OTC/IRS data contains the daily curve data generated for cleared Interest Rate Swaps.
CME Clearing independently generates valuation curves for all currencies in the cleared OTC IRS products offering. These valuation curves are used in both the initial margin and settlement variation (e.g., variation margin) calculations.
For curve construction, CME Clearing uses input instruments based on market feedback, liquidity analysis and quote availability. Inputs are reviewed periodically, which is designed to ensure that CME Clearing’s valuation curves reflect changes in the market standard specific to each currency. A typical combination of instruments is the deposit rate on the short end, followed by futures or FRAs, and finally swaps on the long end of the curve.
CME Clearing sources quotes from multiple data providers. The quotes are then validated against one another and blended together to derive inputs that are used in curve generation.
For more information: https://www.cmegroup.com/trading/interest-rates/cleared-otc.html
Contents
| Table of Contents | ||||||
|---|---|---|---|---|---|---|
|
| Child pages (Children Display) | ||
|---|---|---|
|
Dates Available
OTC/IRS Data is available going back to September 1st, 2015.
| File | Start Date | End Date |
|---|---|---|
OTC IRS History | 9/1/2015 | Present |
FAQ
| Expand | ||
|---|---|---|
| ||
What format is the file delivered in? Data is .CSV format. Are files compressed? The files are compressed in .gz format. What is the average daily file size? United States dollar is around 800 KB a day. All other currencies range from 300-800 KB daily. |
| Expand | ||
|---|---|---|
| ||
How many files are available per day? OTC/IRS data will produce 1 daily file for each of the 24 currencies. A subscriber to all Currencies will receive 24 daily files. Do you have sample files available? Yes, see Sample Files section above. Are there any anomalies in the the data? There are no known anomalies. |
| Expand | ||||
|---|---|---|---|---|
| ||||
When are these files delivered?
If I purchase daily updates of these datasets, will I get historical data as well? No, customers need to subscribe to daily updates and purchase Historical data separately. |
| Expand | |||||||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| |||||||||||||||||||||||||||||||||||||||||||||
What does the data represent? CME Clearing independently generates valuation curves for all currencies in the cleared How is the data computed? Bootstrapping a curve is the process of implying zero rates from the market quotes of How large are these files? United States dollar is around 800 KB a day. All other currencies range from 300-800 KB daily. How is the data structured?
|