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DER
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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 2020
›
»
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
4,718
777
3,847
3,085
186
56
37
150
334
94
Bought (gross basis)
2,840
777
1,996
1,558
108
34
25
85
187
67
Sold (gross basis)
2,655
777
1,850
1,527
78
22
12
65
147
28
AAA/AA
614
123
449
277
37
14
7
32
82
42
Bought (gross basis)
400
119
248
138
21
9
6
19
55
32
Sold (gross basis)
337
126
200
139
16
5
1
14
27
10
A/BBB
4,104
654
3,398
2,808
149
42
30
118
252
52
Bought (gross basis)
2,441
658
1,748
1,420
87
25
18
66
132
34
Sold (gross basis)
2,318
650
1,650
1,388
62
17
11
52
120
18
Below investment grade
1,741
261
1,434
1,033
110
15
16
63
197
46
Bought (gross basis)
1,013
268
728
523
58
10
8
31
98
18
Sold (gross basis)
989
255
707
511
52
5
8
31
99
27
Non-rated
1,673
200
1,431
1,091
63
22
9
61
184
42
Bought (gross basis)
993
206
761
554
41
7
9
38
112
26
Sold (gross basis)
880
195
670
537
22
15
1
23
72
16
Single-name instruments
Investment grade
2,496
623
1,825
1,440
138
34
26
66
121
48
Bought (gross basis)
1,591
633
921
713
78
21
21
24
65
36
Sold (gross basis)
1,528
613
904
727
60
13
5
42
56
12
AAA/AA
361
89
258
188
28
8
5
13
16
13
Bought (gross basis)
231
90
129
90
19
5
4
6
6
12
Sold (gross basis)
220
89
129
98
9
4
1
7
11
1
A/BBB
2,135
534
1,567
1,252
110
26
21
53
105
35
Bought (gross basis)
1,360
543
792
622
60
16
17
18
60
24
Sold (gross basis)
1,309
524
774
630
50
10
4
35
45
11
Below investment grade
667
170
490
370
35
4
6
32
44
7
Bought (gross basis)
421
176
242
177
19
2
6
13
25
3
Sold (gross basis)
415
163
248
193
16
1
1
18
19
4
Non-rated
230
62
156
70
35
5
3
5
38
12
Bought (gross basis)
159
65
86
33
24
3
3
2
21
9
Sold (gross basis)
133
58
70
37
11
1
0
4
17
4
Multi-name instruments
Investment grade
2,222
154
2,022
1,645
48
22
11
84
213
46
Bought (gross basis)
1,250
144
1,075
845
30
13
4
61
122
31
Sold (gross basis)
1,126
164
947
800
18
9
7
23
91
15
AAA/AA
253
33
190
89
9
6
2
19
66
29
Bought (gross basis)
169
29
119
48
2
5
2
13
50
21
Sold (gross basis)
117
37
71
41
6
1
...
6
16
9
A/BBB
1,969
121
1,831
1,556
39
16
9
64
147
17
Bought (gross basis)
1,081
115
956
798
28
9
2
48
72
10
Sold (gross basis)
1,009
127
875
758
12
7
7
16
75
7
Below investment grade
1,075
92
944
664
75
11
10
31
153
39
Bought (gross basis)
592
91
486
346
38
7
2
18
73
15
Sold (gross basis)
575
92
458
318
36
4
8
13
80
24
Non-rated
1,443
139
1,275
1,021
28
17
7
56
146
29
Bought (gross basis)
834
141
676
521
17
4
6
37
91
17
Sold (gross basis)
747
136
599
500
11
13
0
20
55
12