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A Starting Reference for Japan’s TONAR and TIBOR Rates

Article Quant Q&A · Author: Student
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Summary

The document concerns Japan’s benchmark interest rates, particularly TONAR and TIBOR, and asks how they differ from yen LIBOR and where to find TONAR’s calculation methodology. The response recommends an interest-rate instruments and market conventions guide as an introductory source covering TONAR and TIBOR. It does not itself confirm the proposed distinctions between panel-bank quote benchmarks and an overnight transaction-based rate, nor does it explain the rate calculation in detail.

The answer cautions that the cited guide dates from 2013, so some of its information may no longer be current. It is therefore best treated as a starting point for learning the terminology and conventions, with current benchmark administrator materials needed to verify present-day definitions and methodology. The document offers no rate data, calculation examples, or comparison of the benchmarks’ market uses.

Key ideas

  • The document raises questions about yen LIBOR, TIBOR, and TONAR as Japanese rate benchmarks.
  • The response points readers to an introductory guide on interest-rate instruments and conventions for information on TONAR and TIBOR.
  • The guide may contain outdated material because it was published in 2013.
  • The response does not provide the calculation methodology or confirm the distinctions proposed in the question.

Tags

Fixed incomeForex
Full text
# Japan benchmark rates


# Japan benchmark rates












Can you please confirm on the following?

The difference between TONA (also called TONAR), JPY Libor, TIBOR is that:

- JPY Libor, TIBOR are based on quotes from panel banks. The difference between them is that Libor is the offshore yen rate based on UK banks quotes and TIBOR the onshore yen rate based on Japanese banks quotes.

- TONA/TONAR is the overnight unsecured risk free rate that will replace Libor based on actual transactions right? Also, do you know where I can find its calculation methodology?

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/61249

The OpenGamma guide (https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf) has info on both TONAR and TIBOR. It was published in 2013 so some info might now be out-of-date, but it's a useful starting point.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.