|
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 |
|
|
|
|
|
|
|
|