Chilean Peso (CLP), Colombian Peso (COP) and Chinese Yuan (CNY)

    Now Clearing: Chilean Peso, Colombian Peso, Chinese Yuan

Since 2014, cost pressures have continued to mount in the bilateral swap market and voluntary clearing of OTC products has increased. Interest rate swap clearing in G4 currencies has increased 80%, while clearing in the 17 currencies outside of the G4 has soared 238% across the industry.

In response, last year CME Group launched rate swap clearing in Korean Won Interest Rate Swaps (IRS) and Indian Rupee Overnight Index Swaps (OIS), which was our most successful OTC launch ever. Based on strong client demand, on May 21 we launched 3 additional currencies of swaps: Chilean Peso (CLP)Colombian Peso (COP) and Chinese Yuan (CNY). Chilean Peso and Colombian Peso have already seen their first trades cleared.

Chilean Peso Interest Rate Swap and Zero Coupon Swap

Product Type Interest Rate Swap, Zero Coupon Swap
Maximum Maturity 20 Years
Floating Rate Index CLP-TNA (Indice Cámara Promedio)
Settlement Currency USD
Price Alignment Rate Fed Funds Overnight Rate
Variation Margin, Coupons and Fees USD
Holiday Calendar Santiago (CLSA) and New York (USNY)
Settlement & Business Day Convention USD will be settled on a next day (T+1) basis.  Default will be ACT/360
FX Rate CLP.DOLAR.OBS/CLP10

Colombian Peso Overnight Index Swap

Product Type Overnight Index Swap
Maximum Maturity 20 Years
Floating Rate Index COP-IBR-OIS-COMPOUND
Settlement Currency USD
Price Alignment Rate Fed Funds Overnight Rate
Variation Margin, Coupons and Fees USD
Holiday Calendar Bogotá (COBO) and New York (USNY)
Settlement & Business Day Convention USD will be settled on a next day (T+1) basis.  Default will be ACT/360
FX Rate COP.TRM/COP02

Chinese Yuan Interest Rate Swap

Product Type Interest Rate Swap
Maximum Maturity 10 Years
Floating Rate Index CNY-CNREPOFIX=CFXS-Reuters
Settlement Currency USD
Price Alignment Rate Fed Funds Overnight Rate
Variation Margin, Coupons and Fees USD
Holiday Calendar Beijing (CNBE) and New York (USNY)
Settlement & Business Day Convention USD will be settled on a next day (T+1) basis.  Default will be ACT/365 fixed
FX Rate CNY.SAEC (CNY01)

* Subject to regulatory approval


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