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FX & Money Markets
Tradition USD Repo Service
By TraditionData
1 Jun 2023
Credit & Fixed Income
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25 Apr 2023
Interest Rate Derivatives
Best in class USD Swaps data...
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Product notification
25 new USD SOFR Butterfly Spreads...
13 Feb 2023
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The SOFR Indicative Rate 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.
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.
The industry in the US is at a critical juncture in the move from LIBOR to SOFR, the leading alternative benchmark, with a deadline of 30th June 2023. The ability to offer indicative rate data to financial market participants will help facilitate a more seamless transition, as well as improve marketplace efficiency and transparency.
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 – The indicative SOFR rate 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 SOFR Indicative Rate Service 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.
TraditionData’s SOFR packages provide the most robust, comprehensive and accurate view of the American Markets.