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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, we are planning the introduction of our new product on the most liquid indices: European HIPxT, French CPIx and UK RPI.  The launch date is 3 August 2015. Simulation for this new asset classes has been offered since April 2015.

There will be a Booking and Maintenance Clearing fee waiver to all Clearing Members and Registered Customers for ZCIS from 3 August 2015 to 30 June 2016 - no cost of entry for EurexOTC Clear Clearing Members to clear inflation swaps - no annual fixed fee.

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

Inflation Swaps will be added to the fixed income liquidation group (together with our Interest Rate Swaps) and we are planning to primarily use Member quoted prices for valuation and risk management.