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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,650,724

    3,743,153

    5,393,877

    Asia

    0

    114,256

    114,256

    Europe

    808,526

    1,828,929

    2,637,455

    North America

    754,212

    1,582,328

    2,336,541

    Other

    87,985

    217,640

    305,626

    OTHER*

    5,325

    485,931

    491,256

    TOTAL

    1,656,049

    4,229,084

    5,885,133

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    40,895

    342,443

    330,138

    713,476

    Index

    470,840

    1,377,241

    2,832,321

    4,680,402

    Asia

    0

    0

    114,256

    114,256

    Europe

    0

    0

    2,307,813

    2,307,813

    North America

    470,840

    1,377,241

    105,072

    1,953,153

    Other

    0

    0

    305,180

    305,180

    OTHER*

    0

    0

    491,256

    491,256

    TOTAL

    511,735

    1,719,684

    3,653,715

    5,885,134

    * 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*

    2,555,472

    6,640,385

    756,627

    1,817,786

    Asia

    0

    194,649

    0

    33,862

    Europe

    1,339,464

    2,950,459

    277,589

    707,399

    North America

    1,079,403

    2,447,965

    429,022

    716,692

    Other

    136,605

    1,047,312

    50,016

    359,833

    TOTAL

    2,555,472

    6,640,385

    756,627

    1,817,786

    * 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

    61,964

    618,085

    585,170

    19,825

    66,800

    75,107

    Index

    644,286

    2,039,400

    4,587,480

    297,394

    715,082

    1,077,160

    Asia

    0

    0

    194,649

    0

    0

    33,862

    Europe

    0

    0

    3,705,621

    0

    0

    910,005

    North America

    644,286

    2,039,400

    163,582

    297,394

    715,082

    46,562

    Other

    0

    0

    523,628

    0

    0

    86,731

    OTHER*

    0

    0

    659,471

    0

    0

    323,042

    TOTAL

    706,250

    2,657,485

    5,832,121

    317,219

    781,882

    1,475,309

    * 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.