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Interest Rate Swaps

What is an Interest Rate Swap (IRS)?

An IRS is a popular and highly liquid financial derivatives instrument in which two parties agree to, based on a specified notional amount, exchange cash flows derived from the differential between a fixed rate and a floating rate, or two different floating rates. Interest rate swaps are commonly used for both hedging and speculating.

IRS can come in a huge number of varieties and can be structured to meet the specific needs of the counterparties. For example, the notional of the swap could be amortised over time or the reset dates of the floating rate could be irregular, etc.

OTC Clear IRS Product Coverage

OTC Clear is the pioneer introducing CNY non-deliverable interest rate swaps (CNY 7-Day Repo) and offshore CNY interest rate swaps for clearing. Together with CNY swaps, OTC Clear also offers clearing services for the popular IRS products traded in USD, EUR and HKD and non-deliverable interest rate swaps for a number of Asian currencies, including INR, KRW, THB and TWD. A summary of clearable IRS products is listed below and the details of product eligibility requirements can be found in the OTC Clear Clearing Procedures. 

Instrument Currencies Floating Rate Option Maximum Tenor Designated Maturity
Original Standard Rates Derivatives Transactions Single currency interest rate swaps USD USD-LIBOR-BBA 10 years One month,
three months,
six months and one year
EUR EUR-EURIBOR-Reuters 10 years One month,
three months,
six months and one year
EUR-LIBOR-BBA
HKD HKD-HIBOR-HKAB 15 years One month,
three months,
six months and one year
CNY (offshore) CNY-SHIBOR-Reuters 10 years One month,
three months,
six months and one year
CNH-HIBOR-TMA
Single currency basis swaps USD USD-LIBOR-BBA 10 years One month,
three months,
six months and one year
EUR EUR-EURIBOR-Reuters 10 years One month,
three months,
six months and one year
EUR-LIBOR-BBA
HKD HKD-HIBOR-HKAB 15 years One month,
three months,
six months and one year
Original Non Deliverable Rates Derivatives Transactions Non-deliverable interest rate swaps CNY CNY-CNREPOFIX=CFXS-Reuters 5 years Not Applicable
INR INR-MIBOR-OIS-COMPOUND 10 years Not Applicable
INR-FBIL-MIBOR-OIS-COMPOUND
KRW KRW-CD-KSDA-Bloomberg 10 years Three months
KRW-CD-3220
THB THB-THBFIX-Reuters 10 years Six months
TWD TWD-TAIBOR-Reuters 10 years Three months

 


Updated 30 Apr 2018

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