| 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 | 0.00000 |
| 2W | 0.09750 | 0.05750 | 0.07750 | 0.00000 |
| 3W | 0.09750 | 0.05750 | 0.07750 | 0.00000 |
| 1M | 0.09750 | 0.05750 | 0.07750 | -0.00125 |
| 2M | 0.10875 | 0.06875 | 0.08875 | + 0.00125 |
| 3M | 0.11875 | 0.07875 | 0.09875 | + 0.00125 |
| 4M | 0.13500 | 0.09500 | 0.11500 | + 0.00125 |
| 5M | 0.15250 | 0.11250 | 0.13250 | + 0.00125 |
| 6M | 0.16875 | 0.12875 | 0.14875 | 0.00000 |
| 7M | 0.18375 | 0.14375 | 0.16375 | 0.00000 |
| 8M | 0.19875 | 0.15875 | 0.17875 | 0.00000 |
| 9M | 0.21250 | 0.17250 | 0.19250 | 0.00000 |
| 10M | 0.22500 | 0.18500 | 0.20500 | -0.00125 |
| 11M | 0.23750 | 0.19750 | 0.21750 | -0.00125 |
| 1Y | 0.25000 | 0.21000 | 0.23000 | -0.00125 |
| 18M | 0.32125 | 0.28125 | 0.30125 | -0.00125 |
| 2Y | 0.38000 | 0.34000 | 0.36000 | 0.00000 |
| 3Y | 0.47625 | 0.43625 | 0.45625 | + 0.00250 |
| 4Y | 0.55000 | 0.51000 | 0.53000 | + 0.00250 |
| 5Y | 0.61875 | 0.57875 | 0.59875 | + 0.00375 |
| 6Y | 0.69000 | 0.65000 | 0.67000 | + 0.00375 |
| 7Y | 0.76750 | 0.72750 | 0.74750 | + 0.00500 |
| 8Y | 0.84375 | 0.80375 | 0.82375 | + 0.00625 |
| 9Y | 0.91500 | 0.87500 | 0.89500 | + 0.00625 |
| 10Y | 0.98500 | 0.94500 | 0.96500 | + 0.00625 |
| 11Y | 1.05000 | 1.01000 | 1.03000 | + 0.00625 |
| 12Y | 1.11000 | 1.07000 | 1.09000 | + 0.00625 |
| 15Y | 1.27625 | 1.23625 | 1.25625 | + 0.00750 |
| 20Y | 1.50125 | 1.46125 | 1.48125 | + 0.00875 |
| 25Y | 1.61500 | 1.57500 | 1.59500 | + 0.00750 |
| 30Y | 1.67250 | 1.63250 | 1.65250 | + 0.00750 |
| 35Y | 1.70625 | 1.66625 | 1.68625 | + 0.00750 |
| 40Y | 1.72375 | 1.68375 | 1.70375 | + 0.00750 |
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 | -21.37500 | -27.37500 | -24.37500 | + 0.87500 |
| 2M | -20.75000 | -26.75000 | -23.75000 | + 0.75000 |
| 3M | -21.75000 | -27.75000 | -24.75000 | + 0.37500 |
| 6M | -24.87500 | -30.87500 | -27.87500 | -0.12500 |
| 9M | -34.62500 | -40.62500 | -37.62500 | -0.37500 |
| 1Y | -35.00000 | -41.00000 | -38.00000 | -0.75000 |
| 18M | -36.50000 | -42.50000 | -39.50000 | -0.87500 |
| 2Y | -40.50000 | -46.50000 | -43.50000 | -0.87500 |
| 3Y | -45.62500 | -51.62500 | -48.62500 | -1.00000 |
| 4Y | -50.12500 | -56.12500 | -53.12500 | -1.00000 |
| 5Y | -54.00000 | -60.00000 | -57.00000 | -0.87500 |
| 6Y | -57.25000 | -63.25000 | -60.25000 | -0.75000 |
| 7Y | -59.75000 | -65.75000 | -62.75000 | -0.75000 |
| 8Y | -61.50000 | -67.50000 | -64.50000 | -0.75000 |
| 9Y | -62.62500 | -68.62500 | -65.62500 | -0.75000 |
| 10Y | -63.25000 | -69.25000 | -66.25000 | -0.75000 |
| 11Y | -63.62500 | -69.62500 | -66.62500 | -0.75000 |
| 12Y | -63.87500 | -69.87500 | -66.87500 | -0.75000 |
| 15Y | -64.25000 | -70.25000 | -67.25000 | -0.75000 |
| 20Y | -63.50000 | -69.50000 | -66.50000 | -0.75000 |
| 25Y | -60.62500 | -66.62500 | -63.62500 | -0.75000 |
| 30Y | -57.12500 | -63.12500 | -60.12500 | -0.75000 |
| 35Y | -54.25000 | -60.25000 | -57.25000 | -0.75000 |
| 40Y | -51.12500 | -57.12500 | -54.12500 | -0.75000 |
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) | 0.09701 |
| 6M (IMM 1st) | 0.15242 |
| 9M (IMM 1st) | 0.19317 |
| 1Y (IMM 1st) | 0.23052 |
| 15M (IMM 1st) | 0.26522 |
| 18M (IMM 1st) | 0.29968 |
| 21M (IMM 1st) | 0.33049 |
| 2Y (IMM 1st) | 0.35954 |
| 3Y (IMM 1st) | 0.45807 |
| 4Y (IMM 1st) | 0.53567 |
| 5Y (IMM 1st) | 0.60788 |
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