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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-BBA 11 years One month,  three months,  six months and one year
USD-SOFR-COMPOUND 11 years Not Applicable
USD-Federal Funds-H.15-OIS-COMPOUND
EUR

EUR-EURIBOR-Reuters 11 years One month,  three months,  six months and one year
EUR-LIBOR-BBA
EUR-EuroSTR-COMPOUND 11 years Not Applicable
HKD

HKD-HIBOR-HKAB

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

USD-LIBOR-BBA

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

(a) USD-SOFR-COMPOUND vs

(b)USD-Federal Funds-H.15-OIS-COMPOUND

11 years

(a) & (b): Not Applicable

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

(a) USD-SOFR-COMPOUND vs

(c) USD-LIBOR-BBA

EUR

EUR-EURIBOR-Reuters 11 years One month,  three months,  six months and one year
EUR-LIBOR-BBA

(a) EUR-EuroSTR-COMPOUND vs

(b) EUR-EURIBOR-Reuters

11 years (a): Not Applicable

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

(b) EUR-EURIBOR-Reuters vs

(c) EUR-LIBOR-BBA

HKD

HKD-HIBOR-HKAB

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

(a) HKD-HONIX-OIS-COMPOUND vs

(b) HKD-HIBOR-HKAB

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-CNREPOFIX=CFXS-Reuters 5.5 years Not Applicable
INR INR-MIBOR-OIS-COMPOUND 11 years Not Applicable
INR-FBIL-MIBOR-OIS-COMPOUND
KRW KRW-CD-KSDA-Bloomberg 11 years Three months
KRW-CD-3220
THB THB-THBFIX-Reuters 11 years Six months
TWD TWD-TAIBOR-Reuters 11 years Three months

Updated 06 Jul 2020