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CDS

Clearing the Way for European Credit Markets

Launched in July 2009, ICE Clear Europe's CDS clearing operations serve the European credit default swap (CDS) markets. Managed separately from energy clearing, ICE Clear Europe's CDS clearing operations maintain a distinct clearing function, rulebook, membership and risk management model for European CDS instruments.

  • Dynamic CDS clearing framework, providing same day clearing and reliable end-of-day pricing
  • Capital efficiencies through leading sophisticated risk model
  • Oversight and Recognised Clearing House by the Bank of England and a Derivatives Clearing Organisation in the U.S. under the CFTC, as well as oversight by the Securities and Exchange Commission
ICE Clear Europe

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The Global Leader in Cleared CDS Volume

ICE CDS Clearing*ICE Clear Credit**ICE Clear Europe***
IndexCorporate Single NamesSovereign Single NamesIndex OptionsIndexCorporate Single NamesSovereign Single NamesTotal
Instruments/Reference Entities**** 181 538 392,4781452007 3,236
Number of Trades Cleared2,638,885 1,570,756 436,750 316 784,590 886,992 37,3036,355,592
Gross Notional Cleared (trillion)$123.319 $7.599$4.165$0.073€ 28.333€ 4.002 € 0.726 $174.086
Buy-side Notional Cleared (trillion)$83.915$2.033$1.159$0.023€ 2.756€ 0.063 € 0.009 $90.357
Open Interest (trillion)$0.952$0.404$0.185$0.009€ 0.217€ 0.152€ 0.038 $1.979
Clearing Members292857

*Comprehensive data from launch through July 1, 2022. CDS clearing began at ICE Clear Credit (formerly ICE Trust) in March 2009 and at ICE Clear Europe in July 2009. **Indices include North American, European (iTraxx) and Emerging Market (CDX) instruments. Corporate single names include both North American and European instruments. All indices and single names are available for both client and dealer-dealer clearing. ***Indices include North American and European (iTraxx) instruments. All indices are available for both client and dealer-dealer clearing. ****Instruments for indices/index options; Reference Entities for single names.

Note: Because many instruments are listed for clearing at both ICE Clear Credit and ICE Clear Europe, the total instruments cleared is less than the sum of each column.

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CDS Tools & Resources

Client Clearing Overview

Margin Calculator

Client Clearing Onboarding

Portfolio Margining

From October 2013, ICE Clear Europe will offer significant capital efficiency benefits by providing portfolio margining for European CDS positions with respect to both clearing member house/proprietary transactions, as well as client business.

At ICE Clear Europe, index and single name CDS are held in one account and portfolio margining allows market participants to save capital by offering margin offsets between index and single name CDS while maintaining strong risk management practices.

ICE Clear Europe's portfolio margined customer account:

  • Allows ICE Clear Europe broker dealer / clearing members to benefit from ICE's portfolio margining methodology in respect of customer-related positions for both index and corporate single name CDS
  • Uses ICE's Decomposition Margin Methodology to calculate margin for the customer account pursuant to a portfolio margining program approved by regulators

Volume, OI & Settlement Pricing

Volume & OI

Settlement Pricing

Distinct pricing structure arrangements which include specific annual caps and floors on the total fees to be paid annually for all CDS clearing at ICEU and ICE Clear Credit are available to CDS Clearing Members. Further details are available to CDS Clearing Members upon request.