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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    1,434,312

    4,440,565

    5,874,877

    Asia

    0

    116,382

    116,382

    Europe

    651,225

    2,213,966

    2,865,190

    North America

    704,883

    1,870,783

    2,575,666

    Other

    78,204

    239,434

    317,639

    OTHER*

    0

    650,795

    650,795

    TOTAL

    1,434,312

    5,091,359

    6,525,671

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

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    51,269

    455,105

    386,738

    893,112

    Europe

    0

    0

    386,378

    386,378

    North America / Other

    51,269

    455,105

    360

    506,734

    Index

    459,769

    1,509,748

    3,012,249

    4,981,766

    Asia

    0

    0

    116,382

    116,382

    Europe

    0

    0

    2,478,812

    2,478,812

    North America

    459,769

    1,509,748

    99,566

    2,069,083

    Other

    0

    0

    317,489

    317,489

    OTHER*

    0

    0

    650,795

    650,795

    TOTAL

    511,038

    1,964,853

    4,049,782

    6,525,673

    * 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*

    2,222,304

    8,092,603

    646,320

    2,090,116

    Asia

    0

    194,123

    0

    38,640

    Europe

    1,034,596

    3,627,696

    267,853

    800,235

    North America

    1,082,775

    2,978,941

    326,992

    762,625

    Other

    104,933

    427,276

    51,475

    51,593

    TOTAL

    2,222,304

    8,092,603

    646,320

    2,090,116

    * 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

    81,595

    830,176

    692,067

    20,942

    80,035

    81,409

    Index

    644,111

    2,347,806

    4,854,585

    275,426

    671,690

    1,169,910

    Asia

    0

    0

    194,123

    0

    0

    38,640

    Europe

    0

    0

    3,970,770

    0

    0

    986,853

    North America

    644,111

    2,347,806

    157,708

    275,426

    671,690

    41,424

    Other

    0

    0

    531,984

    0

    0

    102,993

    OTHER*

    0

    0

    864,567

    0

    0

    437,023

    TOTAL

    725,706

    3,177,982

    6,411,219

    296,368

    751,725

    1,688,342

    * 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.