Font Size: AAA // Print // Bookmark

Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,705,077

    3,631,477

    5,336,553

    Asia

    0

    115,376

    115,376

    Europe

    768,315

    1,731,399

    2,499,714

    North America

    851,297

    1,570,715

    2,422,012

    Other

    85,465

    213,986

    299,451

    OTHER*

    2,675

    345,077

    347,752

    TOTAL

    1,707,752

    3,976,554

    5,684,306

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    40,480

    346,311

    315,636

    702,427

    Index

    476,055

    1,464,894

    2,693,176

    4,634,125

    Asia

    0

    0

    115,376

    115,376

    Europe

    0

    0

    2,184,566

    2,184,566

    North America

    476,055

    1,464,894

    94,221

    2,035,170

    Other

    0

    0

    299,013

    299,013

    OTHER*

    0

    0

    347,752

    347,752

    TOTAL

    516,535

    1,811,205

    3,356,564

    5,684,304

    * 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*

    2,606,930

    6,252,648

    808,573

    1,700,459

    Asia

    0

    196,626

    0

    34,127

    Europe

    1,267,122

    2,792,657

    269,507

    670,141

    North America

    1,214,596

    2,428,151

    487,997

    713,280

    Other

    125,212

    835,214

    51,069

    282,911

    TOTAL

    2,606,930

    6,252,648

    808,573

    1,700,459

    * 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

    61,108

    625,913

    561,231

    19,853

    66,710

    70,040

    Index

    647,725

    2,157,752

    4,355,463

    304,385

    772,037

    1,030,889

    Asia

    0

    0

    196,626

    0

    0

    34,127

    Europe

    0

    0

    3,499,399

    0

    0

    869,733

    North America

    647,725

    2,157,752

    150,199

    304,385

    772,037

    38,242

    Other

    0

    0

    509,239

    0

    0

    88,787

    OTHER*

    0

    0

    450,386

    0

    0

    245,118

    TOTAL

    708,833

    2,783,665

    5,367,080

    324,238

    838,747

    1,346,047

    * 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.