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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    2,235,139

    4,491,711

    6,726,850

    Asia

    0

    114,586

    114,586

    Europe

    1,061,883

    2,242,384

    3,304,266

    North America

    1,086,756

    1,903,590

    2,990,346

    Other

    86,500

    231,151

    317,651

    OTHER*

    0

    494,125

    494,125

    TOTAL

    2,235,139

    4,985,837

    7,220,976

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    48,942

    460,003

    390,811

    899,756

    Europe

    0

    0

    390,451

    390,451

    North America / Other

    48,942

    460,003

    360

    509,305

    Index

    558,874

    1,824,359

    3,443,861

    5,827,094

    Asia

    0

    0

    114,586

    114,586

    Europe

    0

    0

    2,913,815

    2,913,815

    North America

    558,874

    1,824,359

    97,959

    2,481,192

    Other

    0

    0

    317,501

    317,501

    OTHER*

    0

    0

    494,126

    494,126

    TOTAL

    607,816

    2,284,362

    4,328,798

    7,220,976

    * 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*

    3,253,999

    7,933,641

    1,216,280

    2,038,033

    Asia

    0

    189,540

    0

    39,633

    Europe

    1,657,647

    3,673,350

    466,118

    811,417

    North America

    1,481,629

    3,024,298

    691,884

    782,883

    Other

    114,723

    411,736

    58,278

    50,566

    TOTAL

    3,253,999

    7,933,641

    1,216,280

    2,038,033

    * 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

    78,198

    837,695

    701,277

    19,685

    82,312

    80,345

    Index

    744,174

    2,689,848

    5,501,730

    373,573

    958,869

    1,385,994

    Asia

    0

    0

    189,540

    0

    0

    39,633

    Europe

    0

    0

    4,630,265

    0

    0

    1,197,365

    North America

    744,174

    2,689,848

    155,691

    373,573

    958,869

    40,227

    Other

    0

    0

    526,234

    0

    0

    108,769

    OTHER*

    0

    0

    634,717

    0

    0

    353,534

    TOTAL

    822,372

    3,527,543

    6,837,724

    393,258

    1,041,181

    1,819,873

    * 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.