CCP – CCP Basis Swaps Product Specification

Product Code:

IRD-CCP-GLO-ALL

Description:

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 Central Counterparty (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. 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.

Data Source:

Data sourced directly from Tradition’s brokerage desks with 6 desks in 4 countries.

Delivery Method:

• real-time:Access real-time data
• Hourly:Receive hourly snapshots delivered via SFTP.
• end-of-day:Obtain end-of-day snapshots delivered via SFTP.

Data Frequency:

Market data is updated real-time directly sourced from various trading platforms.

Data Format:

CSV files for hourly snaps , FIX API for Real-time

Data Coverage:

• Asset Class: IRD Interest Rate Derivatives (IRD)
• Sub Class: CCP Basis Swaps (CCP)
• Key stats : +900 instruments 4 currencies 4 main CCPs 6 desks in 4 countries.

CCP Data Coverage

Glossary

Tradition Data Packages:

Product Code	Product Name
IRD-CCP-GLO-ALL	Global ALL
IRD-CCP-AME-ALL	Americas ALL
IRD-CCP-AME-ARM	Americas Regional Majors
IRD-CCP-EUR-ALL	Europe, Middle East & Africa ALL
IRD-CCP-EUR-ERM	Europe, Middle East & Africa Regional Majors
IRD-CCP-APA-ALL	Asia Pacific ALL
IRD-CCP-APA-JPY	Asia Pacific Japan

FAQ:

Question	Answer
How many snap files are available per day?	24 files per day
What are the Key benefits of TraditionData Data package?	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 is a CCP?	A central counterparty clearing house (CCP) is an entity that helps facilitate trading in various European derivatives and equities markets.
What is a CCP Basis?	CCP basis is a price differential that reflects the margin costs for dealers of clearing a swap at one central counterparty (CCP) versus another.
Is Historical Data Available?	Yes, It varies by currency, for example, the USD CCP Basis has been available since 2014

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