Cleared OTC Interest Rate Swaps

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We have created a best-in-class global clearing solution covering 24 currencies of interest rate swaps, including our market leading emerging market currencies.

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 over $6 trillion in notional per day in 2017
  • Unparalleled capital efficiencies via margin offsets of IRS positions against Eurodollar and Treasury Futures with savings up to 90%
  • Real-time clearing, 24 hours a day, five days a week regardless of your time zone

Onboard Today

Highlights

Supported Products

Fixed/Float
Currency
Tenor Years Index Months
 
  10 11 15 21 31 51 1 3 6  
USD         LIBOR
EUR         EURIBOR
GBP         LIBOR
CAD           CDOR
JPY           LIBOR
CHF           LIBOR
AUD           BBR
SEK           STIBOR
DKK           CIBOR
NOK           NIBOR
KRW           KRW-CD-KSDA- BBG
MXN     28d     TIIE-BANXICO
NZD           BBR
HKD           HIBOR
SGD           SOR-VWAP
HUF           BUBOR
CZK           PRIBOR
PLN           WIBOR
ZAR           JIBAR

Download Product Scope

Zero Coupon Swaps
USD | EUR | GBP 50 years
BRL 10 years  
Overnight Index Swap (OIS)
USD | EUR | GBP | JPY  30 years  
INR 10 year  
AUD  6 years  
CAD 3 Years  
Basis Swaps
USD | EUR | GBP | JPY 51 years
AUD | JPY 31 years  
Fed Funds vs. Libor (USD) 30 years  
Forward Rate Agreements (FRA)
USD | EUR | GBP | JPY | AUD | CAD 3 Days – 3 Years  
CHF | CZK | DKK | HUF |  JPY | NOK  
NZD | PLN | SEK | SGD | ZAR  
Swaptions
USD (≤ 2 years expiry) 30 years  

    4/24/18 volume includes approximately €163B (USDE 199 billion) from multilateral compression and €42B generated from upscaling during the run.