Tradition Predictive Overnight Repo Product Specification

Product Code:

SPC-BNY-AME-ARM

Description:

The Tradition Predictive Overnight Repo (TPOR) Service combines market leading general collateral repo trade and volume data sourced from our number one inter-dealer brokerage desk with anonymized tri-party repo trade and volume data from BNY Mellon.

The industry in the US transitioned from LIBOR to SOFR, the leading alternative benchmark, on 30th June 2023. In the post Libor world, the ability to offer predictive rate data to financial market participants helps improve marketplace efficiency and transparency.

Data Source:

Data sourced by taking incoming data from both Tradition and BNY Mellon, and using a proprietary methodology, we produce a volume-weighted median repo rate throughout the day which informs our clients of where SOFR will fix the following day.

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 houtly snaps , FIX API for Real-time

Data Coverage:

• Asset Class: IRD Interest Rate Derivatives ( IRD )
• Sub Class: Overnight Indexed Swaps
• Key stats : +$450bn combined cumulative volume of sourced Tradition Predictive Overnight Repo (TPOR) data +2 years of data since launch 2 data sources 0.003% average deviation to the Fed’s SOFR data

FAQ:

Question	Answer
How many snap files are available per day?	24 files per day
What are the Key benefits of TraditionData Data package?	Market relevance -This rate form the benchmark interest rate for dollar-denominated derivatives and loans around the world. Market insight – Every day at 8am the NY Fed publishes the SOFR rate by calculating the volume-weighted median (50th percentile) of transactions in three overnight US Treasury repo markets: Tri-party Repo cleared through BNYM, General Collateral Finance (GCF) Repo cleared through FICC, and Bilateral Repo (DVP). Delivery channels & frequency – Tradition Predictive Overnight Repo (TPOR) data is available directly from TraditionData and AWS Data Exchange. Shortly it will also be available through BNYM’s Marketplace. The rate is available throughout the day on an hourly snap basis and as an end-of-day rate at 4:30pm. Value experienced – Our Tradition Predictive Overnight Repo (TPOR) data helps inform your decision making whether you participate directly in the overnight repo market or you leverage financial instruments where SOFR is used in determining the amount of interest paid.
What is Tradition Predictive Overnight Repo (TPOR)?	A valuable insight during the trading day as to where SOFR will fix tomorrow. Our Predictive O/N REPO provides two numbers: 1) predictive Repo rate throughout the day; and 2) associated volume for that point in time. This allows a view of market direction and where FRBNY SOFR is likely to settle the next day. Our data is aggregated, independent and anonymized rate derived from two different market leading providers and is a statistically unbiased projection of the next day’s FRBNY SOFR posting.
How is Tradition Predictive Overnight Repo (TPOR) calculated?	Tradition and BNYM will combine two data sets of Overnight General Collateral (GC) Repo: 1. Market leading GC Repo trade and volume data sourced from Tradition’s leading inter-dealer brokerage desk, number one ranking 2. Tri-party GC Repo trade and volume data cleared through BNYM The service takes the incoming data from both providers, and uses a proprietary methodology to produce a simple average combination repo rate, throughout the day.
What can Tradition Predictive Overnight Repo (TPOR) be used for?	Provides market participants an assessment of where the FRBNY SOFR is likely to settle the following day using a large % of the data used in SOFR. Guidance to pricing SOFR-based interest rate derivatives. Guidance to pricing GC repo throughout the day. A market stress signal, useful to prepare and hedge for potential settlement gaps. Offers significant value around moments of stress such as month-end and FOMC meeting dates.
Is Historical Data Available?	Yes, since 2022

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