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

The sample covers the three month period beginning December 20, 2010 through March 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 Index 10 8.3 50,000,000 4
CDX.EM.13 Index 10 8.0 25,000,000 1
CDX.EM.14 Index 13 12.7 600,000,000 47
CDX.EM.7 Index 3 1.0 25,000,000 0
CDX.NA.HY.10 Index 13 11.7 375,000,000 5
CDX.NA.HY.10 Tranched 10 9.7 175,000,000 8
CDX.NA.HY.11 Index 10 9.7 475,000,000 3
CDX.NA.HY.11 Tranched 9 9.0 100,000,000 4
CDX.NA.HY.12 Index 12 7.7 50,000,000 1
CDX.NA.HY.13 Index 13 10.7 50,000,000 1
CDX.NA.HY.14 Index 14 12.0 150,000,000 6
CDX.NA.HY.15 Index 17 15.0 3,325,000,000 190
CDX.NA.HY.8 Index 11 8.0 75,000,000 1
CDX.NA.HY.8 Tranched 10 6.7 100,000,000 2
CDX.NA.HY.9 Index 12 11.3 275,000,000 4
CDX.NA.HY.9 Tranched 11 9.7 125,000,000 5
CDX.NA.IG.10 Index 14 11.3 300,000,000 2
CDX.NA.IG.10 Tranched 9 6.7 50,000,000 1
CDX.NA.IG.11 Index 12 8.0 150,000,000 1
CDX.NA.IG.12 Index 11 8.3 75,000,000 1
CDX.NA.IG.13 Index 13 12.0 250,000,000 2
CDX.NA.IG.14 Index 14 13.0 250,000,000 9
CDX.NA.IG.15 Index 17 16.7 14,700,000,000 201
CDX.NA.IG.8 Index 13 10.7 175,000,000 1
CDX.NA.IG.8 Tranched 15 11.7 425,000,000 4
CDX.NA.IG.9 Index 17 15.7 5,450,000,000 57
CDX.NA.IG.9 Tranched 17 15.3 2,100,000,000 52
CDX.NA.IG.HVOL.8 Index 6 2.3 25,000,000 0
CDX.NA.IG.HVOL.9 Index 9 4.3 25,000,000 2
CMBX.NA.AAA.1 Index 10 9.3 100,000,000 5
CMBX.NA.AAA.2 Index 12 9.3 50,000,000 1
CMBX.NA.AAA.3 Index 12 10.7 100,000,000 55
DOW JONES CDX.NA.HY.7 Index 6 3.0 25,000,000 0
DOW JONES CDX.NA.HY.7 Tranched 8 6.3 50,000,000 1
DOW JONES CDX.NA.IG.3 Index 6 3.3 25,000,000 0
DOW JONES CDX.NA.IG.3 Tranched 7 3.7 25,000,000 1
DOW JONES CDX.NA.IG.4 Index 12 8.7 125,000,000 1
DOW JONES CDX.NA.IG.4 Tranched 14 8.3 75,000,000 2
DOW JONES CDX.NA.IG.5 Index 13 8.0 100,000,000 1
DOW JONES CDX.NA.IG.5 Tranched 12 9.0 75,000,000 2
DOW JONES CDX.NA.IG.6 Index 14 11.3 400,000,000 2
DOW JONES CDX.NA.IG.6 Tranched 14 10.3 125,000,000 2
DOW JONES CDX.NA.IG.7 Index 14 11.3 375,000,000 2
DOW JONES CDX.NA.IG.7 Tranched 15 12.3 400,000,000 4
DOW JONES CDX.NA.IG.HVOL.7 Index 8 3.7 25,000,000 0
IOS.FN30.450.09 Index 10 9.7 200,000,000 9
IOS.FN30.500.09 Index 10 9.7 225,000,000 13
IOS.FN30.550.08 Index 10 9.7 200,000,000 7
IOS.FN30.650.67 Index 9 8.7 150,000,000 4
ITRAXX ASIA EX-JAPAN IG SERIES 13 Index 12 7.7 25,000,000 1
ITRAXX ASIA EX-JAPAN IG SERIES 14 Index 15 15.0 175,000,000 13
ITRAXX AUSTRALIA SERIES 13 Index 11 7.0 25,000,000 0
ITRAXX AUSTRALIA SERIES 14 Index 15 14.7 400,000,000 23
ITRAXX EUROPE CROSSOVER SERIES 10 Index 4 1.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 11 Index 9 4.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 12 Index 12 6.3 25,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 13 Index 15 11.7 75,000,000 2
ITRAXX EUROPE CROSSOVER SERIES 14 Index 17 16.7 4,500,000,000 212
ITRAXX EUROPE CROSSOVER SERIES 5 Index 8 3.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 6 Index 10 5.0 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 7 Index 11 7.3 25,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 8 Index 10 5.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 9 Index 9 5.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 10 Index 9 3.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 12 Index 10 5.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 13 Index 10 5.7 50,000,000 1
ITRAXX EUROPE HIVOL SERIES 14 Index 14 13.3 250,000,000 7
ITRAXX EUROPE HIVOL SERIES 5 Index 2 0.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 6 Index 3 1.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 7 Index 5 1.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 9 Index 5 1.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 10 Index 9 4.3 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 11 Index 9 4.0 50,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 12 Index 7 4.7 25,000,000 1
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 Index 12 10.0 75,000,000 1
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 Index 17 17.0 4,250,000,000 113
ITRAXX EUROPE SENIOR FINANCIALS SERIES 8 Index 7 2.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 9 Index 6 2.0 25,000,000 0
ITRAXX EUROPE SERIES 10 Index 11 6.7 175,000,000 1
ITRAXX EUROPE SERIES 11 Index 14 8.0 75,000,000 1
ITRAXX EUROPE SERIES 12 Index 15 11.7 150,000,000 1
ITRAXX EUROPE SERIES 13 Index 16 14.3 325,000,000 4
ITRAXX EUROPE SERIES 14 Index 17 17.0 15,700,000,000 234
ITRAXX EUROPE SERIES 2 Index 6 2.3 25,000,000 0
ITRAXX EUROPE SERIES 3 Index 10 5.3 75,000,000 0
ITRAXX EUROPE SERIES 3C Tranched 13 7.7 50,000,000 1
ITRAXX EUROPE SERIES 4 Index 9 4.7 75,000,000 0
ITRAXX EUROPE SERIES 4B Tranched 10 5.3 50,000,000 0
ITRAXX EUROPE SERIES 4C Tranched 11 6.3 100,000,000 1
ITRAXX EUROPE SERIES 5 Index 11 5.3 50,000,000 0
ITRAXX EUROPE SERIES 5 Tranched 5 1.7 25,000,000 0
ITRAXX EUROPE SERIES 5B Tranched 13 6.3 50,000,000 0
ITRAXX EUROPE SERIES 5C Tranched 13 7.3 50,000,000 1
ITRAXX EUROPE SERIES 6 Index 12 7.3 125,000,000 1
ITRAXX EUROPE SERIES 6 Tranched 8 4.0 25,000,000 0
ITRAXX EUROPE SERIES 6C Tranched 11 6.7 75,000,000 1
ITRAXX EUROPE SERIES 7 Index 15 10.3 250,000,000 1
ITRAXX EUROPE SERIES 7 Tranched 9 4.3 25,000,000 0
ITRAXX EUROPE SERIES 7A Tranched 12 6.7 25,000,000 0
ITRAXX EUROPE SERIES 7B Tranched 11 6.0 50,000,000 0
ITRAXX EUROPE SERIES 7C Tranched 13 6.7 75,000,000 1
ITRAXX EUROPE SERIES 8 Index 12 8.3 175,000,000 1
ITRAXX EUROPE SERIES 8 Tranched 12 10.0 250,000,000 2
ITRAXX EUROPE SERIES 9 Index 17 15.7 2,825,000,000 23
ITRAXX EUROPE SERIES 9 Tranched 17 15.3 1,200,000,000 23
ITRAXX EUROPE SUB FINANCIALS SERIES 10 Index 3 2.0 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 12 Index 8 3.7 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 13 Index 13 7.7 50,000,000 1
ITRAXX EUROPE SUB FINANCIALS SERIES 14 Index 17 15.7 875,000,000 43
ITRAXX EUROPE SUB FINANCIALS SERIES 7 Index 4 1.3 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 8 Index 6 2.3 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 9 Index 7 3.7 50,000,000 0
ITRAXX JAPAN SERIES 13 Index 12 8.7 25,000,000 1
ITRAXX JAPAN SERIES 14 Index 13 13.0 300,000,000 25
ITRAXX SOVX CEEMA SERIES 3 Index 13 7.3 75,000,000 2
ITRAXX SOVX CEEMA SERIES 4 Index 16 15.7 375,000,000 29
ITRAXX SOVX WESTERN EUROPE SERIES 2 Index 11 4.3 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 3 Index 15 9.7 100,000,000 2
ITRAXX SOVX WESTERN EUROPE SERIES 4 Index 16 15.3 1,700,000,000 60
LCDX.NA.10 Index 9 6.3 75,000,000 1
LCDX.NA.10 Tranched 9 5.3 50,000,000 1
LCDX.NA.12 Index 10 7.3 50,000,000 1
LCDX.NA.8 Index 8 5.3 25,000,000 0
LCDX.NA.9 Index 8 7.0 25,000,000 0
LCDX.NA.9 Tranched 9 5.3 75,000,000 1
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