Cleared OTC Interest Rate Swaps

Now Available: Portfolio Margining of Cleared OTC IRS and Futures - Savings of up to 85%

CME Group has created a real-time, open access clearing solution for OTC Interest Rate Swaps, in close collaboration with premier swap dealers, clearing firms, and buy-side participants.

Since launching this service, we have surpassed $460 billion in Cleared OTC IRS.

Key Benefits:

Utilizes the expertise of CME Clearing - the industry leader in protecting customers through the US FCM Clearing model.
Builds on the strength of CME Group's market leading interest rate products business, which traded $3.6 trillion in notional per day in 2011.
CME Group has the unique opportunity to offer unparalleled capital efficiencies via margin offsets of IRS positions against Eurodollar and Treasury Futures.
Provides customers full transparency through direct access to daily valuation reports and the CME CORE margin tool.
One integrated platform: Operational flexibility of a multi asset class solution for IRS, CDS, FX, and Commodities.

View Cleared OTC IRS
Market Data

Cleared OTC IRS Resources

News & Highlights	Cleared OTC IRS Product Slate	Safety and Security of CME Clearing	Additional OTC Product Information
April 30, 2012 - Multi-Asset Class OTC Offerings Expand: First Cleared OTC FX NDFs April 18, 2012 - Cleared OTC IRS Currency Expansion - AUD, JPY, and CHF April 4, 2012 – Buy Side Volume Drives New Records in Cleared CDS March 13 - Press Release: CME Group to Begin Offering Portfolio Margining for OTC Interest Rate Swaps and Futures March 5, 2012 – Press Release: OTC Clearing Monthly Volume Record for February and $400 Billion Cleared Overall February 13, 2012 - New OTC Clearing Records: Over $57 Billion Cleared the Week Ending Feb 10 February 8, 2012 - Corporate Bonds as Collateral for Cleared Interest Rate Swaps December 5, 2011 - Press Release: 4th Consecutive Monthly Volume Record, Surpassed $150B in Total Notional November 9, 2011 - Press Release: Monthly OTC Volume Record; Further OTC Product Expansion October 19, 2011 – Press Release: Launch of EUR IRS, New IRS Monthly Clearing Record October 3, 2011 – Press Release: Monthly Volume Record, Surpassed $45B in Total Volume Cleared September 12, 2011 – Press Release: Records for OTC Clearing Volume; Expansion of OTC Product Offering October 18, 2010 – Press Release: Launch of Cleared OTC Interest Rate Swaps	Existing Products USD, EUR, GBP Fixed/Float out to 50 years CAD, JPY, CHF, AUD Fixed/Float out to 30 years Flexible day counts, business days, roll conventions and payment frequencies including stubs 1M, 3M, and 6M LIBOR indexes The seven 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 Zero Coupon Swaps, Amortizing Swaps, FRAs, Basis Swaps and OIS Swaptions, Caps, Floors, Additional Currencies, Cross Currency Swaps and Inflation Products	CME Clearing will apply the same customer protection standards applied to exchange-traded futures to these new cleared OTC derivatives. Clearing member firms are continually monitored and audited for their outstanding risk, capital adequacy and compliance with customer protection rules and regulations. CME Clearing CME CORE Margin Tool: CME Clearing Online Risk Engine CME Clearing’s Role as a Central Counterparty CME Clearing Financial Safeguards System Cleared OTC Cash Flows Explained	Cleared OTC CDS Web Page Cleared OTC Derivatives Account Class FAQ (PDF) IRS Rules Rule Filings View Cleared OTC Connectivity Partners Acceptance of Corporate Bonds as Collateral

News & Highlights

Cleared OTC IRS Product Slate

Safety and Security of CME Clearing

Additional OTC Product Information

Existing Products

USD, EUR, GBP Fixed/Float out to 50 years
CAD, JPY, CHF, AUD Fixed/Float out to 30 years
Flexible day counts, business days, roll conventions and payment frequencies including stubs
1M, 3M, and 6M LIBOR indexes

The seven 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
Zero Coupon Swaps, Amortizing Swaps, FRAs, Basis Swaps and OIS
Swaptions, Caps, Floors, Additional Currencies, Cross Currency Swaps and Inflation Products

CME Clearing will apply the same customer protection standards applied to exchange-traded futures to these new cleared OTC derivatives. Clearing member firms are continually monitored and audited for their outstanding risk, capital adequacy and compliance with customer protection rules and regulations.

CME Clearing

CME CORE Margin Tool: CME Clearing Online Risk Engine

CME Clearing’s Role as a Central Counterparty

CME Clearing Financial Safeguards System

Cleared OTC Cash Flows Explained

OTC IRS Market Data

Volume and Open Interest Totals

As of Clearing Date: MAY-25-12

Currency

Volume

Open Interest

USD Total

$38,000,000

$197,873,400,000

EUR Total

€361,600,000

€40,495,923,000

GBP Total

£ 5,000,000

£ 7,164,600,000

CAD Total

$7,000,000

$6,254,590,000

JPY Total

JPY 2,600,000,000

JPY 130,980,000,000

CHF Total

CHF 0

AUD Total

A$ 162,200,000

A$ 487,330,000

Updated Daily at 21:05:00 Chicago Time

Industry Links

Contacts

North America
Jack Callahan
Executive Director, OTC Products
312 454 8312

Steve Dayon
Executive Director, OTC Product Management
312 466 4447

Europe
Jonathan Boyd
Director, Client Development & Sales, Banks
+44 20 3379 3726

Asia
Way Yee Bay
Executive Director, Client Development & Sales, Banks
+65 6593 5560

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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Phone: +1 312 930 2316
Toll Free: +1 800 331 3332
E-mail: info@cmegroup.com

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Tenor (Years)	Volume	Open Interest
0-2	$0	$29,405,671,000
2-5	$12,000,000	$72,231,214,000
5-8	$4,500,000	$24,563,950,000
8-11	$16,000,000	$46,140,115,000
11-16	$0	$476,200,000
16-21	$0	$2,286,100,000
21-26	$0	$235,000,000
26-31	$5,500,000	$22,535,150,000
31-41	$0	$0
41+	$0	$0
USD Total	$38,000,000	$197,873,400,000
Updated Daily at 21:05:00 Chicago Time

Tenor (Years)	Volume	Open Interest
0-2	€ 0	€ 4,203,350,000
2-5	€ 0	€ 12,020,703,000
5-8	€ 33,700,000	€ 971,200,000
8-11	€ 64,500,000	€ 21,300,870,000
11-16	€ 106,500,000	€ 106,500,000
16-21	€ 68,000,000	€ 588,510,000
21-26	€ 0	€ 7,000,000
26-31	€ 88,900,000	€ 1,237,190,000
31-41	€ 0	€ 60,600,000
41+	€ 0	€ 0
EUR Total	€ 361,600,000	€ 40,495,923,000
Updated Daily at 21:05:00 Chicago Time

Tenor (Years)	Volume	Open Interest
0-2	£ 0	£ 2,089,000,000
2-5	£ 4,500,000	£ 1,215,100,000
5-8	£ 0	£ 84,000,000
8-11	£ 0	£ 3,376,500,000
11-16	£ 0	£ 73,200,000
16-21	£ 0	£ 47,800,000
21-26	£ 0	£ 0
26-31	£ 500,000	£ 279,000,000
31-41	£ 0	£ 0
41+	£ 0	£ 0
GBP Total	£ 5,000,000	£ 7,164,600,000
Updated Daily at 21:05:00 Chicago Time

Tenor (Years)	Volume	Open Interest
0-2	$0	$218,300,000
2-5	$7,000,000	$2,870,000,000
5-8	$0	$1,587,400,000
8-11	$0	$1,164,000,000
11-16	$0	$299,600,000
16-21	$0	$6,200,000
21-26	$0	$0
26-31	$0	$109,090,000
CAD Total	$7,000,000	$6,254,590,000
Updated Daily at 21:05:00 Chicago Time

Tenor (Years)	Volume	Open Interest
0-2	¥ 0	¥ 0
2-5	¥ 1,600,000,000	¥ 1,600,000,000
5-8	¥ 0	¥ 0
8-11	¥ 0	¥ 128,380,000,000
11-16	¥ 0	¥ 0
16-21	¥ 0	¥ 0
21-26	¥ 0	¥ 0
26-31	¥ 1,000,000,000	¥ 1,000,000,000
JPY Total	¥ 2,600,000,000	¥ 130,980,000,000
Updated Daily at 21:05:00 Chicago Time