CDS clearing rates hit 71% high around September iTraxx roll

- Lorenzo Migliorato
- 18 Oct 2024

The US clearing rate for credit default swaps jumped to a record 71% in the third week of September, coinciding with the roll date for several of Markit’s CDS indexes.

Derivatives notional of $4.14 trillion was being funnelled through a central counterparty as of September 20, up 31.5% from the previous week. Over the same period, non-cleared notional slid 12.3% to $1.69 trillion.

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