 | -52.50000 | -2.62500 |
| 6Y | -52.12500 | -58.12500 | -55.12500 | -2.62500 |
| 7Y | -54.12500 | -60.12500 | -57.12500 | -2.62500 |
| 8Y | -55.50000 | -61.50000 | -58.50000 | -2.62500 |
| 9Y | -56.37500 | -62.37500 | -59.37500 | -2.75000 |
| 10Y | -56.75000 | -62.75000 | -59.75000 | -2.75000 |
| 11Y | -56.75000 | -62.75000 | -59.75000 | -2.75000 |
| 12Y | -56.62500 | -62.62500 | -59.62500 | -2.75000 |
| 15Y | -56.50000 | -62.50000 | -59.50000 | -2.75000 |
| 20Y | -55.62500 | -61.62500 | -58.62500 | -2.75000 |
| 25Y | -52.75000 | -58.75000 | -55.75000 | -2.75000 |
| 30Y | -49.25000 | -55.25000 | -52.25000 | -2.75000 |
| 35Y | -46.12500 | -52.12500 | -49.12500 | -2.75000 |
| 40Y | -42.37500 | -48.37500 | -45.37500 | -2.75000 |
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) | 0.11508 |
| 6M (IMM 1st) | 0.21015 |
| 9M (IMM 1st) | 0.26180 |
| 1Y (IMM 1st) | 0.30759 |
| 15M (IMM 1st) | 0.34883 |
| 18M (IMM 1st) | 0.38312 |
| 21M (IMM 1st) | 0.41722 |
| 2Y (IMM 1st) | 0.44682 |
| 3Y (IMM 1st) | 0.54317 |
| 4Y (IMM 1st) | 0.61098 |
| 5Y (IMM 1st) | 0.66994 |
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