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Inflation Swaps

Inflation Swaps

Eurex Clearing continuously integrates products and services, such as Zero-Coupon Inflation Swaps, to provide greater, sustainable capital and operational efficiencies.

Zero-Coupon Inflation Swaps

Meeting the market needs for the clearing of Zero-Coupon Inflation Swaps, Eurex Clearing introduced products on the most liquid indices: European HIPxT, French CPIx and UK RPI. 

Product typeZero-Coupon Inflation Swap
Underlyings

HICPxT (Eurozone)

FRCPI (France)

UKRPI (UK)

Start dates

Spot starting (EUR/French: T+2, UK: T+0)

Past starting (for novated trades)

Max. maturities

UKRPI: 50Y

HICPxT / FRCPIx: 30Y

Indexing lags2-12 whole months
Index levelsMonthly and daily interpolation
Market data

Par-swap rates (Member quoted via Bloomberg, Reuters intra-day, Backup via Broker Quotes)
Seasonality (Member quoted via Bloomberg, Reuters, Backup via historic values)
Official inflation index values via Bloomberg