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. |
SB6 DTIBOR SWAP FIXING 3PM | ||||
---|---|---|---|---|
Tenor(static) | ASK | BID | MID | CHG |
1Y | 0.44125 | 0.34125 | 0.39125 | 0.00000 |
18M | 0.51625 | 0.41625 | 0.46625 | 0.00000 |
2Y | 0.57750 | 0.47750 | 0.52750 | + 0.00125 |
3Y | 0.66375 | 0.56375 | 0.61375 | + 0.00375 |
4Y | 0.73125 | 0.63125 | 0.68125 | + 0.00500 |
5Y | 0.80250 | 0.70250 | 0.75250 | + 0.00750 |
6Y | 0.87625 | 0.77625 | 0.82625 | + 0.00875 |
7Y | 0.95625 | 0.85625 | 0.90625 | + 0.01000 |
8Y | 1.03125 | 0.93125 | 0.98125 | + 0.00875 |
9Y | 1.10250 | 1.00250 | 1.05250 | + 0.01000 |
10Y | 1.17250 | 1.07250 | 1.12250 | + 0.01000 |
11Y | 1.23750 | 1.13750 | 1.18750 | + 0.00875 |
12Y | 1.29750 | 1.19750 | 1.24750 | + 0.00875 |
15Y | 1.46750 | 1.36750 | 1.41750 | + 0.00625 |
20Y | 1.68875 | 1.58875 | 1.63875 | + 0.00125 |
25Y | 1.80625 | 1.70625 | 1.75625 | -0.00125 |
30Y | 1.86875 | 1.76875 | 1.81875 | -0.00375 |
35Y | 1.88750 | 1.78750 | 1.83750 | -0.00375 |
40Y | 1.89375 | 1.79375 | 1.84375 | -0.00375 |
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
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 |
SB6 DTIBOR vs TONA OIS - Two Swaps FIXING 3PM | ||||
---|---|---|---|---|
Tenor(static) | ASK | BID | MID | CHG |
6M | 18.50000 | 8.50000 | 13.50000 | -0.12500 |
1Y | 22.12500 | 12.12500 | 17.12500 | 0.00000 |
18M | 22.37500 | 12.37500 | 17.37500 | 0.00000 |
2Y | 22.37500 | 12.37500 | 17.37500 | 0.00000 |
3Y | 22.25000 | 12.25000 | 17.25000 | 0.00000 |
4Y | 22.12500 | 12.12500 | 17.12500 | 0.00000 |
5Y | 22.25000 | 12.25000 | 17.25000 | 0.00000 |
6Y | 22.25000 | 12.25000 | 17.25000 | 0.00000 |
7Y | 22.25000 | 12.25000 | 17.25000 | 0.00000 |
8Y | 22.12500 | 12.12500 | 17.12500 | 0.00000 |
9Y | 22.00000 | 12.00000 | 17.00000 | 0.00000 |
10Y | 21.87500 | 11.87500 | 16.87500 | 0.00000 |
11Y | 21.75000 | 11.75000 | 16.75000 | 0.00000 |
12Y | 21.50000 | 11.50000 | 16.50000 | 0.00000 |
15Y | 21.00000 | 11.00000 | 16.00000 | 0.00000 |
20Y | 19.87500 | 9.87500 | 14.87500 | 0.00000 |
25Y | 19.62500 | 9.62500 | 14.62500 | 0.00000 |
30Y | 19.62500 | 9.62500 | 14.62500 | 0.00000 |
35Y | 19.62500 | 9.62500 | 14.62500 | 0.00000 |
40Y | 19.62500 | 9.62500 | 14.62500 | 0.00000 |
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
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 |
SB6 ZTIBOR vs TONA OIS - Two Swaps FIXING 3PM | ||||
---|---|---|---|---|
Tenor(static) | ASK | BID | MID | CHG |
6M | 1.00000 | -9.00000 | -4.00000 | -0.12500 |
1Y | 4.62500 | -5.37500 | -0.37500 | 0.00000 |
18M | 6.62500 | -3.37500 | 1.62500 | 0.00000 |
2Y | 7.37500 | -2.62500 | 2.37500 | 0.00000 |
3Y | 8.25000 | -1.75000 | 3.25000 | 0.00000 |
4Y | 8.62500 | -1.37500 | 3.62500 | 0.00000 |
5Y | 8.87500 | -1.12500 | 3.87500 | 0.00000 |
6Y | 9.12500 | -0.87500 | 4.12500 | 0.00000 |
7Y | 9.12500 | -0.87500 | 4.12500 | 0.00000 |
8Y | 9.12500 | -0.87500 | 4.12500 | 0.00000 |
9Y | 9.25000 | -0.75000 | 4.25000 | 0.00000 |
10Y | 9.25000 | -0.75000 | 4.25000 | 0.00000 |
11Y | 9.25000 | -0.75000 | 4.25000 | 0.00000 |
12Y | 9.25000 | -0.75000 | 4.25000 | 0.00000 |
15Y | 9.25000 | -0.75000 | 4.25000 | 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 |
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 | 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 |
3PM FIXING JPY 6M V 3M DTIBOR | ||||
---|---|---|---|---|
Tenor(static) | ASK | BID | MID | CHG |
6M | 3.00000 | -7.00000 | -2.00000 | 0.00000 |
1Y | 6.00000 | -4.00000 | 1.00000 | 0.00000 |
18M | 5.75000 | -4.25000 | 0.75000 | 0.00000 |
2Y | 5.37500 | -4.62500 | 0.37500 | 0.00000 |
3Y | 4.87500 | -5.12500 | -0.12500 | 0.00000 |
4Y | 4.62500 | -5.37500 | -0.37500 | 0.00000 |
5Y | 4.62500 | -5.37500 | -0.37500 | 0.00000 |
6Y | 4.62500 | -5.37500 | -0.37500 | 0.00000 |
7Y | 4.75000 | -5.25000 | -0.25000 | 0.00000 |
8Y | 4.75000 | -5.25000 | -0.25000 | 0.00000 |
9Y | 4.87500 | -5.12500 | -0.12500 | 0.00000 |
10Y | 5.00000 | -5.00000 | 0.00000 | 0.00000 |
11Y | 5.25000 | -4.75000 | 0.25000 | 0.00000 |
12Y | 5.37500 | -4.62500 | 0.37500 | 0.00000 |
15Y | 5.75000 | -4.25000 | 0.75000 | 0.00000 |
20Y | 6.37500 | -3.62500 | 1.37500 | 0.00000 |
25Y | 6.37500 | -3.62500 | 1.37500 | 0.00000 |
30Y | 6.37500 | -3.62500 | 1.37500 | 0.00000 |
35Y | 6.37500 | -3.62500 | 1.37500 | 0.00000 |
40Y | 6.37500 | -3.62500 | 1.37500 | 0.00000 |