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Caps & Floors

Expansive datasets of volatility surfaces across multiple currencies.
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Caps & Floors Products available from TraditionData

Americas
Country
Currency
Funding
Caps & Floors Data
United States
USD
USD
United States
USD
USD SOFR
Europe
Country
Currency
Funding
Caps & Floors Data
Europe
EUR
EUR
Europe
EUR
EUR ESTR
United Kingdom
GBP
GBP
United Kingdom
GBP
GBP SONIA
Asia Pacific
Country
Currency
Funding
Caps & Floors Data
China (People's Republic of China)
CNY
USD
Japan
JPY
JPY
Japan
JPY
USD
Japan
JPY
JPY TONA
Australia
AUD
AUD
Korea, Republic of
KRW
KRW
Korea, Republic of
KRW
USD
Hong Kong
HKD
USD
Taiwan (Republic of China)
TWD
USD
Taiwan (Republic of China)
TWN
USD
Malaysia
MYR
USD
Singapore
SGD
USD
Singapore
SGD
SGD SORA
Thailand
THB
USD
Thailand
THB
THB THOR

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.

Caps & Floors packages from TraditionData

Our Cap & Floor data packages provide comprehensive coverage across 14 currencies. Volatility surfaces are managed directly by Tradition’s brokerage desks. From those surfaces and using our in-house analytics expertise, we produce a broad picture across many strikes and tenors.

Combining caps and floors with swaptions can provide valuable hedging strategies and Tradition’s market data can reveal information about market expectations of future correlation.

By offering smaller, focused and more granular packages based on region and product, our clients only pay for what they need, as opposed to receiving larger data packages that need unbundling.

Real-time, Intraday and End of Day prices are available for interest rate markets providing complete flexibility on both data content and delivery method.

Related products

Key stats

14
currencies
6
global desks
5
countries
BENEFITS

Key benefits:

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 are Caps & Floors?

Caps and floors are financial contracts that limit exposure to interest rate movement. A caps/floor is typically a series of observations and payments based on contiguous short tenor periods, for example monthly, quarterly or semi-annual.

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 equivalent to the excess interest whenever a specified reference interest rate, such as a compounded overnight reference rate, exceeds an agreed level, the strike.

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.

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