SOFR/TONA CROSS CURRENCY BASIS SWAP is

a currency swap in which a compounded SOFR (: US Dollar RFR) and a compounded TONA (: Japanese Yen RFR) are exchanged for a fixed period of time.

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.

SOFR/TONA Cross Currency Basis Swap Convention

Floating-leg in USD

Interest Payment Frequency

Quarterly in arrears

Index

Compounded SOFR

Interest Payment Lag

+2 business days

Day Count Convention

Act/360

Holiday Calendars:

USGS for Reset

Floating-leg in Yen

Interest Payment Frequency

Quarterly in arrears

Index

Compounded TONA

Interest Payment Lag

+2 business days

Day Count Convention

Act/365 (Fixed)

Holiday Calendars:

Tokyo for Reset

For both leg

Initial / Final Notional Exchange Dates

Start Date / Maturity Date

FX Reset for MTM

MTM of principal every 3 months. Reset at the FX rate two business days prior to each roll date in Tokyo, London, and New York.

Holiday Calendars for Payment

Tokyo, NY
Modified Following

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