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

The sample covers the three month period beginning December 20, 2011 through March 19, 2012

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 9 7.7 25,000,000 1
ABX.HE.AAA.06-2 Untranched 11 10.0 100,000,000 11
CDX.EM.13 Untranched 9 5.7 25,000,000 1
CDX.EM.14 Untranched 12 10.3 100,000,000 14
CDX.EM.15 Untranched 11 9.3 100,000,000 7
CDX.EM.16 Untranched 14 13.0 500,000,000 41
CDX.EM.9 Untranched 4 1.7 25,000,000 0
CDX.NA.HY.10 Tranched 10 8.3 225,000,000 6
CDX.NA.HY.10 Untranched 12 11.0 475,000,000 9
CDX.NA.HY.11 Tranched 9 6.7 75,000,000 3
CDX.NA.HY.11 Untranched 11 11.0 275,000,000 5
CDX.NA.HY.12 Untranched 9 5.3 25,000,000 0
CDX.NA.HY.13 Untranched 10 7.3 25,000,000 1
CDX.NA.HY.14 Untranched 12 11.0 75,000,000 2
CDX.NA.HY.15 Tranched 9 8.3 75,000,000 4
CDX.NA.HY.15 Untranched 15 12.7 325,000,000 8
CDX.NA.HY.16 Untranched 14 13.3 300,000,000 10
CDX.NA.HY.17 Untranched 17 16.0 3,150,000,000 240
CDX.NA.HY.8 Tranched 9 6.0 50,000,000 2
CDX.NA.HY.8 Untranched 12 9.0 575,000,000 3
CDX.NA.HY.9 Tranched 10 9.0 125,000,000 4
CDX.NA.HY.9 Untranched 13 10.7 475,000,000 5
CDX.NA.IG.HVOL.8 Untranched 10 5.7 25,000,000 0
CDX.NA.IG.10 Tranched 8 3.3 25,000,000 0
CDX.NA.IG.10 Untranched 13 9.3 100,000,000 1
CDX.NA.IG.11 Untranched 12 7.0 75,000,000 0
CDX.NA.IG.12 Untranched 10 6.0 75,000,000 0
CDX.NA.IG.13 Untranched 12 10.0 100,000,000 1
CDX.NA.IG.15 Untranched 14 12.0 275,000,000 3
CDX.NA.IG.16 Untranched 16 13.7 1,400,000,000 25
CDX.NA.IG.17 Untranched 17 16.7 14,600,000,000 251
CDX.NA.IG.8 Tranched 14 8.7 150,000,000 3
CDX.NA.IG.8 Untranched 17 12.3 150,000,000 1
CDX.NA.IG.9 Tranched 16 15.0 1,925,000,000 43
CDX.NA.IG.9 Untranched 17 16.0 10,550,000,000 64
CMBX.NA.AAA.1 Untranched 11 10.0 100,000,000 7
CMBX.NA.AAA.2 Untranched 10 9.3 50,000,000 5
CMBX.NA.AAA.3 Untranched 12 10.0 50,000,000 7
DOW JONES CDX.NA.IG.3 Tranched 5 2.0 25,000,000 0
DOW JONES CDX.NA.IG.3 Untranched 7 3.3 25,000,000 0
DOW JONES CDX.NA.IG.4 Tranched 6 2.7 25,000,000 0
DOW JONES CDX.NA.IG.4 Untranched 12 8.0 125,000,000 1
DOW JONES CDX.NA.IG.5 Tranched 11 5.7 25,000,000 1
DOW JONES CDX.NA.IG.5 Untranched 14 7.7 100,000,000 1
DOW JONES CDX.NA.IG.6 Tranched 14 7.0 50,000,000 1
DOW JONES CDX.NA.IG.6 Untranched 14 9.0 100,000,000 1
DOW JONES CDX.NA.IG.7 Tranched 13 8.0 25,000,000 1
DOW JONES CDX.NA.IG.7 Untranched 16 10.3 225,000,000 1
IOS.FN30.450.09 Untranched 10 9.0 100,000,000 4
IOS.FN30.500.09 Untranched 10 8.7 125,000,000 4
IOS.FN30.550.08 Untranched 10 9.0 175,000,000 4
IOS.FN30.600.08 Untranched 11 8.3 125,000,000 9
IOS.FN30.650.67 Untranched 10 6.7 125,000,000 5
ITRAXX ASIA EX-JAPAN IG SERIES 13 Untranched 7 3.3 25,000,000 0
ITRAXX ASIA EX-JAPAN IG SERIES 14 Untranched 6 3.0 25,000,000 0
ITRAXX ASIA EX-JAPAN IG SERIES 15 Untranched 11 6.3 25,000,000 1
ITRAXX ASIA EX-JAPAN IG SERIES 16 Untranched 16 15.3 275,000,000 19
ITRAXX AUSTRALIA SERIES 14 Untranched 8 3.0 25,000,000 0
ITRAXX AUSTRALIA SERIES 15 Untranched 12 8.7 50,000,000 3
ITRAXX AUSTRALIA SERIES 16 Untranched 16 14.7 425,000,000 23
ITRAXX EUROPE CROSSOVER SERIES 12 Untranched 10 3.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 13 Untranched 7 2.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 14 Untranched 13 7.7 25,000,000 1
ITRAXX EUROPE CROSSOVER SERIES 15 Untranched 15 13.0 125,000,000 3
ITRAXX EUROPE CROSSOVER SERIES 16 Untranched 17 16.3 4,475,000,000 323
ITRAXX EUROPE CROSSOVER SERIES 7 Untranched 6 2.3 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 8 Untranched 6 2.7 25,000,000 0
ITRAXX EUROPE CROSSOVER SERIES 9 Untranched 7 3.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 10 Untranched 7 3.0 50,000,000 0
ITRAXX EUROPE HIVOL SERIES 13 Untranched 8 3.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 14 Untranched 2 0.7 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 7 Untranched 3 1.0 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 8 Untranched 5 2.3 25,000,000 0
ITRAXX EUROPE HIVOL SERIES 9 Untranched 5 2.0 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 10 Untranched 4 3.0 75,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 11 Untranched 4 1.3 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 12 Untranched 8 3.7 25,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 13 Untranched 12 5.7 75,000,000 1
ITRAXX EUROPE SENIOR FINANCIALS SERIES 14 Untranched 15 9.7 50,000,000 1
ITRAXX EUROPE SENIOR FINANCIALS SERIES 15 Untranched 15 11.3 275,000,000 4
ITRAXX EUROPE SENIOR FINANCIALS SERIES 16 Untranched 17 16.7 4,200,000,000 171
ITRAXX EUROPE SENIOR FINANCIALS SERIES 8 Untranched 11 4.7 50,000,000 0
ITRAXX EUROPE SENIOR FINANCIALS SERIES 9 Untranched 5 2.7 50,000,000 0
ITRAXX EUROPE SERIES 10 Untranched 14 9.7 75,000,000 1
ITRAXX EUROPE SERIES 11 Untranched 11 5.3 50,000,000 0
ITRAXX EUROPE SERIES 12 Untranched 11 7.3 150,000,000 1
ITRAXX EUROPE SERIES 13 Untranched 12 9.3 75,000,000 1
ITRAXX EUROPE SERIES 14 Untranched 16 11.7 125,000,000 2
ITRAXX EUROPE SERIES 15 Tranched 9 6.3 200,000,000 3
ITRAXX EUROPE SERIES 15 Untranched 16 15.7 1,175,000,000 10
ITRAXX EUROPE SERIES 16 Untranched 17 17.0 14,875,000,000 322
ITRAXX EUROPE SERIES 2 Untranched 4 2.0 25,000,000 0
ITRAXX EUROPE SERIES 3 Untranched 7 3.3 50,000,000 0
ITRAXX EUROPE SERIES 3C Tranched 3 1.3 25,000,000 0
ITRAXX EUROPE SERIES 4 Untranched 13 6.7 200,000,000 1
ITRAXX EUROPE SERIES 4B Tranched 5 1.7 25,000,000 0
ITRAXX EUROPE SERIES 4C Tranched 5 1.7 25,000,000 0
ITRAXX EUROPE SERIES 5 Tranched 5 2.3 25,000,000 0
ITRAXX EUROPE SERIES 5 Untranched 12 5.3 300,000,000 1
ITRAXX EUROPE SERIES 5B Tranched 7 3.0 25,000,000 0
ITRAXX EUROPE SERIES 5C Tranched 7 3.3 125,000,000 1
ITRAXX EUROPE SERIES 6 Untranched 12 5.3 300,000,000 1
ITRAXX EUROPE SERIES 6C Tranched 11 4.7 125,000,000 1
ITRAXX EUROPE SERIES 7 Tranched 8 3.3 50,000,000 1
ITRAXX EUROPE SERIES 7 Untranched 14 10.0 350,000,000 3
ITRAXX EUROPE SERIES 7B Tranched 13 5.0 25,000,000 1
ITRAXX EUROPE SERIES 7C Tranched 12 5.3 125,000,000 1
ITRAXX EUROPE SERIES 8 Tranched 14 8.0 225,000,000 4
ITRAXX EUROPE SERIES 8 Untranched 16 9.7 300,000,000 3
ITRAXX EUROPE SERIES 9 Tranched 16 14.0 2,375,000,000 33
ITRAXX EUROPE SERIES 9 Untranched 17 15.3 5,100,000,000 28
ITRAXX EUROPE SUB FINANCIALS SERIES 10 Untranched 6 3.7 50,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 12 Untranched 5 1.7 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 13 Untranched 7 3.3 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 14 Untranched 8 4.0 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 15 Untranched 15 10.7 75,000,000 2
ITRAXX EUROPE SUB FINANCIALS SERIES 16 Untranched 17 15.3 650,000,000 48
ITRAXX EUROPE SUB FINANCIALS SERIES 8 Untranched 7 2.7 25,000,000 0
ITRAXX EUROPE SUB FINANCIALS SERIES 9 Untranched 6 2.3 25,000,000 0
ITRAXX JAPAN SERIES 13 Untranched 6 2.7 25,000,000 0
ITRAXX JAPAN SERIES 14 Untranched 9 6.0 25,000,000 1
ITRAXX JAPAN SERIES 15 Untranched 10 8.7 25,000,000 2
ITRAXX JAPAN SERIES 16 Untranched 13 13.0 275,000,000 19
ITRAXX SOVX CEEMEA SERIES 3 Untranched 4 2.0 50,000,000 3
ITRAXX SOVX CEEMEA SERIES 4 Untranched 5 2.7 25,000,000 2
ITRAXX SOVX CEEMEA SERIES 5 Untranched 9 5.0 25,000,000 2
ITRAXX SOVX CEEMEA SERIES 6 Untranched 16 14.7 450,000,000 40
ITRAXX SOVX WESTERN EUROPE SERIES 2 Untranched 6 2.0 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 3 Untranched 9 4.3 25,000,000 1
ITRAXX SOVX WESTERN EUROPE SERIES 4 Untranched 11 4.3 25,000,000 0
ITRAXX SOVX WESTERN EUROPE SERIES 5 Untranched 13 9.3 50,000,000 1
ITRAXX SOVX WESTERN EUROPE SERIES 6 Untranched 15 14.0 350,000,000 62
LCDX.NA SERIES 10 Untranched 9 5.7 50,000,000 1
LCDX.NA SERIES 12 Untranched 7 5.0 50,000,000 1
LCDX.NA SERIES 8 Untranched 6 2.7 50,000,000 0
LCDX.NA SERIES 9 Untranched 9 4.3 25,000,000 0
MBX.FN30.650.67 Untranched 5 2.7 75,000,000 1
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