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

The sample covers the three month period beginning March 22, 2010 through September 19, 2010

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 Index 9 8.5 75,000,000 8
CDX.EM.13 Index 12 12.0 650,000,000 57
CDX.EM.7 Index 8 2.2 25,000,000 0
CDX.EM.9 Index 13 5.0 25,000,000 0
CDX.NA.HY.10 Index 14 11.0 425,000,000 7
CDX.NA.HY.10 Tranche 10 9.3 125,000,000 5
CDX.NA.HY.11 Index 12 9.7 125,000,000 3
CDX.NA.HY.12 Index 14 11.3 100,000,000 5
CDX.NA.HY.13 Index 14 11.7 525,000,000 26
CDX.NA.HY.14 Index 16 14.8 3,075,000,000 175
CDX.NA.HY.8 Index 14 10.0 125,000,000 2
CDX.NA.HY.8 Tranche 13 8.3 50,000,000 1
CDX.NA.HY.9 Index 14 11.2 425,000,000 5
CDX.NA.HY.9 Tranche 11 9.3 125,000,000 3
CDX.NA.IG.10 Index 15 11.7 550,000,000 4
CDX.NA.IG.10 Tranche 12 5.5 25,000,000 0
CDX.NA.IG.11 Index 15 10.0 150,000,000 2
CDX.NA.IG.12 Index 15 11.5 175,000,000 2
CDX.NA.IG.13 Index 16 13.0 1,575,000,000 19
CDX.NA.IG.14 Index 16 16.0 18,050,000,000 240
CDX.NA.IG.8 Index 17 12.8 400,000,000 4
CDX.NA.IG.8 Tranche 16 11.0 125,000,000 2
CDX.NA.IG.9 Index 17 15.8 6,700,000,000 81
CDX.NA.IG.9 Tranche 17 16.2 2,175,000,000 72
CDX.NA.IG.HVOL.8 Index 9 3.5 25,000,000 0
CDX.NA.IG.HVOL.9 Index 12 6.5 25,000,000 1
CMBX.NA.AAA.1 Index 10 8.7 150,000,000 12
CMBX.NA.AAA.2 Index 11 8.7 100,000,000 9
DOW JONES CDX.NA.HY.7 Index 11 7.0 25,000,000 0
DOW JONES CDX.NA.HY.7 Tranche 7 3.3 25,000,000 0
DOW JONES CDX.NA.IG.3 Index 10 3.3 25,000,000 0
DOW JONES CDX.NA.IG.3 Tranche 9 3.5 25,000,000 0
DOW JONES CDX.NA.IG.4 Index 12 8.3 150,000,000 1
DOW JONES CDX.NA.IG.4 Tranche 15 9.8 50,000,000 2
DOW JONES CDX.NA.IG.5 Index 14 11.2 225,000,000 1
DOW JONES CDX.NA.IG.5 Tranche 15 10.2 75,000,000 1
DOW JONES CDX.NA.IG.6 Index 16 10.8 250,000,000 1
DOW JONES CDX.NA.IG.6 Tranche 16 10.3 75,000,000 1
DOW JONES CDX.NA.IG.7 Index 16 12.7 475,000,000 2
DOW JONES CDX.NA.IG.7 Tranche 17 12.2 125,000,000 2
DOW JONES CDX.NA.IG.HVOL.6 Index 7 1.7 25,000,000 0
DOW JONES CDX.NA.IG.HVOL.7 Index 8 1.5 25,000,000 0
DOW JONES CDX.NA.XO.7 Index 5 1.2 25,000,000 0
IOS.FN30.550.08 Index 8 5.8 175,000,000 4
IOS.FN30.650.67 Index 9 5.5 225,000,000 4
ITRAXX ASIA EX-JAPAN IG SERIES 12 Index 14 10.3 50,000,000 3
ITRAXX ASIA EX-JAPAN IG SERIES 13 Index 15 14.0 300,000,000 25
ITRAXX ASIA EX-JAPAN IG SERIES 9 Index 13 3.8 25,000,000 0
ITRAXX AUSTRALIA SERIES 11 Index 9 2.2 25,000,000 0
ITRAXX AUSTRALIA SERIES 12 Index 13 6.0 50,000,000 2
ITRAXX AUSTRALIA SERIES 13 Index 15 13.8 475,000,000 31
ITRAXX AUSTRALIA SERIES 9 Index 7 1.8 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 10 Index 15 5.8 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 11 Index 14 9.2 50,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 12 Index 17 13.2 300,000,000 11
ITRAXX EUROPE CROSSOVER SERIES 13 Index 17 17.0 4,850,000,000 265
ITRAXX EUROPE CROSSOVER SERIES 5 Index 12 3.8 25,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 6 Index 14 4.8 50,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 7 Index 17 8.8 125,000,000 2
ITRAXX EUROPE CROSSOVER SERIES 8 Index 16 9.0 125,000,000 2
ITRAXX EUROPE CROSSOVER SERIES 9 Index 14 7.2 50,000,000 1
ITRAXX EUROPE HIVOL SERIES 10 Index 10 3.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 12 Index 16 9.7 125,000,000 3
ITRAXX EUROPE HIVOL SERIES 13 Index 17 15.2 625,000,000 15
ITRAXX EUROPE HIVOL SERIES 5 Index 9 2.5 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 6 Index 12 3.0 25,000,000 1
ITRAXX EUROPE HIVOL SERIES 7 Index 13 4.5 50,000,000 0
ITRAXX EUROPE HIVOL SERIES 8 Index 9 2.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 9 Index 10 2.3 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 10 Index 12 4.8 125,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 11 Index 9 3.5 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 12 Index 17 10.5 275,000,000 7
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 Index 17 17.0 4,225,000,000 102
ITRAXX EUROPE SENIOR FINANCIALS SERIES 8 Index 12 3.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 9 Index 14 4.3 25,000,000 0
ITRAXX EUROPE SERIES 10 Index 15 10.7 150,000,000 1
ITRAXX EUROPE SERIES 11 Index 17 12.3 275,000,000 2
ITRAXX EUROPE SERIES 12 Index 17 14.8 1,650,000,000 19
ITRAXX EUROPE SERIES 13 Index 17 17.0 19,675,000,000 322
ITRAXX EUROPE SERIES 2 Index 12 3.0 50,000,000 0
ITRAXX EUROPE SERIES 3 Index 14 6.7 100,000,000 1
ITRAXX EUROPE SERIES 4 Index 16 10.2 225,000,000 1
ITRAXX EUROPE SERIES 4 Tranche 14 6.3 25,000,000 1
ITRAXX EUROPE SERIES 4A Tranche 12 4.0 25,000,000 0
ITRAXX EUROPE SERIES 4B Tranche 13 5.5 25,000,000 0
ITRAXX EUROPE SERIES 4C Tranche 13 5.0 25,000,000 0
ITRAXX EUROPE SERIES 5 Index 16 9.7 200,000,000 1
ITRAXX EUROPE SERIES 5 Tranche 12 3.8 50,000,000 0
ITRAXX EUROPE SERIES 5B Tranche 13 6.3 50,000,000 0
ITRAXX EUROPE SERIES 5C Tranche 10 4.7 25,000,000 0
ITRAXX EUROPE SERIES 6 Index 17 10.0 250,000,000 1
ITRAXX EUROPE SERIES 6 Tranche 13 4.0 50,000,000 0
ITRAXX EUROPE SERIES 6C Tranche 13 4.8 25,000,000 0
ITRAXX EUROPE SERIES 7 Index 17 11.8 350,000,000 2
ITRAXX EUROPE SERIES 7 Tranche 14 4.8 50,000,000 0
ITRAXX EUROPE SERIES 7B Tranche 13 6.5 25,000,000 0
ITRAXX EUROPE SERIES 7C Tranche 15 7.0 25,000,000 1
ITRAXX EUROPE SERIES 8 Index 16 12.2 325,000,000 2
ITRAXX EUROPE SERIES 8 Tranche 15 9.8 150,000,000 2
ITRAXX EUROPE SERIES 9 Index 17 16.0 3,225,000,000 30
ITRAXX EUROPE SERIES 9 Tranche 17 15.5 1,075,000,000 29
ITRAXX EUROPE SUB FINANCIALS SERIES 10 Index 10 2.5 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 12 Index 17 11.2 175,000,000 6
ITRAXX EUROPE SUB FINANCIALS SERIES 13 Index 17 16.3 1,150,000,000 42
ITRAXX EUROPE SUB FINANCIALS SERIES 7 Index 13 4.5 50,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 8 Index 11 5.0 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 9 Index 14 5.3 50,000,000 0
ITRAXX JAPAN SERIES 13 Index 14 12.8 350,000,000 23
ITRAXX SOVX CEEMA SERIES 3 Index 16 15.8 575,000,000 54
ITRAXX SOVX WESTERN EUROPE SERIES 2 Index 14 9.7 250,000,000 4
ITRAXX SOVX WESTERN EUROPE SERIES 3 Index 17 16.0 1,675,000,000 50
LCDX.NA.10 Index 10 8.7 250,000,000 4
LCDX.NA.10 Tranche 9 7.3 50,000,000 2
LCDX.NA.12 Index 11 7.5 75,000,000 2
LCDX.NA.8 Index 10 6.3 25,000,000 1
LCDX.NA.9 Index 10 8.3 50,000,000 1
LCDX.NA.9 Tranche 9 4.3 25,000,000 0
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