Tradition predictive overnight repo

Name: Tradition Predictive Overnight Repo (TPOR)
Creator: TraditionData
Published: 2023-02-03
License: https://www.traditiondata.com/terms-conditions/

A valuable insight during the trading day as to where SOFR will fix tomorrow.

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SUMMARY

Monitor trends and track stress indicators with the Tradition Predictive Overnight Repo (TPOR) service.

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

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BENEFITS

Key benefits of the Tradition Predictive Overnight Repo (TPOR) service:

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: 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 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.

“We are acutely aware of the significance of this and the requirement for high quality data services around it. This new development from our data product team will provide a valuable insight during the trading day as to where SOFR is likely to fix tomorrow. In addition, this intra-day service will allow the global trading community to monitor trends and track stress indicators.”

Scott Fitzpatrick, Global Head of TraditionData

USD – SOFR data

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Americas:

+1 212 978 1950

Asia Pacific:

+65 6533 7976

Europe, Middle East & Africa:

+44 (0)20 7198 5959

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