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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    731,286

    3,855,433

    4,586,718

    Asia

    0

    111,195

    111,195

    Europe

    276,563

    1,881,033

    2,157,596

    North America

    388,992

    1,657,486

    2,046,478

    Other

    65,730

    205,718

    271,448

    OTHER*

    2,300

    524,023

    526,323

    TOTAL

    733,586

    4,379,456

    5,113,041

    * Includes exotic credit products, swaptions, and total return swaps.

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    50,454

    377,865

    332,856

    761,175

    Index

    394,404

    1,129,484

    2,301,655

    3,825,543

    Asia

    0

    0

    111,195

    111,195

    Europe

    0

    0

    1,824,940

    1,824,940

    North America

    394,404

    1,129,484

    94,222

    1,618,110

    Other

    0

    0

    271,298

    271,298

    OTHER*

    0

    0

    526,324

    526,324

    TOTAL

    444,858

    1,507,349

    3,160,835

    5,113,042

    * Includes exotic credit products, swaptions, and total return swaps.

    CDS by Participant & Status

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Index Tranche / Index / Other*

    1,235,814

    6,869,367

    231,357

    1,889,545

    Asia

    0

    188,971

    0

    33,420

    Europe

    478,642

    3,053,963

    74,485

    708,103

    North America

    669,304

    2,589,116

    108,680

    725,856

    Other

    87,868

    1,037,317

    48,192

    422,166

    TOTAL

    1,235,814

    6,869,367

    231,357

    1,889,545

    * 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 Tranche

    79,438

    687,697

    596,929

    21,469

    68,034

    68,784

    Index

    556,425

    1,784,639

    3,730,381

    232,383

    474,328

    872,928

    Asia

    0

    0

    188,971

    0

    0

    33,420

    Europe

    0

    0

    2,935,951

    0

    0

    713,928

    North America

    556,425

    1,784,639

    150,171

    232,383

    474,328

    38,272

    Other

    0

    0

    455,288

    0

    0

    87,308

    OTHER*

    0

    0

    669,672

    0

    0

    382,975

    TOTAL

    635,863

    2,472,336

    4,996,982

    253,852

    542,362

    1,324,687

    * Includes exotic credit products, swaptions, and total return swaps.

    NOTES

    Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.

    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.