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.
12-Jul-2024
SB6 DTIBOR SWAP FIXING 3PM
Tenor(static) ASK BID MID CHG
1Y 0.47000 0.37000 0.42000 -0.01500
18M 0.54375 0.44375 0.49375 -0.01875
2Y 0.60750 0.50750 0.55750 -0.02250
3Y 0.70625 0.60625 0.65625 -0.02625
4Y 0.78000 0.68000 0.73000 -0.03125
5Y 0.84750 0.74750 0.79750 -0.03500
6Y 0.91875 0.81875 0.86875 -0.03625
7Y 0.99375 0.89375 0.94375 -0.03875
8Y 1.06500 0.96500 1.01500 -0.04000
9Y 1.13250 1.03250 1.08250 -0.04125
10Y 1.20000 1.10000 1.15000 -0.04125
11Y 1.26250 1.16250 1.21250 -0.04125
12Y 1.32125 1.22125 1.27125 -0.04125
15Y 1.48500 1.38500 1.43500 -0.04000
20Y 1.70250 1.60250 1.65250 -0.03625
25Y 1.81750 1.71750 1.76750 -0.03750
30Y 1.87750 1.77750 1.82750 -0.03750
35Y 1.91000 1.81000 1.86000 -0.03750
40Y 1.92625 1.82625 1.87625 -0.03750
Update Time: 12-Jul-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
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
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 
12-Jul-2024
SB6 DTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static) ASK BID MID CHG
6M 20.25000 10.25000 15.25000 + 0.75000
1Y 21.00000 11.00000 16.00000 0.00000
18M 20.87500 10.87500 15.87500 0.00000
2Y 21.00000 11.00000 16.00000 0.00000
3Y 21.00000 11.00000 16.00000 0.00000
4Y 21.00000 11.00000 16.00000 0.00000
5Y 21.00000 11.00000 16.00000 0.00000
6Y 20.87500 10.87500 15.87500 0.00000
7Y 20.75000 10.75000 15.75000 0.00000
8Y 20.37500 10.37500 15.37500 0.00000
9Y 20.00000 10.00000 15.00000 0.00000
10Y 19.62500 9.62500 14.62500 0.00000
11Y 19.25000 9.25000 14.25000 0.00000
12Y 19.00000 9.00000 14.00000 0.00000
15Y 18.37500 8.37500 13.37500 0.00000
20Y 17.37500 7.37500 12.37500 + 0.12500
25Y 17.00000 7.00000 12.00000 0.00000
30Y 17.00000 7.00000 12.00000 0.00000
35Y 16.87500 6.87500 11.87500 0.00000
40Y 16.87500 6.87500 11.87500 0.00000
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: <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
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
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
12-Jul-2024
SB6 ZTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static) ASK BID MID CHG
6M 4.12500 -5.87500 -0.87500 + 0.75000
1Y 6.75000 -3.25000 1.75000 + 0.37500
18M 7.62500 -2.37500 2.62500 + 0.25000
2Y 8.00000 -2.00000 3.00000 + 0.12500
3Y 8.50000 -1.50000 3.50000 + 0.12500
4Y 8.75000 -1.25000 3.75000 + 0.12500
5Y 8.87500 -1.12500 3.87500 + 0.12500
6Y 9.00000 -1.00000 4.00000 + 0.12500
7Y 9.00000 -1.00000 4.00000 0.00000
8Y 9.00000 -1.00000 4.00000 0.00000
9Y 9.12500 -0.87500 4.12500 0.00000
10Y 9.12500 -0.87500 4.12500 0.00000
11Y 9.12500 -0.87500 4.12500 0.00000
12Y 9.12500 -0.87500 4.12500 0.00000
15Y 9.12500 -0.87500 4.12500 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: 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

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
12-Jul-2024
3PM FIXING JPY 6M V 3M DTIBOR
Tenor(static) ASK BID MID CHG
6M 0.87500 -9.12500 -4.12500 + 0.75000
1Y 2.37500 -7.62500 -2.62500 0.00000
18M 1.50000 -8.50000 -3.50000 0.00000
2Y 1.25000 -8.75000 -3.75000 0.00000
3Y 0.37500 -9.62500 -4.62500 0.00000
4Y 0.00000 -10.00000 -5.00000 0.00000
5Y -0.25000 -10.25000 -5.25000 0.00000
6Y -0.25000 -10.25000 -5.25000 0.00000
7Y 0.00000 -10.00000 -5.00000 0.00000
8Y 0.00000 -10.00000 -5.00000 -0.12500
9Y 0.12500 -9.87500 -4.87500 -0.12500
10Y 0.25000 -9.75000 -4.75000 -0.12500
11Y 0.25000 -9.75000 -4.75000 -0.12500
12Y 0.37500 -9.62500 -4.62500 -0.12500
15Y 0.37500 -9.62500 -4.62500 -0.50000
20Y 0.75000 -9.25000 -4.25000 -0.75000
25Y 0.75000 -9.25000 -4.25000 -0.75000
30Y 0.87500 -9.12500 -4.12500 -0.62500
35Y 0.75000 -9.25000 -4.25000 -0.62500
40Y 0.75000 -9.25000 -4.25000 -0.62500
Update Time: 12-Jul-2024 (update at 4pm every business days)