Due to a change in market conventions, on September 19th 2022, Tradition Group’s Chinese RMB (CNH) LIBOR Non-linear based instruments and pages will undergo a change to reflect the move to SOFR.

Tradition, working in conjunction with our customers, will be moving away from a LIBOR to a SOFR underlying Interest Rate Options Swaptions product, with periods and underlying tenors ranging from one month out to thirty years.

Country
Currency
Underlying
Spot Premium
Forward Premium
Normal Vol
Log Vol
China (People's Republic of China)
CNH
USD SOFR

The CNH Interest Rate Options offering is currently available delivered direct from TraditionData, as well as on Bloomberg under TIRO and Refinitiv under our Global and Asia Greater China Interest Rate Options Packages.