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
22-Feb-2024
JPY TONA OIS FIXING 3PM
Tenor(static) ASK BID MID CHG
ON 0.01400 -0.02600 -0.00600 0.00000
1W 0.01500 -0.02500 -0.00500 + 0.00125
2W 0.01625 -0.02375 -0.00375 + 0.00250
3W 0.01750 -0.02250 -0.00250 + 0.00375
1M 0.01750 -0.02250 -0.00250 + 0.00375
2M 0.03625 -0.00375 0.01625 + 0.00500
3M 0.05125 0.01125 0.03125 + 0.00500
4M 0.06375 0.02375 0.04375 + 0.00500
5M 0.07625 0.03625 0.05625 + 0.00375
6M 0.08875 0.04875 0.06875 + 0.00250
7M 0.10125 0.06125 0.08125 + 0.00125
8M 0.11375 0.07375 0.09375 0.00000
9M 0.12625 0.08625 0.10625 -0.00125
10M 0.14000 0.10000 0.12000 -0.00250
11M 0.15250 0.11250 0.13250 -0.00375
1Y 0.16375 0.12375 0.14375 -0.00375
18M 0.22375 0.18375 0.20375 -0.00500
2Y 0.28000 0.24000 0.26000 -0.00750
3Y 0.37125 0.33125 0.35125 -0.00875
4Y 0.45125 0.41125 0.43125 -0.01000
5Y 0.53125 0.49125 0.51125 -0.01000
6Y 0.61125 0.57125 0.59125 -0.01000
7Y 0.69375 0.65375 0.67375 -0.01000
8Y 0.77000 0.73000 0.75000 -0.01000
9Y 0.83875 0.79875 0.81875 -0.01000
10Y 0.90500 0.86500 0.88500 -0.00875
11Y 0.96500 0.92500 0.94500 -0.00875
12Y 1.02000 0.98000 1.00000 -0.00875
15Y 1.18000 1.14000 1.16000 -0.01000
20Y 1.38250 1.34250 1.36250 -0.01000
25Y 1.47625 1.43625 1.45625 -0.00875
30Y 1.51500 1.47500 1.49500 -0.00750
35Y 1.52125 1.48125 1.50125 -0.00750
40Y 1.52250 1.48250 1.50250 -0.00750
Update Time: 22-Feb-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)
22-Feb-2024
USD SOFR vs JPY TONA FIXING 3PM
Tenor(static) ASK BID MID CHG
1M -20.75000 -26.75000 -23.75000 -1.37500
2M -27.62500 -33.62500 -30.62500 -1.12500
3M -27.75000 -33.75000 -30.75000 -0.62500
6M -30.37500 -36.37500 -33.37500 -0.62500
9M -32.50000 -38.50000 -35.50000 -0.12500
1Y -40.12500 -46.12500 -43.12500 + 0.25000
18M -42.62500 -48.62500 -45.62500 + 0.25000
2Y -47.50000 -53.50000 -50.50000 + 0.25000
3Y -53.25000 -59.25000 -56.25000 + 0.37500
4Y -58.25000 -64.25000 -61.25000 + 0.37500
5Y -62.37500 -68.37500 -65.37500 + 0.50000
6Y -65.50000 -71.50000 -68.50000 + 0.62500
7Y -67.62500 -73.62500 -70.62500 + 0.62500
8Y -69.00000 -75.00000 -72.00000 + 0.62500
9Y -69.62500 -75.62500 -72.62500 + 0.62500
10Y -69.75000 -75.75000 -72.75000 + 0.62500
11Y -69.75000 -75.75000 -72.75000 + 0.62500
12Y -69.75000 -75.75000 -72.75000 + 0.62500
15Y -69.37500 -75.37500 -72.37500 + 0.75000
20Y -68.87500 -74.87500 -71.87500 + 0.75000
25Y -66.87500 -72.87500 -69.87500 + 0.75000
30Y -64.87500 -70.87500 -67.87500 + 0.75000
35Y -62.87500 -68.87500 -65.87500 + 0.75000
40Y -60.87500 -66.87500 -63.87500 + 0.75000
Update Time: 22-Feb-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
22-Feb-2024
TRADTIMMRT
JSCC IMM LIVV QQ %
Tenor(static) MID
3M (IMM 1st) -0.01467
6M (IMM 1st) 0.05139
9M (IMM 1st) 0.08379
1Y (IMM 1st) 0.11816
15M (IMM 1st) 0.15272
18M (IMM 1st) 0.18541
21M (IMM 1st) 0.21226
2Y (IMM 1st) 0.24272
3Y (IMM 1st) 0.33535
4Y (IMM 1st) 0.41894
5Y (IMM 1st) 0.50289
Update Time: 22-Feb-2024 (update at 4pm every business days)