Service Navigation

Interest Rate Swaps

Interest Rate Swaps

Product Overview

With Eurex Clearing, OTC market participants have the chance to mitigate counterparty risk and simultaneously benefit from seamless transaction management. 

Are you into listed products? Try our Interest Rate Swaps offer.

With the regulation moving forward our Euro-Swap Futures and LDX IRS Constant Maturity Futures meet the market’s needs, as they combine the economic exposure of an Interest Rate Swap with the margin efficiency of a standardized and centrally cleared futures contract.

 

With an overall collateral pool of EUR 51 billion, our stress-tested lines of defense and with over 150 Clearing Members from 16 countries, Eurex Clearing provides the perfect solution for OTC interest rate swaps and, as a next phase, OTC equities businesses.

Interest Rate Swaps

Meeting the market needs for the clearing of OTC transactions, in reduced counterparty risk, margin and collateral efficiencies, client asset segregation and legal certainty, EurexOTC Clear's offering is broad and encompassing and will initially include clearing for the following standardized interest rate derivatives in EUR, USD, GBP, JPY and CHF:

  • Single currency interest rate swaps (IRS)
  • Forward rate agreements (FRA)
  • Overnight index swap (OIS)*
  • Single currency basis swaps
  • Zero Coupon swaps
  • Compounding - flat and straight (for IRS and basis swaps)
  • Spot and forward starts
  • Front and back stubs (for IRS and OIS)
  • Linear interpolation of stub periods
  • Negative interest rates
  • Variable notional - Amortizing and roller coaster (for IRS and basis swaps)
  • Variable index spread on floating rates that can differ period per period (IRS and basis swaps)
  • Fixed coupon rates that can differ period per period (IRS and basis swaps)
  • IMM roll dates

Eurex Clearing will support transactions under ISDA® 2000/2006 and German Master agreements accepting standard swaps and forward rate agreement with standard daycount and business day conventions, fee legs, constant notionals, front or back stubs and floating rate indexes for each currency.


IRS outlook

For futures releases, the following are under consideration:

• Additional currencies: SEK, NOK, DKK, PLN, CAD, AUD and SGD
• Additional types: cross currency swaps, swaptions, caps, floors, constant maturity swaps and in-arrears swaps

*for currencies to be implemented in the future.