Citi clears first CDS index options through ICE Clear Credit

ICE Clear Credit launched its clearing services for CDS index options last year and expects to add options on iTraxx instruments to its offering in 2021.

US Investment bank Citi has cleared the first client-executed credit default swaps (CDS) index option trades in the US through ICE Clear Credit following its launch in November.

The index options clearing solution on ICE Clear Credit offer participants portfolio margining and access to a common exercise-and-assignment platform for decision making by dealers and buy-side firms.

“We’re excited to work with ICE Clear Credit as they introduce and build an innovative solution for clearing of CDS index options,” said Mariam Rafi, Americas head of over the counter (OTC) clearing and FXPB at Citi.

 “With portfolio margining opportunities across single name, index and option instruments, this is an important step that will help drive capital efficiencies and improve risk management for all market participants.”

Launched in 2009 by US exchange group ICE, ICE Clear Credit and ICE Clear Europe CDS clearing is available in more than 500 single name and index CDS instruments based on corporate and sovereign debt. 

ICE launched its clearing services for CDS Index Options in November last year in a bid to standardise the marketplace.

It currently offers clearing of index options on the CDX North American investment grade and high yield index underlyings with plans to add options on iTraxx instruments in 2021. 

The exchange also confirmed that ICE Clear Credit recorded its best year in 2020, clearing over $30 trillion in combined client-dealer notional amount with nearly 80% of that originating from client-related transactions.

It also saw its highest ever monthly combined client-dealer index volume at $6.8 trillion notional amount, and highest ever monthly client index volume at $2.9 trillion notional amount, in March last year.