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 |