Table: Aggregated Transaction Data by Reference Entity of Index Credit Default Swaps (CDX)

The sample covers the three month period beginning March 21, 2010 through June 19, 2011

Explanation of data (pdf).

Reference Entity Product Type Total Number
of Clearing Dealers
Average Monthly
Clearing Dealers
Average Daily
Notional (USD EQ)
Average Number
Trades/Day
ABX.HE.AAA.06-1 Untranched 8 7.7                                           75,000,000 5
ABX.HE.AAA.06-2 Untranched 11 9.7                                        150,000,000 9
CDX.EM.13 Untranched 8 5.7                                           25,000,000 1
CDX.EM.14 Untranched 13 10.3                                        175,000,000 13
CDX.EM.15 Untranched 13 12.3                                        500,000,000 44
CDX.NA.HY.10 Untranched 11 11.0                                        600,000,000 9
CDX.NA.HY.10 Tranched 10 9.7                                        225,000,000 10
CDX.NA.HY.11 Untranched 10 10.0                                     1,025,000,000 5
CDX.NA.HY.11 Tranched 9 9.0                                        150,000,000 6
CDX.NA.HY.12 Untranched 10 7.3                                           25,000,000 0
CDX.NA.HY.13 Untranched 11 8.0                                           25,000,000 1
CDX.NA.HY.14 Untranched 13 11.7                                        300,000,000 5
CDX.NA.HY.15 Untranched 15 14.0                                     2,075,000,000 113
CDX.NA.HY.15 Tranched 10 9.3                                        175,000,000 8
CDX.NA.HY.16 Untranched 15 15.0                                     3,875,000,000 177
CDX.NA.HY.8 Untranched 11 9.7                                        250,000,000 1
CDX.NA.HY.8 Tranched 8 6.3                                           50,000,000 1
CDX.NA.HY.9 Untranched 11 10.3                                        650,000,000 6
CDX.NA.HY.9 Tranched 9 8.7                                        100,000,000 5
CDX.NA.IG.HVOL.8 Untranched 4 2.0                                           25,000,000 0
CDX.NA.IG.HVOL.9 Untranched 5 2.7                                           25,000,000 0
CDX.NA.IG.10 Untranched 13 10.3                                        350,000,000 2
CDX.NA.IG.10 Tranched 7 4.0                                           25,000,000 0
CDX.NA.IG.11 Untranched 14 9.7                                           75,000,000 1
CDX.NA.IG.12 Untranched 13 9.0                                        175,000,000 1
CDX.NA.IG.13 Untranched 11 9.3                                        175,000,000 2
CDX.NA.IG.14 Untranched 13 11.0                                        375,000,000 4
CDX.NA.IG.15 Untranched 16 15.0                                     4,875,000,000 87
CDX.NA.IG.16 Untranched 16 16.0                                  17,625,000,000 225
CDX.NA.IG.8 Untranched 14 11.0                                        300,000,000 1
CDX.NA.IG.8 Tranched 14 11.0                                        250,000,000 2
CDX.NA.IG.9 Untranched 16 16.0                                     9,200,000,000 66
CDX.NA.IG.9 Tranched 16 15.0                                     1,550,000,000 46
CMBX.NA.AAA.1 Untranched 12 10.7                                        100,000,000 10
CMBX.NA.AAA.2 Untranched 12 11.0                                           75,000,000 8
CMBX.NA.AAA.3 Untranched 12 10.3                                           50,000,000 19
CMBX.NA.AJ.1 Untranched 11 10.0                                           75,000,000 8
DOW JONES CDX.NA.HY.7 Untranched 11 7.0                                           50,000,000 1
DOW JONES CDX.NA.HY.7 Tranched 4 1.3                                           25,000,000 0
DOW JONES CDX.NA.IG.HVOL.6 Untranched 1 0.3                                           25,000,000 0
DOW JONES CDX.NA.IG.HVOL.7 Untranched 4 1.3                                           25,000,000 0
DOW JONES CDX.NA.IG.3 Untranched 8 5.7                                           50,000,000 0
DOW JONES CDX.NA.IG.3 Tranched 8 5.0                                           25,000,000 0
DOW JONES CDX.NA.IG.4 Untranched 13 9.3                                        250,000,000 1
DOW JONES CDX.NA.IG.4 Tranched 9 7.0                                           25,000,000 1
DOW JONES CDX.NA.IG.5 Untranched 14 10.7                                        175,000,000 1
DOW JONES CDX.NA.IG.5 Tranched 9 6.7                                           50,000,000 1
DOW JONES CDX.NA.IG.6 Untranched 14 10.3                                        525,000,000 1
DOW JONES CDX.NA.IG.6 Tranched 13 8.7                                           75,000,000 1
DOW JONES CDX.NA.IG.7 Untranched 14 11.7                                        800,000,000 2
DOW JONES CDX.NA.IG.7 Tranched 14 10.0                                        200,000,000 1
IOS.FN30.450.09 Untranched 12 10.7                                        200,000,000 21
IOS.FN30.500.09 Untranched 12 10.7                                        250,000,000 16
IOS.FN30.550.08 Untranched 11 11.0                                        225,000,000 12
IOS.FN30.600.08 Untranched 11 9.0                                        100,000,000 4
IOS.FN30.650.67 Untranched 10 9.3                                        200,000,000 6
ITRAXX ASIA EX-JAPAN IG SERIES 13 Untranched 10 5.3                                           25,000,000 0
ITRAXX ASIA EX-JAPAN IG SERIES 14 Untranched 14 10.3                                        125,000,000 6
ITRAXX ASIA EX-JAPAN IG SERIES 15 Untranched 15 14.7                                        275,000,000 15
ITRAXX AUSTRALIA SERIES 12 Untranched 6 2.7                                           25,000,000 0
ITRAXX AUSTRALIA SERIES 13 Untranched 7 3.3                                           25,000,000 0
ITRAXX AUSTRALIA SERIES 14 Untranched 15 8.3                                        100,000,000 5
ITRAXX AUSTRALIA SERIES 15 Untranched 14 14.0                                        400,000,000 20
ITRAXX EUROPE CROSSOVER SERIES 10 Untranched 1 0.3                                           25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 11 Untranched 6 2.7                                           25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 12 Untranched 11 5.0                                           25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 13 Untranched 14 11.0                                           50,000,000 2
ITRAXX EUROPE CROSSOVER SERIES 14 Untranched 17 16.0                                        800,000,000 32
ITRAXX EUROPE CROSSOVER SERIES 15 Untranched 17 17.0                                     5,075,000,000 215
ITRAXX EUROPE CROSSOVER SERIES 5 Untranched 2 0.7                                           25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 6 Untranched 9 4.0                                           25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 7 Untranched 14 8.3                                           75,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 8 Untranched 15 8.7                                        100,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 9 Untranched 8 4.3                                           25,000,000 0
ITRAXX EUROPE HIVOL SERIES 10 Untranched 4 1.7                                           25,000,000 0
ITRAXX EUROPE HIVOL SERIES 11 Untranched 1 0.3                                           25,000,000 0
ITRAXX EUROPE HIVOL SERIES 12 Untranched 5 2.0                                           25,000,000 0
ITRAXX EUROPE HIVOL SERIES 13 Untranched 7 4.7                                           25,000,000 0
ITRAXX EUROPE HIVOL SERIES 14 Untranched 13 8.7                                        100,000,000 2
ITRAXX EUROPE HIVOL SERIES 6 Untranched 8 3.3                                           50,000,000 0
ITRAXX EUROPE HIVOL SERIES 7 Untranched 7 2.3                                           25,000,000 0
ITRAXX EUROPE HIVOL SERIES 8 Untranched 4 2.0                                           25,000,000 0
ITRAXX EUROPE HIVOL SERIES 9 Untranched 2 0.7                                           25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 11 Untranched 2 0.7                                           25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 12 Untranched 5 2.3                                           25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 Untranched 11 6.0                                           50,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 Untranched 16 14.0                                        875,000,000 21
ITRAXX EUROPE SENIOR FINANCIALS SERIES 15 Untranched 17 16.7                                     5,875,000,000 130
ITRAXX EUROPE SENIOR FINANCIALS SERIES 8 Untranched 8 3.7                                           25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 9 Untranched 6 2.7                                           25,000,000 0
ITRAXX EUROPE SERIES 10 Untranched 10 6.0                                        125,000,000 0
ITRAXX EUROPE SERIES 11 Untranched 10 6.0                                           50,000,000 1
ITRAXX EUROPE SERIES 12 Untranched 15 10.7                                        100,000,000 1
ITRAXX EUROPE SERIES 13 Untranched 14 12.7                                        200,000,000 3
ITRAXX EUROPE SERIES 14 Untranched 17 15.3                                     3,375,000,000 43
ITRAXX EUROPE SERIES 15 Untranched 17 17.0                                  17,975,000,000 231
ITRAXX EUROPE SERIES 15 Tranched 12 10.0                                        250,000,000 6
ITRAXX EUROPE SERIES 2 Untranched 10 4.7                                           75,000,000 0
ITRAXX EUROPE SERIES 3 Untranched 12 7.0                                        225,000,000 1
ITRAXX EUROPE SERIES 3C Tranched 7 4.7                                           50,000,000 1
ITRAXX EUROPE SERIES 4 Untranched 11 6.3                                        150,000,000 0
ITRAXX EUROPE SERIES 4B Tranched 12 7.0                                           75,000,000 1
ITRAXX EUROPE SERIES 4C Tranched 9 5.3                                           50,000,000 0
ITRAXX EUROPE SERIES 5 Untranched 10 5.7                                        175,000,000 0
ITRAXX EUROPE SERIES 5 Tranched 6 2.0                                           50,000,000 0
ITRAXX EUROPE SERIES 5B Tranched 9 3.7                                           75,000,000 1
ITRAXX EUROPE SERIES 5C Tranched 12 6.0                                           50,000,000 1
ITRAXX EUROPE SERIES 6 Untranched 12 8.0                                        225,000,000 1
ITRAXX EUROPE SERIES 6 Tranched 8 2.7                                           75,000,000 0
ITRAXX EUROPE SERIES 6B Tranched 11 5.3                                           25,000,000 0
ITRAXX EUROPE SERIES 6C Tranched 12 6.3                                        100,000,000 1
ITRAXX EUROPE SERIES 7 Untranched 13 8.3                                        450,000,000 1
ITRAXX EUROPE SERIES 7 Tranched 11 5.3                                           50,000,000 0
ITRAXX EUROPE SERIES 7A Tranched 10 5.7                                           50,000,000 1
ITRAXX EUROPE SERIES 7B Tranched 11 7.0                                           50,000,000 1
ITRAXX EUROPE SERIES 7C Tranched 11 6.7                                           50,000,000 0
ITRAXX EUROPE SERIES 8 Untranched 14 10.7                                        325,000,000 1
ITRAXX EUROPE SERIES 8 Tranched 14 9.3                                        200,000,000 1
ITRAXX EUROPE SERIES 9 Untranched 17 15.3                                     4,250,000,000 26
ITRAXX EUROPE SERIES 9 Tranched 17 15.3                                     1,175,000,000 22
ITRAXX EUROPE SUB FINANCIALS SERIES 10 Untranched 4 1.3                                           25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 12 Untranched 7 4.0                                           25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 13 Untranched 15 9.0                                        100,000,000 1
ITRAXX EUROPE SUB FINANCIALS SERIES 14 Untranched 15 13.0                                        400,000,000 18
ITRAXX EUROPE SUB FINANCIALS SERIES 15 Untranched 17 15.7                                     1,400,000,000 52
ITRAXX EUROPE SUB FINANCIALS SERIES 7 Untranched 8 3.0                                           50,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 8 Untranched 4 1.7                                           25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 9 Untranched 5 1.7                                           25,000,000 0
ITRAXX JAPAN SERIES 13 Untranched 11 6.7                                           25,000,000 0
ITRAXX JAPAN SERIES 14 Untranched 13 11.0                                        125,000,000 10
ITRAXX JAPAN SERIES 15 Untranched 14 13.3                                        250,000,000 17
ITRAXX SOVX CEEMEA SERIES 3 Untranched 12 6.7                                           25,000,000 0
ITRAXX SOVX CEEMEA SERIES 4 Untranched 15 11.0                                           75,000,000 4
ITRAXX SOVX CEEMEA SERIES 5 Untranched 16 15.0                                        325,000,000 23
ITRAXX SOVX WESTERN EUROPE SERIES 2 Untranched 12 7.0                                           50,000,000 1
ITRAXX SOVX WESTERN EUROPE SERIES 3 Untranched 13 8.0                                           75,000,000 1
ITRAXX SOVX WESTERN EUROPE SERIES 4 Untranched 14 12.0                                        325,000,000 10
ITRAXX SOVX WESTERN EUROPE SERIES 5 Untranched 16 15.0                                     1,950,000,000 64
LCDX.NA.10 Untranched 9 7.0                                        100,000,000 1
LCDX.NA.10 Tranched 5 3.7                                           25,000,000 0
LCDX.NA.12 Untranched 11 8.7                                           50,000,000 1
LCDX.NA.8 Untranched 9 7.0                                           50,000,000 1
LCDX.NA.9 Untranched 10 7.0                                           50,000,000 1
LCDX.NA.9 Tranched 9 4.7                                           25,000,000 1
MBX.FN30.650.67 Untranched 6 3.7                                        150,000,000 1
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