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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,829,595

    5,017,917

    6,847,512

    Asia

    -

    121,270

    121,270

    Europe

    873,901

    2,300,988

    3,174,890

    North America

    937,452

    2,251,724

    3,189,176

    Other

    18,242

    343,936

    362,177

    OTHER*

    2,844

    669,877

    672,721

    TOTAL

    1,832,439

    5,687,794

    7,520,233

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    44,699

    408,623

    383,440

    836,762

    Europe

    -

    -

    383,260

    383,260

    North America/Asia

    44,699

    408,623

    180

    453,502

    Index

    567,933

    2,059,816

    3,383,002

    6,010,751

    Asia

    -

    -

    121,270

    121,270

    Europe

    -

    -

    2,791,630

    2,791,630

    North America

    567,933

    2,059,816

    107,925

    2,735,674

    Other

    -

    -

    362,177

    362,177

    OTHER*

    -

    -

    672,721

    672,721

    TOTAL

    612,632

    2,468,439

    4,439,163

    7,520,234

    *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

    2,984,483

    7,753,126

    674,706

    2,282,708

    Asia

    -

    192,910

    -

    49,629

    Europe

    1,472,942

    3,728,911

    274,861

    873,066

    North America

    1,482,247

    3,361,087

    392,656

    1,142,360

    Other

    29,294

    470,218

    7,189

    217,653

    OTHER*

    2,200

    893,971

    3,489

    445,784

    TOTAL

    2,986,683

    8,647,097

    678,195

    2,728,492

    *OTHER variable 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

    73,308

    737,163

    675,251

    16,090

    80,083

    91,629

    Index

    774,703

    3,093,741

    5,383,445

    361,163

    1,025,891

    1,382,559

    Asia

    -

    -

    192,910

    -

    -

    49,629

    Europe

    -

    -

    4,526,862

    -

    -

    1,056,398

    North America

    774,703

    3,093,741

    164,160

    361,163

    1,025,891

    51,690

    Other

    -

    -

    499,513

    -

    -

    224,842

    OTHER*

    -

    -

    896,171

    -

    -

    449,273

    TOTAL

    848,011

    3,830,904

    6,954,867

    377,253

    1,105,974

    1,923,461

    *OTHER variable 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.