CME Group's OTC Volume Surpasses $500 Billion in Total Notional Cleared for Interest Rate and Credit Default Swaps

Apr 10, 2012 Share this! LinkedIn logo Facebook logo Twitter logo Reddit logo Google+ logo

New Credit Default Swaps Record in March with More Than $53 Billion Cleared

CME Group, the world's leading and most diverse derivatives marketplace, today announced that the company has surpassed $500 billion in total notional value cleared in interest rate swaps (IRS) and credit default swaps (CDS).  In addition, the company had a monthly volume record of $53.3 billion in CDS cleared in March, a 344 percent increase over the previous record month in February.

As of April 6, 2012, the company has cleared a total of $500.3 billion in OTC volume, including $393.7 billion in IRS and $106.5 billion in CDS. 

"Surpassing $500 billion in notional value for our IRS and CDS offering confirms customers' desire to clear at CME Group ahead of any regulatory mandate," said Laurent Paulhac, CME Group managing director, OTC Products & Services.  "During the first quarter of 2012, we saw more than 1,800 buy side accounts clear OTC IRS or CDS trades at CME Group, further solidifying our position as the leading OTC clearing solution by U.S. customer volume."

In addition to the monthly record, daily and weekly records were set in cleared OTC CDS, which helped drive the second best month for OTC IRS and CDS combined:

Daily volume record of $14.2 billion cleared on March 20, a 167 percent increase from the previous record on November 18, 2011

Weekly volume record of $33.3 billion cleared the week of March 26, a 424 percent increase from the previous weekly record during the week of February 13, 2012


OTC IRS cleared $44.1 billion in March, which represented volume across all four currencies (USD, EUR, GBP, and CAD). Open Interest now stands at $260.2 billion across both products. 

The increase in CDS volume coincided with the expansion of the product slate on March 20 to include CDX Investment Grade (IG) Index Series 18. Buy side firms immediately took advantage of the ability to roll out of IG Series 17 and into Series 18. 

March also marks the first time CME Group cleared CAD IRS trades, and IRS performance was strong across the board with $30.1B USD, euro 7.2B EUR, pounds Sterling 2.0B GBP and C$1.2B CAD.

To learn more about CME Group's OTC clearing offering, watch our latest video or visit our resources on IRS and CDS.


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