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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.
Basis Swaps
21/12/2024

Basis Swaps

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

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.

Americas
Country
Currency
Underlying
CCP Basis
Cross Currency Basis
Tenor Basis
OIS Basis
Canada
CAD
CORRA, CDOR
United States
USD
SOFR, Fed Funds, LIBOR
Chile
CLF
CAMARA
Specialist Package
Chile
CLP
CAMARA
Specialist Package
Colombia
COP
IBR
Specialist Package
Mexico
MXN
28d TIIE
Specialist Package
Asia Pacific
Country
Currency
Underlying
CCP Basis
Cross Currency Basis
Tenor Basis
OIS Basis
China (People's Republic of China)
CNY
SHIBOR
Specialist Package
Japan
JPY
TONA, DTIBOR, ZTIBOR, LIBOR
Specialist Package
Specialist Package
Australia
AUD
BBSW, AONIA
Specialist Package
New Zealand
NZD
BKBM
Specialist Package
Korea, Republic of
KRW
91d CD, KOFR
Specialist Package
Hong Kong
HKD
HIBOR, HONIA
Specialist Package
Taiwan (Republic of China)
TWD
TAIBOR
Specialist Package
Indonesia
IDR
JIBOR
Specialist Package
Philippines
PHP
PHIREF
Malaysia
MYR
KLIBOR
Specialist Package
Singapore
SGD
SORA, SOR
Specialist Package
Thailand
THB
THOR, THBFix
Specialist Package
Europe, Middle East & Africa
Country
Currency
Underlying
CCP Basis
Cross Currency Basis
Tenor Basis
OIS Basis
Switzerland
CHF
SARON, LIBOR
`
Specialist package
Specialist package
Specialist package
Europe
EUR
EURIBOR, ESTR, EONIA
Specialist package
Specialist package
United Kingdom
GBP
SONIA, LIBOR
Specialist package
Specialist Package
Czech Republic
CZK
PRIBOR
Specialist Package
Hungary
HUF
BUBOR
Specialist package
Poland
PLN
WIBOR
Specialist package
Russian Federation
RUB
MOSPRIME
Specialist package
Denmark
DKK
CIBOR, CITA, DESTR
Specialist package
Norway
NOK
NIBOR, NOWA
Specialist package
Sweden
SEK
STIBOR, SWESTR
Specialist package
United Arab Emirates
AED
AEIBOR
Specialist package
Israel
ILS
TELBOR
Specialist package
Specialist package
Saudi Arabia
SAR
SAIBOR
Specialist package
South Africa
ZAR
JIBAR
Specialist package
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.

Enquire about Basis Swaps

To get in touch with our team or request more information on Basis Swaps, please click the button below.

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Key stats

17
currencies
11
desks
6
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.

Read more on Basis Swaps here.

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