TIBOR-related data and details

UTS Data of Libor Transition and Data provision

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.

20-Jun-2024

SB6 DTIBOR SWAP FIXING ３PM
Tenor(static)	ASK	BID	MID	CHG
1Y	0.42750	0.32750	0.37750	-0.00125
18M	0.50000	0.40000	0.45000	-0.00125
2Y	0.56250	0.46250	0.51250	0.00000
3Y	0.66000	0.56000	0.61000	+ 0.00250
4Y	0.73250	0.63250	0.68250	+ 0.00250
5Y	0.80125	0.70125	0.75125	+ 0.00375
6Y	0.87125	0.77125	0.82125	+ 0.00500
7Y	0.94750	0.84750	0.89750	+ 0.00625
8Y	1.02250	0.92250	0.97250	+ 0.00750
9Y	1.09250	0.99250	1.04250	+ 0.00875
10Y	1.16000	1.06000	1.11000	+ 0.00750
11Y	1.22125	1.12125	1.17125	+ 0.00750
12Y	1.27750	1.17750	1.22750	+ 0.00750
15Y	1.43500	1.33500	1.38500	+ 0.01000
20Y	1.64125	1.54125	1.59125	+ 0.01000
25Y	1.75250	1.65250	1.70250	+ 0.00875
30Y	1.81000	1.71000	1.76000	+ 0.00875
35Y	1.84375	1.74375	1.79375	+ 0.00875
40Y	1.86125	1.76125	1.81125	+ 0.00875

Update Time:　20-Jun-2024 (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

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 r_i TONA rate for [i]th bank business day d_i 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

20-Jun-2024

SB6 DTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static)	ASK	BID	MID	CHG
6M	19.37500	9.37500	14.37500	0.00000
1Y	19.75000	9.75000	14.75000	0.00000
18M	19.87500	9.87500	14.87500	0.00000
2Y	20.25000	10.25000	15.25000	0.00000
3Y	20.37500	10.37500	15.37500	0.00000
4Y	20.25000	10.25000	15.25000	0.00000
5Y	20.25000	10.25000	15.25000	0.00000
6Y	20.12500	10.12500	15.12500	+ 0.12500
7Y	20.00000	10.00000	15.00000	+ 0.12500
8Y	19.87500	9.87500	14.87500	+ 0.12500
9Y	19.75000	9.75000	14.75000	+ 0.25000
10Y	19.50000	9.50000	14.50000	+ 0.12500
11Y	19.12500	9.12500	14.12500	+ 0.12500
12Y	18.75000	8.75000	13.75000	+ 0.12500
15Y	17.87500	7.87500	12.87500	+ 0.25000
20Y	16.00000	6.00000	11.00000	+ 0.12500
25Y	15.75000	5.75000	10.75000	+ 0.12500
30Y	15.75000	5.75000	10.75000	+ 0.12500
35Y	15.75000	5.75000	10.75000	+ 0.12500
40Y	15.75000	5.75000	10.75000	+ 0.12500

Update Time:　20-Jun-2024 (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 r_i TONA rate for [i]th bank business day d_i 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

20-Jun-2024

SB6 ZTIBOR vs TONA OIS - Two Swaps FIXING 3PM
Tenor(static)	ASK	BID	MID	CHG
6M	5.00000	-5.00000	0.00000	0.00000
1Y	5.00000	-5.00000	0.00000	0.00000
18M	7.25000	-2.75000	2.25000	0.00000
2Y	7.62500	-2.37500	2.62500	0.00000
3Y	8.25000	-1.75000	3.25000	0.00000
4Y	8.25000	-1.75000	3.25000	0.00000
5Y	8.37500	-1.62500	3.37500	0.00000
6Y	8.62500	-1.37500	3.62500	0.00000
7Y	8.75000	-1.25000	3.75000	0.00000
8Y	8.75000	-1.25000	3.75000	0.00000
9Y	8.87500	-1.12500	3.87500	0.00000
10Y	8.87500	-1.12500	3.87500	0.00000
11Y	9.00000	-1.00000	4.00000	0.00000
12Y	9.00000	-1.00000	4.00000	0.00000
15Y	9.00000	-1.00000	4.00000	0.00000
20Y	9.12500	-0.87500	4.12500	0.00000
25Y	9.12500	-0.87500	4.12500	0.00000
30Y	9.12500	-0.87500	4.12500	0.00000
35Y	9.12500	-0.87500	4.12500	0.00000
40Y	9.12500	-0.87500	4.12500	0.00000

Update Time:　20-Jun-2024 (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

6v3 DTIBOR single currency basis SWAP

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

20-Jun-2024

3PM FIXING JPY 6M V 3M DTIBOR
Tenor(static)	ASK	BID	MID	CHG
6M	1.12500	-8.87500	-3.87500	0.00000
1Y	0.00000	-10.00000	-5.00000	0.00000
18M	-0.75000	-10.75000	-5.75000	0.00000
2Y	-0.62500	-10.62500	-5.62500	0.00000
3Y	-1.12500	-11.12500	-6.12500	-0.12500
4Y	-1.37500	-11.37500	-6.37500	0.00000
5Y	-1.50000	-11.50000	-6.50000	0.00000
6Y	-1.50000	-11.50000	-6.50000	-0.12500
7Y	-1.50000	-11.50000	-6.50000	-0.25000
8Y	-1.37500	-11.37500	-6.37500	-0.25000
9Y	-1.25000	-11.25000	-6.25000	-0.25000
10Y	-1.25000	-11.25000	-6.25000	-0.37500
11Y	-1.37500	-11.37500	-6.37500	-0.50000
12Y	-1.37500	-11.37500	-6.37500	-0.50000
15Y	-1.25000	-11.25000	-6.25000	-0.37500
20Y	-1.50000	-11.50000	-6.50000	-0.75000
25Y	-1.25000	-11.25000	-6.25000	-0.50000
30Y	-1.25000	-11.25000	-6.25000	-0.50000
35Y	-1.25000	-11.25000	-6.25000	-0.50000
40Y	-1.25000	-11.25000	-6.25000	-0.50000