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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,822,079

    4,947,038

    6,769,117

    Asia

    -

    121,436

    121,436

    Europe

    872,574

    2,294,509

    3,167,083

    North America

    931,381

    2,242,222

    3,173,604

    Other

    18,124

    288,871

    306,994

    OTHER*

    2,060

    573,541

    575,601

    TOTAL

    1,824,140

    5,520,578

    7,344,718

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    44,702

    403,489

    387,661

    835,852

    Europe

    -

    -

    387,481

    387,481

    North America/Asia

    44,702

    403,489

    180

    448,371

    Index

    573,780

    2,046,684

    3,312,799

    5,933,263

    Asia

    -

    -

    121,436

    121,436

    Europe

    -

    -

    2,779,602

    2,779,602

    North America

    573,780

    2,046,684

    104,767

    2,725,231

    Other

    -

    -

    306,994

    306,994

    OTHER*

    -

    -

    575,601

    575,601

    TOTAL

    618,482

    2,450,173

    4,276,061

    7,344,716

    *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

    2,920,610

    7,715,999

    723,548

    2,178,075

    Asia

    -

    193,257

    -

    49,614

    Europe

    1,450,951

    3,712,056

    294,197

    876,962

    North America

    1,440,822

    3,345,181

    421,940

    1,139,263

    Other

    28,837

    465,505

    7,411

    112,236

    OTHER*

    1,200

    775,819

    2,920

    371,261

    TOTAL

    2,921,810

    8,491,818

    726,468

    2,549,336

    *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

    73,224

    727,100

    676,361

    16,180

    79,878

    98,961

    Index

    776,538

    3,047,868

    5,335,518

    371,023

    1,045,501

    1,290,081

    Asia

    -

    -

    193,257

    -

    -

    49,614

    Europe

    -

    -

    4,486,906

    -

    -

    1,072,298

    North America

    776,538

    3,047,868

    161,013

    371,023

    1,045,501

    48,522

    Other

    -

    -

    494,342

    -

    -

    119,647

    OTHER*

    -

    -

    777,019

    -

    -

    374,181

    TOTAL

    849,762

    3,774,968

    6,788,898

    387,203

    1,125,379

    1,763,223

    *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.