UTS Data of Libor Transition and Data provision

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
28-Jul-2021
JPY TONA OIS FIXING 3PM
ASK BID MID CHG
ON -0.00900 -0.06900 -0.03900 -0.00100
1W -0.00875 -0.06875 -0.03875 -0.00250
2W -0.01000 -0.07000 -0.04000 -0.00250
3W -0.01000 -0.07000 -0.04000 -0.00125
1M -0.01000 -0.07000 -0.04000 0.00000
2M -0.01250 -0.07250 -0.04250 -0.00250
3M -0.01500 -0.07500 -0.04500 -0.00375
4M -0.01625 -0.07625 -0.04625 -0.00375
5M -0.01750 -0.07750 -0.04750 -0.00250
6M -0.01875 -0.07875 -0.04875 -0.00125
7M -0.02000 -0.08000 -0.05000 -0.00125
8M -0.02125 -0.08125 -0.05125 -0.00125
9M -0.02125 -0.08125 -0.05125 -0.00125
10M -0.02250 -0.08250 -0.05250 -0.00125
11M -0.02375 -0.08375 -0.05375 0.00000
1Y -0.02500 -0.08500 -0.05500 0.00000
18M -0.03000 -0.09000 -0.06000 -0.00125
2Y -0.03750 -0.09750 -0.06750 -0.00250
3Y -0.04500 -0.10500 -0.07500 -0.00250
4Y -0.04875 -0.10875 -0.07875 -0.00250
5Y -0.05000 -0.11000 -0.08000 -0.00375
6Y -0.04625 -0.10625 -0.07625 -0.00500
7Y -0.03625 -0.09625 -0.06625 -0.00625
8Y -0.02000 -0.08000 -0.05000 -0.00625
9Y -0.00125 -0.06125 -0.03125 -0.00625
10Y 0.01875 -0.04125 -0.01125 -0.00625
11Y 0.04000 -0.02000 0.01000 -0.00625
12Y 0.06125 0.00125 0.03125 -0.00625
15Y 0.13625 0.07625 0.10625 -0.00750
20Y 0.25000 0.19000 0.22000 -0.01000
25Y 0.34500 0.28500 0.31500 -0.01250
30Y 0.41500 0.35500 0.38500 -0.01375
35Y 0.44125 0.38125 0.41125 -0.01375
40Y 0.45375 0.39375 0.42375 -0.01500
Update Time: 28-Jul-2021 (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. For more information and subscription fee, please contact us by email.
Email : md-support.tokyo@traditionasia.com

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)
28-Jul-2021
USD SOFR vs JPY TONA FIXING 3PM
ASK BID MID CHG
1M -14.12500 -22.12500 -18.12500 + 0.25000
2M -14.50000 -22.50000 -18.50000 0.00000
3M -16.50000 -24.50000 -20.50000 0.00000
6M -27.12500 -35.12500 -31.12500 + 0.37500
9M -26.12500 -34.12500 -30.12500 + 0.62500
1Y -25.62500 -33.62500 -29.62500 + 0.37500
18M -29.50000 -37.50000 -33.50000 + 0.37500
2Y -31.37500 -39.37500 -35.37500 + 0.37500
3Y -36.87500 -44.87500 -40.87500 + 0.37500
4Y -42.25000 -50.25000 -46.25000 -0.12500
5Y -47.00000 -55.00000 -51.00000 0.00000
6Y -51.00000 -59.00000 -55.00000 0.00000
7Y -53.75000 -61.75000 -57.75000 + 0.25000
8Y -55.87500 -63.87500 -59.87500 + 0.25000
9Y -57.62500 -65.62500 -61.62500 + 0.12500
10Y -59.00000 -67.00000 -63.00000 + 0.25000
11Y -60.12500 -68.12500 -64.12500 + 0.25000
12Y -61.25000 -69.25000 -65.25000 + 0.25000
15Y -64.37500 -72.37500 -68.37500 + 0.25000
20Y -68.00000 -76.00000 -72.00000 + 0.12500
25Y -68.87500 -76.87500 -72.87500 + 0.25000
30Y -68.50000 -76.50000 -72.50000 + 0.25000
35Y -69.50000 -77.50000 -73.50000 + 0.25000
40Y -70.25000 -78.25000 -74.25000 + 0.25000
Update Time: 28-Jul-2021 (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. For more information and subscription fee, please contact us by email.
Email : md-support.tokyo@traditionasia.com

ZTIBOR VS OIS + Spread as 2 Swaps

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
28-Jul-2021
SB6 ZTIBOR vs TONA OIS - Two Swaps FIXING 3PM
ASK BID MID CHG
6M 4.50000 -5.50000 -0.50000 + 0.12500
1Y 5.00000 -5.00000 0.00000 0.00000
18M 4.87500 -5.12500 -0.12500 + 0.12500
2Y 5.37500 -4.62500 0.37500 + 0.12500
3Y 5.75000 -4.25000 0.75000 0.00000
4Y 6.62500 -3.37500 1.62500 -0.12500
5Y 7.25000 -2.75000 2.25000 -0.37500
6Y 7.87500 -2.12500 2.87500 -0.37500
7Y 8.25000 -1.75000 3.25000 -0.25000
8Y 8.50000 -1.50000 3.50000 -0.37500
9Y 8.75000 -1.25000 3.75000 -0.37500
10Y 9.25000 -0.75000 4.25000 -0.37500
11Y 9.75000 -0.25000 4.75000 -0.37500
12Y 10.12500 0.12500 5.12500 -0.37500
15Y 11.00000 1.00000 6.00000 -0.50000
20Y 11.87500 1.87500 6.87500 -0.50000
25Y 12.50000 2.50000 7.50000 -0.50000
30Y 13.12500 3.12500 8.12500 -0.50000
35Y 13.12500 3.12500 8.12500 -0.50000
40Y 13.12500 3.12500 8.12500 -0.50000
Update Time: 28-Jul-2021 (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. For more information and subscription fee, please contact us by email.
Email : md-support.tokyo@traditionasia.com