CDS (Credit Default Swap) Clearing

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

The Global Leader in Cleared CDS Volume

ICE CDS Clearing* ICE Clear Credit** ICE Clear Europe***  
  Index Corporate Single Names Sovereign Single Names Index Corporate Single Names Sovereign Single Names Total****
Instruments 173 482 36 144 199 7 691
Number of Trades Cleared 1,859,014 1,162,306 294,613 635,130 804,805 30,842 4,786,710
Gross Notional Cleared $83.5 trillion $5.89 trillion $2.92 trillion €22.6 trillion €3.66 trillion $632 billion $126 trillion
Buy-side Notional Cleared $51.1 trillion $1.07 trillion $600 billion €1.18 trillion €48.4 billion $7.64 billion $54.2 trillion
Open Interest $758 billion $341 billion $196 billion €226 billion €172 billion $55.5 billion $1.79 trillion
Clearing Members 29 30 59

* Comprehensive data from launch through November 8, 2019. 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.
**** 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.

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