International Derivatives Clearing House

In December 2008, IDCG's subsidiary the IDCH, began accepting U.S. dollar denominated Interest Rate Swap (IRS) contracts for clearing and settlement. Today, this structure provides customers with an efficient and transparent venue to clear and settle interest rate derivatives. Contract Specifications may be found in the IDCH Rulebook.

Rules of International Derivatives Clearinghouse, LLC

As a member of the IDCH, trading, investment, and market-making firms are able to clear and settle new and existing OTC interest rate swap contracts traded bilaterally with dealers.

Market participants who clear through IDCH reduce bilateral counterparty credit risk and simplify the ongoing processes required to manage such relationships. The substitution of bilateral counterparty credit risk with a regulated clearinghouse enables a much greater number of market participants to interact with one another with greater confidence.

Contract Details

Please refer to the Rules of the International Derivatives Clearinghouse for complete OTC contract specifications.

Rules of International Derivatives Clearinghouse, LLC

Transaction Comparison

  IDCH Current OTC Bilateral
Pre-Trade
  • Establish relationship with a clearing member
  • Provide initial margin
  • Negotiating master agreements is a prerequisite
    • ISDA Agreement
    • Collateral Agreement
  • Counterparty credit review
  • Establish credit and trading limits
Trade
  • Execute trade bilaterally or electronically for clearing via IDCH
  • No curve negotiation: transparent IDCG Interest Rate Curve
  • Two parties agree to transaction
    • Usually over the telephone
    • Potential for asymmetric information among participants
    • Yield curve negotiation
Post-Trade
  • Position is marked-to-market and margin account is adjusted
  • Settlement bank handles cash flows
  • Trade capture
    • Manual or Automated
  • Economic affirmation
    • Conterparties verify key economic details
  • Confirmations required
    • Either one party provides trade details and the other verifies; or both parties submit trade details and both parties match confirm
Aggregate Time to Complete Trade 1 day 9 days on average during 2006*

*According to ISDA 2007 Derivatives Benchmark Survey

Margin Methodology

The clearinghouse implements the HS VaR methodology to calculate its initial margin requirements, which are based off of a 5-day holding period at a 99.7% confidence interval. As part of its HS VaR methodology, IDCH uses its historical market data to calculate cumulative 5-day shocks (as a percentage factor) to apply to the most recent Official curve, giving an array of shocked official curves. This process is repeated for all Official curve points across 500 days of shocks. The value of the portfolio priced using the un-shocked Official curve acts as a baseline valuation. This baseline valuation is compared to the post-shock portfolio value for 500 days in the past, producing an array of 5-day price changes for the portfolio over the last 500 business days. The absolute value of each of the 500 price changes is taken to create a non-directional measure of the price sensitivity of the portfolio.

Each portfolio is calculated in this manner for the most recent 30-, 90-, 125-, 250-, and 500-day periods. A 99.7% confidence interval represents the average plus three standard deviations and is calculated for the 30- through 500-day time periods, representing the minimum initial margin that IDCH would charge for each time period. The maximum of the margin charges across all of the time buckets is set as the baseline that IDCH would charge as IM for the portfolio, but IDCH has the ability to apply an additional margin factor per-clearing member above and beyond the minimum IM requirement to address any solvency or liquidity concerns if necessary.

Original Performance Bond (Initial Margin) will be calculated on a net basis for OTC Contracts cleared in a Clearing Member's Proprietary Account.

Original Performance Bond (Initial Margin) for OTC Contracts cleared in a Clearing Member's OTC Customer Segregated Account will be calculated on a gross basis.

Size and Composition of Financial Resources- Guaranty Fund

The clearinghouse bases the size of its Guaranty Fund according to the following guiding principles:

Minimum Size: $80 Million or the greatest amount of initial margin held at the clearinghouse over a period of three consecutive days, during the last 500 trading days is determined. Those three days are then averaged and the result is multiplied by 5%. The guaranty fund is then risk-adjusted on a pro rata basis across all clearing members.

In addition to that minimum, the Guaranty Fund's size will reflect the greater of:

On a daily basis, the Risk Department subjects each Clearing Member to eight stress tests in order to calculate the resources required in the Guaranty Fund. The stress tests are defined as two historical simulations and six defined revaluation shock scenarios. The worst case for every Clearing Member is determined using the aforementioned stress tests. Once the worst case is determined, the Clearing Members are ranked according to the risk that each would present to the Clearinghouse in case of its default. The simultaneous default of the two largest Clearing Members, in terms of risk, is simulated. In addition, a third default will be simulated using Clearing Member selected from the pool of non-defaulting members.

In each case, the resulting defaults are simulated over a five-day cure period. The sufficiency of the Guaranty Fund is designed to cure the defaulting Clearing Members' positions within the five-day period. If the result of the stress tests shows that the Guaranty Fund is insufficient over the five-day cure period, the Guaranty Fund requirement will be increased to a level such that the stress test is satisfied.



*These stress test are run on a daily basis, with risk adjustments made quarterly unless market conditions warrant an intra-quarter adjustment

IDCH 2012 Holiday Calendar



January 2 New Year's Day Closed
January 16 Martin Luther King Jr. Day Closed
February 20 President's Day Closed
May 25 Early Close 2:30 PM (ET) Close
May 28 Memorial Day Closed
July 4 Independence Day Closed
September 3 Labor Day Closed
October 8 Columbus Day Closed
November 12 Veteran's Day Closed
November 22 Thanksgiving Day Closed
November 23 Early Close 2:30 PM (ET) Close
December 24 Early Close 2:30 PM (ET) Close
December 25 Christmas Day Closed
December 31 Early Close 2:30 PM (ET) Close


Good Business Days

In accordance with the IDCH Interest Rate Swap Contract Specification, payment dates are defined by the contract's Effective Date, Maturity Date, Payment Frequency and Payment Conventions of the fixed or floating legs as appropriate. A Goood Business Day is defined as a day in which the banking system is open to settle payments in the locations specified.

Following is a list of known New York and London holidays on which payments may not occur.

Click here

IDCH Membership

A participant must have a relationship with a member of the Clearinghouse in order to clear Interest Rate Derivatives with IDCH.

For Inquiries regarding IDCH Membership:
Email: sales@idcg.com
Phone: 212.933.9801

Rules of International Derivatives Clearinghouse, LLC

Clearing Members

Fee Schedule



OTC Swap Clearing Fees for Vanilla Swaps
Tenor

    Fee Per $1,000,000 Notional

2-Year

    $3.50

3-Year

    $4.40

4-Year

    $5.31

5-Year

    $6.21

6-Year

    $7.11

7-Year

    $8.02

8-Year

    $8.92

9-Year

    $9.82

10-Year

    $10.73

15-Year

    $15.25

20-Year

    $19.76

25-Year

    $24.28

30-Year

    $28.80

IDCH Bulletins

#ID Bulletin
#2012-0003 May 24, 2012 - IDCH Holiday Bulletin
#2012-0002 Feb 17, 2012 - IDCH Holiday Bulletin
#2012-0001 Jan 13, 2012 - IDCH Holiday Bulletin
#2011-0010 Dec 29, 2011 - IDCH Holiday Bulletin
#2011-0009 Nov 21, 2011 - IDCH Holiday Bulletin
#2011-0008 Nov 10, 2011 - IDCH Holiday Bulletin
#2011-0012 Nov 7, 2011 - IDCH Initial Margin Levels
#2011-0007 Oct 7, 2011 - IDCH Holiday Bulletin
#2011-0011 Oct 4, 2011 - IDCH Initial Margin Levels
#2011-0010 Sept 1, 2011 - IDCH Initial Margin Levels
#2011-0006 Sept 05, 2011 - IDCH Holiday Bulletin
#2011-0009 Aug 4, 2011 - IDCH Initial Margin Levels
#2011-0008 Jul 6, 2011 - IDCH Initial Margin Levels
#2011-0005 Jun 30, 2011 - IDCH Holiday Bulletin
#2011-0007 Jun 10, 2011 - IDCH Initial Margin Levels
#2011-0006 Jun 03, 2011 - IDCH Initial Margin Levels
#2011-0004 May 26, 2011 - IDCH Holiday Bulletin
#2011-0005 May 06, 2011 - IDCH Initial Margin Levels
#2011-0003 Apr 18, 2011 - IDCH Holiday Bulletin
#2011-0004 Apr 08, 2011 - IDCH Initial Margin Levels
#2011-0003 Mar 07, 2011 - IDCH Initial Margin Levels
#2011-0002 Feb 17, 2011 - IDCH Holiday Bulletin
#2011-0002 Feb 04, 2011 - IDCH Initial Margin Levels
#2011-0001 Jan 12, 2011 - IDCH Holiday Bulletin
#2011-0001 Jan 05, 2011 - IDCH Initial Margin Levels
#2010-0010 Dec 29, 2010 - IDCH Holiday Bulletin
#2010-0009 Dec 23, 2010 - IDCH Holiday Bulletin
#2010-0017 Dec 10, 2010 - IDCH Initial Margin Levels
#2010-0016 Dec 06, 2010 - IDCH Initial Margin Levels
#2010-0008 Nov 23, 2010 - IDCH Holiday Bulletin
#2010-0007 Nov 10, 2010 - IDCH Holiday Bulletin
#2010-0015 Nov 08, 2010 - IDCH Initial Margin Levels
#2010-0006 Oct 08, 2010 - IDCH Holiday Bulletin
#2010-0014 Oct 04, 2010 - IDCH Initial Margin Levels
#2010-0005 Sept 02, 2010 - IDCH Holiday Bulletin
#2010-0013 Sept 02, 2010 - IDCH Initial Margin Levels
#2010-0012 Aug 11, 2010 - IDCH Initial Margin Levels
Aug 11, 2010 - IDCH Initial Margin Securities Haircut
#2010-0011 Aug 03, 2010 - IDCH Initial Margin Levels
Jul 30, 2010 - IDCH Initial Margin Securities Haircut
#2010-0010 July 02, 2010 - IDCH Initial Margin Levels
Jun 30, 2010 - IDCH Initial Margin Securities Haircut
#2010-0005 June 29, 2010 - IDCH Holiday Bulletin
#2010-0009 June 01, 2010 - IDCH Initial Margin Levels
#2010-0004 May 28, 2010 - IDCH Holiday Bulletin
#2010-0008 May 12, 2010 - IDCH Initial Margin Levels
#2010-0007 May 05, 2010 - IDCH Initial Margin Levels
#2010-0006 Apr 26, 2010 - IDCH Initial Margin Levels
#2010-0005 Apr 19, 2010 - IDCH Initial Margin Levels
Apr 06, 2010 - IDCH Initial Margin Securities Haircut
#2010-0004 Apr 05, 2010 - IDCH Initial Margin Levels
Mar 29, 2010 - IDCH Holiday Bulletin
#2010-0003 Mar 03, 2010 - IDCH Initial Margin Levels
Feb 15, 2010 - IDCH Holiday Bulletin
#2010-0002 Feb 02, 2010 - IDCH Initial Margin Levels
Jan 22, 2010 - IDCH Initial Margin Securities Haircut
Jan 15, 2010 - IDCH Holiday Bulletin
#2010-0001 Jan 04, 2010 - IDCH Initial Margin Levels
Dec 30, 2009 - IDCH Holiday Bulletin
Dec 21, 2009 - IDCH Holiday Bulletin
#2009-0018 Dec 01, 2009 - IDCH Initial Margin Levels
Nov 23, 2009 - IDCH Holiday Bulletin
#2009-0017 Nov 04, 2009 - IDCH Initial Margin Levels
Oct 28, 2009 - IDCH Holiday Bulletin
Oct 09, 2009 - IDCH Initial Margin Securities Haircuts
Oct 06, 2009 - IDCH Holiday Bulletin
#2009-0016 Oct 01, 2009 - IDCH Initial Margin Levels
#2009-0015 Sep 09, 2009 - IDCH Initial Margin Levels
Sep 03, 2009 - Initial Margin Securities Haircut
Aug 24, 2009 - IDCH Holiday Bulletin
#2009-0014 Aug 03, 2009 - IDCH Initial Margin Levels
#2009-0013 Jul 6, 2009 - IDCH Initial Margin Levels
Jun 17, 2009 - IDCH Holiday Bulletin
#2009-0012 Jun 10, 2009 - IDCH Initial Margin Levels
#2009-0011 Jun 05, 2009 - IDCH Initial Margin Levels
#2009-0010 Jun 02, 2009 - IDCH Initial Margin Levels
#2009-0009 Jun 01, 2009 - IDCH Initial Margin Levels
#2009-0008 May 28, 2009 - IDCH Initial Margin Levels
#2009-0007 May 27, 2009 - IDCH Initial Margin Levels
May 12, 2009 - IDCH Holiday Bulletin
#2009-0006 May 11, 2009 - IDCH Initial Margin Levels
#2009-0005 Apr 23, 2009 - IDCH Initial Margin Levels
Apr 07, 2009 - IDCH Holiday Bulletin
#2009-0004 Apr 07, 2009 - IDCH Initial Margin Levels
#2009-0003 Mar 03, 2009 - IDCH Initial Margin Levels
Feb 13, 2009 - IDCH Holiday Bulletin
#2009-0002 Feb 02, 2009 - IDCH Initial Margin Levels
Jan 13, 2009 - IDCH Holiday Bulletin
#2009-0001 Jan 06, 2009 - IDCH Initial Margin Levels
#2008-0001 Dec 29, 2008 - IDCH Initial Margin Levels

IDCH Clearing

Clearing

  • First in central clearing OTC Swaps
  • Efficiency & Transparency
  • Real-time Risk Management

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