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

The sample covers the three month period beginning September 20, 2010 through December 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 10 9.0 75,000,000 4
CDX.EM.13 Index 12 8.7 175,000,000 14
CDX.EM.14 Index 13 12.7 575,000,000 48
CDX.EM.9 Index 4 1.3 25,000,000 0
CDX.NA.HY.10 Index 13 11.7 725,000,000 9
CDX.NA.HY.10 Tranched 10 9.3 250,000,000 8
CDX.NA.HY.11 Index 12 11.0 350,000,000 4
CDX.NA.HY.11 Tranched 10 9.7 50,000,000 2
CDX.NA.HY.12 Index 13 10.0 50,000,000 1
CDX.NA.HY.13 Index 13 11.3 150,000,000 4
CDX.NA.HY.14 Index 14 12.3 825,000,000 49
CDX.NA.HY.15 Index 14 14.0 2,450,000,000 136
CDX.NA.HY.8 Index 12 10.7 175,000,000 3
CDX.NA.HY.8 Tranched 10 8.3 125,000,000 3
CDX.NA.HY.9 Index 11 10.0 325,000,000 5
CDX.NA.HY.9 Tranched 10 9.3 175,000,000 4
CDX.NA.IG.10 Index 16 13.7 425,000,000 5
CDX.NA.IG.10 Tranched 10 6.3 50,000,000 1
CDX.NA.IG.11 Index 14 11.7 200,000,000 2
CDX.NA.IG.12 Index 12 9.3 200,000,000 2
CDX.NA.IG.13 Index 14 12.7 325,000,000 3
CDX.NA.IG.14 Index 16 15.7 2,975,000,000 57
CDX.NA.IG.15 Index 16 16.0 15,825,000,000 240
CDX.NA.IG.8 Index 16 13.7 425,000,000 3
CDX.NA.IG.8 Tranched 16 12.3 650,000,000 8
CDX.NA.IG.9 Index 17 16.3 8,275,000,000 87
CDX.NA.IG.9 Tranched 17 15.7 2,775,000,000 78
CDX.NA.IG.HVOL.8 Index 9 4.3 25,000,000 0
CDX.NA.IG.HVOL.9 Index 10 7.0 50,000,000 1
CMBX.NA.AAA.1 Index 12 10.3 125,000,000 7
CMBX.NA.AAA.2 Index 11 9.0 75,000,000 5
CMBX.NA.AAA.3 Index 11 10.3 100,000,000 26
DOW JONES CDX.NA.HY.7 Index 11 8.3 50,000,000 1
DOW JONES CDX.NA.HY.7 Tranched 7 4.0 25,000,000 0
DOW JONES CDX.NA.IG.3 Index 10 6.0 50,000,000 0
DOW JONES CDX.NA.IG.3 Tranched 11 7.3 25,000,000 0
DOW JONES CDX.NA.IG.4 Index 13 11.0 200,000,000 1
DOW JONES CDX.NA.IG.4 Tranched 12 9.3 100,000,000 5
DOW JONES CDX.NA.IG.5 Index 15 11.7 250,000,000 1
DOW JONES CDX.NA.IG.5 Tranched 14 10.3 75,000,000 3
DOW JONES CDX.NA.IG.6 Index 15 11.7 350,000,000 2
DOW JONES CDX.NA.IG.6 Tranched 15 10.7 125,000,000 3
DOW JONES CDX.NA.IG.7 Index 15 12.7 550,000,000 2
DOW JONES CDX.NA.IG.7 Tranched 13 9.7 200,000,000 5
DOW JONES CDX.NA.IG.HVOL.6 Index 4 2.7 25,000,000 0
DOW JONES CDX.NA.IG.HVOL.7 Index 8 4.0 25,000,000 0
DOW JONES CDX.NA.XO.7 Index 5 1.7 75,000,000 0
IOS.FN30.550.08 Index 10 9.7 200,000,000 6
IOS.FN30.650.67 Index 9 8.7 250,000,000 6
ITRAXX ASIA EX-JAPAN IG SERIES 12 Index 9 4.0 25,000,000 0
ITRAXX ASIA EX-JAPAN IG SERIES 13 Index 14 11.0 100,000,000 5
ITRAXX ASIA EX-JAPAN IG SERIES 14 Index 15 15.0 275,000,000 19
ITRAXX ASIA EX-JAPAN IG SERIES 9 Index 10 5.0 25,000,000 0
ITRAXX AUSTRALIA SERIES 11 Index 8 4.0 25,000,000 0
ITRAXX AUSTRALIA SERIES 12 Index 3 1.3 25,000,000 0
ITRAXX AUSTRALIA SERIES 13 Index 15 9.0 75,000,000 3
ITRAXX AUSTRALIA SERIES 14 Index 15 15.0 375,000,000 21
ITRAXX AUSTRALIA SERIES 9 Index 10 3.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 10 Index 11 4.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 11 Index 10 5.0 50,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 12 Index 16 11.0 75,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 13 Index 17 15.3 625,000,000 27
ITRAXX EUROPE CROSSOVER SERIES 14 Index 17 17.0 4,250,000,000 221
ITRAXX EUROPE CROSSOVER SERIES 5 Index 8 3.0 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 6 Index 11 5.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 7 Index 12 7.0 50,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 8 Index 13 8.3 100,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 9 Index 12 7.0 50,000,000 1
ITRAXX EUROPE HIVOL SERIES 10 Index 7 2.3 50,000,000 0
ITRAXX EUROPE HIVOL SERIES 12 Index 14 7.7 50,000,000 1
ITRAXX EUROPE HIVOL SERIES 13 Index 15 12.0 150,000,000 4
ITRAXX EUROPE HIVOL SERIES 14 Index 15 13.3 325,000,000 8
ITRAXX EUROPE HIVOL SERIES 5 Index 4 2.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 6 Index 4 1.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 7 Index 6 3.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 8 Index 7 3.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 9 Index 6 2.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 10 Index 13 6.3 125,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 11 Index 12 7.0 75,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 12 Index 12 8.3 150,000,000 1
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 Index 17 15.0 775,000,000 11
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 Index 17 17.0 4,400,000,000 101
ITRAXX EUROPE SENIOR FINANCIALS SERIES 8 Index 12 5.3 50,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 9 Index 9 4.3 50,000,000 0
ITRAXX EUROPE SERIES 10 Index 16 10.7 275,000,000 1
ITRAXX EUROPE SERIES 11 Index 13 9.3 175,000,000 2
ITRAXX EUROPE SERIES 12 Index 16 13.7 400,000,000 3
ITRAXX EUROPE SERIES 13 Index 17 15.0 2,650,000,000 35
ITRAXX EUROPE SERIES 14 Index 17 17.0 14,775,000,000 238
ITRAXX EUROPE SERIES 2 Index 9 5.3 75,000,000 1
ITRAXX EUROPE SERIES 3 Index 11 7.0 50,000,000 1
ITRAXX EUROPE SERIES 3C Tranched 7 2.3 25,000,000 0
ITRAXX EUROPE SERIES 4 Index 11 9.0 200,000,000 1
ITRAXX EUROPE SERIES 4 Tranched 8 4.3 25,000,000 1
ITRAXX EUROPE SERIES 4A Tranched 4 2.7 25,000,000 1
ITRAXX EUROPE SERIES 4B Tranched 13 7.0 25,000,000 1
ITRAXX EUROPE SERIES 4C Tranched 10 6.0 75,000,000 1
ITRAXX EUROPE SERIES 5 Index 15 11.7 250,000,000 1
ITRAXX EUROPE SERIES 5 Tranched 7 4.0 25,000,000 1
ITRAXX EUROPE SERIES 5B Tranched 12 7.7 25,000,000 1
ITRAXX EUROPE SERIES 5C Tranched 9 5.3 25,000,000 1
ITRAXX EUROPE SERIES 6 Index 15 12.3 250,000,000 1
ITRAXX EUROPE SERIES 6 Tranched 11 6.0 50,000,000 1
ITRAXX EUROPE SERIES 6C Tranched 13 9.7 75,000,000 1
ITRAXX EUROPE SERIES 7 Index 17 13.3 450,000,000 3
ITRAXX EUROPE SERIES 7 Tranched 11 6.3 75,000,000 1
ITRAXX EUROPE SERIES 7B Tranched 13 8.3 50,000,000 1
ITRAXX EUROPE SERIES 7C Tranched 13 8.7 100,000,000 1
ITRAXX EUROPE SERIES 8 Index 16 13.3 325,000,000 2
ITRAXX EUROPE SERIES 8 Tranched 15 11.7 225,000,000 6
ITRAXX EUROPE SERIES 9 Index 17 15.7 3,650,000,000 32
ITRAXX EUROPE SERIES 9 Tranched 17 16.0 2,025,000,000 41
ITRAXX EUROPE SUB FINANCIALS SERIES 10 Index 12 6.0 50,000,000 1
ITRAXX EUROPE SUB FINANCIALS SERIES 12 Index 14 10.0 75,000,000 1
ITRAXX EUROPE SUB FINANCIALS SERIES 13 Index 17 14.3 350,000,000 14
ITRAXX EUROPE SUB FINANCIALS SERIES 14 Index 17 16.0 1,475,000,000 52
ITRAXX EUROPE SUB FINANCIALS SERIES 8 Index 12 8.0 125,000,000 1
ITRAXX EUROPE SUB FINANCIALS SERIES 9 Index 11 6.7 125,000,000 1
ITRAXX JAPAN SERIES 13 Index 14 8.3 75,000,000 4
ITRAXX SOVX CEEMA SERIES 3 Index 14 8.7 75,000,000 5
ITRAXX SOVX CEEMA SERIES 4 Index 16 14.7 450,000,000 36
ITRAXX SOVX WESTERN EUROPE SERIES 2 Index 10 4.3 50,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 3 Index 17 13.3 350,000,000 7
ITRAXX SOVX WESTERN EUROPE SERIES 4 Index 17 15.7 1,800,000,000 52
LCDX.NA.10 Index 9 8.7 175,000,000 3
LCDX.NA.10 Tranched 8 7.3 50,000,000 2
LCDX.NA.12 Index 10 7.7 100,000,000 2
LCDX.NA.8 Index 7 5.3 25,000,000 0
LCDX.NA.9 Index 9 8.3 75,000,000 1
LCDX.NA.9 Tranched 8 7.0 50,000,000 1
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