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In his role as Global Head of Product, Ian brings over a decade of experience at TraditionData, and more than twenty-two years within Tradition Group. Ian will drive a clear product strategy, overseeing and enhancing TraditionData’s product suite with high-quality data solutions which meet the increasingly complex needs of our client base.
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27/05/2026

CCP basis swaps

Comprehensive data coverage across Central Counterparty (CCP) clearing products.
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CCP basis swap products available from TraditionData

CME LCH CCP basis swaps
Country
Data description
Frequency published
Tenors
United States
USD CME LCH SB vs 3M LIBOR
Realtime
1Y – 50Y
United States
USD LCH/CME vs SOFR
Realtime
1Y – 50Y
Europe
EUR CME LCH AB vs 6M EURIBOR
Realtime
1Y – 50Y
Europe
EUR LCH/CME vs 3M EURIBOR
Realtime
1Y – 50Y
United Kingdom
GBP CME LCH SB vs 6M LIBOR
Realtime
1Y – 40Y
Japan
JPY CME LCH SB vs 6M LIBOR
Realtime
1Y – 40Y
LCH EUREX CCP basis swaps
Country
Data description
Frequency published
Tenors
United States
USD LCH EUREX AB vs 3M LIBOR
Realtime
1Y – 30Y
Europe
EUR LCH EUREX AB vs 6M EURIBOR
Realtime
1Y – 30Y
Europe
EUR LCH EUREX AB vs 3M EURIBOR
Realtime
1Y – 40Y
JSCC LCH and JSCC CME basis swaps
Country
Data description
Frequency published
Tenors
Japan
JPY JSCC LCH SB vs 6M LIBOR
Realtime
1Y – 40Y
Japan
JPY JSCC CME SB vs 6M LIBOR
Realtime
1Y – 40Y

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Balance cleared Interest Rate Derivative (IRD) exposure between Central Counterparties (CCP) to manage or optimise capital and funding costs.

CCP basis swaps provide market participants the means to move IRD portfolio risk from one CCP to another.

As a business, we are at the forefront of the CCP basis swaps market, working closely with clearing houses and our clients to deliver the best products for both trading and data clients who need to value cleared products.

CCP basis swaps data packages from TraditionData

Our CCP basis swaps data packages provide comprehensive market coverage across 5 major currencies; CAD, EUR, GBP, JPY and USD and between 4 major CCPs: JSCC, LCH, Eurex and CME. Datasets are sourced directly from Tradition’s brokerage desks, with 6 desks in 4 countries and data is published in real time.

Key stats

5
currencies
6
global desks
4
main CCPs
BENEFITS

Key benefits:

Hedging and transaction cost management: A producer or user of an underlying rate asset may use futures contracts to hedge against price fluctuations in the underlying asset, cleared through a CCP. By taking an offsetting position in a related rates product cleared on a different CCP, they may lock in a profit and then use a CCP swap to hedge any CCP-CCP cost risk with a CCP swap.

What are CCP basis swaps?

A CCP basis swap (also known as a CCP spread or clearing house basis) is a trade strategy that involves the execution of two almost identical but opposing swaps, where the only difference is the difference between the traded fixed rate. That difference is known as the spread or the CCP basis.  One of the swaps will then be cleared on one CCP and the other cleared on another. The CCPs concerned and the direction of the swaps are explicit terms of the pre-trade negotiation.

Reasons for wishing to move exposure from one CCP to another might arise from an imbalance of activity in one venue, for example short rate futures trading cleared on one CCP being hedged with liquid OTC swaps cleared in another CCP.

The CCP basis can be positive or negative, and it can change over time based on a variety of factors, including changes in supply and demand for the rates of different tenors, changes in the interest rates, changes in funding costs and changes to the cost of clearing and settlement services provided by a CCP. In general, CCP basis is small (close to zero) and not usually very volatile.

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