OTC IRS Curves

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

Other Datasets

Resources

Dates Available

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

File	Start Date	End Date

File	Start Date	End Date
OTC IRS History	9/1/2015	Present

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Sample Files

Dataset	Sample File (.CSV)

Dataset	Sample File (.CSV)
OTC IRS Curves (MXN)	4/5/2022

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FAQ

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.

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.

When are these files delivered?

File	File Delivery Time

File	File Delivery Time
OTC / IRS Data	~ 7:00 PM CST

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.

What does the data represent?

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.

How is the data computed?

Bootstrapping a curve is the process of implying zero rates from the market quotes of
input instruments. Interpolation is an essential part of curve generation and is used to
generate daily zero rates along the entire term structure.
An appropriate bootstrapping algorithm and interpolation scheme are selected to
provide for accurate repricing of input instruments and compliance with general term
structure expectations.

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?

Column	Field Name	Description	Example Value	Supported Value

Column	Field Name	Description	Example Value	Supported Value
A	Trade Date	Date curve was published	20211011	YYYYMMDD
B	Exchange Code	Exchange associated with the curve	XCME	XCME
C	Currency	Fiat that the curve is associated with	USD
D	Description	Currency, Rate Index and Index Tenor of the curve	USD-SOFR-1D	String
E	Offset Date	Trade date plus offset represented as an integer	20211012	YYYYMMDD
F	Offset	The futures date of the associated curve with the discount factor	3	String
G	Discount factor	Factor by which a future cash flow can be translated into present value terms.	0.999998	#.######
H	Underlying point	‘Y’ implies that the Offset matches one of the inputs on the curve. ‘N’ implies that the value is derived via interpolation.	Y/N	String

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