We have created a best-in-class global clearing solution covering 24 currencies of interest rate swaps, including our market leading emerging market currencies.
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 | |||||||||
SGD | SOR-VWAP | |||||||||
HUF | BUBOR | |||||||||
CZK | PRIBOR | |||||||||
PLN | WIBOR | |||||||||
ZAR | JIBAR | |||||||||
CNY | CNY-CNREPOFIX=CFXS-Reuters | |||||||||
USD | BSBY |
Zero Coupon Swaps | ||||
---|---|---|---|---|
USD | EUR | GBP | 51 years | |||
CLP | 20 years | |||
BSBY | 11 years | |||
BRL | 10 years | |||
Overnight Index Swap (OIS) | ||||
USD | 51 years | |||
SOFR | ||||
GBP | ||||
€STR | ||||
AUD | 31 years | |||
CAD | ||||
JPY | ||||
CHF | ||||
SGD | 21 years | |||
COP | 20 years | |||
INR | 10 years | |||
Basis Swaps | ||||
USD | EUR | 51 years | |||
Fed Funds vs. ICE LIBOR (USD) | ||||
SOFR vs. Fed Funds | ||||
SOFR vs. ICE LIBOR | ||||
€STR vs. EURIBOR | ||||
AUD | 31 years | |||
BSBY vs. SOFR | 11 years | |||
Forward Rate Agreements (FRA) | ||||
USD* | EUR | AUD | CAD | 3 Days – 3 Years | |||
NZD | PLN | SEK | SGD | ZAR | ||||
CZK | DKK | HUF | NOK | SGD | 3 Days – 2 Years | |||
HKD | 3 Days – 2 Years |
* CME supports USD FRAs with an Effective Date up to and including June 30, 2023.
06/01/2023 volume includes approximately COP 336.1T from multilateral compression and resulted in COP 336.1T in OI reduction.