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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    2,388,555

    5,151,919

    7,540,474

    Asia

    -

    113,312

    113,312

    Europe

    1,049,317

    2,503,439

    3,552,756

    North America

    1,321,835

    2,314,043

    3,635,878

    Other

    17,403

    221,125

    238,528

    Other

    -

    650,067

    650,067

    Exotic/Total Return Swap

    -

    56,175

    56,175

    Swaptions

    -

    593,892

    593,892

    TOTAL

    2,388,555

    5,801,986

    8,190,541

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    46,632

    418,687

    410,491

    875,810

    Europe

    -

    -

    404,980

    404,980

    North America/Asia

    46,632

    418,687

    5,511

    470,830

    Index

    613,854

    2,445,530

    3,605,280

    6,664,664

    Asia

    -

    -

    113,312

    113,312

    Europe

    -

    -

    3,147,777

    3,147,777

    North America

    613,854

    2,445,530

    105,663

    3,165,047

    Other

    -

    -

    238,528

    238,528

    OTHER*

    -

    -

    650,067

    650,067

    TOTAL

    660,486

    2,864,217

    4,665,838

    8,190,541

    *OTHER variable 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

    3,424,462

    8,060,326

    1,352,649

    2,243,510

    Asia

    -

    175,440

    -

    51,184

    Europe

    1,433,493

    4,044,485

    665,142

    962,393

    North America

    1,963,956

    3,453,698

    679,714

    1,174,387

    Other

    27,013

    386,703

    7,793

    55,546

    Other

    -

    870,946

    -

    429,186

    Exotic/Total Return Swap

    -

    71,333

    -

    41,015

    Swaptions

    -

    799,613

    -

    388,171

    TOTAL

    3,424,462

    8,931,272

    1,352,649

    2,672,696

    CDS by Participant & Grade

     

    Swap Dealers/MSPs5

    Others

    Product1

    HY6

    IG

    Other

    HY

    IG

    Other

    Index Tranche

    74,975

    758,991

    709,126

    18,289

    78,383

    111,856

    Index

    822,672

    3,590,271

    5,528,752

    405,036

    1,300,790

    1,681,807

    Asia

    -

    -

    175,440

    -

    -

    51,184

    Europe

    -

    -

    4,775,699

    -

    -

    1,519,854

    North America

    822,672

    3,590,271

    163,897

    405,036

    1,300,790

    47,429

    Other

    -

    -

    413,716

    -

    -

    63,340

    OTHER*

    -

    -

    870,946

    -

    -

    429,186

    TOTAL

    897,647

    4,349,262

    7,108,824

    423,325

    1,379,173

    2,222,849

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

    NOTES

    Gross notional amount outstanding, April 11 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.