Index Swaption Transactions from 21-Sept-2013 to 20-Mar-2014


Explanation of Data (pdf)

Index/Sub-Index/Index Tranche Product Type Sept 21,2013 - Dec 20, 2013
Gross Notional (USD EQ)
Contracts Dec 21,2013 - Mar 20, 2014
Gross Notional (USD EQ)
Contracts
CDX.NA.HY.20 Untranched 2,579,664,615 69.6 206,230,769 4.3
CDX.NA.HY.21 Untranched 8,452,624,038 215.0 16,445,167,730 332.9
CDX.NA.IG.20 Untranched 10,005,166,153 112.6 966,765,384 7.2
CDX.NA.IG.21 Untranched 49,257,228,225 373.4 96,334,199,190 891.9
ITRAXX EUROPE CROSSOVER SERIES 19 Untranched 1,185,832,465 27.9 44,034,867 1.3
ITRAXX EUROPE CROSSOVER SERIES 20 Untranched 5,322,323,970 117.4 16,216,643,013 269.0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 20 Untranched 7,411,012,558 68.7 11,540,325,526 106.4
ITRAXX EUROPE SERIES 19 Untranched 11,977,167,862 56.9 802,124,298 6.1
ITRAXX EUROPE SERIES 20 Untranched 72,276,588,808 403.6 143,523,490,882 1,069.6
Index Swaptions - Other Untranched 2,242,451,954 23.6 1,031,240,957 12.7
Total 170,710,060,648 1,468.7 287,110,222,616 2,701.4
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