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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,832,281

    4,355,098

    6,187,379

    Asia

    0

    116,385

    116,385

    Europe

    922,538

    2,115,296

    3,037,834

    North America

    892,329

    1,838,828

    2,731,156

    Other

    17,415

    284,589

    302,004

    OTHER*

    1,175

    772,708

    773,883

    TOTAL

    1,833,456

    5,127,806

    6,961,262

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    43,363

    399,757

    347,572

    790,692

    Europe

    0

    0

    347,242

    347,242

    North America / Other

    43,363

    399,757

    330

    443,450

    Index

    516,098

    1,667,922

    3,212,668

    5,396,688

    Asia

    0

    0

    116,385

    116,385

    Europe

    0

    0

    2,690,592

    2,690,592

    North America

    516,098

    1,667,922

    103,837

    2,287,857

    Other

    0

    0

    301,854

    301,854

    OTHER*

    0

    0

    773,883

    773,883

    TOTAL

    559,461

    2,067,679

    4,334,123

    6,961,263

    * 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*

    2,724,909

    7,978,425

    942,004

    2,277,189

    Asia

    0

    184,383

    0

    48,387

    Europe

    1,430,176

    3,431,546

    414,899

    799,047

    North America

    1,266,722

    2,852,413

    517,936

    825,243

    Other

    26,661

    461,320

    8,169

    107,859

    TOTAL

    2,724,909

    7,978,425

    942,004

    2,277,189

    * 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

    69,091

    717,410

    612,118

    17,635

    82,103

    83,026

    Index

    682,939

    2,489,231

    5,082,430

    349,257

    846,613

    1,342,906

    Asia

    0

    0

    184,383

    0

    0

    48,387

    Europe

    0

    0

    4,250,089

    0

    0

    1,131,095

    North America

    682,939

    2,489,231

    160,203

    349,257

    846,613

    47,471

    Other

    0

    0

    487,755

    0

    0

    115,953

    OTHER*

    0

    0

    1,050,113

    0

    0

    497,653

    TOTAL

    752,030

    3,206,641

    6,744,661

    366,892

    928,716

    1,923,585

    * 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.