UTS Data of Libor Transition and Data provision

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UTS Data of Libor Transition and Data provision

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
05-Jun-2023
JPY TONA OIS FIXING 3PM
Tenor(static) ASK BID MID CHG
ON -0.05200 -0.09200 -0.07200 -0.00200
1W -0.04250 -0.08250 -0.06250 + 0.00125
2W -0.03750 -0.07750 -0.05750 + 0.00125
3W -0.03250 -0.07250 -0.05250 + 0.00125
1M -0.02750 -0.06750 -0.04750 + 0.00125
2M -0.02500 -0.06500 -0.04500 + 0.00125
3M -0.02250 -0.06250 -0.04250 + 0.00125
4M -0.02000 -0.06000 -0.04000 + 0.00125
5M -0.01625 -0.05625 -0.03625 0.00000
6M -0.01125 -0.05125 -0.03125 0.00000
7M -0.00500 -0.04500 -0.02500 0.00000
8M 0.00125 -0.03875 -0.01875 + 0.00125
9M 0.00750 -0.03250 -0.01250 + 0.00250
10M 0.01250 -0.02750 -0.00750 + 0.00250
11M 0.01750 -0.02250 -0.00250 + 0.00250
1Y 0.02250 -0.01750 0.00250 + 0.00375
18M 0.05500 0.01500 0.03500 + 0.00500
2Y 0.09000 0.05000 0.07000 + 0.00750
3Y 0.15125 0.11125 0.13125 + 0.01000
4Y 0.21000 0.17000 0.19000 + 0.01375
5Y 0.27625 0.23625 0.25625 + 0.01625
6Y 0.35125 0.31125 0.33125 + 0.01750
7Y 0.43000 0.39000 0.41000 + 0.01875
8Y 0.50125 0.46125 0.48125 + 0.02000
9Y 0.56500 0.52500 0.54500 + 0.02125
10Y 0.62375 0.58375 0.60375 + 0.02125
11Y 0.67625 0.63625 0.65625 + 0.02125
12Y 0.72250 0.68250 0.70250 + 0.02000
15Y 0.84625 0.80625 0.82625 + 0.01750
20Y 1.00625 0.96625 0.98625 + 0.01375
25Y 1.06750 1.02750 1.04750 + 0.01250
30Y 1.08375 1.04375 1.06375 + 0.01000
35Y 1.08625 1.04625 1.06625 + 0.01000
40Y 1.08750 1.04750 1.06750 + 0.01000
Update Time:　05-Jun-2023 (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

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.
05-Jun-2023
SB6 DTIBOR SWAP FIXING ３PM
Tenor(static) ASK BID MID CHG
1Y 0.22000 0.12000 0.17000 + 0.00375
18M 0.25250 0.15250 0.20250 + 0.00500
2Y 0.28875 0.18875 0.23875 + 0.00750
3Y 0.35500 0.25500 0.30500 + 0.01000
4Y 0.41500 0.31500 0.36500 + 0.01375
5Y 0.48250 0.38250 0.43250 + 0.01625
6Y 0.55750 0.45750 0.50750 + 0.01750
7Y 0.63625 0.53625 0.58625 + 0.01875
8Y 0.70750 0.60750 0.65750 + 0.02000
9Y 0.77125 0.67125 0.72125 + 0.02125
10Y 0.82875 0.72875 0.77875 + 0.02125
11Y 0.88000 0.78000 0.83000 + 0.02125
12Y 0.92625 0.82625 0.87625 + 0.02000
15Y 1.04375 0.94375 0.99375 + 0.01750
20Y 1.19250 1.09250 1.14250 + 0.01375
25Y 1.25125 1.15125 1.20125 + 0.01250
30Y 1.26625 1.16625 1.21625 + 0.01000
35Y 1.26875 1.16875 1.21875 + 0.01000
40Y 1.27000 1.17000 1.22000 + 0.01000
Update Time:　05-Jun-2023 (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

ZTIBOR SWAP Specifications

Floating Rate JBATA Japanese Yen TIBOR (DTIBOR)
Day count convention ACT/365 fixed、ACT/360
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　
ZTIBOR Formura 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.
05-Jun-2023
SB6 ZTIBOR SWAP FIXING 3 PM
Tenor(static) ASK BID MID CHG
1Y 0.08750 -0.01250 0.03750 + 0.00375
18M 0.12000 0.02000 0.07000 + 0.00500
2Y 0.15750 0.05750 0.10750 + 0.00750
3Y 0.22500 0.12500 0.17500 + 0.01000
4Y 0.28625 0.18625 0.23625 + 0.01375
5Y 0.35375 0.25375 0.30375 + 0.01625
6Y 0.42875 0.32875 0.37875 + 0.01750
7Y 0.50750 0.40750 0.45750 + 0.01875
8Y 0.57875 0.47875 0.52875 + 0.02000
9Y 0.64250 0.54250 0.59250 + 0.02125
10Y 0.70125 0.60125 0.65125 + 0.02125
11Y 0.75375 0.65375 0.70375 + 0.02125
12Y 0.80000 0.70000 0.75000 + 0.02000
15Y 0.92375 0.82375 0.87375 + 0.01750
20Y 1.08375 0.98375 1.03375 + 0.01375
25Y 1.14500 1.04500 1.09500 + 0.01250
30Y 1.16125 1.06125 1.11125 + 0.01000
35Y 1.16375 1.06375 1.11375 + 0.01000
40Y 1.16500 1.06500 1.11500 + 0.01000
Update Time:　05-Jun-2023 (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

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)
05-Jun-2023
USD SOFR vs JPY TONA FIXING 3PM
Tenor(static) ASK BID MID CHG
1M -36.62500 -42.62500 -39.62500 -0.87500
2M -33.62500 -39.62500 -36.62500 + 0.62500
3M -34.12500 -40.12500 -37.12500 + 0.50000
6M -39.75000 -45.75000 -42.75000 -0.50000
9M -56.75000 -62.75000 -59.75000 -0.75000
1Y -56.50000 -62.50000 -59.50000 -0.62500
18M -57.62500 -63.62500 -60.62500 -0.62500
2Y -62.50000 -68.50000 -65.50000 -0.50000
3Y -68.12500 -74.12500 -71.12500 -0.62500
4Y -73.00000 -79.00000 -76.00000 -0.62500
5Y -77.00000 -83.00000 -80.00000 -0.75000
6Y -80.00000 -86.00000 -83.00000 -1.00000
7Y -81.75000 -87.75000 -84.75000 -1.12500
8Y -82.62500 -88.62500 -85.62500 -1.25000
9Y -82.87500 -88.87500 -85.87500 -1.25000
10Y -82.75000 -88.75000 -85.75000 -1.25000
11Y -82.37500 -88.37500 -85.37500 -1.25000
12Y -82.12500 -88.12500 -85.12500 -1.25000
15Y -82.12500 -88.12500 -85.12500 -1.25000
20Y -82.62500 -88.62500 -85.62500 -1.25000
25Y -82.00000 -88.00000 -85.00000 -1.25000
30Y -82.12500 -88.12500 -85.12500 -1.25000
35Y -81.75000 -87.75000 -84.75000 -1.25000
40Y -81.62500 -87.62500 -84.62500 -1.25000
Update Time:　05-Jun-2023 (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

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　
05-Jun-2023
SB6 DTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static) ASK BID MID CHG
6M 23.00000 13.00000 18.00000 0.00000
1Y 21.75000 11.75000 16.75000 0.00000
18M 21.75000 11.75000 16.75000 0.00000
2Y 21.87500 11.87500 16.87500 0.00000
3Y 22.37500 12.37500 17.37500 0.00000
4Y 22.50000 12.50000 17.50000 0.00000
5Y 22.62500 12.62500 17.62500 0.00000
6Y 22.62500 12.62500 17.62500 0.00000
7Y 22.62500 12.62500 17.62500 0.00000
8Y 22.62500 12.62500 17.62500 0.00000
9Y 22.62500 12.62500 17.62500 0.00000
10Y 22.50000 12.50000 17.50000 0.00000
11Y 22.37500 12.37500 17.37500 0.00000
12Y 22.37500 12.37500 17.37500 0.00000
15Y 21.75000 11.75000 16.75000 0.00000
20Y 20.62500 10.62500 15.62500 0.00000
25Y 20.37500 10.37500 15.37500 0.00000
30Y 20.25000 10.25000 15.25000 0.00000
35Y 20.25000 10.25000 15.25000 0.00000
40Y 20.25000 10.25000 15.25000 0.00000
Update Time:　05-Jun-2023 (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
05-Jun-2023
SB6 ZTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static) ASK BID MID CHG
6M 8.37500 -1.62500 3.37500 0.00000
1Y 8.50000 -1.50000 3.50000 0.00000
18M 8.50000 -1.50000 3.50000 0.00000
2Y 8.75000 -1.25000 3.75000 0.00000
3Y 9.37500 -0.62500 4.37500 0.00000
4Y 9.62500 -0.37500 4.62500 0.00000
5Y 9.75000 -0.25000 4.75000 0.00000
6Y 9.75000 -0.25000 4.75000 0.00000
7Y 9.75000 -0.25000 4.75000 0.00000
8Y 9.75000 -0.25000 4.75000 0.00000
9Y 9.75000 -0.25000 4.75000 0.00000
10Y 9.75000 -0.25000 4.75000 0.00000
11Y 9.75000 -0.25000 4.75000 0.00000
12Y 9.75000 -0.25000 4.75000 0.00000
15Y 9.75000 -0.25000 4.75000 0.00000
20Y 9.75000 -0.25000 4.75000 0.00000
25Y 9.75000 -0.25000 4.75000 0.00000
30Y 9.75000 -0.25000 4.75000 0.00000
35Y 9.75000 -0.25000 4.75000 0.00000
40Y 9.75000 -0.25000 4.75000 0.00000
Update Time:　05-Jun-2023 (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

Data policy in accordance with UTS/TraditionAsia and Disclaimer