| 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 | 0.10750 | 0.06750 | 0.08750 | 0.00000 |
| 3M | 0.12250 | 0.08250 | 0.10250 | + 0.00125 |
| 4M | 0.13625 | 0.09625 | 0.11625 | + 0.00125 |
| 5M | 0.14750 | 0.10750 | 0.12750 | + 0.00125 |
| 6M | 0.15875 | 0.11875 | 0.13875 | + 0.00125 |
| 7M | 0.17250 | 0.13250 | 0.15250 | + 0.00125 |
| 8M | 0.18750 | 0.14750 | 0.16750 | + 0.00125 |
| 9M | 0.20125 | 0.16125 | 0.18125 | + 0.00125 |
| 10M | 0.21500 | 0.17500 | 0.19500 | + 0.00125 |
| 11M | 0.22750 | 0.18750 | 0.20750 | + 0.00125 |
| 1Y | 0.24000 | 0.20000 | 0.22000 | 0.00000 |
| 18M | 0.31250 | 0.27250 | 0.29250 | 0.00000 |
| 2Y | 0.37375 | 0.33375 | 0.35375 | + 0.00125 |
| 3Y | 0.46125 | 0.42125 | 0.44125 | + 0.00375 |
| 4Y | 0.53000 | 0.49000 | 0.51000 | + 0.00500 |
| 5Y | 0.60000 | 0.56000 | 0.58000 | + 0.00750 |
| 6Y | 0.67375 | 0.63375 | 0.65375 | + 0.00875 |
| 7Y | 0.75375 | 0.71375 | 0.73375 | + 0.01000 |
| 8Y | 0.83000 | 0.79000 | 0.81000 | + 0.00875 |
| 9Y | 0.90250 | 0.86250 | 0.88250 | + 0.01000 |
| 10Y | 0.97375 | 0.93375 | 0.95375 | + 0.01000 |
| 11Y | 1.04000 | 1.00000 | 1.02000 | + 0.00875 |
| 12Y | 1.10250 | 1.06250 | 1.08250 | + 0.00875 |
| 15Y | 1.27750 | 1.23750 | 1.25750 | + 0.00625 |
| 20Y | 1.51000 | 1.47000 | 1.49000 | + 0.00125 |
| 25Y | 1.63000 | 1.59000 | 1.61000 | -0.00125 |
| 30Y | 1.69250 | 1.65250 | 1.67250 | -0.00375 |
| 35Y | 1.71125 | 1.67125 | 1.69125 | -0.00375 |
| 40Y | 1.71750 | 1.67750 | 1.69750 | -0.00375 |
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 | -17.87500 | -23.87500 | -20.87500 | -0.12500 |
| 2M | -22.87500 | -28.87500 | -25.87500 | -0.25000 |
| 3M | -22.62500 | -28.62500 | -25.62500 | -0.62500 |
| 6M | -24.12500 | -30.12500 | -27.12500 | -0.25000 |
| 9M | -33.12500 | -39.12500 | -36.12500 | -0.37500 |
| 1Y | -33.75000 | -39.75000 | -36.75000 | -0.12500 |
| 18M | -35.50000 | -41.50000 | -38.50000 | -0.12500 |
| 2Y | -39.87500 | -45.87500 | -42.87500 | -0.12500 |
| 3Y | -45.37500 | -51.37500 | -48.37500 | -0.12500 |
| 4Y | -50.37500 | -56.37500 | -53.37500 | -0.12500 |
| 5Y | -54.87500 | -60.87500 | -57.87500 | -0.37500 |
| 6Y | -58.25000 | -64.25000 | -61.25000 | -0.50000 |
| 7Y | -60.62500 | -66.62500 | -63.62500 | -0.50000 |
| 8Y | -62.25000 | -68.25000 | -65.25000 | -0.62500 |
| 9Y | -63.12500 | -69.12500 | -66.12500 | -0.75000 |
| 10Y | -63.37500 | -69.37500 | -66.37500 | -0.87500 |
| 11Y | -63.37500 | -69.37500 | -66.37500 | -1.00000 |
| 12Y | -63.25000 | -69.25000 | -66.25000 | -1.12500 |
| 15Y | -62.12500 | -68.12500 | -65.12500 | -1.12500 |
| 20Y | -60.87500 | -66.87500 | -63.87500 | -1.62500 |
| 25Y | -58.00000 | -64.00000 | -61.00000 | -1.62500 |
| 30Y | -54.62500 | -60.62500 | -57.62500 | -1.62500 |
| 35Y | -51.37500 | -57.37500 | -54.37500 | -1.62500 |
| 40Y | -48.12500 | -54.12500 | -51.12500 | -1.62500 |
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) | 0.07961 |
| 6M (IMM 1st) | 0.12435 |
| 9M (IMM 1st) | 0.15904 |
| 1Y (IMM 1st) | 0.20096 |
| 15M (IMM 1st) | 0.23752 |
| 18M (IMM 1st) | 0.27354 |
| 21M (IMM 1st) | 0.30751 |
| 2Y (IMM 1st) | 0.33904 |
| 3Y (IMM 1st) | 0.43305 |
| 4Y (IMM 1st) | 0.50469 |
| 5Y (IMM 1st) | 0.57835 |
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