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Basis Swaps

Comprehensive data coverage across single currency basis and Central Counterparty Clearing (CCP) products.

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Central Counterparty (CCP) basis and Basis Swap pricing is available as a complementary dataset through our industry leading CCP Basis Swaps and Cross Currency Swaps data package.

CAD

USD

CLF

CLP

COP

MXN

CNY

JPY

AUD

NZD

KRW

HKD

TWD

IDR

MYR

SGD

THB

CHF

Specialist package

EUR

GBP

CZK

HUF

PLN

RUB

TRY

DKK

NOK

SEK

AED

ILS

Specialist package

SAR

ZAR

SUMMARY

Basis swaps are a tool for managing interest floating rate risk in a single currency or cross-currency interest rate risk or to move a swap position from one CCP to another.

Basis Swaps Data Packages from TraditionData

Our basis swaps data packages provide comprehensive market coverage across 17 currencies. Datasets are sourced directly from Tradition’s brokerage desks, with 11 desks in 6 countries.

By offering smaller, focused and more granular packages based on region and product, our clients only pay for what they need, as opposed to receiving larger data packages that need unbundling.

Real-time, Intraday and End of Day prices are available for interest rate markets providing complete flexibility on both data content and delivery method.

Products

CCP Basis Swaps

Key stats

currencies

desks

countries

BENEFITS

Key benefits:

Manage Interest Rate Risk: Basis swaps can be used to manage the interest rate risk in a portfolio by allowing market participants to exchange one floating interest rate for another floating interest rate, to remove tenor mismatch risk in a portfolio.

Improve Diversification: By using cross currency basis swaps, investors manage forward foreign exchange and interest rate differential risk exposure between two currencies.

Hedge Interest Rate Exposure: Basis swaps can also be used as a hedging tool to reduce imbalances in interest rate exposure of a portfolio.

What is a basis swap?

Basis swaps are financial derivatives that allow market participants to exchange one floating interest rate for a different floating rate risk.

Single currency basis swaps (for example tenor swaps) provide valuable information relating to credit risk of term lending, for example the low credit risk of overnight lending compared to the higher risk of 3 month lending. Cross currency basis swaps provide information about interest rate differentials in different currencies and the implied expected change in relative value of the two currencies in the FX markets.

CCP basis swaps are used to move a cleared swap position from one CCP to another receiving or paying a small differential on the fixed rate or the swap.