TONA INFORMATION

TORF

TORF is…

  • ・Abbreviation for "Tokyo Term Risk Free Rate".
  • ・Term interest rate based on the Japanese Yen "Risk-Free-Rate" (RFR).
  • ・A "pre-determined" method in which the applicable interest rate is determined at the beginning of the term.
  • ・Calculated and published by QUICK Benchmarks, Inc (QBS).
  • ・Announcement time: Around 5:00 p.m. on the same day (Tokyo business day only)

TORF SWAP is

an interest rate swap that exchanges a fixed interest rate and a TORF interest rate setting in advance for a fixed period of time.

Products Related to TORF Tenors
TORF SWAP (S/B vs 6M TORF) 1Y～40Y
TORF SWAP (S/B vs 3M TORF) 1Y～40Y
TORF SWAP (S/B vs 1M TORF) 1Y～40Y
SPS (6M TORF) 0x6～12x18,18x24
SPS (3M TORF) 0x3～9x12
TORF SWAP (3M TORF vs 6M TORF) 1Y～40Y
TORF SWAP (1M TORF vs 3M TORF) 1Y～40Y
TORF SWAP (1M TORF vs 6M TORF) 1Y～40Y
6M TORF vs TONA (OIS) 1Y～40Y
3M TORF vs TONA (OIS) 1Y～40Y
1M TORF vs TONA (OIS) 1Y～40Y
Basis Swap 6M ZTIBOR vs TORF 1Y～40Y
Basis Swap 3M ZTIBOR vs TORF 1Y～40Y
Basis Swap 1M ZTIBOR vs TORF 1Y～40Y
Basis Swap 6M DTIBOR vs TORF 1Y～40Y
Basis Swap 3M DTIBOR vs TORF 1Y～40Y
Basis Swap 1M DTIBOR vs TORF 1Y～40Y

The above lists are data which will be released in the future.

Bloomberg: TFPR <GO>, Refinitiv: <TOTANICAPINDEX>, QUICK: <TFRP@M;1>If you are a Bloomberg, Refinitiv, or QUICK subscriber, you can check the code above.
Please note that you will need to sign a contract with each company.

TORF Swap Convention (Example)

Fixed-leg
Interest Payment Frequency
Semi-Annually in arrears
Interest Payment Lag
+0 business days
Day Count Convention
Act/365 (Fixed)
Holiday Calendars
Tokyo for Payment, Modified Following
Floating-leg
Interest Payment Frequency
(Depending on the index of TORF)
Index
1M, 3M, 6M TORF
Interest Payment Lag
+0 business days
Day Count Convention
Act/365 (Fixed)
Holiday Calendars
Tokyo for Payment, Modified Following
Tokyo for Reset

For the information about our Market Data, please email to datasupport@totan.com