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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    2,085,102

    4,437,901

    6,523,003

    Asia

    0

    114,943

    114,943

    Europe

    987,926

    2,207,351

    3,195,277

    North America

    1,013,293

    1,883,401

    2,896,693

    Other

    83,883

    232,207

    316,090

    OTHER*

    0

    589,436

    589,436

    TOTAL

    2,085,102

    5,027,337

    7,112,439

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    48,223

    460,239

    385,942

    894,404

    Europe

    0

    0

    385,582

    385,582

    North America / Other

    48,223

    460,239

    360

    508,822

    Index

    542,623

    1,747,539

    3,338,439

    5,628,601

    Asia

    0

    0

    114,943

    114,943

    Europe

    0

    0

    2,809,696

    2,809,696

    North America

    542,623

    1,747,539

    97,860

    2,388,022

    Other

    0

    0

    315,940

    315,940

    OTHER*

    0

    0

    589,436

    589,436

    TOTAL

    590,846

    2,207,778

    4,313,817

    7,112,441

    * 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*

    3,121,364

    7,991,104

    1,048,839

    2,063,570

    Asia

    0

    190,842

    0

    39,043

    Europe

    1,572,233

    3,621,339

    403,619

    793,363

    North America

    1,438,447

    2,997,487

    588,138

    769,314

    Other

    110,684

    413,872

    57,082

    50,541

    TOTAL

    3,121,364

    7,991,104

    1,048,839

    2,063,570

    * 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

    77,221

    838,090

    692,748

    19,224

    82,387

    79,135

    Index

    720,042

    2,645,005

    5,371,798

    365,204

    850,074

    1,305,079

    Asia

    0

    0

    190,842

    0

    0

    39,043

    Europe

    0

    0

    4,501,370

    0

    0

    1,118,022

    North America

    720,042

    2,645,005

    155,255

    365,204

    850,074

    40,465

    Other

    0

    0

    524,331

    0

    0

    107,549

    OTHER*

    0

    0

    767,564

    0

    0

    411,309

    TOTAL

    797,263

    3,483,095

    6,832,110

    384,428

    932,461

    1,795,523

    * 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.