Cleared OTC Interest Rate Swaps
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Supported Products
Download Product Scope| 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 | |||
| Swaptions | ||||
| USD (≤ 2 years expiry) | 30 years | |||
12/01/2021 volume includes approximately GBP 78.05B from multilateral compression and resulted in GBP 78.05B in OI reduction.
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