What We Clear

CDSClear offers clearing services in the broadest range of European and US CDS products available in the market today.

  • iTraxx Europe Indices – Main, CrossOver, Senior Financials, Subordinated Financials
  • CDX North American Indices – IG and HY Indices
  • Single Names – Constituent names of the above indices* – Including Single Names referencing Banks/Clearing Members**
  • Credit Index Options - Industry first covering both inter-dealer and clients flows
  • Portfolio margining across all Indices, Single Names and Options
  • NEW! Index Arbitrage strategies across iTraxx Main, Crossover, Senior Financials, Subordinated Financials, Main Non-Financials and CDX IG indices and their Single Name constituents

 

Please click here for a complete list of CDS products cleared

*Please refer to the above Product Eligibility file for the exact list of Single Names eligible

**Self-referencing transactions are not allowed, however Clients may clear Single Name CDS referencing their Clearing Broker

European and US Products
Single Name CDS

CDSClear members can clear any of the 500+ Single Name CDS contracts that reference the constituent names in the various CDS indices that we clear.

This includes bank Single Names and contracts referencing CDSClear Clearing Members. Self-referencing Single Name CDS transactions are not permitted to be cleared.

CDSClear offers clearing services on 117 European Single Names and 16 North American Single Names that are only available for clearing at our CCP.

CDSClear is also the only European CCP that offers clearing services on all of the constituent banks of the iTraxx Senior Financials and Subordinated Financials indices.

Euro-denominated European Single Name contracts pay coupons of 25 basis points, 100 basis points, 300 basis points or 500 basis points, depending on the reference entity.

US Dollar-denominated US Single Name contracts pay coupons of either 100 basis points or 500 basis points, depending on the reference entity, as per the terms of the Standard North American Contract.

Index Basis Packages

CDSClear is uniquely positioned with its product coverage to clear index basis packages (index arbitrage) across iTraxx Main, Crossover, Senior Financials, Subordinated Financials, Main Non-Financials and CDX IG indices and their Single Name constituents.

Full margin offsets now granted between index basis packages following recent margin framework changes delivering significant margin savings to market participants.

Example (as of 20 Feb 2020):

 

iTraxx Crossover 5Y

Total IM (IM as % of notional)

Index portion cleared with Single Name portion processed bilaterally

6.23%

Cleared as Index Basis Package

1.86%

Margining benefits will apply the day after the full package has been received by CDSClear and the package completeness validated.

Please contact the Relationship Management team for further information – CDSClear@lch.com