BIS Statistics Explorer: Table D10.2

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
« ‹ H2 2020 › »			Total	CCPs	Banks and securities firms	Insurance and financial guaranty firms	SPVs, SPCc and SPEs	Hedge funds	Other
			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