ch 1 market statistics
TRANSCRIPT
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 1/73
IN BILLI
INTEREST RATE SWAPS CURREN
Activity Outstandings Activity
1H87 181.50 43.50
2H87 206.30 682.80 42.30
1H88 250.50 60.30
2H88 317.60 1010.20 62.30
1H89 389.20 77.60
2H89 444.40 1502.60 92.00
1H90 561.50 94.602H90 702.80 2311.50 118.10
1H91 762.10 161.30
2H91 859.70 3065.10 167.10
1H92 1318.30 156.10
2H92 1504.30 3850.80 145.80
1H93 1938.40 156.80
2H93 2166.20 6177.30 138.40
1H94 3182.90 181.00
2H94 3058.00 8815.60 198.30
1H95 3428.90 10817.00 153.80
2H95 5269.90 12810.70 301.30
1H96 6520.30 15584.20 374.00
2H96 7157.90 19170.90 385.10
1H97 10792.20 22115.40 463.10
2H97 6274.90 22291.30 672.30
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 3/73
NS
Y SWAPS INTEREST RATE OPTIONS
Outstandings Activity Outstandings
1H87
182.80 2H87
1H88
316.80 327.30 2H88
186.80 1H89
434.80 148.70 537.30 2H89
138.00 1H90577.50 154.30 561.30 2H90
198.80 1H91
807.20 183.90 577.20 2H91
293.60 1H92
860.40 298.80 634.50 2H92
509.70 1H93
899.60 607.30 1397.60 2H93
850.20 1H94
914.80 663.00 1572.80 2H94
1039.70 675.80 2066.20 1H95
1197.40 1339.60 3704.50 2H95
1294.70 1415.70 4190.10 1H96
1559.60 1921.50 4722.60 2H96
1584.80 2566.60 5033.10 1H97
1823.60 1411.80 4920.10 2H97
1H98
2H98
1H99
2H99
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 5/73
TOTAL OF ALL ACTIVITY
Activity Outstandings
$225.0
$248.6 $865.6
$310.8
$379.9 $1,654.3
$653.6
$685.1 $2,474.7
$794.1$975.2 $3,450.3
$1,122.2
$1,210.7 $4,449.5
$1,768.0
$1,948.9 $5,345.7
$2,604.9
$2,911.9 $8,474.5
$4,214.1
$3,919.3 $11,303.2
$4,258.5 $13,922.9
$6,910.8 $17,712.6
$8,310.0 $21,068.9
$9,464.5 $25,453.1
$13,821.9 $28,733.3
$8,359.0 $29,035.0
$36,974.0
$50,997.0
$52,710.5
$58,265.0
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 6/73
$60,366.0
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 7/73
TABLE 19
AO!"T# O
B/ )%# AT
-%n iins
******************************************************************
"tina aunts
1998 1999 1999
c un c
******************************************************************
TOTAL O"T)AT# 80317 81458 88201
'ign :c;ang cntacts 18011 14899 14344
Outig;t <ads and : s<a=s 12063 9541 9593
uncy s<a=s 2253 2350 2444
O=tins 3695 3009 2307
%ntst at cntacts 50015 54072 60091 ')As 5756 7137 6775
#<a=s 36262 38372 43936
O=tins 7997 8562 9380
E>uity*in?d cntacts 1488 1511 1809
'<ads and s<a=s 146 198 283
O=tins 1342 1313 1527
dity cntacts 415 441 548
&d 182 189 243
Ot; cditis 233 252 305
'<ads and s<a=s 137 127 163 O=tins 97 125 143
Ot; 10388 10536 11408
andu it@
&)O## )E%T EO#!)E
******************************************************************
TABLE 20 A
AO!"T# O
B/ %"#T)!
-%n iins
****************************************************************** "tina aunts
1998 1999 1999
c un c un c u
******************************************************************
TOTAL O"T)AT# 18011 14899 14344
<it; =ting das 7284 5464 5392
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 8/73
<it; t; inancia institutins 7440 6429 6102
<it; nn*inancia custs 3288 3007 2850
Outig;t <ads and ign
:c;ang s<a=s 12063 9541 9593
<it; =ting das 5203 3667 3870
<it; t; inancia institutins 5084 4221 4123
<it; nn*inancia custs 1777 1653 1600
uncy s<a=s 2253 2350 2444
<it; =ting das 565 628 651
<it; t; inancia institutins 1024 1007 1072
<it; nn*inancia custs 664 715 721
O=tins 3695 3009 2307
<it; =ting das 1516 1169 871
<it; t; inancia institutins 1332 1201 908
<it; nn*inancia custs 847 639 529 ******************************************************************
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 9/73
T#TA"%"& O' O(E)*T+E*O!"TE) -OT E)%(AT%(E#
&O)/ A" %"#T)!E"T
# das
*****************************************************************
&ss a?t vaus
2000 1998 1999 1999
un c un c
***************************************************************
94037 3231 2628 2813
15494 786 582 662
10504 491 329 352
2605 200 192 250
2385 96 61 60
64125 1675 1357 13046771 15 12 12
47993 1509 1222 1150
9361 152 123 141
1671 236 244 359
348 44 52 71
1323 192 193 288
584 43 45 60
261 13 23 23
323 30 22 37
169 .. .. ..154 .. .. ..
12163 492 400 429
1329 1119 1023
*****************************************************************
!T#TA"%"& O' OT 'O)E%&" E+A"&E E)%(AT%(E#
E"T A" O!"TE)A)T/
# das
***************************************************************** &ss a?t vaus
2000 1998 1999 1999
c un
***************************************************************
15494 786 582 662
5827 336 200 214
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 10/73
6421 297 246 281
3246 153 136 167
10504 491 329 352
4210 254 135 149
4417 172 136 142
1877 65 58 61
2605 200 192 250
691 43 42 45
1123 89 87 119
792 68 62 87
2385 96 61 60
926 40 22 20
881 36 23 21
577 20 16 20*****************************************************************
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 11/73
2000
un
2581
578
283
239
55
123013
1072
145
293
62
231
80
19
61
....
400
937
2000
578
168
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 12/73
242
168
283
110
112
60
239
41
113
86
55
17
17
21
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 27/73
%#ACB%# data
"tina =inci=a utstanding &ss a?t vau
%)# #
87 0.683 0.183 0.6828 0.1828
88 1.010 0.317 1.0102 0.3168
89 1.503 0.435 1.5026 0.4348
90 2.312 0.578 2.3115 0.5775
91 3.065 0.807 3.0651 0.8072
92 3.851 0.860 3.8508 0.8604
93 6.177 0.900 6.1773 0.8996
94 8.816 0.915 8.8156 0.9148
95 12.811 1.197 12.8107 1.1974
96 19.171 1.560 19.1709 1.5596
97 22.291 1.824 22.2913 1.8236
98 36.262 2.253 36.262 2.253 98 1.51 0.2099 43.936 2.444 43.936 2.444 99 1.15 0.25
00 48.768 3.194 48.768 3.194 00 1.26 0.31
01 58.897 3.942 01 1.97 0.34
02 79.161 4.509 02 3.86 0.34
un*00 47.993 2.605 47.993 2.605 un*00 1.072 0.239
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 28/73
87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02
0.000
20.000
40.000
60.000
80.000
100.000
Size of the Swap Market (notional principal ot!tan"in# $tr%
%)# #
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 29/73
B%# data
"tina =inci=a utstanding
Annua
Tta g<t; ' %)
un*98 72.143 14.256 18.719 42.368
c*98 80.317 13.92 23D *5D 18.011 50.015
un*99 81.458 15.488 3D 23D 14.899 54.072
c*99 88.201 13.497 17D *26D 14.344 60.091
un*00 94.037 13.904 13D 6D 15.494 64.125
c*00 95.199 14.215 2D 4D 15.666 64.668
un*01 99.755 19.522 10D 75D 16.910 67.465
c*01 111.178 23.798 23D 44D 16.748 77.568
un*02 127.564 24.083 29D 2D 18.075 89.995
c*02 141.737 23.874 22D *2D 18.469 101.699c*03 197.167 36.740 78D 108D 24.475 141.991
un*04 220.058 52.802 23D 87D 26.997 164.626
22.1D 28.8D
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 30/73
&n'98 ec'98 &n'99 ec'99 &n'00 ec'00 &n'01 ec'01 &n'02 ec'0
0
20
40
60
80
100
120
140
)otal eri*ati*e Market (+S trillion!%
,ntere!t rate -
&n'
98
ec'
98
&n'
99
ec'
99
&n'
00
ec'
00
&n'
01
ec'
01
&n'
02
ec'
02
ec'
03
&n'
04
0
50
100
150
200
250
)otal /) eri*ati*e Market (+S trillion!%
/) chan#e'tra"e"
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 32/73
ata taken fro ,S report for ec 2000
' %) E
tta 15.666 64.668 1.891 82.225
1 12.888 24.107 0.83 37.825 46.00D
1*5 1.902 25.923 0.95 28.775 35.00D
F5 0.876 14.638 0.11 15.624 19.00D
tta ' %) %) '
A$ 0.387 0.184 0.71D 0.28D 1.24D
$ 0.623 0.84 1.82D 1.30D 1.99D
0.04 0.308 0.43D 0.48D 0.13D
E 5.981 21.311 33.97D 32.95D 19.09D
+$ 0.45 0.186 0.79D 0.29D 1.44D
/ 4.254 13.107 21.61D 20.27D 13.58D
"G$ 0.003 0.003 0.01D 0.00D 0.01D
" 0.103 0.295 0.50D 0.46D 0.33D&B 2.391 4.852 9.02D 7.50D 7.63D
# 0.456 1.136 1.98D 1.76D 1.46D
+' 0.848 1.356 2.74D 2.10D 2.71D
T+B 0.018 0.02D 0.00D 0.06D
!#$ 14.073 19.421 41.69D 30.03D 44.92D
Ot; 1.45 1.316 3.44D 2.04D 4.63D
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 33/73
ata taken fro ,S report for &ne 2001
' %) E
tta 16.91 67.466 84.376
1 13.012 25.605 38.617 45.77D
1*5 2.833 26.308 29.141 34.54D
F5 1.065 15.553 16.618 19.70D
tta ' %) %) '
A$ 0.00D 0.00D 0.00D
$ 0.675 0.785 1.73D 1.16D 2.00D
0.00D 0.00D 0.00D
E 6.425 22.405 34.17D 33.21D 19.00D
+$ 0.00D 0.00D 0.00D
/ 4.254 11.278 18.41D 16.72D 12.58D
"G$ 0.00D 0.00D 0.00D
" 0.00D 0.00D 0.00D&B 2.472 5.178 9.07D 7.67D 7.31D
# 0.501 0.997 1.78D 1.48D 1.48D
+' 0.829 1.167 2.37D 1.73D 2.45D
T+B 0.00D 0.00D 0.00D
!#$ 15.141 23.083 45.30D 34.21D 44.77D
Ot; 3.523 2.572 7.22D 3.81D 10.42D
33.82 67.465 100.00D 100.00D
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 34/73
ata taken fro ,S report for ec 2001
' %) Tta
tta 16.748 77.513 94.261
1 13.427 80D 27.879 36D 41.306 43.82D
1*5 2.34 14D 30.542 39D 32.882 34.88D
F5 0.981 6D 19.092 25D 20.073 21.30D
tta ' %) %) '
A$ 0.00D 0.00D 0.00D
$ 0.593 0.781 1.46D 1.01D 1.77D
0.00D 0.00D 0.00D
E 6.368 26.185 34.53D 33.78D 19.01D
+$ 0.00D 0.00D 0.00D
/ 4.178 11.799 16.95D 15.22D 12.47D
"G$ 0.00D 0.00D 0.00D
" 0.00D 0.00D 0.00D&B 2.315 6.215 9.05D 8.02D 6.91D
# 0.551 1.057 1.71D 1.36D 1.64D
+' 0.8 1.362 2.29D 1.76D 2.39D
T+B 0.00D 0.00D 0.00D
!#$ 15.41 27.422 45.44D 35.38D 46.01D
Ot; 3.281 2.692 6.34D 3.47D 9.80D
33.496 77.513 100.00D 100.00D
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 35/73
ata taken fro ,S report for &ne 2002
' %) Tta
tta 18.075 89.995 108.07
1 14.403 80D 33.688 37D 48.091 44.50D
1*5 2.541 14D 34.458 38D 36.999 34.24D
F5 1.131 6D 21.849 24D 22.98 21.26D
100D 100D
tta ' %) %) '
A$ 0.00D 0.00D 0.00D
$ 0.746 0.859 1.49D 0.95D 2.06D
0.00D 0.00D 0.00D
E 7.298 30.671 35.13D 34.08D 20.19D
+$ 0.00D 0.00D 0.00D
/ 4.461 13.473 16.59D 14.97D 12.34D
"G$ 0.00D 0.00D 0.00D
" 0.00D 0.00D 0.00D&B 2.522 6.978 8.79D 7.75D 6.98D
# 0.766 1.070 1.70D 1.19D 2.12D
+' 0.861 1.591 2.27D 1.77D 2.38D
T+B 0.00D 0.00D 0.00D
!#$ 15.979 32.178 44.56D 35.76D 44.20D
Ot; 3.517 3.175 6.19D 3.53D 9.73D
36.150 89.995 100.00D 100.00D
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 36/73
ata taken fro ,S report for eceer 2002
' %) Tta
tta 18.469 101.699 120.168
1 14.536 79D 36.95 36D 51.486 42.85D
1*5 2.725 15D 40.161 39D 42.886 35.69D
F5 1.208 7D 24.588 24D 25.796 21.47D
100D 100D
tta ' %) %) '
A$ 0.00D 0.00D 0.00D
$ 0.701 0.828 1.27D 0.81D 1.90D
0.00D 0.00D 0.00D
E 7.819 38.429 38.49D 37.79D 21.17D
+$ 0.00D 0.00D 0.00D
/ 4.800 14.691 16.22D 14.45D 12.99D
"G$ 0.00D 0.00D 0.00D
" 0.00D 0.00D 0.00D&B 2.462 7.442 8.24D 7.32D 6.67D
# 0.708 1.094 1.50D 1.08D 1.92D
+' 0.936 1.726 2.22D 1.70D 2.53D
T+B 0.00D 0.00D 0.00D
!#$ 16.509 34.400 42.36D 33.83D 44.69D
Ot; 3.003 3.089 5.07D 3.04D 8.13D
36.938 101.699 100.00D 100.00D
18.469
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 37/73
ata taken fro ,S report for eceer 2002
' %) Tta
tta 22.088 121.799 143.9
1 17.56 80D 44.93 37D 62.49 43.43D
1*5 3.13 14D 46.65 38D 49.78 34.59D
F5 1.4 6D 30.23 25D 31.63 21.98D
100D 100D
tta ' %) %) '
A$ 0.00D 0.00D 0.00D
$ 1.000 1.100 1.46D 0.90D 2.26D
0.00D 0.00D 0.00D
E 9.900 50.000 41.63D 41.05D 22.41D
+$ 0.00D 0.00D 0.00D
/ 4.900 15.300 14.04D 12.56D 11.09D
"G$ 0.00D 0.00D 0.00D
" 0.00D 0.00D 0.00D&B 3.100 8.300 7.92D 6.81D 7.02D
# 0.700 1.100 1.25D 0.90D 1.58D
+' 1.200 2.000 2.22D 1.64D 2.72D
T+B 0.00D 0.00D 0.00D
!#$ 19.400 40.100 41.35D 32.92D 43.92D
Ot; 3.900 3.900 5.42D 3.20D 8.83D
44.100 121.800 100.00D 99.83D
22.05
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 40/73
ata taken fro ,S report for eceer 2003
' %) Tta
tta 24.484 141.991 166.45
1 18.9 77D 46.5 33D 65.35 39.26D
1*5 3.9 16D 58.9 41D 62.8 37.73D
F5 1.7 7D 36.6 26D 38.3 23.01D
100D 100D
tta ' %) %) '
A$ 0.00D 0.00D 0.00D
$ 1.00 1.30 1.38D 0.92D 2.04D
0.00D 0.00D 0.00D
E 10.10 55.80 39.59D 39.30D 20.63D
+$ 0.00D 0.00D 0.00D
/ 5.50 19.50 15.02D 13.73D 11.23D
"G$ 0.00D 0.00D 0.00D
" 0.00D 0.00D 0.00D&B 4.30 9.90 8.53D 6.97D 8.78D
# 0.80 1.50 1.38D 1.06D 1.63D
+' 1.30 2.40 2.22D 1.69D 2.65D
T+B 0.00D 0.00D 0.00D
!#$ 21.40 46.20 40.61D 32.54D 43.70D
Ot; 4.40 5.30 5.83D 3.73D 8.99D
48.800 141.900 99.94D 99.66D
24.4
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 43/73
ata taken fro ,S report for &ne 2004
' %) Tta
tta 26.997 164.626 191.7
1 21.3 79D 57.2 35D 78.5 40.95D
1*5 3.9 14D 66.1 40D 70 36.52D
F5 1.8 7D 41.4 25D 43.2 22.54D
100D 100D
tta ' %) %) '
A$ 0.00D 0.00D 0.00D
$ 0.97 1.30 1.18D 0.79D 1.80D
0.00D 0.00D 0.00D
E 10.30 63.00 38.25D 38.27D 19.08D
+$ 0.00D 0.00D 0.00D
/ 6.50 21.10 14.40D 12.82D 12.04D
"G$ 0.00D 0.00D 0.00D
" 0.00D 0.00D 0.00D&B 4.60 11.87 8.60D 7.21D 8.52D
# 0.77 1.65 1.26D 1.00D 1.43D
+' 1.34 2.65 2.08D 1.61D 2.48D
T+B 0.00D 0.00D 0.00D
!#$ 24.60 57.83 43.02D 35.13D 45.56D
Ot; 4.90 5.23 5.29D 3.18D 9.08D
53.980 164.630 100.00D 99.97D
26.99
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 46/73
!#
Eu
/n
&B
+'
A"
#)
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 47/73
36.6D 72.2
38.8D 76.4
12.8D 25.2
8.4D 16.6
1.4D 2.8
0.8D 1.6
1.1D 2.2
197
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 48/73
T;is <?s;t suaiss B%# statistics v t; =ast yas
%)# #
c*00 48.8 3.2 1.3 0.3
un*01 51.4 3.8 1.4 0.3
c*01 58.9 3.9 2 0.3
un*02 68.3 4.2 2.2 0.3
c*02 79.2 4.5 3.9 0.3
un*03 94.6 6.4 5 0.4
c*03 111.2 6.4 3.9 0.6
un*04 127.6 7 3.6 0.4
c*04 150.6 8.2 4.9 0.7
un*05 163.7 8.2 6.1 0.5
Dec-00 May-01 Oct-01 Mar-02 Aug-02 a!-0" u!-0" N#$-0" A%r-0& Se%-0& Fe'-0(
0
20
&0
)0
*0
100
120
1&0
1)0
1*0
IRS
CCS
&
(
)
,
IRS CCS
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 49/73
Dec-00 u+-01 Fe'-02 Se%-02 A%r-0" N#$-0" u!-0& a!-0(
0
1
2
"
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 52/73
220 252 270
22D 27D 14D
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 53/73
21D
10.7
0.03963
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 65/73
2 3 4 5 6
c*02 c*03 c*04 c*05 c*06
# 4,502 6,371 8,223 8,504 10,792
%)# 79,120 111,209 150,631 169,106 229,693
c*04 un*05 c*05 un*06 c*06
# 6,396 10,211 13,908 20,352 28,650
"tina =inci=a &ss
ec'06 ec'07 &n'08 ec'08 &n'08
- 40,271 56,238 62,983 49,753 2,262
-orwar"! 19,882 29,144 31,966 24,562 802
Swap! 10,792 14,347 16,307 14,725 1,071
/ption! 9,597 12,748 14,701 10,466 388
, 291,582 393,138 458,304 418,678 9,263
-! 18,668 26,599 39,370 39,262 88
Swap! 229,693 309,588 356,772 328,114 8,056
/ption! 43,221 56,951 62,162 51,301 1,120
it 7,488 8,469 10,177 6,494 1,146
oo"it 7,115 8,455 13,229 4,427 2,209
S 28,650 57,894 57,325 41,868 3,172
S': S 17,879 32,246 33,334 25,730 1,889
M': S 10,771 25,648 23,991 16,138 1,283
+nallocate" 39,740 71,146 81,708 70,742 2,301
chan#e'tra"e" 70,444 79,078 82,008 57,876
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 66/73
32375 65.1D
9664 19.4D
7715 15.5D
49754
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 67/73
137278 33D
138263 33D
143137 34D
418678
un*08 c*08
149813 146249 35D 36.6D
171877 154773 40D 38.7D
58056 56419 13D 14.1D
38619 29593 9D 7.4D
5253 4967 1.2D 1.2D
3286 2701 0.8D 0.7D
6454 5104 1.5D 1.3D433358 399806
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 68/73
7 8
c*07 c*08
14,347 14,725
309,588 328,114
un*07 c*07 un*08 c*08
42,580 57,894 57,325 41,868
vaus
ec'08
3,917
1,732
1,588
597
18,420
153
16,573
1,694
1,113
955
5,652
3,695
1,957
3,831
Jan-02 Jan-040
50,000
100,000
150,000
200,000
250,000
300,000
350,000
Size of Swap market
!!
S"#S
7/25/2019 Ch 1 Market Statistics
http://slidepdf.com/reader/full/ch-1-market-statistics 71/73
Jan-06 Jan-08
($bn of notional principal