This report is intended for financial market professionals on topics related to TONA.

If you are a business partner of The Tokyo Tanshi Co., Ltd. or the Totan Group and are interested in this report, please contact your sales representative of the Group.

Special Release Report:
Q&A regarding Post LIBOR

Since this summer, we have received numerous inquiries about post-LIBOR. We would like to take this opportunity to introduce a selection of questions and answers.

“What is TL Spread?”
“How will existing TL Spread be changed in Post-LIBOR?”
“What is convention for 6-month ZTIBOR vs TONA Basis?”
How to obtain historical data for "6-month ZTIBOR vs TONA Basis”
“Is Day-Count Adjustment required to calculate 6-month ZTIBOR swap from TONA swap and 6-month ZTIBOR vs TONA basis?”

[Appendix Q] In switching from USD/YEN basis with exchange of 3-month US-Japan LIBOR to SOFR/TONA basis, the negative range of the basis has been widened. What is the reason? What are the implications?

Special Release Report:
Post LIBOR 2021.12.03

On and after Monday, December 6, 2021, several changes have been announced by JSCC in exchange for all the IRS that use JPY LIBOR as interest rate benchmark to become non-clearable by JSCC. Let's take a look at these changes later. In addition, on November 1, 2021, a summary of the "Key Results of the Brief Survey on the Use of JPY LIBOR" jointly conducted by the Financial Services Agency and the Bank of Japan was released on BOJ’s website while confirming the contents of this survey and, as before, report on what progress was made during the month of November through "Progress toward Post-LIBOR" in Tokyo Yen IRS market and "Movement of TORF, which is Term Japanese Yen RFR".

Post LIBOR 2021.11.10

In October 2021, TONA was adopted for the first time in determining the terms of Samurai Bonds. Samurai Bonds are Yen‐denominated bonds issued by overseas issuers. Many foreign issuers of Samurai Bonds use USD/JPY basis swaps to convert Yen funds raised into USD funds, which are ultimately converted into USD funds at USD floating rate (illustrated explanation in Appendix). As a result, trends in demand for Samurai Bonds issuance are known to affect USD/JPY basis markets. At present, USD/JPY basis swaps are shifting from a form of exchanging 3‐month LIBOR between USD and JPY to a new form of exchanging Compounded SOFR (:USD RFR) and Compounded TONA (:JPY RFR) every 3 months (:SOFR/TONA basis swaps) for post‐LIBOR. Therefore, this report will feature "Samurai Bonds and USD/JPY Basis".

Special Release Report:
Post LIBOR 2021.10.07

We will report on what progress has been made in the past month with regard to Post-LIBOR through "Progress toward Post-LIBOR" in Tokyo Yen IRS markets and “Movements of TORF, which is Term Japanese Yen RFR”. In addition, we will consider “Japanese Yen's lack of progress in the use of Term-RFR (: TORF)”.

Special Release Report:
Post LIBOR 2021.09.29

"Compounded TONA" is recommended as the 2nd alternative interest rate benchmark to Yen LIBOR for "Lending" and "Bonds", and is currently used as an alternative interest rate benchmark to Yen LIBOR for "Derivatives" in compliance with ISDA Master. However, in general, "Compounded TONA" is thought of as something very difficult to understand. The primary reason for this seems to be that "TONA is not to be used by itself, but as a reference interest rate calculated by compounding. In this report, we would like to introduce the calculation method of Compounded TONA so that you can feel more familiar with Compounded TONA.

Special Release Report:
Post LIBOR 2021.09.07

In the previous report, we focused on "TORF" and "Compounded TONA" as alternative interest rate benchmarks to Yen LIBOR used in existing transactions (Lending, Bonds and Derivatives), and explained the terminology. In this report, we will focus mainly on the Derivatives aspect, and report on the "Progress toward Post-LIBOR" in Tokyo Yen IRS Markets.

Special Release Report:
Post LIBOR 2021.09.01

With the suspension of the Yen LIBOR publication at the end of December 2021 just ahead, I believe that financial institutions and business corporations are busy preparing for this event. Yen LIBOR has been used widely in many fields, and we have to have the different responses depending on the financial instrument and transaction details. First of all, it is important to understand the current situation by identifying the transactions in which LIBOR is used. Even if you are not directly involved in LIBOR, it would be valuable to know about the progress toward post-LIBOR. Therefore, the purpose of this series of reports is to obtain the latest information from Totan ICAP, which is an inter-dealer broker for Yen derivatives, and to provide a wide range of information to all of you through the reports, keeping in mind that it should be easily understandable.

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