Cleared OTC Interest Rate Swaps

CME Group has worked closely with buy-side and sell-side participants to build a multi-asset class, market leading OTC Clearing Solution.

Key Benefits

  • Industry leading customer protection through CME Clearing's use of the US FCM Clearing model
  • Strength of CME Group's market leading interest rate products business, which is trading $5 trillion in notional per day in 2016
  • Unparalleled capital efficiencies via margin offsets of IRS positions against Eurodollar and Treasury Futures with savings up to 90%
  • Full transparency via direct access to daily valuation reports and the CME CORE margin tool
  • Superior technology enables real-time clearing with straight-through processing
  • MAC Swap Futures: Offers capital efficiencies through futures-style margining and delivers into OTC Cleared IRS at expiration

Product Offering

Existing Products

  • USD, EUR, GBP Fixed/Float out to 51 years
  • CAD, JPY, CHF, AUD, NOK, SEK, DKK Fixed/Float out to 31 years
  • MXN Fixed/Float out to 21 years
  • HKD, NZD, SGD Fixed/Float out to 15 years
  • HUF, CZK, PLN, ZAR Fixed/Float out to 11 years
  • BRL Fixed/Float out to 10 years
  • Flexible day counts, business days, roll conventions and payment frequencies including stubs
  • 1M, 3M, and 6M LIBOR indexes
  • Zero Coupon Swaps
  • Overnight Index Swaps (OIS) out to 30 years
  • Basis Swaps
  • FRAs
  • Amortizing Swaps
  • USD Swaptions max two-year expiry and underlying swap maturity of 30 years

The 19 currencies offered account for 95 percent of the vanilla IRS market, according to data from the Bank for International Settlements.

Other Future Products

  • Additional Currencies (KRW, CNY, INR)
  • Caps, Floors and Cross Currency Swaps

Download Product Scope (XLS)

Latin America Deck

Contacts

North America

Deepa Josyula
Senior Director, OTC Product Solutions
+1 212 299 2368

Liam Smith
Director, OTC Product Solutions
+1 312 207 2538

Europe

Phil Hermon
Senior Director, OTC Product Solutions
+44 20 3379 3983

Stephanie Hicks
Director, OTC Product Solutions
+44 20 3379 3867

    11/30/2016 USD volume includes approximately $626 billion from multilateral compression and $185 billion in volume generated from upscaling during the run.