InformationCalculation and Publication of TONA Compounded Benchmarks from 15 March
Mar 11, 2021
QUICK Corp.
QUICK Corp. (Head Office: Chuo-ku, Tokyo; President & CEO: Katsuyoshi Kondo; hereinafter referred to as “QUICK”) is pleased to announce that we will calculate and publish benchmarks derived by compounding the Japanese yen uncollateralized overnight call rate (TONA) from 15 March 2021. Market participants, by using these benchmarks, will share the daily compounded TONA levels and reduce the burden of calculation and reconciliation. QUICK also believes that promoting the use of these benchmarks will lead to the revitalization of the Overnight Index Swap (OIS) market, which uses TONA as its reference rate.
[Overview of TONA compounded benchmarks]
Two types of compounded benchmarks will be calculated from the weighted average uncollateralized overnight call rates (final results) published by the Bank of Japan.
（1）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.
（2）TONA Index
The TONA index is the assessed value of the asset as of the reference date, assuming the asset, which was valued as 100 on 14 June 2017, (the date on which the Bank of Japan established “Uncollateralized Overnight Call Rate Code of Conduct”), was managed using TONA. By using the TONA Index, interest rates based on compounded TONA for any given period may be calculated relatively easily.
[Services to be provided]
– QUICK terminals (Code: TONA@)
– QUICK website (Provided as soon as it is ready)
On 18 January 2021, QUICK established QUICK Benchmarks Inc. (QBS) to calculate and publish the Tokyo Term Risk Free Rate (TORF), which is a new interest rate benchmark for the Japanese yen that will replace LIBOR (London Interbank Offered Rate). The publication of TONA compounded benchmarks is also expected to meet the data requirements for the calculation of TORF by revitalizing the OIS market.
[About TORF]
https://corporate.quick.co.jp/en/torf
[Contact us]
https://quickmk.smktg.jp/public/application/add/7214