Index Swaption Positions as of 21-Mar-2014


Explanation of Data (pdf)

Index/Sub-Index/Index Tranche Product Type Gross Notional (USD EQ) Net Notional (USD EQ) Contracts Week
CDX.NA.HY.21 Untranched 32,806,180,000 10,378,630,000 590 3/21/2014
CDX.NA.IG.21 Untranched 156,398,445,000 49,540,800,000 1,850 3/21/2014
ITRAXX EUROPE CROSSOVER SERIES 20 Untranched 20,196,069,092 4,687,219,897 390 3/21/2014
ITRAXX EUROPE SENIOR FINANCIALS SERIES 20 Untranched 10,048,969,077 3,082,971,293 106 3/21/2014
ITRAXX EUROPE SERIES 20 Untranched 136,813,575,972 35,477,068,209 3,336 3/21/2014
ITRAXX EUROPE SERIES 21 Untranched 5,302,296,817 5,104,490,069 148 3/21/2014
Index Swaptions - Other Untranched 11,544,995,039 3,930,185,797 77 3/21/2014
Total Untranched 373,110,530,997 112,201,365,265 6,497 3/21/2014
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