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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 Residual Term Designated Maturity
Original Standard Rates Derivatives Transactions Single currency interest rate swaps USD USD-LIBOR 16 years One month,  three months,  six months and one year
USD-SOFR-OIS Compound 16 years Not Applicable
USD-Federal Funds-OIS Compound
EUR

 

EUR-EURIBOR

 

11 years One month,  three months,  six months and one year
EUR-EuroSTR-OIS Compound
11 years Not Applicable
HKD

HKD-HIBOR

16 years One month,  three months,  six months and one year
HKD-HONIA-OIS Compound 16 years Not Applicable
CNY(offshore) CNY-SHIBOR 11 years One month,  three months,  six months and one year
CNH-HIBOR 11 years One month,  three months,  six months and one year
Single currency basis swaps USD

USD-LIBOR

16 years One month,  three months,  six months and one year

(a) USD-SOFR-OIS Compound vs

(b)USD-Federal Funds-OIS Compound

16 years

(a) & (b): Not Applicable

(c): One month,  three months,  six months and one year

(a) USD-SOFR-OIS Compound vs

(c) USD-LIBOR

EUR

 

EUR-EURIBOR

 

11 years One month,  three months,  six months and one year

(a) EUR-EuroSTR-OIS Compound vs

(b) EUR-EURIBOR

 

11 years (a): Not Applicable

(b): One month,  three months,  six months and one year

HKD-HIBOR
HKD 16 years One month,  three months,  six months and one year

(a) HKD-HONIA-OIS Compound vs

(b) HKD-HIBOR

16 years

(a): Not Applicable

(b): One month,  three months,  six months and one year

Original Non Deliverable Rates Derivatives Transactions Non-deliverable interest rate swap CNY CNY-Fixing Repo Rate 5.5 years Not Applicable
INR INR-MIBOR-OIS-Compound 11 years Not Applicable
KRW-CD-91D
KRW 11 years Three months
THB-THBFIX
THB 11 years Six months
TWD TWD-TAIBOR 11 years Three months

^ Clearing services for single currency interest rate swaps and single currency basis swaps referencing EUR LIBOR have been suspended on 31 May 2021. Please refer to the circular.


Updated 06 Jul 2020