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, 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 10 9.0 100,000,000 5
CDX.EM.13 Untranched 12 7.3 50,000,000 4
CDX.EM.14 Untranched 13 11.7 50,000,000 3
CDX.EM.15 Untranched 13 10.7 250,000,000 14
CDX.EM.16 Untranched 14 14.0 925,000,000 66
CDX.EM.7 Untranched 4 1.3 25,000,000 0
CDX.EM.9 Untranched 8 3.3 25,000,000 0
CDX.NA.HY.10 Untranched 12 10.7 300,000,000 6
CDX.NA.HY.10 Tranched 10 9.0 125,000,000 4
CDX.NA.HY.11 Untranched 12 10.7 375,000,000 5
CDX.NA.HY.11 Tranched 10 9.7 150,000,000 10
CDX.NA.HY.12 Untranched 13 9.3 25,000,000 1
CDX.NA.HY.13 Untranched 11 6.7 25,000,000 1
CDX.NA.HY.14 Untranched 13 11.3 75,000,000 2
CDX.NA.HY.15 Untranched 14 13.3 375,000,000 12
CDX.NA.HY.15 Tranched 10 8.7 50,000,000 3
CDX.NA.HY.16 Untranched 16 14.0 1,825,000,000 116
CDX.NA.HY.17 Untranched 16 16.0 4,525,000,000 297
CDX.NA.HY.8 Untranched 10 9.0 175,000,000 1
CDX.NA.HY.8 Tranched 9 6.0 25,000,000 1
CDX.NA.HY.9 Untranched 13 11.3 450,000,000 6
CDX.NA.HY.9 Tranched 11 8.7 100,000,000 4
CDX.NA.IG.HVOL.8 Untranched 13 8.0 25,000,000 1
CDX.NA.IG.10 Untranched 14 10.3 125,000,000 3
CDX.NA.IG.10 Tranched 4 2.3 25,000,000 0
CDX.NA.IG.11 Untranched 14 12.0 225,000,000 2
CDX.NA.IG.12 Untranched 13 9.0 125,000,000 1
CDX.NA.IG.13 Untranched 13 9.3 125,000,000 2
CDX.NA.IG.14 Untranched 13 11.0 150,000,000 3
CDX.NA.IG.15 Untranched 14 12.7 675,000,000 9
CDX.NA.IG.16 Untranched 16 14.3 5,025,000,000 83
CDX.NA.IG.17 Untranched 16 16.0 20,250,000,000 303
CDX.NA.IG.8 Untranched 14 13.3 125,000,000 2
CDX.NA.IG.8 Tranched 11 6.0 25,000,000 0
CDX.NA.IG.9 Untranched 16 15.3 4,775,000,000 43
CDX.NA.IG.9 Tranched 15 14.0 1,025,000,000 33
CMBX.NA.AAA.1 Untranched 12 11.0 225,000,000 16
CMBX.NA.AAA.2 Untranched 12 11.0 125,000,000 10
CMBX.NA.AAA.3 Untranched 11 10.0 125,000,000 11
DOW JONES CDX.NA.HY.7 Untranched 6 3.7 25,000,000 0
DOW JONES CDX.NA.IG.3 Untranched 7 3.0 25,000,000 0
DOW JONES CDX.NA.IG.3 Tranched 2 0.7 25,000,000 0
DOW JONES CDX.NA.IG.4 Untranched 10 9.0 50,000,000 1
DOW JONES CDX.NA.IG.4 Tranched 10 6.3 25,000,000 0
DOW JONES CDX.NA.IG.5 Untranched 10 7.3 75,000,000 0
DOW JONES CDX.NA.IG.5 Tranched 9 5.7 25,000,000 0
DOW JONES CDX.NA.IG.6 Untranched 10 7.0 75,000,000 1
DOW JONES CDX.NA.IG.6 Tranched 8 5.3 25,000,000 0
DOW JONES CDX.NA.IG.7 Untranched 13 9.3 100,000,000 1
DOW JONES CDX.NA.IG.7 Tranched 7 4.7 25,000,000 0
IOS.FN30.450.09 Untranched 11 11.0 275,000,000 15
IOS.FN30.500.09 Untranched 11 10.3 275,000,000 13
IOS.FN30.550.08 Untranched 10 9.3 200,000,000 8
IOS.FN30.600.08 Untranched 11 9.3 250,000,000 5
IOS.FN30.650.67 Untranched 12 9.0 200,000,000 4
ITRAXX ASIA EX-JAPAN IG SERIES 13 Untranched 8 3.3 25,000,000 0
ITRAXX ASIA EX-JAPAN IG SERIES 14 Untranched 10 4.0 25,000,000 0
ITRAXX ASIA EX-JAPAN IG SERIES 15 Untranched 14 11.7 175,000,000 9
ITRAXX ASIA EX-JAPAN IG SERIES 16 Untranched 16 15.3 475,000,000 32
ITRAXX AUSTRALIA SERIES 14 Untranched 6 4.0 50,000,000 1
ITRAXX AUSTRALIA SERIES 15 Untranched 15 9.3 175,000,000 9
ITRAXX AUSTRALIA SERIES 16 Untranched 16 16.0 725,000,000 41
ITRAXX EUROPE CROSSOVER SERIES 11 Untranched 3 1.0 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 12 Untranched 7 3.0 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 13 Untranched 6 2.0 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 14 Untranched 15 12.7 50,000,000 2
ITRAXX EUROPE CROSSOVER SERIES 15 Untranched 17 14.3 1,000,000,000 40
ITRAXX EUROPE CROSSOVER SERIES 16 Untranched 17 16.7 6,050,000,000 419
ITRAXX EUROPE CROSSOVER SERIES 6 Untranched 5 1.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 7 Untranched 4 1.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 8 Untranched 7 3.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 9 Untranched 7 4.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 10 Untranched 5 2.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 12 Untranched 7 2.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 13 Untranched 7 3.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 14 Untranched 12 4.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 7 Untranched 4 1.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 8 Untranched 5 2.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 9 Untranched 2 1.3 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 10 Untranched 6 2.3 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 11 Untranched 3 1.0 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 12 Untranched 10 4.0 50,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 Untranched 9 5.0 50,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 Untranched 15 11.0 75,000,000 2
ITRAXX EUROPE SENIOR FINANCIALS SERIES 15 Untranched 17 14.7 1,350,000,000 31
ITRAXX EUROPE SENIOR FINANCIALS SERIES 16 Untranched 17 17.0 5,100,000,000 185
ITRAXX EUROPE SENIOR FINANCIALS SERIES 8 Untranched 6 2.0 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 9 Untranched 2 0.7 25,000,000 0
ITRAXX EUROPE SERIES 10 Untranched 14 8.0 100,000,000 1
ITRAXX EUROPE SERIES 11 Untranched 10 6.0 75,000,000 1
ITRAXX EUROPE SERIES 12 Untranched 14 9.0 125,000,000 1
ITRAXX EUROPE SERIES 13 Untranched 11 8.7 100,000,000 2
ITRAXX EUROPE SERIES 14 Untranched 16 12.7 325,000,000 7
ITRAXX EUROPE SERIES 15 Untranched 17 15.7 5,475,000,000 56
ITRAXX EUROPE SERIES 15 Tranched 9 7.3 75,000,000 1
ITRAXX EUROPE SERIES 16 Untranched 17 17.0 21,675,000,000 440
ITRAXX EUROPE SERIES 2 Untranched 6 2.7 25,000,000 0
ITRAXX EUROPE SERIES 3 Untranched 8 4.7 25,000,000 0
ITRAXX EUROPE SERIES 3C Tranched 5 2.3 25,000,000 0
ITRAXX EUROPE SERIES 4 Untranched 10 5.3 50,000,000 0
ITRAXX EUROPE SERIES 4B Tranched 10 3.7 75,000,000 0
ITRAXX EUROPE SERIES 4C Tranched 5 2.7 25,000,000 0
ITRAXX EUROPE SERIES 5 Untranched 10 6.0 50,000,000 0
ITRAXX EUROPE SERIES 5 Tranched 1 0.3 25,000,000 0
ITRAXX EUROPE SERIES 5B Tranched 7 2.7 25,000,000 0
ITRAXX EUROPE SERIES 5C Tranched 8 4.0 25,000,000 0
ITRAXX EUROPE SERIES 6 Untranched 10 6.0 50,000,000 0
ITRAXX EUROPE SERIES 6 Tranched 4 1.3 25,000,000 0
ITRAXX EUROPE SERIES 6C Tranched 8 4.7 25,000,000 0
ITRAXX EUROPE SERIES 7 Untranched 15 11.0 75,000,000 1
ITRAXX EUROPE SERIES 7 Tranched 2 0.7 25,000,000 0
ITRAXX EUROPE SERIES 7B Tranched 7 4.0 25,000,000 0
ITRAXX EUROPE SERIES 7C Tranched 9 6.0 25,000,000 0
ITRAXX EUROPE SERIES 8 Untranched 14 10.7 150,000,000 1
ITRAXX EUROPE SERIES 8 Tranched 11 8.3 100,000,000 1
ITRAXX EUROPE SERIES 9 Untranched 17 15.3 2,075,000,000 20
ITRAXX EUROPE SERIES 9 Tranched 16 13.7 850,000,000 23
ITRAXX EUROPE SUB FINANCIALS SERIES 10 Untranched 2 0.7 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 12 Untranched 5 2.0 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 13 Untranched 10 5.0 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 14 Untranched 13 9.3 25,000,000 1
ITRAXX EUROPE SUB FINANCIALS SERIES 15 Untranched 17 13.7 425,000,000 22
ITRAXX EUROPE SUB FINANCIALS SERIES 16 Untranched 17 15.3 975,000,000 57
ITRAXX EUROPE SUB FINANCIALS SERIES 8 Untranched 7 2.7 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 9 Untranched 9 3.7 25,000,000 0
ITRAXX JAPAN SERIES 13 Untranched 5 3.3 25,000,000 0
ITRAXX JAPAN SERIES 14 Untranched 10 8.0 25,000,000 1
ITRAXX JAPAN SERIES 15 Untranched 13 10.3 125,000,000 6
ITRAXX JAPAN SERIES 16 Untranched 13 13.0 350,000,000 22
ITRAXX SOVX CEEMEA SERIES 3 Untranched 8 4.3 25,000,000 0
ITRAXX SOVX CEEMEA SERIES 4 Untranched 11 7.7 25,000,000 1
ITRAXX SOVX CEEMEA SERIES 5 Untranched 15 11.3 75,000,000 4
ITRAXX SOVX CEEMEA SERIES 6 Untranched 16 15.3 725,000,000 63
ITRAXX SOVX WESTERN EUROPE SERIES 2 Untranched 6 2.0 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 3 Untranched 8 4.3 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 4 Untranched 9 5.3 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 5 Untranched 15 13.0 225,000,000 6
ITRAXX SOVX WESTERN EUROPE SERIES 6 Untranched 15 14.7 500,000,000 76
LCDX.NA.10 Untranched 9 4.7 25,000,000 0
LCDX.NA.12 Untranched 9 5.7 25,000,000 0
LCDX.NA.8 Untranched 8 4.7 25,000,000 0
LCDX.NA.9 Untranched 5 2.3 25,000,000 0
MBX.FN30.650.67 Untranched 6 2.3 50,000,000 0
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