| 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 |