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Gross Notional Outstanding - Credit (Millions of USD)

  • CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    2,411,774

    5,111,976

    7,523,750

    Asia

    -

    121,429

    121,429

    Europe

    1,037,711

    2,459,910

    3,497,621

    North America

    1,358,033

    2,303,697

    3,661,729

    Other

    16,030

    226,941

    242,971

    Other

    -

    554,276

    554,276

    Exotic/Total Return Swap

    -

    50,937

    50,937

    Swaptions

    -

    503,340

    503,340

    TOTAL

    2,411,774

    5,666,252

    8,078,026

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    45,803

    417,542

    408,468

    871,813

    Europe

    -

    -

    402,957

    402,957

    North America/Asia

    45,803

    417,542

    5,511

    468,856

    Index

    623,256

    2,466,654

    3,562,026

    6,651,936

    Asia

    -

    -

    121,429

    121,429

    Europe

    -

    -

    3,094,664

    3,094,664

    North America

    623,256

    2,466,654

    102,962

    3,192,872

    Other

    -

    -

    242,971

    242,971

    OTHER*

    -

    -

    554,276

    554,276

    TOTAL

    669,059

    2,884,196

    4,524,770

    8,078,025

    *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

    3,503,457

    8,002,860

    1,320,092

    2,221,091

    Asia

    -

    191,861

    -

    50,996

    Europe

    1,437,545

    3,979,487

    637,878

    940,333

    North America

    2,040,773

    3,434,226

    675,292

    1,173,167

    Other

    25,139

    397,286

    6,922

    56,595

    Other

    -

    734,775

    -

    373,777

    Exotic/Total Return Swap

    -

    63,290

    -

    38,583

    Swaptions

    -

    671,485

    -

    335,194

    TOTAL

    3,503,457

    8,737,635

    1,320,092

    2,594,868

    CDS by Participant & Grade

     

    Swap Dealers/MSPs5

    Others

    Product1

    HY6

    IG

    Other

    HY

    IG

    Other

    Index Tranche

    73,638

    756,537

    706,478

    17,969

    78,546

    110,458

    Index

    851,620

    3,626,760

    5,491,284

    394,892

    1,306,549

    1,632,769

    Asia

    -

    -

    191,861

    -

    -

    50,996

    Europe

    -

    -

    4,717,402

    -

    -

    1,471,926

    North America

    851,620

    3,626,760

    159,596

    394,892

    1,306,549

    46,329

    Other

    -

    -

    422,425

    -

    -

    63,518

    OTHER*

    -

    -

    734,775

    -

    -

    373,777

    TOTAL

    925,258

    4,383,297

    6,932,537

    412,861

    1,385,095

    2,117,004

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

    NOTES

    Gross notional amount outstanding, April 4 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.