Home Products CCP Basis Swaps

CCP Basis Swaps

Comprehensive data coverage across Central counterparty clearing (CCP) products.

Speak to an expert

CCP Basis Swap Products available from TraditionData

USD CME LCH SB vs 3M LIBOR

Realtime

1Y – 50Y

USD LCH/CME vs SOFR

Realtime

1Y – 50Y

EUR CME LCH AB vs 6M EURIBOR

Realtime

1Y – 50Y

EUR LCH/CME vs 3M EURIBOR

Realtime

1Y – 50Y

GBP CME LCH SB vs 6M LIBOR

Realtime

1Y – 40Y

JPY CME LCH SB vs 6M LIBOR

Realtime

1Y – 40Y

USD LCH EUREX AB vs 3M LIBOR

Realtime

1Y – 30Y

EUR LCH EUREX AB vs 6M EURIBOR

Realtime

1Y – 30Y

JPY JSCC LCH SB vs 6M LIBOR

Realtime

1Y – 40Y

JPY JSCC CME SB vs 6M LIBOR

Realtime

1Y – 40Y

Balance cleared interest rate derivative (IRD) exposure between Central Counter-Parties 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 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.

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

currencies

global desks

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-CPP 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 CPP 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, CPP basis is small (close to zero) and not usually very volatile.

CCP Basis Swaps

CCP Basis Swap Products available from TraditionData

Balance cleared interest rate derivative (IRD) exposure between Central Counter-Parties to manage or optimise capital and funding costs.

CCP Basis Swaps data packages from TraditionData

Key stats

Key benefits:

A source of knowledge