TFX TONA Futures
Exchange-traded access to Japan's benchmark risk-free rate across monthly, quarterly and BOJ meeting periods.
TONA Futures are listed on the Tokyo Financial Exchange (TFX) and are based on the Tokyo Overnight Average Rate (TONA) — the JPY risk-free rate administered and published by the Bank of Japan. Following the cessation of JPY LIBOR publication at the end of December 2021, TONA has become the primary benchmark for JPY interest rate markets, and TFX's TONA Futures provide an exchange-traded venue for price discovery and risk management.
The TONA Futures family comprises three contracts, each covering a different reference period: One-month TONA Futures, based on the monthly average of TONA; Three-month TONA Futures, based on compounded daily TONA over a three-month Reference Quarter; and BOJ Meeting TONA Futures, based on compounded daily TONA over the period between designated Bank of Japan Monetary Policy Meeting dates.
All three contracts are cash-settled, use SPAN® margining, and support calendar spread trading, block trades and give-up trades, making them suitable for the operational and risk management requirements of institutional market participants.
Key Benefits
- Risk-Free Rate Benchmark
- Based on TONA — Japan's designated RFR administered by the Bank of Japan and the successor to JPY LIBOR — providing a credible and widely recognised interest rate benchmark.
- Based on TONA — Japan's designated RFR administered by the Bank of Japan and the successor to JPY LIBOR — providing a credible and widely recognised interest rate benchmark.
- Coverage Across the Short-End Curve
- One-month, three-month and BOJ meeting-based contracts let participants express views on, or hedge exposure to, JPY short-term rates over the reference period that best fits their needs.
- One-month, three-month and BOJ meeting-based contracts let participants express views on, or hedge exposure to, JPY short-term rates over the reference period that best fits their needs.
- Transparent Price Discovery
- Exchange-traded on TFX with an open order book and price/time priority matching, providing reliable market signals on future JPY short-term interest rates.
- Exchange-traded on TFX with an open order book and price/time priority matching, providing reliable market signals on future JPY short-term interest rates.
- Counterparty Risk Mitigation
- As centrally cleared exchange-traded products, TONA Futures remove the bilateral counterparty credit risk associated with OTC interest rate transactions.
- As centrally cleared exchange-traded products, TONA Futures remove the bilateral counterparty credit risk associated with OTC interest rate transactions.
- Extended Trading Hours
- Trading runs across day and evening sessions from 8:45 to 20:00 JST, with a restricted period from 11:30 to 12:30.
- Trading runs across day and evening sessions from 8:45 to 20:00 JST, with a restricted period from 11:30 to 12:30.
- Flexible Trading Options
- Supports calendar spread trading, implied-in and implied-out functionality, block trades (minimum 1 contract), and give-up trades — accommodating a wide range of trading and execution strategies.
- Supports calendar spread trading, implied-in and implied-out functionality, block trades (minimum 1 contract), and give-up trades — accommodating a wide range of trading and execution strategies.
One-month TONA Futures are based on the monthly average of TONA. The reference period for each contract runs from the first calendar day to the last calendar day of the contract month. For non-business days, the rate of the preceding business day is used. The final settlement price is 100 minus the monthly average of TONA, which is calculated by summing each day's rate in the contract month and dividing by the number of days in that month.
Seven consecutive calendar months are listed, giving participants a precise monthly instrument for managing exposure to the very front end of the JPY interest rate curve. One basis point (a price change of 0.01) is worth 2,500 yen, with a minimum tick of 0.001 (250 yen).
Source: Tokyo Financial Exchange (TFX)
Each Three-month TONA Futures contract's underlying asset is the compounded daily TONA over a three-month Reference Quarter, aligned with the standard quarterly interest exchange convention used in over-the-counter (OTC) JPY interest rate swaps (IRS). This alignment makes Three-month TONA Futures an effective substitute or hedging tool for OTC IRS transactions.
Standardised contracts and exchange clearing reduce the operational burden and documentation requirements compared with OTC derivatives, which simplifies risk management for swap portfolios.
Source: Tokyo Financial Exchange (TFX)
BOJ Meeting TONA Futures are based on compounded daily TONA over the period between Designated Monetary Policy Meeting Dates. This reference period runs from the business day after one Bank of Japan Monetary Policy Meeting to the business day before the last day of the next meeting. Because each contract lines up with a BOJ policy window, the product gives a direct, exchange-traded way to express views on, or hedge against, policy rate outcomes at individual meetings.
The Bank of Japan publishes the following year's meeting schedule at the end of July each year. Based on that schedule, TFX designates the meeting dates, and trading in new contract months begins on the third Monday of August. The final settlement price is 100 minus the annualised compounded daily TONA over the reference period. One basis point is worth 2,500 yen, with a minimum tick of 0.001 (250 yen).
Source: Tokyo Financial Exchange (TFX)
This advertisement has not been reviewed by the Monetary Authority of Singapore.
