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

The sample covers the three month period beginning June 20, 2010 through September 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 11 9.7 100,000,000 3
ABX.HE.AAA.06-2 Untranched 13 11.0 150,000,000 10
CDX.EM.13 Untranched 10 5.3 25,000,000 1
CDX.EM.14 Untranched 12 9.7 50,000,000 4
CDX.EM.15 Untranched 14 13.3 650,000,000 54
CDX.EM.9 Untranched 1 0.3 25,000,000 0
CDX.NA.HY.10 Untranched 13 11.3 525,000,000 9
CDX.NA.HY.10 Tranched 10 9.3 175,000,000 8
CDX.NA.HY.11 Untranched 13 11.3 925,000,000 5
CDX.NA.HY.11 Tranched 10 9.3 150,000,000 10
CDX.NA.HY.12 Untranched 12 7.7 25,000,000 1
CDX.NA.HY.13 Untranched 11 8.3 50,000,000 1
CDX.NA.HY.14 Untranched 12 11.0 75,000,000 3
CDX.NA.HY.15 Untranched 14 13.3 500,000,000 20
CDX.NA.HY.15 Tranched 11 9.0 75,000,000 4
CDX.NA.HY.16 Untranched 16 15.7 5,575,000,000 350
CDX.NA.HY.8 Untranched 12 10.3 200,000,000 2
CDX.NA.HY.8 Tranched 10 8.3 50,000,000 1
CDX.NA.HY.9 Untranched 12 11.3 425,000,000 5
CDX.NA.HY.9 Tranched 9 8.3 75,000,000 3
CDX.NA.IG.HVOL.8 Untranched 7 2.3 25,000,000 0
CDX.NA.IG.HVOL.9 Untranched 5 1.7 25,000,000 0
CDX.NA.IG.10 Untranched 13 9.3 150,000,000 1
CDX.NA.IG.10 Tranched 6 3.7 25,000,000 1
CDX.NA.IG.11 Untranched 13 7.7 50,000,000 1
CDX.NA.IG.12 Untranched 13 8.7 75,000,000 1
CDX.NA.IG.13 Untranched 12 9.3 100,000,000 1
CDX.NA.IG.14 Untranched 13 10.7 125,000,000 2
CDX.NA.IG.15 Untranched 14 13.3 725,000,000 11
CDX.NA.IG.16 Untranched 16 16.0 29,250,000,000 415
CDX.NA.IG.8 Untranched 10 7.7 150,000,000 1
CDX.NA.IG.8 Tranched 6 3.3 225,000,000 2
CDX.NA.IG.9 Untranched 16 15.0 6,825,000,000 57
CDX.NA.IG.9 Tranched 15 14.3 1,675,000,000 47
CMBX.NA.AAA.1 Untranched 12 10.7 125,000,000 20
CMBX.NA.AAA.2 Untranched 12 9.7 75,000,000 15
CMBX.NA.AAA.3 Untranched 12 10.7 125,000,000 13
DOW JONES CDX.NA.HY.7 Untranched 7 4.0 25,000,000 0
DOW JONES CDX.NA.HY.7 Tranched 5 2.7 25,000,000 0
DOW JONES CDX.NA.IG.HVOL.7 Untranched 2 0.7 25,000,000 0
DOW JONES CDX.NA.IG.3 Untranched 8 4.7 50,000,000 0
DOW JONES CDX.NA.IG.3 Tranched 6 3.7 25,000,000 0
DOW JONES CDX.NA.IG.4 Untranched 10 6.7 100,000,000 0
DOW JONES CDX.NA.IG.4 Tranched 9 6.3 125,000,000 1
DOW JONES CDX.NA.IG.5 Untranched 9 7.0 125,000,000 0
DOW JONES CDX.NA.IG.5 Tranched 8 6.3 75,000,000 1
DOW JONES CDX.NA.IG.6 Untranched 9 6.3 125,000,000 1
DOW JONES CDX.NA.IG.6 Tranched 8 4.3 100,000,000 1
DOW JONES CDX.NA.IG.7 Untranched 9 7.0 175,000,000 1
DOW JONES CDX.NA.IG.7 Tranched 9 6.0 125,000,000 2
IOS.FN30.450.09 Untranched 12 11.7 275,000,000 29
IOS.FN30.500.09 Untranched 12 11.3 350,000,000 29
IOS.FN30.550.08 Untranched 10 9.3 175,000,000 8
IOS.FN30.600.08 Untranched 10 8.7 175,000,000 6
IOS.FN30.650.67 Untranched 12 10.0 200,000,000 5
ITRAXX ASIA EX-JAPAN IG SERIES 13 Untranched 10 6.7 25,000,000 0
ITRAXX ASIA EX-JAPAN IG SERIES 14 Untranched 11 6.7 25,000,000 1
ITRAXX ASIA EX-JAPAN IG SERIES 15 Untranched 16 15.0 375,000,000 28
ITRAXX AUSTRALIA SERIES 13 Untranched 6 2.7 50,000,000 1
ITRAXX AUSTRALIA SERIES 14 Untranched 11 7.7 50,000,000 1
ITRAXX AUSTRALIA SERIES 15 Untranched 16 15.3 975,000,000 55
ITRAXX EUROPE CROSSOVER SERIES 10 Untranched 5 2.0 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 11 Untranched 7 2.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 12 Untranched 12 7.0 25,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 13 Untranched 13 10.7 25,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 14 Untranched 16 14.3 125,000,000 7
ITRAXX EUROPE CROSSOVER SERIES 15 Untranched 17 17.0 8,925,000,000 463
ITRAXX EUROPE CROSSOVER SERIES 6 Untranched 4 1.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 7 Untranched 6 3.0 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 8 Untranched 9 3.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 9 Untranched 10 4.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 10 Untranched 6 3.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 12 Untranched 11 4.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 13 Untranched 9 4.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 14 Untranched 14 8.7 50,000,000 1
ITRAXX EUROPE HIVOL SERIES 15 Untranched 14 12.3 450,000,000 15
ITRAXX EUROPE HIVOL SERIES 8 Untranched 5 1.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 10 Untranched 5 1.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 11 Untranched 8 3.0 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 12 Untranched 10 3.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 Untranched 12 5.3 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 Untranched 16 13.0 125,000,000 4
ITRAXX EUROPE SENIOR FINANCIALS SERIES 15 Untranched 17 17.0 7,175,000,000 196
ITRAXX EUROPE SENIOR FINANCIALS SERIES 8 Untranched 6 2.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 9 Untranched 7 2.3 25,000,000 0
ITRAXX EUROPE SERIES 10 Untranched 11 6.0 50,000,000 0
ITRAXX EUROPE SERIES 11 Untranched 14 9.3 75,000,000 1
ITRAXX EUROPE SERIES 12 Untranched 14 10.0 150,000,000 1
ITRAXX EUROPE SERIES 13 Untranched 13 13.0 125,000,000 2
ITRAXX EUROPE SERIES 14 Untranched 15 13.3 575,000,000 6
ITRAXX EUROPE SERIES 15 Untranched 17 17.0 30,175,000,000 450
ITRAXX EUROPE SERIES 15 Tranched 8 7.3 100,000,000 4
ITRAXX EUROPE SERIES 2 Untranched 5 2.0 25,000,000 0
ITRAXX EUROPE SERIES 3 Untranched 5 3.3 50,000,000 0
ITRAXX EUROPE SERIES 3C Tranched 3 2.3 25,000,000 0
ITRAXX EUROPE SERIES 4 Untranched 8 4.7 100,000,000 0
ITRAXX EUROPE SERIES 4B Tranched 6 3.3 50,000,000 1
ITRAXX EUROPE SERIES 4C Tranched 3 2.7 75,000,000 1
ITRAXX EUROPE SERIES 5 Untranched 9 5.0 250,000,000 1
ITRAXX EUROPE SERIES 5 Tranched 5 3.3 75,000,000 0
ITRAXX EUROPE SERIES 5B Tranched 6 4.3 75,000,000 1
ITRAXX EUROPE SERIES 5C Tranched 6 3.3 50,000,000 0
ITRAXX EUROPE SERIES 6 Untranched 8 5.3 75,000,000 0
ITRAXX EUROPE SERIES 6 Tranched 4 2.0 25,000,000 0
ITRAXX EUROPE SERIES 6C Tranched 6 4.0 75,000,000 1
ITRAXX EUROPE SERIES 7 Untranched 9 4.0 50,000,000 0
ITRAXX EUROPE SERIES 7 Tranched 7 3.0 25,000,000 0
ITRAXX EUROPE SERIES 7B Tranched 9 4.7 25,000,000 1
ITRAXX EUROPE SERIES 7C Tranched 4 2.7 50,000,000 0
ITRAXX EUROPE SERIES 8 Untranched 9 6.0 100,000,000 1
ITRAXX EUROPE SERIES 8 Tranched 11 6.7 125,000,000 2
ITRAXX EUROPE SERIES 9 Untranched 17 16.0 3,475,000,000 24
ITRAXX EUROPE SERIES 9 Tranched 15 14.0 1,375,000,000 25
ITRAXX EUROPE SUB FINANCIALS SERIES 10 Untranched 6 2.0 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 12 Untranched 6 2.7 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 13 Untranched 10 5.3 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 14 Untranched 16 12.0 50,000,000 2
ITRAXX EUROPE SUB FINANCIALS SERIES 15 Untranched 16 15.7 1,225,000,000 67
ITRAXX EUROPE SUB FINANCIALS SERIES 8 Untranched 1 0.3 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 9 Untranched 3 1.0 25,000,000 0
ITRAXX JAPAN SERIES 13 Untranched 7 3.0 25,000,000 0
ITRAXX JAPAN SERIES 14 Untranched 12 9.3 50,000,000 2
ITRAXX JAPAN SERIES 15 Untranched 14 13.0 450,000,000 29
ITRAXX SOVX CEEMEA SERIES 3 Untranched 8 4.7 25,000,000 0
ITRAXX SOVX CEEMEA SERIES 4 Untranched 12 8.7 25,000,000 1
ITRAXX SOVX CEEMEA SERIES 5 Untranched 16 16.0 675,000,000 55
ITRAXX SOVX WESTERN EUROPE SERIES 2 Untranched 5 2.3 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 3 Untranched 8 3.3 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 4 Untranched 15 9.3 75,000,000 2
ITRAXX SOVX WESTERN EUROPE SERIES 5 Untranched 16 16.0 1,500,000,000 139
LCDX.NA.10 Untranched 10 7.0 50,000,000 1
LCDX.NA.10 Tranched 7 3.0 25,000,000 0
LCDX.NA.12 Untranched 11 8.3 50,000,000 1
LCDX.NA.8 Untranched 7 5.7 50,000,000 1
LCDX.NA.9 Untranched 9 4.7 25,000,000 0
LCDX.NA.9 Tranched 3 1.7 25,000,000 0
MBX.FN30.650.67 Untranched 8 4.7 200,000,000 3
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