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

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Dates Available

OTC/IRS Data is available going back to September 1st, 2015. 

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