Yen IRS Related
TONA
What is TONA
It is defined as the call rate (weighted average value) for uncollateralized overnight (O/N) call transactions calculated based on the Explanation of “Statistics on Call Market" published by the Bank of Japan.
Quoted from Risk Free Rate Glossary on the Japanese Bankers Association website
Calculation methodology of call rates
The volume-weighted average call rate is the average call rate weighted by the volume of the transactions corresponding to each rate. The rate is calculated by dividing the sum of the product of each transaction volume and the corresponding rate by the sum of the overall transaction volumes, based on data submitted by information providers* (rounded off to three decimal places).
The maximum (minimum) rate is the highest (lowest) rate of the maximum (minimum) rates submitted by the information providers.
Quoted from Explanation of "Statistics on Call Money Market" on the Bank of Japan website
Publication time
It will be announced on the Bank of Japan website at the following times.
| Provisional results | Final results | |
|---|---|---|
| Call rate | Around 5:15pm of that business day (around 6:15pm on the last business days of months except December) | Around 10:00am on the following business day |
| Volumes of uncollateralized overnight call transactions | ||
| Amounts outstanding of call transactions |
Quoted from Explanation of "Statistics on Call Money Market" on the Bank of Japan website
Market participants
- Japanese Mega Banks and Trust Banks
- Japanese Regional Banks
- Japanese Second Regional Banks
- Foreign Banks
- Securities Companies
- Asset Managements, etc.
Risk Free Rate
In December 2016, TONA was identified as a risk-free rate (RFR) in the Japanese Yen.
RFR is an interest rate that hardly reflects the credit risk of a bank when it raises funds.
