Cross Currency Swap Product Specification

Product Code:

IRD-CCS-GLO-ALL

Description:

In the world of finance, various interest rates and benchmark rates play a crucial role in determining the cost of borrowing, investments, and overall market stability. The cross-currency swap is a financial contract that enables two parties to exchange cash flows in different currencies. These agreements are extensively utilized by multinational corporations, financial institutions, and investors to address the foreign exchange risks linked to their international business operations. Cross-currency swaps provide an effective mechanism for managing currency risks, accessing foreign markets, and optimizing funding costs. By allowing the exchange of cash flows in different currencies, these financial instruments facilitate international transactions and contribute to the stability of the global financial system.

Data Source:

Directly sourced from Tradition’s Global trading desks, our executable prices provide unparalleled liquidity, ensuring accurate and reliable market data.

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 houtly snaps , FIX API for Real-time

Data Coverage:

• Asset Class: IRD Interest Rate Derivatives ( IRD )
• Sub Class: Cross-currency Swap ( CCS )
• Total: +4.1K instruments

Tradition Data Packages:

Product Code	Product Name
IRD-CCS-GLO-ALL	Global ALL
IRD-CCS-AME-ALL	Americas ALL
IRD-CCS-AME-ARM	Americas Regional Majors
IRD-CCS-AME-DOE	Americas Dollar Emerging
IRD-CCS-EUR-ALL	Europe, Middle East & Africa ALL
IRD-CCS-EUR-ERM	Europe, Middle East & Africa Regional Majors
IRD-CCS-EUR-EUE	Europe, Middle East & Africa EURO Emerging
IRD-CCS-EUR-MEN	Europe, Middle East & Africa MENA
IRD-CCS-EUR-SCA	Europe, Middle East & Africa Scandi
IRD-CCS-APA-ALL	Asia Pacific ALL
IRD-CCS-APA-AUS	Asia Pacific Australasia
IRD-CCS-APA-CHI	Asia Pacific China
IRD-CCS-APA-GCH	Asia Pacific Greater China
IRD-CCS-APA-JPY	Asia Pacific Japan
IRD-CCS-APA-KOR	Asia Pacific Korea
IRD-CCS-APA-SEA	Asia Pacific South East Asia

Samples of Curve Specification

EUR ESTR vs. USD SOFR
Currency	EUR	USD
Settlement	T+2 Days	T+2 Days
Tenors	1M-60Y	1M-60Y
Discounting	OIS	OIS
Day Count	ACT/360	ACT/360
Payment Frequency	Quarterly	Quarterly
Index	ESTR ON Rate	SOFR ON Rate
Reset Frequency	Daily	Daily
Business Adjustment	Modified Following	Modified Following
Adjust	Accrual and Pay Dates	Accrual and Pay Dates
Roll Conv	Backward EOM	Backward EOM
Calc. Calendar	Eurozone & NY	Eurozone & NY
Fixing Calendar	Eurozone	NY
Fixing Lag	0 Days	0 Days
Payment Delay	2 Days	2 Days
Reset Position	In Arrears	In Arrears

CAD CORRA vs. USD SOFR
Currency	CAD	USD
Settlement	T+2 Days	T+2 Days
Tenors
Discounting	OIS	OIS
Day Count	ACT/365	ACT/360
Payment Frequency	Quarterly	Quarterly
Index	CORRA ON Rate	SOFR ON Rate
Reset Frequency	Daily	Daily
Business Adjustment	Modified Following	Modified Following
Adjust	Accrual and Pay Dates	Accrual and Pay Dates
Roll Conv	Backward EOM	Backward EOM
Calc. Calendar	Canada	NY
Fixing Calendar	Canada	GT
Fixing Lag	0 Days	0 Days
Payment Delay	2 Days	2 Days
Reset Position	In Arrears	In Arrears

Euro/US Dollar 3 Month EURIBOR Vs SOFR Currency Basis Swap
CCY	EUR
Settlement	T + 2 Days	T + 2 Days
Discounting	OIS	OIS
Day Count	ACT/360	ACT/360
Payment Frequency	Quarterly	Quarterly
Index		SOFRRATE Index
Reset Frequency		Daily
Business Adjustment	ModifiedFollowing	ModifiedFollowing
Fixing Lag		0 Business Days
Payment Lag	2 Business Days	2 Business Days
Rate Cutoff		1
Reset Position		In Arrears
Adjust	Accrl and Pay Dates	Accrl and Pay Dates
Roll Convention		Backward (EOM)
Calc. Calendar	TE FD	TE FD
Fixing Calendar		GT