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.

With an overall collateral pool of EUR 55 billion, our stress-tested lines of defense and with over 200 Clearing Members from 19 countries, Eurex Clearing provides the perfect solution for OTC interest rate swaps.

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 encompasses interest rate derivatives in EUR, USD, GBP, JPY, CHF,  SEK, NOK, DKK and PLN.

Please be informed that Eurex Clearing supports all master agreement types (i.e. ISDA, DRV, AFB/FBF, EMA, "Österreichischer Rahmenvertrag für Finanztermingeschäfte", etc.) for original OTC Interest Rate Derivative Transactions, original XCCY Transactions and original Swap Transactions since 17 February 2017. We validate if the field on the source of specifications (i.e. the field "Contractual Definitions") applicable to the submitted transaction in the trade record submitted by the respective ATS specifies any of the following as the source of specifications applicable to the original transaction:

  • The contractual definitions issued by ISDA (in particular, the 2000 ISDA Definitions and the 2006 ISDA Definitions),
  • The German Master Agreement for Financial Derivatives Transactions ("Rahmenvertrag für Finanztermingeschäfte", the "DRV") or
  • The AFB/FBF Master Agreement.

If the field containing the source of specifications applicable to the original transaction is left blank, Eurex Clearing will accept original transactions that are submitted as based on any of the following master agreements: an ISDA Master Agreement, the 2017 ISDA/FIA Clearing Derivatives Execution Agreement, the 2006 Definitions, the DRV or the AFB/FBF Master Agreement. More details can be found in Eurex Clearing Circular 008/20.

The detailed product level eligibility can be found on the Member Section under Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear > System documentation, or alternatively in Chapter VIII Part 2 of the Clearing Conditions of Eurex Clearing AG.

As required by CFTC Rule 39.21(c)(8), Eurex Clearing AG identifies that it clears the following interest rate swaps listed in the Tables of CFTC Rule 50.4, which fall under the CFTC’s mandatory clearing requirement:

  • Fixed-to-floating : EUR, NOK, PLN*, SEK, CHF, GBP, USD, JPY (Tables 1a & 1b)
  • Basis: AUD, EUR, GBP, USD, JPY (Table 2)
  • Forward rate agreement: EUR, PLN*, NOK, SEK, GBP, USD, JPY, FRA (Table 3)
  • Overnight index: EUR, GBP, USD (Table 4)

* For avoidance of doubt, PLN-denominated swaps are not offered under Eurex Clearing's LSOC model.

Try our Interest Rate Swaps offer.

With the regulation moving forward our Euro-Swap 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.
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