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Table
D10.2
Structure
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Credit default swaps, by rating category
Notional amounts outstanding, in billions of US dollars
«
‹
H2 2017
›
»
Total
Reporting dealers
Other financial institutions
Non-financial institutions
Total
CCPs
Banks and securities firms
Insurance and financial guaranty firms
SPVs, SPCc and SPEs
Hedge funds
Other
Total CDS contracts
Investment grade
6,008
1,457
4,438
3,525
269
55
61
203
325
113
Bought (gross basis)
3,811
1,457
2,288
1,763
167
32
40
96
190
66
Sold (gross basis)
3,654
1,458
2,150
1,762
102
23
21
107
134
47
AAA/AA
788
259
511
275
65
14
14
44
99
18
Bought (gross basis)
554
262
279
130
44
9
12
23
61
13
Sold (gross basis)
492
255
232
144
22
4
3
21
38
5
A/BBB
5,220
1,198
3,927
3,250
204
42
47
159
226
95
Bought (gross basis)
3,257
1,194
2,009
1,632
123
23
29
72
130
54
Sold (gross basis)
3,162
1,203
1,918
1,618
81
19
18
86
96
41
Below investment grade
2,049
500
1,487
1,085
87
23
8
110
175
61
Bought (gross basis)
1,295
505
759
548
48
11
5
52
94
30
Sold (gross basis)
1,255
495
728
537
39
12
3
57
82
31
Non-rated
1,216
342
836
521
98
32
7
63
115
38
Bought (gross basis)
809
345
443
265
52
15
5
32
74
22
Sold (gross basis)
749
340
393
256
46
17
2
31
41
16
Single-name instruments
Investment grade
3,224
1,128
2,053
1,512
194
31
36
114
166
43
Bought (gross basis)
2,196
1,125
1,043
744
123
20
30
39
86
28
Sold (gross basis)
2,156
1,130
1,010
768
70
11
6
75
80
15
AAA/AA
634
209
416
263
49
8
7
22
66
9
Bought (gross basis)
426
208
213
127
35
6
5
7
33
6
Sold (gross basis)
416
209
204
137
14
3
2
15
32
3
A/BBB
2,590
919
1,637
1,249
144
23
29
91
101
34
Bought (gross basis)
1,770
917
830
617
89
14
25
32
53
22
Sold (gross basis)
1,739
921
806
631
56
8
4
59
47
12
Below investment grade
985
355
621
441
56
6
5
65
47
8
Bought (gross basis)
674
357
312
219
30
3
5
27
28
5
Sold (gross basis)
666
353
309
222
26
3
1
38
20
4
Non-rated
303
136
161
75
31
9
6
14
26
7
Bought (gross basis)
235
141
89
39
22
6
4
4
15
4
Sold (gross basis)
204
130
71
36
9
4
2
10
11
2
Multi-name instruments
Investment grade
2,784
329
2,385
2,013
75
24
25
89
158
70
Bought (gross basis)
1,615
331
1,245
1,019
43
12
10
56
104
39
Sold (gross basis)
1,498
327
1,140
994
32
12
14
33
55
31
AAA/AA
154
50
95
12
16
5
7
22
33
9
Bought (gross basis)
128
54
67
4
9
4
6
16
27
7
Sold (gross basis)
76
46
28
8
7
2
0
6
6
2
A/BBB
2,630
279
2,290
2,002
59
19
18
67
125
61
Bought (gross basis)
1,487
277
1,178
1,015
34
8
4
40
76
32
Sold (gross basis)
1,423
282
1,112
987
25
10
14
27
49
29
Below investment grade
1,064
145
866
643
31
17
3
44
128
53
Bought (gross basis)
621
148
447
329
18
8
1
26
66
26
Sold (gross basis)
589
142
420
315
13
9
2
19
62
27
Non-rated
913
206
675
446
67
22
2
49
90
31
Bought (gross basis)
574
203
353
226
29
9
1
28
60
18
Sold (gross basis)
545
209
322
220
38
13
0
21
30
14