Composite source for M-132 IR/FX Derivatives family: (a) Swaption settlement prices via CME SR3 SOFR options daily archive (strike grid; IV requires local inversion); (b) ATM swaption vol anchor via CME CVOL index (per product, 90-day forward); (c) FX cross-currency basis EUR/USD via CME XEURBI index; (d) FX cross-currency basis USD/JPY + USD/GBP + USD/CHF + USD/CAD via DTCC PPD FX trade tape (constructable); (e) ATM swap-rate term structure via FRED ICE Swap Rate USD (1Y..30Y) — overlaps DS-001.
| type | market_data |
| url | https://www.cmegroup.com/markets/interest-rates/secured-overnight-financing-rate.html |
| auth | none |
| cost | free |
| update frequency | daily_eod |
| consumers | finview |
| classification | public_market |
| criticality | tier-2 |
High-priority gap surfaced by PL-07 (2026-05-04); registration completed 2026-05-11 (b). M-132 currently calibrates sabr_surface against partial inputs. Free-source landscape researched 2026-05-11. No single source provides the full swaption IV surface + FX basis combination that paid vendors (Refinitiv, Bloomberg, ICAP) bundle. The structural gap — strike-grid swaption IV history — is the only paid-tier hole; everything else is closable free via the source composition above. Candidate sources by sub-aspect: Swaption vols: - CME SR3 SOFR-options daily settlement (free, ~80 expiries listed 1-week to 4-year + 39 quarterly listings to 10-year) — publishes strike-grid prices, NOT implied vols. CME DataMine ($105-$2,100/mo tiered) sells the implied-vol grid but is barred by DR-007. Bridge: invert prices to IV locally via QuantLib using FRED OIS curve (DS-001) for discounting. Smile precision degrades at deep-strike wings. - CME CVOL index per product (free) — single-number 90-day IV; serves as ATM cone anchor for the inverted surface. - CME SR1 1-Month SOFR options as short-end complement. FX basis spreads: - CME XEURBI (EUR/USD Cross-Currency Basis Index) — IOSCO methodology, daily EOD CSV, historical. Covers EUR/USD only. - DTCC PPD trade tape (FX asset class) — constructable USD/JPY, USD/GBP, USD/CHF, USD/CAD basis from raw trade observations. Same source used for DS-056 CDS aggregates. - BIS Triennial Survey aggregate FX-option turnover — calibration anchor only; not high-frequency. Acquisition strategies (principal direction 2026-05-11): (1) trial-harvested month-end snapshots from paid vendors — backfill quarterly history aligned with SEC filing cycle; (2) daily scrape going forward — accumulate prospective history; (3) ETF-options proxy — TLT options as long-duration Treasury vol surface proxy (composes with DS-057 closure). Fetcher build deferred to WS3 sweep. Until DS-058 lands, M-132 leans on default-zero FX correlation (A-054, PL-07 critical closure 2026-05-04) and synthetic SABR/Hull-White inputs.