We have created a best-in-class global clearing solution covering 24 currencies of interest rate swaps, including our market leading emerging market currencies.
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.
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 |