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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 2023
› »
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
5,001
668
4,287
3,552
294
45
41
172
184
46
Bought (gross basis)
2,911
664
2,221
1,791
167
25
26
103
110
26
Sold (gross basis)
2,758
672
2,066
1,761
127
20
15
69
73
20
AAA/AA
516
98
409
263
40
9
6
47
44
9
Bought (gross basis)
324
91
227
128
29
4
5
33
29
5
Sold (gross basis)
289
104
182
135
12
5
2
14
15
4
A/BBB
4,485
571
3,878
3,289
253
36
35
125
140
37
Bought (gross basis)
2,587
573
1,994
1,662
138
20
21
70
82
20
Sold (gross basis)
2,469
568
1,884
1,626
115
15
14
55
59
16
Below investment grade
1,937
203
1,720
1,310
224
15
9
91
71
14
Bought (gross basis)
1,106
211
890
671
117
10
5
49
37
5
Sold (gross basis)
1,034
194
830
639
107
5
4
42
34
10
Non-rated
2,447
219
2,199
1,738
199
40
16
96
111
29
Bought (gross basis)
1,392
224
1,149
900
96
21
10
57
66
19
Sold (gross basis)
1,274
213
1,050
838
103
19
6
39
45
10
Single-name instruments
Investment grade
2,583
513
2,043
1,567
247
28
24
87
91
27
Bought (gross basis)
1,587
520
1,048
777
140
15
20
40
55
19
Sold (gross basis)
1,509
505
995
789
107
13
4
47
36
8
AAA/AA
319
64
249
176
37
7
4
13
13
6
Bought (gross basis)
198
62
132
84
26
3
3
8
7
5
Sold (gross basis)
185
66
117
92
10
4
1
5
6
1
A/BBB
2,264
449
1,794
1,391
210
21
20
75
78
21
Bought (gross basis)
1,389
458
916
693
113
12
17
33
48
15
Sold (gross basis)
1,324
440
878
698
96
9
3
42
30
7
Below investment grade
554
130
421
325
38
2
5
28
24
4
Bought (gross basis)
353
133
217
160
23
1
3
14
17
3
Sold (gross basis)
331
126
204
165
16
1
2
14
7
1
Non-rated
377
73
290
162
60
18
6
19
26
14
Bought (gross basis)
253
82
160
82
41
7
4
10
16
11
Sold (gross basis)
197
63
130
80
18
11
2
9
10
3
Multi-name instruments
Investment grade
2,418
156
2,244
1,985
47
17
17
84
93
18
Bought (gross basis)
1,324
145
1,173
1,013
27
10
5
62
55
7
Sold (gross basis)
1,249
167
1,071
972
20
7
12
22
38
12
AAA/AA
197
34
160
87
4
2
2
35
31
3
Bought (gross basis)
126
30
96
44
2
1
1
25
22
1
Sold (gross basis)
105
38
65
43
1
0
1
10
9
2
A/BBB
2,221
122
2,083
1,898
44
15
15
50
62
15
Bought (gross basis)
1,198
115
1,077
969
25
8
4
38
34
6
Sold (gross basis)
1,144
129
1,006
929
19
7
11
12
29
9
Below investment grade
1,382
73
1,299
985
186
12
4
64
48
11
Bought (gross basis)
753
78
673
512
94
8
3
35
20
2
Sold (gross basis)
702
68
626
474
92
4
1
28
27
8
Non-rated
2,070
146
1,910
1,576
139
22
10
77
85
15
Bought (gross basis)
1,139
142
989
818
55
13
6
47
50
7
Sold (gross basis)
1,077
150
920
758
85
8
4
30
35
7