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

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
Index Tranche / Index / Other* 4,236,363 2,062,484 1,450,362 1,035,308
Asia 104,776 119,708 15,687 19,810
Europe 3,081,931 361,928 727,904 163,821
North America 1,002,091 801,948 680,922 326,050
Other 47,565 778,900 25,849 525,627
TOTAL 4,236,363 2,062,484 1,450,362 1,035,308
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche 96,788 199,021 0 26,982 107,184 0
Index 811,064 4,363,338 118,918 322,968 1,477,031 52,685
Asia 0 224,484 0 0 35,497 0
Europe 509,869 2,768,701 0 113,608 697,867 0
North America 301,195 1,370,153 2,281 209,361 743,667 139
Other 0 0 116,636 0 0 52,546
OTHER* 96,935 548,734 64,049 77,533 361,570 59,717
TOTAL 1,004,788 5,111,093 182,967 427,483 1,945,785 112,402
             
* 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]