Credit Products

Cleared OTC Credit Default Swaps

CDX High Yield Indices Now Available

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

Open access clearing solution for dealer-to-customer and interdealer Credit Default Swaps trades.
Builds on the existing OTC market and incorporates the benefits of our straight-through-processing clearing model.
Immediate cleared trade confirmation and settlement, leaving no window of credit exposure between bi-lateral counterparties.
Legacy positions can be backloaded into cleared trades.
Participants can leverage existing relationships and connectivity with CME Clearing members.
Time-tested regulatory and portability framework protects both customer positions and margins in the event of clearing member default. There has never been a CME Clearing member default in more than a century of operation.

View Cleared OTC CDS
Market Data

Cleared OTC CDS Resources

News & Highlights	Cleared OTC CDS Product Slate	Safety and Security of CME Clearing	Additional OTC Product Information
February 8, 2012 - Corporate Bonds as Collateral for Cleared Interest Rate Swaps Press Release (December 5, 2011) - CME Group Sets OTC Clearing Volume Record for the Fourth Consecutive Month, Surpasses $150 Billion in Total Notional Cleared Press Release(November 9, 2011) - CME Group Sets Monthly Record for Cleared OTC IRS and CDS in October, and Announces Further OTC Product Expansion Press Release (October 3, 2011) - Cleared OTC CDS Records Press Release (December 15, 2009) - First CDS Transactions Cleared Press Release (December 3, 2009) - Dealer Founding Members for CDS Initiative	Cleared OTC CDS product slate comprises the highest volume Markit CDX indices and their single-name constituents. They are designed to mirror bilateral OTC contracts with standardized fixed coupons as defined by ISDA, and adhere to ISDA DC resolutions. Indices CDX IG Series 9 - 10: 5, 7, and 10 year tenors Series 11-17: 3, 5, 7, and 10 year tenors CDX HY Series 11 - 17: 5 year tenor Single Names (subject to regulatory approval) Constituents of the CME Cleared CDS indices and other liquid single name CDS products. Planned CDS Single Name roll out: IG and HY single name constituents on a sector by sector basis	CME Clearing CME CORE Margin Tool: CME Clearing Online Risk Engine CME Clearing's Role as a Central Counterparty CDS Clearing Member Requirements The CME Clearing Financial Safeguards System Cleared OTC Cash Flows Explained CME ClearPort	Cleared OTC IRS Web Page Cleared OTC Derivatives Account Class FAQ (PDF) Overview of Cleared OTC Financial Products - IRS, CDS and FX Subscribe to Cleared OTC IRS and CDS Updates

News & Highlights

Cleared OTC CDS Product Slate

Safety and Security of CME Clearing

Additional OTC Product Information

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

Indices
CDX IG

Series 9 - 10: 5, 7, and 10 year tenors
Series 11-17: 3, 5, 7, and 10 year tenors

CDX HY

Series 11 - 17: 5 year tenor

Single Names
(subject to regulatory approval)
Constituents of the CME Cleared CDS indices and other liquid single name CDS products.

Planned CDS Single Name roll out:

IG and HY single name constituents on a sector by sector basis

Credit Default Swaps Information

Volume and Open Interest Reportas of Clearing Date: 10-FEB-2012

Open Interest

Daily Volume

CDS total

$28,850,230,000

$630,000,000

IG Product Code	RED code	Maturity	Coupon	Open Interest	Daily Volume
Indices
Markit CDXIG9V4.SR.XR.USD	2I65BYCG8	2012 - Dec	60	$23,000,000	$0
Markit CDXIG9V4.SR.XR.USD	2I65BYCG8	2014 - Dec	70	$0	$0
Markit CDXIG9V4.SR.XR.USD	2I65BYCG8	2017 - Dec	80	$410,000,000	$0
Markit CDXIG10V4.SR.XR.USD	2I65BYCH6	2013 - Jun	155	$87,600,000	$0
Markit CDXIG10V4.SR.XR.USD	2I65BYCH6	2015 - Jun	150	$0	$0
Markit CDXIG10V4.SR.XR.USD	2I65BYCH6	2018 - Jun	150	$175,800,000	$0
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2011 - Dec	145	$0	$0
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2013 - Dec	150	$0	$0
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2015 - Dec	145	$0	$0
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2018 - Dec	140	$45,300,000	$0
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2012 - Jun	100	$0	$0
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2014 - Jun	100	$136,000,000	$0
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2016 - Jun	100	$0	$0
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2019 - Jun	100	$0	$0
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2012 - Dec	100	$0	$0
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2014 - Dec	100	$550,600,000	$0
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2016 - Dec	100	$0	$0
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2019 - Dec	100	$0	$0
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2013 - Jun	100	$0	$0
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2015 - Jun	100	$730,900,000	$0
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2017 - Jun	100	$0	$0
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2020 - Jun	100	$0	$0
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2013 - Dec	100	$0	$0
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2015 - Dec	100	$1,368,450,000	$0
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2017 - Dec	100	$0	$0
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2020 - Dec	100	$0	$0
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2014 - Jun	100	$0	$0
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2016 - Jun	100	$2,218,800,000	$0
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2018 - Jun	100	$0	$0
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2021 - Jun	100	$70,500,000	$0
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2014 - Dec	100	$0	$0
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2016 - Dec	100	$15,646,580,000	$600,000,000
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2018 - Dec	100	$0	$0
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2021 - Dec	100	$56,500,000	$0
Investment Grade Index Total				$21,520,030,000	$600,000,000
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HY Product Code	RED code	Maturity	Coupon	Open Interest	Daily Volume
Markit CDXHY11V19.SR.XR.USD	2I65BRIJ1	2013 - Dec	500	$0	$0
Markit CDXHY12V10.SR.XR.USD	2I65BRIK8	2014 - Jun	500	$0	$0
Markit CDXHY13V4.SR.XR.USD	2I65BRIL6	2014 - Dec	500	$120,000,000	$0
Markit CDXHY14V3.SR.XR.USD	2I65BRIM4	2015 - Jun	500	$392,600,000	$0
Markit CDXHY15V3.SR.XR.USD	2I65BRIN2	2015 - Dec	500	$857,900,000	$0
Markit CDXHY16V3.SR.XR.USD	2I65BRHX1	2016 - Jun	500	$465,500,000	$0
Markit CDXHY17V3.SR.XR.USD	2I65BRHY9	2016 - Dec	500	$5,494,200,000	$30,000,000
High Yield Index Total				$7,330,200,000	$30,000,000
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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.

Indicesfor activity on Clearing Date: 10-FEB-2012
IG Product Code	RED code	Maturity	Coupon	Price
Markit CDXIG9V4.SR.XR.USD	2I65BYCG8	2012 - Dec	60	99.7089777
Markit CDXIG9V4.SR.XR.USD	2I65BYCG8	2014 - Dec	70	98.9389105
Markit CDXIG9V4.SR.XR.USD	2I65BYCG8	2017 - Dec	80	97.5873415
Markit CDXIG10V4.SR.XR.USD	2I65BYCH6	2013 - Jun	155	100.8321477
Markit CDXIG10V4.SR.XR.USD	2I65BYCH6	2015 - Jun	150	101.2427111
Markit CDXIG10V4.SR.XR.USD	2I65BYCH6	2018 - Jun	150	101.4231638
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2011 - Dec	145	0
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2013 - Dec	150	101.4079970
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2015 - Dec	145	101.7370916
Markit CDXIG11V2.SR.XR.USD	2I65BYCI4	2018 - Dec	140	101.6002988
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2012 - Jun	100	100.2561026
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2014 - Jun	100	100.8984744
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2016 - Jun	100	100.6637718
Markit CDXIG12V2.SR.XR.USD	2I65BYCJ2	2019 - Jun	100	99.8797824
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2012 - Dec	100	100.5367722
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2014 - Dec	100	100.8802166
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2016 - Dec	100	100.3950718
Markit CDXIG13.SR.XR.USD	2I65BYBX2	2019 - Dec	100	99.6448020
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2013 - Jun	100	100.7777346
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2015 - Jun	100	100.8168196
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2017 - Jun	100	100.3051923
Markit CDXIG14.SR.XR.USD	2I65BYCK9	2020 - Jun	100	99.5055043
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2013 - Dec	100	100.8488366
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2015 - Dec	100	100.5346329
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2017 - Dec	100	100.0583449
Markit CDXIG15.SR.XR.USD	2I65BYCL7	2020 - Dec	100	98.9294706
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2014 - Jun	100	100.8517771
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2016 - Jun	100	100.2229429
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2018 - Jun	100	99.5778562
Markit CDXIG16.SR.XR.USD	2I65BYCM5	2021 - Jun	100	98.3394694
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2014 - Dec	100	100.8750975
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2016 - Dec	100	100.1072267
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2018 - Dec	100	99.4015252
Markit CDXIG17.SR.XR.USD	2I65BYCN3	2021 - Dec	100	98.2282846
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HY Product Code	RED code	Maturity	Coupon	Price
Markit CDXHY11V19.SR.XR.USD	2I65BRIJ1	2013 - Dec	500	102.0440000
Markit CDXHY12V10.SR.XR.USD	2I65BRIK8	2014 - Jun	500	101.8590977
Markit CDXHY13V4.SR.XR.USD	2I65BRIL6	2014 - Dec	500	101.6900596
Markit CDXHY14V3.SR.XR.USD	2I65BRIM4	2015 - Jun	500	100.6623827
Markit CDXHY15V3.SR.XR.USD	2I65BRIN2	2015 - Dec	500	99.7658750
Markit CDXHY16V3.SR.XR.USD	2I65BRHX1	2016 - Jun	500	98.9219136
Markit CDXHY17V3.SR.XR.USD	2I65BRHY9	2016 - Dec	500	97.0625000
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Industry Links

Credit Contacts

Jennifer Peve
Director, OTC Product Management
312 466 7472

Jack Callahan
Director, OTC Products
312 454 8312

Tina Lemieux
Managing Director, Hedge Fund and Broker Services
312 930 3151

Mark Cox
Director, Clearing Solutions
212 299 2166

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