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 has achieved record volume levels in 2022 and 2023
  • Unparalleled capital efficiencies via margin offsets of IRS positions against CME Group's suite of listed interest rate futures and options with savings of 100% achievable
  • Real-time clearing, 24 hours a day, five days a week regardless of your time zone

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CONVERSION PLAN

 

Cleared MXN 28D TIIE swaps transition

As a part of the global transition to risk-free rates, Mexico will be transitioning from 28D TIIE to the TIIE de Fondeo, or F-TIIE, for its benchmark interest rate. CME Group is working to help facilitate this transition for cleared swaps.

Access the plan and resources

Highlights

Fixed/Float
Currency
Tenor Years Index Months
 
  10 11 15 21 31 51 1 3 6  
USD*         ICE LIBOR
EUR         EURIBOR
GBP*         ICE LIBOR
CAD*           CDOR
JPY*           ICE LIBOR
CHF*           ICE LIBOR
AUD           BBR
SEK           STIBOR
DKK           CIBOR
NOK           NIBOR
MXN     28d     TIIE-BANXICO
KRW           KRW-CD-KSDA- BBG
CLP           CLP-TNA (Indice Cámara Promedio)
NZD           BBR
HKD           HIBOR
HUF           BUBOR
CZK           PRIBOR
PLN           WIBOR
ZAR           JIBAR
CNY           CNY-CNREPOFIX=CFXS-Reuters
USD**           BSBY

* Clearing support will be limited to spot and forward trades for swap products where an index cessation or modification effective date has occurred. Any IBOR indexed swaps submitted for clearing will be converted to a corresponding risk free rate (RFR) swap.
** Effective from July 13, 2024, clearing support for USD BSBY will be limited to swaps only with fixings prior to the November 15, 2024 cessation date.

 

Zero Coupon Swaps
USD* | EUR | GBP* 51 years
CLP 20 years  
BSBY** 11 years  
BRL 10 years  
Overnight Index Swap (OIS)
USD - Fed Funds 51 years
USD - SOFR
GBP - SONIA
EUR - €STR
AUD - AONIA 31 years  
CAD - CORRA
JPY - TONA
CHF - SARON
MXN – Funding TIIE
SGD - SORA 21 years  
COP - IBR 20 years  
INR - MIBOR 10 years  
Basis Swaps
EUR 51 years
SOFR vs. Fed Funds
€STR vs. EURIBOR
AUD 31 years  
Forward Rate Agreements (FRA)
EUR | AUD 3 Days – 3 Years  
NZD | PLN | SEK | ZAR
CZK | DKK | HUF | NOK | HKD 3 Days – 2 Years