| 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 | -0.00125 |
| 2W | 0.09750 | 0.05750 | 0.07750 | -0.00125 |
| 3W | 0.09750 | 0.05750 | 0.07750 | -0.00125 |
| 1M | 0.09875 | 0.05875 | 0.07875 | 0.00000 |
| 2M | 0.10250 | 0.06250 | 0.08250 | -0.00125 |
| 3M | 0.12250 | 0.08250 | 0.10250 | + 0.00375 |
| 4M | 0.13750 | 0.09750 | 0.11750 | + 0.00250 |
| 5M | 0.14750 | 0.10750 | 0.12750 | + 0.00250 |
| 6M | 0.16125 | 0.12125 | 0.14125 | + 0.00250 |
| 7M | 0.17500 | 0.13500 | 0.15500 | 0.00000 |
| 8M | 0.19125 | 0.15125 | 0.17125 | + 0.00125 |
| 9M | 0.20375 | 0.16375 | 0.18375 | + 0.00250 |
| 10M | 0.21875 | 0.17875 | 0.19875 | + 0.00250 |
| 11M | 0.23125 | 0.19125 | 0.21125 | + 0.00250 |
| 1Y | 0.24500 | 0.20500 | 0.22500 | + 0.00375 |
| 18M | 0.31875 | 0.27875 | 0.29875 | + 0.00375 |
| 2Y | 0.38125 | 0.34125 | 0.36125 | + 0.00500 |
| 3Y | 0.47250 | 0.43250 | 0.45250 | + 0.00500 |
| 4Y | 0.54375 | 0.50375 | 0.52375 | + 0.00500 |
| 5Y | 0.61500 | 0.57500 | 0.59500 | + 0.00500 |
| 6Y | 0.69125 | 0.65125 | 0.67125 | + 0.00500 |
| 7Y | 0.77250 | 0.73250 | 0.75250 | + 0.00500 |
| 8Y | 0.85000 | 0.81000 | 0.83000 | + 0.00500 |
| 9Y | 0.92125 | 0.88125 | 0.90125 | + 0.00375 |
| 10Y | 0.99250 | 0.95250 | 0.97250 | + 0.00375 |
| 11Y | 1.06000 | 1.02000 | 1.04000 | + 0.00500 |
| 12Y | 1.12250 | 1.08250 | 1.10250 | + 0.00500 |
| 15Y | 1.29875 | 1.25875 | 1.27875 | + 0.00625 |
| 20Y | 1.53375 | 1.49375 | 1.51375 | + 0.00875 |
| 25Y | 1.65375 | 1.61375 | 1.63375 | + 0.01125 |
| 30Y | 1.71500 | 1.67500 | 1.69500 | + 0.01250 |
| 35Y | 1.73125 | 1.69125 | 1.71125 | + 0.01250 |
| 40Y | 1.73625 | 1.69625 | 1.71625 | + 0.01250 |
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 | -17.37500 | -23.37500 | -20.37500 | + 0.75000 |
| 2M | -21.62500 | -27.62500 | -24.62500 | + 0.12500 |
| 3M | -22.25000 | -28.25000 | -25.25000 | -1.00000 |
| 6M | -23.37500 | -29.37500 | -26.37500 | + 0.25000 |
| 9M | -32.37500 | -38.37500 | -35.37500 | + 0.25000 |
| 1Y | -33.12500 | -39.12500 | -36.12500 | + 0.12500 |
| 18M | -35.00000 | -41.00000 | -38.00000 | + 0.25000 |
| 2Y | -39.25000 | -45.25000 | -42.25000 | + 0.50000 |
| 3Y | -45.00000 | -51.00000 | -48.00000 | + 0.62500 |
| 4Y | -50.00000 | -56.00000 | -53.00000 | + 0.75000 |
| 5Y | -54.25000 | -60.25000 | -57.25000 | + 0.75000 |
| 6Y | -57.50000 | -63.50000 | -60.50000 | + 0.62500 |
| 7Y | -59.87500 | -65.87500 | -62.87500 | + 0.50000 |
| 8Y | -61.37500 | -67.37500 | -64.37500 | + 0.50000 |
| 9Y | -62.12500 | -68.12500 | -65.12500 | + 0.50000 |
| 10Y | -62.25000 | -68.25000 | -65.25000 | + 0.50000 |
| 11Y | -62.12500 | -68.12500 | -65.12500 | + 0.50000 |
| 12Y | -61.87500 | -67.87500 | -64.87500 | + 0.37500 |
| 15Y | -60.75000 | -66.75000 | -63.75000 | + 0.12500 |
| 20Y | -59.00000 | -65.00000 | -62.00000 | 0.00000 |
| 25Y | -56.12500 | -62.12500 | -59.12500 | -0.12500 |
| 30Y | -52.75000 | -58.75000 | -55.75000 | -0.25000 |
| 35Y | -49.50000 | -55.50000 | -52.50000 | -0.25000 |
| 40Y | -46.25000 | -52.25000 | -49.25000 | -0.25000 |
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) | 0.07878 |
| 6M (IMM 1st) | 0.12653 |
| 9M (IMM 1st) | 0.16255 |
| 1Y (IMM 1st) | 0.20502 |
| 15M (IMM 1st) | 0.24403 |
| 18M (IMM 1st) | 0.28071 |
| 21M (IMM 1st) | 0.31466 |
| 2Y (IMM 1st) | 0.34612 |
| 3Y (IMM 1st) | 0.44449 |
| 4Y (IMM 1st) | 0.51886 |
| 5Y (IMM 1st) | 0.59444 |
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