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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
«
‹
H1 2018
›
»
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
5,321
1,276
3,935
3,093
205
60
43
215
319
110
Bought (gross basis)
3,374
1,271
2,037
1,549
131
35
31
107
183
66
Sold (gross basis)
3,223
1,280
1,898
1,543
74
25
11
108
136
44
AAA/AA
696
206
469
260
56
11
12
44
86
21
Bought (gross basis)
481
206
257
128
37
8
10
24
50
17
Sold (gross basis)
421
205
212
132
19
3
2
20
36
4
A/BBB
4,625
1,070
3,466
2,833
149
49
30
172
233
89
Bought (gross basis)
2,893
1,065
1,779
1,422
94
26
22
83
133
49
Sold (gross basis)
2,802
1,075
1,686
1,411
55
22
9
89
100
41
Below investment grade
1,857
439
1,336
948
63
25
6
113
182
82
Bought (gross basis)
1,162
446
678
471
36
14
4
56
97
38
Sold (gross basis)
1,135
432
658
478
27
10
2
56
85
44
Non-rated
1,077
259
778
472
102
25
7
53
119
39
Bought (gross basis)
695
265
407
239
51
13
5
29
69
23
Sold (gross basis)
641
253
371
234
51
11
2
23
50
17
Single-name instruments
Investment grade
2,961
990
1,939
1,495
133
30
27
97
157
33
Bought (gross basis)
1,991
985
985
741
93
19
22
32
79
22
Sold (gross basis)
1,959
994
954
754
40
11
5
65
78
11
AAA/AA
556
170
378
248
39
7
6
18
59
8
Bought (gross basis)
367
169
192
123
28
5
4
5
27
5
Sold (gross basis)
359
171
186
125
11
2
2
14
33
3
A/BBB
2,405
820
1,561
1,247
94
22
21
79
98
25
Bought (gross basis)
1,625
816
792
618
65
13
18
27
52
17
Sold (gross basis)
1,600
823
769
629
29
9
3
52
46
8
Below investment grade
865
306
553
403
36
6
3
59
44
7
Bought (gross basis)
586
306
276
197
22
4
3
24
26
4
Sold (gross basis)
585
305
277
206
14
3
0
35
18
3
Non-rated
254
106
141
59
27
6
5
12
31
8
Bought (gross basis)
194
111
77
30
18
5
3
3
17
5
Sold (gross basis)
166
100
64
29
9
1
2
9
14
2
Multi-name instruments
Investment grade
2,360
286
1,996
1,598
72
30
15
118
162
78
Bought (gross basis)
1,382
286
1,052
809
38
16
9
75
105
44
Sold (gross basis)
1,263
286
944
789
34
14
6
43
58
34
AAA/AA
140
36
91
12
17
4
6
26
27
13
Bought (gross basis)
114
37
65
4
9
3
5
19
23
12
Sold (gross basis)
61
34
26
7
8
1
0
6
3
1
A/BBB
2,220
250
1,905
1,586
55
26
10
93
135
65
Bought (gross basis)
1,268
249
987
804
29
13
4
56
81
32
Sold (gross basis)
1,202
252
918
782
26
13
6
37
54
32
Below investment grade
992
133
784
545
27
18
3
54
137
75
Bought (gross basis)
575
139
402
274
14
11
1
33
71
34
Sold (gross basis)
550
127
381
271
13
8
2
21
67
41
Non-rated
823
154
637
413
75
19
2
41
87
32
Bought (gross basis)
501
154
330
209
33
8
2
26
51
18
Sold (gross basis)
475
154
307
205
42
11
0
15
36
14