ICE Clear Europe is to clear
European sovereign credit default swaps (CDSs) from 28 April, following
regulatory approval in the US.
The clearing house, part of IntercontinentalExchange Group, will introduce
clearing for US-dollar denominated European sovereign CDSs on Ireland, Italy,
Portugal and Spain, all of which are included in the Markit iTraxx SovX Western
Europe index.
“We have worked closely with regulators and market participants to extend our European CDS services to clear sovereign reference entities,” Paul Swann, president, ICE Clear Europe, said. “ICE recognises the importance of developing additional clearing services in response to customer requirements and within a dynamic policy and market environment.”
ICE Clear Europe received the green light from both the Securities and Exchange Commission and Commodity Futures Trading Commission. It has extended its CDS risk model and margin methodology to clear sovereigns, including additional risk model considerations for country-specific exposure.
In 2011, ICE Clear Credit became the first central counterparty to clear sovereign CDS with the introduction of Argentina, Brazil, Mexico, Venezuela, Russia and Turkey single names.
More than 400 single name and index CDS instruments based on corporate and sovereign debt are available for clearing at ICE. To date, it has cleared more than US$50 trillion in gross notional value of CDS, with open interest of approximately US$1.6 trillion.