IRO – Caps & Floors Product Specification

Product Code:

IRO-CAF-GLO-ALL

Description:

Our Caps & Floors data products allow financial services professionals to make informed trading decisions and manage interest rate risk. Caps & Floors data provides valuable information on the market expectation of rate changes and associated uncertainty. Key features of our Caps & Floors market data include real-time pricing across a range of strikes and tenors, and historical data.

Data Source:

Data sourced directly from Tradition’s brokerage desks with 6 global desks.

Delivery Method:

• real-time:Access real-time data
• Hourly:Receive hourly snapshots delivered via SFTP.
• end-of-day:Obtain end-of-day snapshots delivered via SFTP.

Data Frequency:

Market data is updated real-time directly sourced from various trading platforms.

Data Format:

CSV files for hourly snaps , FIX API for Real-time

Data Coverage:

• Asset Class: IRD Interest Rate Derivatives (IRD)
• Sub Class: Overnight Indexed Swaps (OIS)
• Key stats : +1K instruments 14 currencies 6 global desks

Tradition Data Packages:

Product Code	Product Name
IRO-CAF-GLO-ALL	Global ALL
IRO-CAF-AME-ALL	Americas ALL
IRO-CAF-AME-ARM	Americas Regional Majors
IRO-CAF-AME-DOE	Americas Dollar Emerging
IRO-CAF-EUR-ERM	Europe, Middle East & Africa Regional Majors
IRO-CAF-APA-ALL	Asia Pacific ALL
IRO-CAF-APA-AUS	Asia Pacific Australasia
IRO-CAF-APA-GCH	Asia Pacific Greater China
IRO-CAF-APA-JPY	Asia Pacific Japan
IRO-CAF-APA-KOR	Asia Pacific Korea
IRO-CAF-APA-SEA	Asia Pacific South East Asia

Caps and Floor Conventions :

Currency	Code	Index	CSA (option)
USD	USD	USD 1m/3m/6m LIBOR USD SOFR 3m	SOFR SOFR
EUR	EUR	EUR 1m/3m/6m EURIBOR EUR ESTR 6m	EONIA ESTR</
GBP	GBP	GBP 3m/6m LIBOR GBP SONIA 3m	SONIA SONIA</
JPY	JPY JPD JPY	JPY 6m LIBOR USD 6m LIBOR JPY TONA	JPY OIS SOFR TONA</
AUD	AUD	AUD 3m/6m BBSW	AUD
HKD	HKD	HKD 3m HIBOR	SOFR
CNY	CNY	CNY 7d REPO	CNY OIS
KRW	KRW KRWUSD	KRW 90d CD KRW 90d CD	CNY OIS KRW OIS
MYR	MYR	MYR 3m KLIBOR	SOFR
SGD	SGD	SGD 6m SIBOR SGD SORA 6m	SORA SOFR
THB	THB THB THOR	THB 6m THFX THOR 3m	SOFR SOFR
TWD	TWD TWN	3m TAIBOR 3m TAIBOR	SOFR SOFR
MXN	MXN MXNUSD	F-TILE F-TILE	MXN SOFR

FAQ:

Question	Answer
How many snap files are available per day?	24 files per day
What are the Key benefits of TraditionData Data package?	Interest rate risk management: Companies and financial institutions can use caps and floors as a form of risk management to protect against the risk of rising or falling interest rates. One example is if a company with a large amount of adjustable rate debt may purchase a cap to protect against the risk of rising interest rates. Another example is if a bank with a large portfolio of variable-rate mortgages may offer their customers cap protection and then need to hedge their resulting cap exposure in the institutional market. Yield curve risk management: In any currency movements of short tenor rates (1m to 6m) and long tenor rates (1y upwards) are related, but the relationships are complex. Those relationships can be modelled by considering, among other things,the correlation between different tenors. This enables risks to be quantified. Hedging: Caps and floors can be used to hedge interest rate risk associated with a company’s commercial activities or of a portfolio of assets or liabilities.
What is a cap?	A cap is a financial contract that limits cost of interest rate payments a borrower (the buyer) incurs. The seller provides the buyer a payment equivalentto the excess interest whenever a specied reference interestrate, such as a compounded overnight reference rate, exceeds an agreed level,the strike.
What is a floor?	A floor is a financial contract that guarantees a minimum interest income to a lender (the buyer). The seller provides the buyer a payment equivalent to the shortfall interest whenever a specified reference interest rate, such as a compounded overnight reference rate,falls below an agreed level,the strike.
What is MXN F-TIIE?	The F-TIIE (TIIE de Fondeo) , or Funding TIIE , is the new benchmark rate for Mexico, replacing the 28D TIIE. It's a Mexican peso-denominated, short-term funding rate based on the Mexican interbank repo market.
Is Historical Data Available?	Yes, Since 2020.

This document and its contents are confidential. It is intended solely for the use of the individual or entity to which it is provided. Information contained herein is the property of Compagnie Financière Tradition S.A. or any of its subsidiaries and/or TraditionData (together “Tradition”). Unauthorised disclosure, copying or distribution of such information is strictly prohibited, and the information shall not be redistributed in any form to any third party, in each case without the prior consent of Tradition. Whilst every effort is made to ensure the accuracy of the information contained herein, no warranty, condition or guarantee is given by Tradition in respect of any information. Nothing herein constitutes investment advice or an offer, or solicitation of an offer, to buy or sell any financial product. To the maximum extent of the law, Tradition accepts no responsibility for any reliance placed on the contents of this document and accepts no liability for any direct, indirect or any other loss arising out of any use of the information contained in this document or any omission from it. It is not intended for distribution to, or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to any applicable law or regulation. Copyright © Tradition. TraditionData is a trade mark of Tradition. Commercial in Confidence. April 2025