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 has achieved record volume levels in 2022 and 2023
  • Unparalleled capital efficiencies via margin offsets of IRS positions against CME Group's suite of listed interest rate futures and options with savings of 100% achievable
  • Real-time clearing, 24 hours a day, five days a week regardless of your time zone

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CONVERSION PLAN

 

Cleared MXN 28D TIIE swaps transition

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.

Access the plan and resources

Highlights

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