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 is trading over $6 trillion in notional per day in 2017
  • Unparalleled capital efficiencies via margin offsets of IRS positions against Eurodollar and Treasury Futures with savings up to 90%
  • Real-time clearing, 24 hours a day, five days a week regardless of your time zone

Onboard Today

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
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  

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    12/01/2021 volume includes approximately GBP 78.05B from multilateral compression and resulted in GBP 78.05B in OI reduction.