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Market Liquidity Untranched On the run Index Trading

  1 Year Maturity – On-the-run Traded Notional % Traded Contracts %
Reference Entity Avg Daily Notional Avg Daily Contracts After 1 Roll After 2 Rolls After 3 Rolls After 1 Roll After 2 Rolls After 3 Rolls
CDX.NA.IG.15 39,683 0   0.00% 0.00%     0.00% 0.00%  
CDX.NA.IG.17 10,714 0                
  3 Year Maturity – On-the-run Traded Notional % Traded Contracts %
Reference Entity Avg Daily Notional Avg Daily Contracts After 1 Roll After 2 Rolls After 3 Rolls After 1 Roll After 2 Rolls After 3 Rolls
CDX.NA.HY.14 5,247,619 0   112.25% 40.83% 26.47%   150.00% 50.00% 37.50%
CDX.NA.HY.15 73,981,349.00 2   242.49% 123.08%     202.33% 117.21%  
CDX.NA.HY.16 1,785,714.00 0   0.00%       0.00%    
CDX.NA.HY.17 1,412,698.00 0                
CDX.NA.IG.14 3,095,238 0   35.90% 0.00% 0.00%   66.67% 0.00% 0.00%
CDX.NA.IG.15 90,444,444.00 1   81.80% 35.14%     80.77% 37.50%  
CDX.NA.IG.16 195,282,857.00 4   52.67%       98.27%    
CDX.NA.IG.17 3,047,619.00 0                
ITRAXX EUROPE CROSSOVER SERIES 15 139,523.00 0   0.00%       0.00%    
ITRAXX EUROPE CROSSOVER SERIES 16 196,520.00 0                
ITRAXX EUROPE SERIES 13 77,273,877 1   27.79% 24.70% 7.42%   25.97% 12.99% 15.58%
ITRAXX EUROPE SERIES 14 94,929,973.00 1   81.46% 26.06%     101.56% 31.25%  
ITRAXX EUROPE SERIES 15 522,042,776.00 3   52.93%       53.49%    
ITRAXX EUROPE SERIES 16 188,283,338.00 1                
  5 Year Maturity – On-the-run Traded Notional % Traded Contracts %
Reference Entity Avg Daily Notional Avg Daily Contracts After 1 Roll After 2 Rolls After 3 Rolls After 1 Roll After 2 Rolls After 3 Rolls
CDX.EM.13 653,311,722 56   14.47% 0.88% 2.16%   12.96% 1.88% 3.83%
CDX.EM.14 609,568,605 47   18.53% 9.89%     18.07% 16.54%  
CDX.EM.15 576,070,413 45   27.60%       22.30%    
CDX.EM.16 683,217,594 52                
CDX.NA.HY.14 3,201,424,158 175   14.04% 3.81% 1.86%   13.34% 1.77% 1.09%
CDX.NA.HY.15 3,033,870,818 171   26.96% 7.29%     25.16% 4.31%  
CDX.NA.HY.16 4,796,920,379 282   16.47%       16.18%    
CDX.NA.HY.17 3,761,579,034 264                
CDX.NA.IG.14 17,846,607,452 233   9.06% 1.07% 0.96%   14.09% 1.09% 1.06%
CDX.NA.IG.15 15,117,439,756 211   14.24% 2.51%     19.83% 2.46%  
CDX.NA.IG.16 20,306,272,879 287   14.51%       16.79%    
CDX.NA.IG.17 16,818,901,733 268                
ITRAXX ASIA EX-JAPAN IG SERIES 13 293,871,825 24   14.48% 2.54% 1.29%   11.37% 1.49% 1.23%
ITRAXX ASIA EX-JAPAN IG SERIES 14 220,469,841 16   29.58% 5.93%     20.21% 1.99%  
ITRAXX ASIA EX-JAPAN IG SERIES 15 344,582,270 22   26.72%       21.40%    
ITRAXX ASIA EX-JAPAN IG SERIES 16 344,224,087 25                
ITRAXX AUSTRALIA SERIES 13 458,939,325 31   7.84% 3.67% 1.21%   6.05% 2.52% 0.52%
ITRAXX AUSTRALIA SERIES 14 383,865,595 22   16.51% 4.68%     14.37% 2.95%  
ITRAXX AUSTRALIA SERIES 15 687,579,333 38   13.59%       14.72%    
ITRAXX AUSTRALIA SERIES 16 550,561,128 31                
ITRAXX EUROPE CROSSOVER SERIES 13 4,724,627,870 258   7.66% 0.53% 0.11%   5.62% 0.50% 0.05%
ITRAXX EUROPE CROSSOVER SERIES 14 4,277,090,544 213   9.94% 0.70%     8.62% 0.52%  
ITRAXX EUROPE CROSSOVER SERIES 15 6,446,917,452 341   8.59%       6.25%    
ITRAXX EUROPE CROSSOVER SERIES 16 5,174,328,007 360                
ITRAXX EUROPE HIVOL SERIES 13 624,028,767 15   16.67% 2.23% 3.22%   14.47% 1.58% 1.53%
ITRAXX EUROPE HIVOL SERIES 14 280,060,164 7   15.62% 4.15%     16.27% 2.48%  
ITRAXX EUROPE HIVOL SERIES 15 360,891,606 12   6.61%       8.20%    
ITRAXX EUROPE HIVOL SERIES 16 94,442,437 4                
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 4,128,750,448 99   10.15% 0.58% 1.00%   6.12% 0.31% 0.48%
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 4,306,970,551 105   10.11% 1.10%     10.54% 1.24%  
ITRAXX EUROPE SENIOR FINANCIALS SERIES 15 5,515,555,415 161   14.61%       10.47%    
ITRAXX EUROPE SENIOR FINANCIALS SERIES 16 4,573,329,125 173                
ITRAXX EUROPE SERIES 13 18,935,634,950 311   7.67% 0.61% 0.35%   6.12% 0.58% 0.34%
ITRAXX EUROPE SERIES 14 14,298,070,037 227   10.20% 1.21%     9.03% 1.76%  
ITRAXX EUROPE SERIES 15 20,141,622,147 324   13.03%       8.45%    
ITRAXX EUROPE SERIES 16 17,544,916,546 365                
ITRAXX EUROPE SUB FINANCIALS SERIES 13 1,124,509,741 40   16.76% 4.62% 0.59%   18.23% 1.57% 0.92%
ITRAXX EUROPE SUB FINANCIALS SERIES 14 1,208,599,616 47   18.46% 0.97%     19.52% 1.67%  
ITRAXX EUROPE SUB FINANCIALS SERIES 15 1,329,892,442 60   17.70%       19.49%    
ITRAXX EUROPE SUB FINANCIALS SERIES 16 792,506,653 51                
ITRAXX JAPAN SERIES 13 318,748,854 22   12.36% 2.03% 0.67%   10.08% 1.32% 0.95%
ITRAXX JAPAN SERIES 14 232,761,352 18   28.71% 5.95%     31.38% 6.87%  
ITRAXX JAPAN SERIES 15 331,588,186 23   20.60%       16.45%    
ITRAXX JAPAN SERIES 16 281,961,417 20                
ITRAXX SOVX WESTERN EUROPE SERIES 3 1,662,017,787 49   14.22% 2.35% 0.74%   9.66% 0.88% 0.93%
ITRAXX SOVX WESTERN EUROPE SERIES 4 1,794,971,797 55   11.02% 0.67%     9.81% 0.82%  
ITRAXX SOVX WESTERN EUROPE SERIES 5 1,708,768,042 103   6.72%       3.54%    
ITRAXX SOVX WESTERN EUROPE SERIES 6 405,824,877 67                
  7 Year Maturity – On-the-run Traded Notional % Traded Contracts %
Reference Entity Avg Daily Notional Avg Daily Contracts After 1 Roll After 2 Rolls After 3 Rolls After 1 Roll After 2 Rolls After 3 Rolls
CDX.NA.HY.15 682,540 0   32.56% 58.14%     100.00% 100.00%  
CDX.NA.HY.16 793,651 0   0.00%       0.00%    
CDX.NA.IG.14 27,579,365 0   50.66% 5.04% 8.63%   60.00% 15.00% 25.00%
CDX.NA.IG.15 69,440,476 1   22.00% 27.45%     30.56% 27.78%  
CDX.NA.IG.16 13,087,302 0   99.09%       55.56%    
CDX.NA.IG.17 660,714 0                
ITRAXX EUROPE SERIES 13 6,914,201 0   69.68% 0.00% 6.43%   54.55% 0.00% 36.36%
ITRAXX EUROPE SERIES 14 13,950,169 0   47.44% 25.58%     56.25% 25.00%  
ITRAXX EUROPE SERIES 15 145,464,653 2   67.46%       56.37%    
ITRAXX EUROPE SERIES 16 10,403,067 0                
  10 Year Maturity – On-the-run Traded Notional % Traded Contracts %
Reference Entity Avg Daily Notional Avg Daily Contracts After 1 Roll After 2 Rolls After 3 Rolls After 1 Roll After 2 Rolls After 3 Rolls
CDX.NA.HY.16 396,825 0                
CDX.NA.IG.14 33,763,889 1   132.97% 81.42% 61.12%   88.16% 31.58% 46.05%
CDX.NA.IG.15 99,839,444 2   74.08% 18.10%     50.48% 14.90%  
CDX.NA.IG.16 163,372,619 2   33.30%       26.98%    
CDX.NA.IG.17 76,622,857 1                
ITRAXX EUROPE CROSSOVER SERIES 13 3,208,274 0   9.90% 6.60% 4.32%   16.67% 16.67% 8.33%
ITRAXX EUROPE CROSSOVER SERIES 14 1,138,249 0   0.00% 0.00%     0.00% 0.00%  
ITRAXX EUROPE CROSSOVER SERIES 15 317,651 0   20.00%       66.67%    
ITRAXX EUROPE CROSSOVER SERIES 16 92,648 0                
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 26,883,855 0   9.06% 3.94% 27.29%   11.76% 1.96% 17.65%
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 16,456,435 0   8.80% 7.72%     9.09% 9.09%  
ITRAXX EUROPE SENIOR FINANCIALS SERIES 15 11,181,312 0   16.57%       14.29%    
ITRAXX EUROPE SENIOR FINANCIALS SERIES 16 2,541,207 0                
ITRAXX EUROPE SERIES 13 162,480,535 3   23.17% 4.33% 1.38%   14.78% 6.86% 2.11%
ITRAXX EUROPE SERIES 14 162,652,495 2   50.07% 4.97%     39.60% 6.80%  
ITRAXX EUROPE SERIES 15 487,731,539 5   63.01%       45.35%    
ITRAXX EUROPE SERIES 16 312,600,917 3                
ITRAXX EUROPE SUB FINANCIALS SERIES 13 12,218,971 0   34.66% 0.00% 0.00%   38.10% 0.00% 0.00%
ITRAXX EUROPE SUB FINANCIALS SERIES 14 3,441,218 0   0.00% 0.00%     0.00% 0.00%  
ITRAXX EUROPE SUB FINANCIALS SERIES 15 2,689,444 0   96.06%       360.00%    
ITRAXX SOVX WESTERN EUROPE SERIES 3 2,857,143 0   0.00% 19.44% 0.00%   0.00% 37.50% 0.00%
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