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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    product

    Cleared2

    Uncleared

    Total

    Index Tranche / Index

    2,206,303

    1,726,042

    3,932,345

    Asia

    14,184

    87,308

    101,492

    Europe

    1,428,497

    642,611

    2,071,108

    North America

    714,974

    918,041

    1,633,014

    Other

    48,648

    78,083

    126,731

    OTHER*

    1,173

    898,901

    900,075

    TOTAL

    2,207,476

    2,624,944

    4,832,420

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

    CDS by Grade

    product

    HY6

    IG

    Other

    Total

    Index Tranche

    33,358

    151,776

    152,285

    337,420

    Index

    337,777

    1,049,905

    2,207,243

    3,594,925

    Asia

    0

    0

    101,382

    101,382

    Europe

    0

    0

    1,918,932

    1,918,932

    North America

    337,777

    1,049,905

    60,198

    1,447,880

    Other

    0

    0

    126,731

    126,731

    OTHER*

    521,222

    0

    378,853

    900,075

    TOTAL

    892,357

    1,201,681

    2,738,381

    4,832,420

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

    CDS by Participant & Status

     

    Swap Dealers/MSPs5

    Others

    product

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Index Tranche / Index / Other*

    3,522,811

    3,585,293

    892,141

    1,664,595

    Asia

    25,789

    148,955

    2,579

    25,662

    Europe

    2,454,556

    995,804

    402,438

    289,418

    North America

    964,304

    1,297,386

    465,644

    538,695

    Other

    78,162

    1,143,148

    21,481

    810,820

    TOTAL

    3,522,811

    3,585,293

    892,141

    1,664,595

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

    CDS by Participant & Grade

     

    Swap Dealers/MSPs5

    Others

    product

    HY6

    IG

    Other

    HY

    IG

    Other

    Index Tranche

    51,497

    237,019

    233,341

    15,220

    66,533

    71,230

    Index

    440,321

    1,447,566

    3,682,177

    235,233

    652,244

    732,309

    Asia

    0

    0

    174,599

    0

    0

    28,165

    Europe

    0

    0

    3,217,165

    0

    0

    620,700

    North America

    440,321

    1,447,566

    85,287

    235,233

    652,244

    35,108

    Other

    0

    0

    205,127

    0

    0

    48,335

    OTHER*

    542,154

    0

    474,029

    500,290

    0

    283,677

    TOTAL

    1,033,971

    1,684,585

    4,389,547

    750,743

    718,777

    1,087,216

    * 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.