IRO – Swaptions Product Specification

Product Code:

IRO-SWP-GLO-ALL

Description:

Swaptions (options on interest rate swaps) can be used by financial services professionals as tools for managing interest rate risk, counter-party credit risk (swap replacement), convertible and cancellable bond risk, among many other uses.

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 : +10K instruments 19 currencies 6 global desks

Tradition Data Packages:

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

Swaptions Conventions:

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Currency	Code	Index	CSA Option
CAD	CAD	CAD CORRA	CORRA
USD	USD	USD 3m LIBOR USD SOFR 3m	SOFR SOFR
CHF	CHF	CHF SARON	SARON
EUR	EUR	EUR 6m EURIBOR EUR 6m EURIBOR EUR ESTR	ESTR ESTR ESTR
GBP	GBP	GBP 3m LIBOR GBP 3m LIBOR GBP SONIA	GBP GBP GBP
ILS	ILS	ILS 3m TELBOR	ILS
JPY	JPY JPD JPY	JPY 6m LIBOR USD 6m LIBOR JPY TONA	JPY SOFR JPY
AUD	AUD	AUD 3m/6m BBSW	AUD
NZD	NZD	NZD 3m BBSW	NZD
HKD	HKD	HKD 3m HIBOR	SOFR
CNY	CNY CNH	CNY 7d REPO USD 3m LIBOR	SOFR SOFR
KRW	KRW KRWUSD	KRW 90d CD KRW 90d CD	KRW SOFR
MYR	MYR	MYR 3m KLIBOR	SOFR
SGD	SGD	SGD 6m SIBOR SGD SORA	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?	Manage Risk: Swaptions can be used by companies and financial institutions to hedge against the risk of rising or falling interest rates. For example, a company with a large amount of fixed-rate debt may purchase a swaption as a hedge against the risk of rising interest rates. Speculation: Swaptions can also be used as a speculative investment. Investors can purchase a swaption in order to bet on the direction of interest rates. If interest rates rise, the value of the swaption will increase, and the investor can make a profit by selling the swaption. Yield enhancement: Swaptions can also be used to enhance yield by some pension funds, insurance companies and other institutional investors. They can use swaptions to gain exposure to different parts of the yield curve, which can help to boost returns. Capital management: Banks and other financial institutions can use swaptions as a tool for managing their capital and regulatory requirements. Banks are required to hold a certain amount of capital to cover potential losses, and the use of swaptions can help them to meet these requirements while still earning a return on their capital.
What is a swaption?	Swaptions are financial derivatives that give the holder the right, but not the obligation, to enter into an interest rates swap (IRS, OIS or Cross currency swap) as the payer or receiver of the fixed rate at a predetermined interest rate, at a specific time in the future, and for a specific swap tenor.
How are swaptions calculated?	The value of a swaption is determined by several factors, including the current level of interest rates, the strike price, the time to expiration, and the volatility of interest rates. The calculation of swaptions involves determining the expected future interest rate, also known as the theoretical forward rate, and comparing it to the strike price. This comparison is used to determine the intrinsic value of the swaption, which represents the theoretical profit or loss that would be generated if the swaption were exercised. Additionally, the calculation of swaptions includes a volatility component, which is used to account for the uncertainty of future interest rate movements. The volatility component is typically estimated using statistical models, such as the Black-Scholes model, which incorporates the current level of interest rates, the strike price, the time to expiration, and the volatility of interest rates. The intrinsic value and the volatility component are combined to determine the overall value of the swaption.
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.

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