OIS-related data and details

OIS Specifications

Floating rate Compounded TONA
Day count convention ACT/365
Frequency of cash-flow
  • 1 year 1 time both Fix and Floating
  • If the maturity is less than 1year, the payment date at maturity (ex: 1M, 3M, 6M)
  • If 18m maturity, the payment day at 1y later and maturity
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
12-Jul-2024
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 0.09875 0.05875 0.07875 0.00000
3W 0.10125 0.06125 0.08125 -0.00750
1M 0.12000 0.08000 0.10000 -0.00250
2M 0.13250 0.09250 0.11250 -0.00625
3M 0.14750 0.10750 0.12750 -0.00625
4M 0.16250 0.12250 0.14250 -0.00875
5M 0.18000 0.14000 0.16000 -0.00875
6M 0.20000 0.16000 0.18000 -0.00750
7M 0.22000 0.18000 0.20000 -0.00625
8M 0.23250 0.19250 0.21250 -0.00625
9M 0.24125 0.20125 0.22125 -0.01125
10M 0.25500 0.21500 0.23500 -0.01125
11M 0.26750 0.22750 0.24750 -0.01250
1Y 0.28000 0.24000 0.26000 -0.01500
18M 0.35500 0.31500 0.33500 -0.01875
2Y 0.41750 0.37750 0.39750 -0.02250
3Y 0.51625 0.47625 0.49625 -0.02625
4Y 0.59000 0.55000 0.57000 -0.03125
5Y 0.65750 0.61750 0.63750 -0.03500
6Y 0.73000 0.69000 0.71000 -0.03625
7Y 0.80625 0.76625 0.78625 -0.03875
8Y 0.88125 0.84125 0.86125 -0.04000
9Y 0.95250 0.91250 0.93250 -0.04125
10Y 1.02375 0.98375 1.00375 -0.04125
11Y 1.09000 1.05000 1.07000 -0.04125
12Y 1.15125 1.11125 1.13125 -0.04125
15Y 1.32125 1.28125 1.30125 -0.04000
20Y 1.54875 1.50875 1.52875 -0.03750
25Y 1.66750 1.62750 1.64750 -0.03750
30Y 1.72750 1.68750 1.70750 -0.03750
35Y 1.76125 1.72125 1.74125 -0.03750
40Y 1.77750 1.73750 1.75750 -0.03750
Update Time: 12-Jul-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

SOFR vs TONA Cross Currency Basis Specifications

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)
12-Jul-2024
USD SOFR vs JPY TONA FIXING 3PM
Tenor(static) ASK BID MID CHG
1M -16.37500 -22.37500 -19.37500 + 0.37500
2M -18.00000 -24.00000 -21.00000 + 0.75000
3M -20.50000 -26.50000 -23.50000 + 0.25000
6M -32.50000 -38.50000 -35.50000 + 0.62500
9M -31.25000 -37.25000 -34.25000 + 1.12500
1Y -31.75000 -37.75000 -34.75000 + 0.75000
18M -35.50000 -41.50000 -38.50000 + 0.87500
2Y -37.00000 -43.00000 -40.00000 + 1.00000
3Y -41.87500 -47.87500 -44.87500 + 1.12500
4Y -46.37500 -52.37500 -49.37500 + 1.25000
5Y -50.00000 -56.00000 -53.00000 + 1.25000
6Y -53.00000 -59.00000 -56.00000 + 1.12500
7Y -55.25000 -61.25000 -58.25000 + 1.12500
8Y -56.87500 -62.87500 -59.87500 + 1.12500
9Y -58.00000 -64.00000 -61.00000 + 1.00000
10Y -58.62500 -64.62500 -61.62500 + 1.12500
11Y -59.00000 -65.00000 -62.00000 + 1.12500
12Y -59.25000 -65.25000 -62.25000 + 1.12500
15Y -59.50000 -65.50000 -62.50000 + 1.12500
20Y -59.12500 -65.12500 -62.12500 + 1.00000
25Y -56.37500 -62.37500 -59.37500 + 1.00000
30Y -53.00000 -59.00000 -56.00000 + 1.00000
35Y -50.12500 -56.12500 -53.12500 + 1.00000
40Y -47.00000 -53.00000 -50.00000 + 1.00000
Update Time: 12-Jul-2024 (update at 4pm every business days)

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

IMM OIS SWAP Spcification

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
12-Jul-2024
TRADTIMMRT
JSCC IMM LIVV QQ %
Tenor(static) MID
3M (IMM 1st) 0.10411
6M (IMM 1st) 0.16202
9M (IMM 1st) 0.21464
1Y (IMM 1st) 0.24884
15M (IMM 1st) 0.28572
18M (IMM 1st) 0.32402
21M (IMM 1st) 0.35780
2Y (IMM 1st) 0.38867
3Y (IMM 1st) 0.49312
4Y (IMM 1st) 0.57104
5Y (IMM 1st) 0.64242
Update Time: 12-Jul-2024 (update at 4pm every business days)