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iTraxx is Now Available in Production

iTraxx Main and iTraxx Crossover "Series 17 through 23" are available in production, along with our new margin model.

Cleared OTC CDS

CME Group has created a real-time, open access clearing solution for OTC Credit Default Swaps, in close collaboration with premier swap dealers, clearing firms, and buy-side participants.

Key Benefits

  • An economical fee structure that supports multi-FCM volume discounts
  • A true open-access architecture without dependency on a single platform for trade messaging
  • Integration of our straight-through-processing clearing model into the existing OTC market
  • Immediate cleared trade confirmation and settlement, leaving no window of credit exposure between bi-lateral counterparties
  • Flexibility to allocate transactions pre-or post-clearing to one or more clearing member

 

  • Time-tested regulatory and portability framework protects both customer positions and margins in the event of clearing member default
  • Margin risk framework which provides a more holistic model of the risk of a CDS portfolio comprised of a variety of index & single name products

 

View OTC CDS
Market Data

Product Offering

Resources

Cleared OTC CDS Product Slate

Product slate comprises the highest volume Markit CDX indices and their single-name constituents. They are designed to mirror bi-lateral OTC contracts with standardized fixed coupons as defined by ISDA, and adhere to ISDA DC resolutions.

Indices

CDX IG

  • Series 8-9: 10 year tenor
  • Series 10-13: 7 and 10 year tenors
  • Series 14-17: 5, 7 and 10 year tenors
  • Series 18-24: 3, 5, 7 and 10 year tenors

CDX HY

  • Series 14-24: 5 year tenor

Now Available

European iTraxx Main

  • Series 17-23: 3, 5, 7 & 10 year tenors

European iTraxx XO

  • Series 17-23: 5 year tenor

 

Cleared CDS Product Specifications

 

Overview

Onboarding

Tools

Swap Execution Facilities (SEF)

CDS Margining

 

Credit Default Swaps Information
 
 
 

Prices are % of par. Open Interest is the sum of the net notional outstanding per contract.
Volume is the sum of the notional for trades where both the buyer and seller agree to clearing the transaction. The figure is one sided.

Trade Date
Settlements, Volume & Open InterestAs of Clearing Date: 30-SEP-2014
Open Interest
Daily Volume
iTraxx Main Total
€13,953,953
€1,952,421
iTraxx Crossover Total
€22,231,952
€2,425,931
iTraxx Total
€36,185,905
€4,378,352
Indices
iTraxx Product Code
RED code Maturity Coupon Price Open Interest Daily Volume
ITX17.SR.MM.EUR
2I65BYCU7 2014 - Jun 45
0
$0
$0
ITX18.SR.MM.EUR
2I65BYCU7 2017 - Jun 60
100.2835123
€0
€0
ITX19.SR.MM.EUR
2I65BYCG8 2012 - Dec 60
0
€0
€0
ITX20.SR.MM.EUR
2I65BYCG8 2014 - Dec 70
100.1187581
€0
€0
ITX21.SR.MM.EUR
2I65BYCG8 2017 - Dec 80
100.6698165
€271,400,000
€0
Markit CDXIG10V4.SR.XR.USD
2I65BYCH6 2013 - Jun 155
0
€0
€0
Markit CDXIG10V4.SR.XR.USD
2I65BYCH6 2015 - Jun 150
100.9595356
€0
€0
Markit CDXIG10V4.SR.XR.USD
2I65BYCH6 2018 - Jun 150
103.1504943
€113,400,000
€0
Markit CDXIG11V2.SR.XR.USD
2I65BYCI4 2013 - Dec 150
0
€0
€0
Markit CDXIG11V2.SR.XR.USD
2I65BYCI4 2015 - Dec 145
101.5245617
€0
€0
Markit CDXIG11V2.SR.XR.USD
2I65BYCI4 2018 - Dec 140
102.9393434
€37,000,000
€0
Markit CDXIG12V2.SR.XR.USD
2I65BYCJ2 2012 - Jun 100
0
€0
€0
Markit CDXIG12V2.SR.XR.USD
2I65BYCJ2 2014 - Jun 100
0
€0
€0
Markit CDXIG12V2.SR.XR.USD
2I65BYCJ2 2016 - Jun 100
101.3409098
€0
€0
Markit CDXIG12V2.SR.XR.USD
2I65BYCJ2 2019 - Jun 100
101.5732992
€0
€0
Markit CDXIG13.SR.XR.USD
2I65BYBX2 2012 - Dec 100
0
€0
€0
Markit CDXIG13.SR.XR.USD
2I65BYBX2 2014 - Dec 100
100.2075214
€304,200,000
€0
Markit CDXIG13.SR.XR.USD
2I65BYBX2 2016 - Dec 100
101.6561803
€0
€0
Markit CDXIG13.SR.XR.USD
2I65BYBX2 2019 - Dec 100
101.5724382
€0
€0
Markit CDXIG14.SR.XR.USD
2I65BYCK9 2013 - Jun 100
0
€0
€0
Markit CDXIG14.SR.XR.USD
2I65BYCK9 2015 - Jun 100
100.6400692
€263,100,000
€0
Markit CDXIG14.SR.XR.USD
2I65BYCK9 2017 - Jun 100
101.8099488
€0
€0
Markit CDXIG14.SR.XR.USD
2I65BYCK9 2020 - Jun 100
101.2498509
€0
€0
Markit CDXIG15.SR.XR.USD
2I65BYCL7 2013 - Dec 100
0
€0
€0
Markit CDXIG15.SR.XR.USD
2I65BYCL7 2015 - Dec 100
101.0115560
€898,200,000
€0
Markit CDXIG15.SR.XR.USD
2I65BYCL7 2017 - Dec 100
101.9192008
€0
€0
Markit CDXIG15.SR.XR.USD
2I65BYCL7 2020 - Dec 100
101.0561867
€0
€0
Markit CDXIG16.SR.XR.USD
2I65BYCM5 2014 - Jun 100
0
€0
€0
Markit CDXIG16.SR.XR.USD
2I65BYCM5 2016 - Jun 100
101.3297293
€1,612,200,000
€0
Markit CDXIG16.SR.XR.USD
2I65BYCM5 2018 - Jun 100
101.9108203
€0
€0
Markit CDXIG16.SR.XR.USD
2I65BYCM5 2021 - Jun 100
100.8213288
€70,500,000
€0
Markit CDXIG17.SR.XR.USD
2I65BYCN3 2014 - Dec 100
100.2052096
€0
€0
Markit CDXIG17.SR.XR.USD
2I65BYCN3 2016 - Dec 100
101.5861033
€1,591,680,000
€0
Markit CDXIG17.SR.XR.USD
2I65BYCN3 2018 - Dec 100
101.8407919
€0
€0
Markit CDXIG17.SR.XR.USD
2I65BYCN3 2021 - Dec 100
100.6668986
€56,500,000
€0
Markit CDXIG18.SR.XR.USD
2I65BYCO1 2015 - Jun 100
100.6413224
€0
€0
Markit CDXIG18.SR.XR.USD
2I65BYCO1 2017 - Jun 100
101.7534026
€5,294,660,000
€0
Markit CDXIG18.SR.XR.USD
2I65BYCO1 2019 - Jun 100
101.7429679
€0
€0
Markit CDXIG18.SR.XR.USD
2I65BYCO1 2022 - Jun 100
100.4459935
€656,900,000
€0
Markit CDXIG19.SR.XR.USD
2I65BYCV5 2015 - Dec 100
101.0158724
€0
€0
Markit CDXIG19.SR.XR.USD
2I65BYCV5 2017 - Dec 100
101.8589403
€2,171,705,000
€0
Markit CDXIG19.SR.XR.USD
2I65BYCV5 2019 - Dec 100
101.5007617
€0
€0
Markit CDXIG19.SR.XR.USD
2I65BYCV5 2022 - Dec 100
100.1644433
€244,400,000
€0
Markit CDXIG20.SR.XR.USD
2I65BYCW3 2016 - Jun 100
101.3253556
€0
€0
Markit CDXIG20.SR.XR.USD
2I65BYCW3 2018 - Jun 100
101.8451109
€6,824,286,000
€0
Markit CDXIG20.SR.XR.USD
2I65BYCW3 2020 - Jun 100
101.2803254
€0
€0
Markit CDXIG20.SR.XR.USD
2I65BYCW3 2023 - Jun 100
99.8374943
€542,725,000
€500,000
Markit CDXIG21.SR.XR.USD
2I65BYCX1 2016 - Dec 100
101.5725894
€355,000,000
€0
Markit CDXIG21.SR.XR.USD
2I65BYCX1 2018 - Dec 100
101.7787551
€5,375,324,000
€0
Markit CDXIG21.SR.XR.USD
2I65BYCX1 2020 - Dec 100
101.0665632
€0
€0
Markit CDXIG21.SR.XR.USD
2I65BYCX1 2023 - Dec 100
99.6458735
€224,850,000
€0
Markit CDXIG22.SR.XR.USD
2I65BYCY9 2017 - Jun 100
101.7258897
€20,000,000
€0
Markit CDXIG22.SR.XR.USD
2I65BYCY9 2019 - Jun 100
101.6064527
€18,680,599,680
€2,777,675,000
Markit CDXIG22.SR.XR.USD
2I65BYCY9 2021 - Jun 100
100.7748441
€0
€0
Markit CDXIG22.SR.XR.USD
2I65BYCY9 2024 - Jun 100
99.3153046
€576,200,000
€61,600,000
iTraxx Total
 
€46,184,829,680
€2,839,775,000
iTraxx Crossover Product Code
RED code Maturity Coupon Price Open Interest Daily Volume
ITXXO17V2.SR.MM.EUR
2I65BRJF8 2013 - Dec 500
0
€0
€0
ITXXO18V2.SR.MM.EUR
2I65BRKB5 2014 - Jun 500
0
€0
€0
ITXXO19V2.SR.MM.EUR
2I65BRKC3 2014 - Dec 500
100.4861450
€120,000,000
€0
ITXXO20V2.SR.MM.EUR
2I65BRKD1 2015 - Jun 500
102.0358896
€117,772,000
€0
ITXXO21V2.SR.MM.EUR
2I65BRKE9 2015 - Dec 500
103.7550000
€130,150,000
€0
Markit CDXHY16V6.SR.XR.USD
2I65BRKF6 2016 - Jun 500
105.1279968
€239,462,000
€0
Markit CDXHY17V6.SR.XR.USD
2I65BRKG4 2016 - Dec 500
106.1200000
€796,750,000
€0
Markit CDXHY18V3.SR.XR.USD
2I65BRKH2 2017 - Jun 500
106.8244975
€480,250,000
€0
Markit CDXHY19V2.SR.XR.USD
2I65BRKI0 2017 - Dec 500
107.3350500
€1,077,955,000
€0
Markit CDXHY20V2.SR.XR.USD
2I65BRKJ8 2018 - Jun 500
107.3777593
€1,678,549,000
€0
Markit CDXHY21V2.SR.XR.USD
2I65BRKK5 2018 - Dec 500
106.8293328
€2,016,693,001
€0
Markit CDXHY22V2.SR.XR.USD
2I65BRKL3 2019 - Jun 500
105.9883612
€6,100,237,243
€1,734,060,700
iTraxx Crossover Total
 
€12,757,818,244
€1,734,060,700

Prices are % of par. Open Interest is the sum of the net notional outstanding per contract.
Volume is the sum of the notional for trades where both the buyer and seller agree to clearing the transaction. The figure is one sided.

 
 

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