TraditionData Repo Package – Product Specification

Product Code:

MMK-REP-AME-ARM

Description:

At TraditionData, we offer extensive repo data prices sourced from Tradition, the global leader in Inter-Dealer Brokerage (IDB) services for USD Repo markets. The TraditionData Repo Package comprises hourly snapshots from 7:00 am to 5:00 pm EST for pricing, featuring weighted averages. It encompasses general collateral Overnight Repos for on-the runs, old, and old-old U.S. Treasuries, term repos, when-issued repos, and specials (subject to market conditions). Our data offers insight into the most active segment of the repo trading session: the early morning period. We provide 12 snapshots daily, including 3 snapshots within the initial hour of trading.

Data Source:

US Repo data prices are sourced directly from the Tradition US Repo trading desks.

Delivery Method:

• Direct Hourly snap:Receive hourly snapshots delivered via SFTP.
• Bloomberg real-time with 15 min Delay:Bloomberg --> TUSD --> Trad US Repo: 15 min Delay

Data Frequency:

The market data is updated in real-time with 15 min Delay

Data Format:

CSV files for hourly snaps and Tradition Integrate messages for Real-time with 15 min Delay

Data Coverage:

• Asset Class: Money Market
• Sub Class: Repo Market Data
• GC instruments 70+ issues for 11 unique Generic CUSIP. Each GC cusip has one or more instruments like O/N and term contracts
• Special instruments 40+ issues for 19 UST CUSIP
• O/N Special instruments 10YR REG,20YR REG,2YR REG,30YR REG,3YR REG,5YR REG,7YR REG, O10YR REG,O2YR REG,O30YR REG,O3YR REG,O5YR REG,OO10YR REG

WA - weighted average feed ( Tradition_USRepo_Averages_2024-02-02_080003.csv )

Attribute	Description	Notes
CUSIP	CUSIP of the underlying collateral	For GC, CUSIP starts with "3" and maintained by DTCC FICC For DVP , UST Cusip starts with "91"
Description	Description of the repo contract	No standard format. It's open for anything. you can expect tenor like O/N you can expect future mat date MM-DD you can get future range days MM-DD/MM-DD REG is O/N starting next business day You can get details about the collateral including market price , example 30YR 111 7/8
Start Date	Repo start Date ( first leg )

Repo Prices - US_Repo_Prices_20240202_0800.csv

FAQ:

Question	Answer
How many snap files are available per day?	12 snapshots daily, including 3 snapshots within the initial hour of trading.
What is GC instruments ?	CUSIP serves as the primary means of distinguishing between GC instruments and special instruments. GC CUSIPs initiate with "31" denoting generic codes generated by FICC (a part of DTCC).
Do you cover DVP transaction ?	All repo transactions are DVP apart from GCF
How GCF repo is settled ?	GCF repo transactions are settled using FICC tri-party basis, with NY Mellon acting as clearing bank
How DVP repo is settled ?	DVP repo transaction are settled as Bilateral , no clearing bank.
What is specials instruments ?	Special instruments encompass any valid CUSIP other than GC. Presently, all specials are US Treasury-related (OTR, Old, OLD OLD, and WI), identifiable by CUSIPs starting with "9" However, based on market dynamics, any active CORP CUSIP may also qualify as special.
What NCCBR means ?	NCCBR is Non-Centrally Cleared Bilateral Repo (NCCBR) market, participants can borrow cash against securities collateral, without the involvement of a central counterparty or a triparty custodian.
Do you cover non-centrally cleared repo – either through triparty(BONY) or bilateral (NCCBR) ?	Yes, All DVP repo transaction are settled as Bilateral , no clearing bank.
What is repos ?	Repurchase agreements, commonly referred to as repos, are financial transactions in which one party sells securities to another party with a commitment to repurchase them at a later date. In essence, it's a form of short-term borrowing where the seller receives cash by selling securities and agrees to buy them back at a slightly higher price, effectively acting as collateral for the loan. These agreements are often used by institutions such as banks and government securities dealers to raise short-term funds or manage liquidity. The interest rate charged on the cash lent in a repurchase agreement is known as the repo rate.
Explain "30YR 111 7/8" instrument	"30YR" refers to a 30-year U.S. Treasury bond, and "111 7/8" represents the current price of the bond as a percentage of its face value. The number before the space denotes the full points, and the number after the space represents the fraction of 32nds of a point. Therefore, "111 7/8" translates to 111.21875% of the face value of the bond.
What are Key benefits?	Improved Investment Decisions: Repo data provides financial services professionals with information on repo rates, yields, and market trends, allowing them to make informed investment decisions that can optimize portfolio performance. Enhanced Liquidity: Repo transactions provide financial services professionals with a highly liquid source of funding, enabling them to quickly and easily adjust their portfolios to respond to market conditions. Improved Cash Management: Repo data can be used to track the performance of cash management strategies, such as sweeping excess cash into repo transactions, to help maximize returns on cash balances. Better Risk Management: Repo data provides valuable information on credit risk and market trends, enabling financial services professionals to better manage the risk in their portfolios. Diversification: Repo data can be used to identify different types of repo transactions, such as tri-party repo, general collateral repo, and special collateral repo, enabling financial services professionals to diversify their portfolios and reduce risk. Hedging Opportunities: Financial services professionals can use repo data to identify opportunities to hedge against market volatility and interest rate risk, helping to stabilize the overall performance of their portfolios.
Is Historical Data Available?	WA since April 2020, Repo prices since Sep 2017
What is DTCC URL for GCF repo?	DTCC

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