Sheet1

US Subprime Mortgage Backed Credit Indices
Week Ending: 2012-12-21

Index
ABX.HE.A.06-1
ABX.HE.A.06-2
ABX.HE.A.07-1
ABX.HE.A.07-2
ABX.HE.AA.06-1
ABX.HE.AA.06-2
ABX.HE.AA.07-1
ABX.HE.AA.07-2
ABX.HE.AAA.06-1
ABX.HE.AAA.06-2
ABX.HE.AAA.07-1
ABX.HE.AAA.07-2
ABX.HE.BBB.06-1
ABX.HE.BBB.06-2
ABX.HE.BBB.07-1
ABX.HE.BBB.07-2
ABX.HE.BBB-.06-1
ABX.HE.BBB-.06-2
ABX.HE.BBB-.07-2
ABX.HE.PENAAA.06-1
ABX.HE.PENAAA.06-2
ABX.HE.PENAAA.07-1
ABX.HE.PENAAA.07-2
Total

Gross Notional (US
Dollars)
$4,623,415,808.00
$1,788,731,000.00
$2,268,833,199.00
$246,795,000.00
$4,086,691,500.00
$2,236,792,441.00
$1,160,506,324.00
$300,158,000.00
$11,168,293,401.00
$8,207,657,596.00
$7,020,743,998.00
$2,213,725,100.00
$4,633,200,175.00
$4,060,631,919.00
$295,964,900.00
$115,000,000.00
$3,132,430,884.00
$4,014,036,167.00
$144,580,000.00
$2,574,151,000.00
$4,001,682,065.00
$2,217,724,135.00
$856,127,000.00
$71,367,871,612.00

Net Notional (US Number of
Dollars) Contracts
$457,324,669.00
123
$680,188,293.00
60
$761,402,000.00
42
$76,749,000.00
18
$919,270,000.00
225
$236,500,000.00
89
$370,800,000.00
81
$89,610,000.00
23
$2,434,974,000.00
462
$2,409,674,997.00
620
$1,030,450,000.00
293
$327,539,000.00
88
$701,260,325.00
73
$1,359,698,051.00
68
$197,964,900.00
30
$95,000,000.00
14
$628,161,460.00
79
$1,093,095,598.00
115
$119,580,000.00
10
$668,363,000.00
39
$1,229,147,882.00
414
$603,701,000.00
253
$174,500,000.00
94
$16,664,954,175.00
3313

Page 1

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