Tokyo Term Risk Free Rate (TORF) is a Japanese yen short-term interest rate calculated and published by QUICK Benchmarks Inc. (QBS). TORF is one of the alternative benchmarks to replace the London Interbank Offered Rate (LIBOR), and is designated as a “Specified Financial Benchmark” stipulated by the Financial Instruments and Exchange Act.
It is calculated based on the data of derivative transactions whose underlying asset is the “uncollateralized overnight call rate,” which contains almost no credit risk of financial institutions. Like other interest rate benchmarks such as LIBOR, TORF has a feature in that the rate is fixed as of the start of the interest rate calculation period.
Today, it is widely used by financial institutions around the world as the base interest rate for loans with Japanese yen interest rates and derivatives transactions.
For more information, please see below.
https://corporate.quick.co.jp/en/torf
* Use of TORF requires a license agreement with QUICK.
Data Set
TONA Averages & TONA Index
| Frequency | Daily |
|---|---|
| Update Timing | Around 10:30 JST |
| Delivery Method | QUICK APIs |
| Source | QUICK Corp. |
Description
TONA Averages and TONA Index are benchmarks calculated by compounding the uncollateralized overnight call rate (TONA) published by the Bank of Japan. While TONA is one of the successor benchmarks to JPY LIBOR, using it as an alternative to JPY LIBOR requires daily compounding of TONA rates. By utilizing TONA Averages and TONA Index, market participants can share daily compounded TONA levels, thereby reducing the operational burden associated with calculation and reconciliation.
TONA Averages
Interest rates derived from the daily compounded TONA for the period starting exactly 30 days, 90 days, and 180 days prior to the reference date of the benchmark (each business day) until the reference date.
TONA Index
Asset value as of the reference date, assuming that an asset with an initial value of 100 on June 14, 2017 (the date the Bank of Japan established the “Uncollateralized Overnight Call Rate Code of Conduct”) has been managed using TONA.
*By specifying the start and end dates, the interest rate compounded by TONA for any given period can be calculated from the historical data of the TONA Index.
- Historical Data
- TONA Averages 30-day: From Feb 1, 2010
TONA Averages 60-day: From Apr 1, 2010
TONA Averages 180-day: From Jun 29, 2010
TONA Index: From Jan 4, 2010
- Sales Territory
- Global
- Subscription Plan
- Annual subscription,
monthly charge
Recomendation
Tokyo Term Risk
Free Rate (TORF)
Free Rate (TORF)
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