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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,045,106

    4,271,001

    5,316,107

    Asia

    0

    115,716

    115,716

    Europe

    472,353

    2,126,227

    2,598,580

    North America

    505,657

    1,789,206

    2,294,863

    Other

    67,096

    239,852

    306,948

    OTHER*

    500

    661,203

    661,703

    TOTAL

    1,045,606

    4,932,205

    5,977,810

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    52,304

    456,758

    381,517

    890,579

    Europe

    0

    0

    381,157

    381,157

    North America / Other

    52,304

    456,758

    360

    509,422

    Index

    409,401

    1,276,382

    2,739,745

    4,425,528

    Asia

    0

    0

    115,716

    115,716

    Europe

    0

    0

    2,217,423

    2,217,423

    North America

    409,401

    1,276,382

    99,808

    1,785,591

    Other

    0

    0

    306,798

    306,798

    OTHER*

    0

    0

    661,703

    661,703

    TOTAL

    461,705

    1,733,140

    3,782,965

    5,977,810

    * 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*

    1,730,233

    7,790,742

    360,978

    2,073,668

    Asia

    0

    197,490

    0

    33,942

    Europe

    835,042

    3,473,792

    109,664

    778,663

    North America

    807,413

    2,816,362

    203,901

    762,050

    Other

    86,778

    430,313

    47,413

    49,391

    TOTAL

    1,730,233

    7,790,742

    360,978

    2,073,668

    * 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

    83,288

    833,870

    683,717

    21,319

    79,646

    79,318

    Index

    563,346

    1,984,370

    4,498,599

    255,457

    568,394

    980,890

    Asia

    0

    0

    197,490

    0

    0

    33,942

    Europe

    0

    0

    3,625,662

    0

    0

    809,184

    North America

    563,346

    1,984,370

    158,581

    255,457

    568,394

    41,035

    Other

    0

    0

    516,866

    0

    0

    96,729

    OTHER*

    0

    0

    873,785

    0

    0

    449,622

    TOTAL

    646,634

    2,818,240

    6,056,101

    276,776

    648,040

    1,509,830

    * 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.