Cleared Interest Rate Swaptions

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Nine Participants Have now Cleared Swaptions at CME

With strong support from buy- and sell-side market participants, CME Group launched interest rate swaptions on April 11. The initial product scope includes U.S. dollar-denominated interest rate swaptions with European-style exercise, a maximum 2-year option expiry and a maximum underlying swap tenor of 30 years.

CME now has seven approved swaptions clearing members with five already live for providing liquidity and more coming.  We continue working with buyside clients, liquidity providers and clearing members to provide the greatest margin, counterparty and capital efficiencies in swap clearing.

Clearing Swaptions Amplifies our Unparalleled Capital Efficiencies

  • Voluntary clearing allows market participants the flexibility to reduce the risk of their cleared IRS portfolios

  • Margin offsets of up to 91% possible with cleared IRS when included in swap portfolios

  • Portfolio margining with our cleared IRS and Eurodollar, Treasury, and MAC Swap Futures

  • Reduces bilateral counterparty credit risk and frees up credit lines

  • Improves Capital Ratios, lowering capital charges that could ultimately be passed on to end users