BAS – Basis Swaps Product Specification

Product Code:

IRD-BAS-GLO-ALL

Description:

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.

Data Source:

Data sourced directly from Tradition’s brokerage desks with 11 desks in 6 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: Basis Swaps (BAS)
• Key stats : +2.5K instruments 17 currencies 11 desks in 6 countries

Tradition Data Packages:

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

Curve Specification Samples

EUR ESTR vs. EUR EURIBOR
Currency	EUR	EUR
Settlement	T+2 Days	T+2 Days
Discounting	OIS	OIS
Day Count	ACT/360	ACT/360
Payment Frequency	Daily	Quarterly
Index	ESTR ON Rate	EUR 3M EURIBOR
Reset Frequency	Quarterly	Quarterly
Business Adjustment	Modified Following	Modified Following
Adjust	Accrual and Pay Dates	Accrual and Pay Dates
Roll Conv	Backward EOM	Backward EOM
Calc. Calendar	Eurozone	Eurozone
Fixing Calendar	Eurozone	Eurozone
Fixing Lag	2 Days	2 Days
Payment Delay	0 Days	0 Days
Reset Position	In Advance	In Advance

CORRA vs. 3M CAD CDOR
Currency	CAD	CAD
Settlement	T+2 Days	T+2 Days
Discounting	OIS	OIS
Day Count	ACT/365	ACT/365
Payment Frequency	Quarterly	Quarterly
Index	CORRA ON Rate	CAD 3M CDOR
Reset Frequency	Daily	Quarterly
Business Adjustment	Modified Following	Modified Following
Adjust	Accrual and Pay Dates	Accrual and Pay Dates
Roll Conv	Backward EOM	Backward EOM
Calc. Calendar	Canada	Canada
Fixing Calendar	Canada	Canada
Fixing Lag	0 Days	0 Days
Payment Delay	2 Days	0 Days
Reset Position	In Arrears	In Advance

USD SOFR vs. Fed Funds
Currency	USD	USD
Settlement	T+2 Days	T+2 Days
Discounting	OIS	OIS
Day Count	ACT/360	ACT/360
Payment Frequency	Quarterly	Quarterly
Index	US Fed Funds Effective Rate	US SOFR 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	FR	FR
Fixing Calendar	FR	US Gov’t Bond Market
Fixing Lag	0 Days	0 Days
Payment Delay	2 Days	2 Days
Reset Position	In Arrears	In Advance

FAQ:

Question	Answer
How many snap files are available per day?	24 files per day
What are the Key benefits of TraditionData Data package?	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 deferential 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.
Is Historical Data Available?	Yes, It varies by currency, for example, the USD Basis Swap has been been available since 2020 however, the JPY Basis swap has been available since 2009.

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