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, MSCI ESG Screened [NEW]
  • 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, MSCI ESG Screened 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 120+ European Single Names and 25 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.

Credit Index Options ("CIO")

Covering both inter-dealer and client flows, CDSClear is offering the industry’s first and leading CIO clearing service. The service enables market participants to clear one-month, two-month and three-month swaptions on these underlying indices:

   iTraxx Europe Indices

           - iTraxx Main 5Y OTR and OTR-1 Series

           - iTraxx Crossover 5Y OTR and OTR-1 Series

   CDX.NA Indices

           - CDX.IG 5YR OTR and OTR-1 Series

           - CDX.HY OTR and OTR-1 Series

 

Key Benefits

Capital Reduction: Facing the CCP lowers the capital risk weighting compared to facing a bank or clearing broker. Multilateral netting also reduces gross bilateral counterparty exposures down to a single net exposure to the CCP.

Margin Offsets: Swaptions and the delta on the underlying index can now be cleared together, enabling market participants to manage their cleared versus bilateral IM more efficiently, and realise offsets up to 90% for delta hedged options.

Operational Risk Reduction: Multilateral netting, the consolidation of multiple positions across a number of counterparties into a CCP net position, materially reduces operational risk by enabling a single expiry/exercise instruction per instrument. CDSClear Electronic Exercise Platform enables users to perform secure, anonymous exercise of cleared options in real time.

Please contact CDSClear@lch.com for further information.

 

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, MSCI ESG Screened Europe [NEW] 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