The Depository Trust and Clearing Corporation's redesigned Global Trade Repository service platform went live the weekend of November 20, 2020.
The redesign has necessitated changes to the code used by staff to produce the Weekly Swap Report (WSR) and precludes publication at this time.
Publication of the WSR is expected to resume in early 2021.
Gross Notional Outstanding - Credit (Millions of USD)
CDS by Product & Cleared Status
Product | Cleared2 | Uncleared | Total |
Index Tranche / Index | 2,839,753 | 948,237 | 3,787,990 |
Asia | 60,232 | 69,759 | 129,991 |
Europe | 1,904,917 | 262,875 | 2,167,792 |
North America | 841,507 | 563,999 | 1,405,506 |
Other | 33,097 | 51,604 | 84,701 |
OTHER* | 3,610 | 600,659 | 604,269 |
TOTAL | 2,843,363 | 1,548,896 | 4,392,259 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product & Grade
Product | HY6 | IG | Other | Total |
Index Tranche | 61,885 | 153,102 | 0 | 214,987 |
Index | 567,016 | 2,920,185 | 85,801 | 3,573,002 |
Asia | 0 | 129,991 | 0 | 129,991 |
Europe | 311,738 | 1,733,284 | 0 | 2,045,022 |
North America | 255,278 | 1,056,910 | 1,210 | 1,313,398 |
Other | 0 | 0 | 84,591 | 84,591 |
OTHER* | 87,234 | 455,152 | 61,883 | 604,269 |
TOTAL | 716,136 | 3,528,439 | 147,684 | 4,392,259 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Cleared Status
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Grade
* 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 Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected] |