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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,731,166

    3,814,203

    5,545,369

    Asia

    0

    113,345

    113,345

    Europe

    910,014

    1,893,848

    2,803,861

    North America

    731,139

    1,583,084

    2,314,223

    Other

    90,014

    223,926

    313,940

    OTHER*

    1,400

    431,922

    433,322

    TOTAL

    1,732,566

    4,246,125

    5,978,692

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    41,330

    351,275

    331,361

    723,966

    Index

    452,949

    1,358,477

    3,009,977

    4,821,403

    Asia

    0

    0

    113,345

    113,345

    Europe

    0

    0

    2,472,995

    2,472,995

    North America

    452,949

    1,358,477

    110,142

    1,921,568

    Other

    0

    0

    313,495

    313,495

    OTHER*

    0

    0

    433,322

    433,322

    TOTAL

    494,279

    1,709,752

    3,774,660

    5,978,691

    * 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*

    2,718,310

    6,635,317

    746,823

    1,856,933

    Asia

    0

    193,710

    0

    32,980

    Europe

    1,515,781

    3,059,948

    304,247

    727,747

    North America

    1,069,438

    2,427,730

    392,840

    738,438

    Other

    133,091

    953,929

    49,736

    357,768

    TOTAL

    2,718,310

    6,635,317

    746,823

    1,856,933

    * 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

    63,143

    627,051

    585,243

    19,518

    75,499

    77,481

    Index

    618,683

    2,017,560

    4,895,463

    287,214

    699,394

    1,124,492

    Asia

    0

    0

    193,710

    0

    0

    32,980

    Europe

    0

    0

    3,991,352

    0

    0

    954,638

    North America

    618,683

    2,017,560

    170,681

    287,214

    699,394

    49,604

    Other

    0

    0

    539,720

    0

    0

    87,270

    OTHER*

    0

    0

    546,485

    0

    0

    320,159

    TOTAL

    681,826

    2,644,611

    6,027,191

    306,732

    774,893

    1,522,132

    * 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.