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Transaction Dollar Volume - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche

    5

    104

    109

    Index

    304,457

    2,363

    306,820

    Europe

    131,340

    806

    132,145

    North America/Asia

    171,064

    1,477

    172,541

    Other

    2,053

    80

    2,133

    OTHER*

    12,111

    7,571

    19,682

    TOTAL

    316,573

    10,039

    326,612

    *OTHER variable includes exotic credit products, swaptions, and total return swaps.

    CDS by Grade

    Product1

    HY3

    IG

    Other

    TOTAL

    Index/Index Tranche

    51,749

    120,597

    134,582

    306,928

    OTHER*

    -

    -

    19,682

    19,682

    TOTAL

    51,749

    120,597

    154,264

    326,610

    *OTHER variable includes exotic credit products, swaptions, and total return swaps.

    CDS by Participant and Status

     

    Swap Dealers/MSPs4

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Index Tranche

    10

    104

    -

    104

    Index/OTHER*

    355,327

    12,081

    277,811

    7,788

    TOTAL

    355,337

    12,185

    277,811

    7,892

    *OTHER variable includes exotic credit products, swaptions, and total return swaps.

    CDS by Participant & Grade

     

    Swap Dealers/MSPs5

    Others

    Product1

    HY6

    IG

    Other

    HY

    IG

    Other

    Index/Index Tranche

    38,395

    128,437

    177,626

    65,104

    112,757

    91,540

    OTHER*

    -

    -

    23,064

    -

    -

    16,301

    TOTAL

    38,395

    128,437

    200,690

    65,104

    112,757

    107,841

    *OTHER variable includes exotic credit products, swaptions, and total return swaps.

    NOTES

    Swap dollar volumes, week ending April 4, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.

    1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.

    2 See Explanatory Notes for cleared and uncleared descriptions.

    3 See Data Dictionary for grade descriptions.

    4 See Explanatory Notes for participant type descriptions.

    The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to swapsreport@cftc.gov.