Cleared OTC Interest Rate Swaps

First Multilateral Compression Cycle Amounts to $2.2T in Tear-Ups Real opportunities with 19th IRS Currency MXN IRS ADV Surges in Q3 - growing 54% since last quarter Compression via Coupon Blending

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 traded $3.1 trillion in notional per day in 2013
  • 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
  • NEW Deliverable 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

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)
  • Swaptions, Caps, Floors and Cross Currency Swaps


Download Product Scope (XLS)

Cleared Mexican Peso

OTC IRS BRL Overview



Portfolio Margining

Research Reports


Swap Execution Facilities (SEF)


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

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

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