Cleared OTC Interest Rate Swaps
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PORTFOLIO MARGINING
$9B in daily savings
Cross-margining our leading liquidity pool for USD Interest Rates futures and options with OTC swaps unlocks unparalleled capital efficiencies. Find out why this program is being utilized at record levels for strategies like invoice swap spreads and more.
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 | |||||||||
| CAD* | CDOR | |||||||||
| 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 | |||||||||
*Clearing support will be limited 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 unless stated otherwise in the CME rulebook.
| Zero Coupon Swaps | ||||
|---|---|---|---|---|
| USD* | EUR | 51 years | |||
| CLP | 20 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 | |||
OTC IRS Market Data
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