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Transaction Dollar Volume - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche

    155

    400

    555

    Index

    281,648

    2,990

    284,638

    Europe

    117,022

    518

    117,540

    North America/Asia

    161,671

    2,229

    163,901

    Other

    2,954

    242

    3,197

    OTHER*

    1,275

    2,745

    4,020

    TOTAL

    283,078

    6,135

    289,212

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

    CDS by Grade

    Product1

    HY3

    IG

    Other

    TOTAL

    Index/Index Tranche

    42,318

    121,524

    121,351

    285,193

    OTHER*

    -

    -

    4,020

    4,020

    TOTAL

    42,318

    121,524

    125,371

    289,213

    *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

    310

    640

    -

    160

    Index/OTHER*

    304,293

    6,267

    261,553

    5,201

    TOTAL

    304,603

    6,907

    261,553

    5,361

    *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

    34,520

    121,420

    150,897

    50,116

    121,627

    91,803

    OTHER*

    -

    -

    4,672

    -

    -

    3,367

    TOTAL

    34,520

    121,420

    155,569

    50,116

    121,627

    95,170

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

    NOTES

    Swap dollar volumes, week ending April 11, 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.