Korean Won IRS and Indian Rupee OIS clearing

Following the overwhelming success of Mexican TIIE Swap and Brazilian Real CDI Swap clearing, CME has expanded its global interest rate clearing solution to an industry-leading 21 currencies of swaps with the addition of Korean Won (KRW) IRS and Indian Rupee (INR) OIS.

There has been considerable demand from both the buy and sell side to clear KRW IRS and INR OIS to benefit from the capital, margin and operational efficiencies of clearing. 

Please contact the CME OTC Products Team to learn more about these currencies.

KRW Interest Rate Swaps

CME clears KRW IRS with the following details:

Product Type Interest Rate Swap
Maximum Maturity 21 Years
Floating Rate Index KRW-CD-KSDA-Bloomberg*
Settlement Currency USD
Price Alignment Rate Fed Funds Overnight Rate
Variation Margin USD
Coupons and Fees USD
Holiday Calendar Seoul
Settlement & Business Day Convention USD will be settled on a next day (T+1) basis   Default will be ACT/365.FIXED
FX Rate The below FX rate will be used to convert KRW coupon payments to USD:   KRW KFTC18 (KRW02) – the KRW/USD rate published at 5:30pm Seoul time on Reuters Page KFTC18

*Refers to the 91 day certificates of deposit set by the Korean Financial Investment Association and published by Bloomberg


INR Overnight Indexed Swaps

CME clears INR OIS with the following details:

Product Type OIS
Maximum Maturity 10 Years
Floating Rate Index INR-FBIL-MIBOR-OIS-COMPOUND*
Settlement Currency USD
Price Alignment Rate Fed Funds Overnight Rate
Variation Margin USD
Coupons and Fees USD
Holiday Calendar Mumbai
  Settlement & Business Day Convention USD will be settled on a next day (T+1) basis   Default will be ACT/365.FIXED
    FX Rate The below FX rate will be used to convert INR coupon payments to USD:   INR.RBIB (INR01) – INR/USD rate reported on Reuters “RBIB” screen at  about 12:30pm Mumbai time

*Reference rate equal to the daily overnight Mumbai Inter-Bank Outright Rate (“MIBOR”), as published by the Fixed Income Money Market and Derivatives Association of India (FIMMDA) as of 11:45 a.m., India Standard Time on that Mumbai Banking Day.


Reports Available & CME CORE

CME Group provides direct access to daily reports through a secure FTP site, which enables customers to fully integrate key OTC data into their internal systems

Position Reporting via the Trade Register

  • End of day mark to market values for all IRS positions across all clearing members, including existing trades and any new trades cleared that day
  • Available at 4:45pm EST, so customers and their approved administrators/custodians can complete their daily NAV reports

IRS Curve Data

  • CME offers full transparency into IRS valuation, including a detailed white paper on curve construction, enabling customers to replicate our IRS valuation curve and calculate the value of their IRS positions
  • The secure FTP site provides daily IRS curve data across all currencies, including curve inputs that are used to construct both the forecasting and discounting curves, and the curve outputs like daily forward rates and discount factors

Client-Level Margin Files

  • Gives clients access to the exact margin requirements given to the FCMs for their accounts

To set up a secure FTP site for your firm, please contact: CME Onboarding Group at onboarding@cmegroup.com or (312) 338-7112

CME CORE: Clearing Online Risk Engine

  • Ideal business user solution for Portfolio Margin Savings analysis
  • Allows firms to calculate their margin for their portfolios
    • Can upload exact portfolio via a portfolio upload or enter trades manually
  • Reports breakdown position transfers in PDF and CSV file format

 

Read Overview


Contacts

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Deepa Josyula
+1 212 299 2368

London
Phil Hermon
+44 20 3379 3983

Steph Hicks
+44 20 3379 3867

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Shawn Creighton
+65 6593 5549

Harry Yeo
+65 6593 5581

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