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 | |||||||||
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 | GBP* | 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 |