Swap Dealer De Minimis Exception

On-Venue and Cleared Swaps

A Report by Staff of the

Division of Swap Dealer and Intermediary Oversight

July 2019

DISCLAIMER

This is a report by staff of the U.S. Commodity Futures Trading Commission. Any 

views expressed in this report are solely the views of staff, and do not necessarily 

represent the position or views of any Commissioner or the Commission. 
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Table of Contents 

I. Background ............................................................................................................................. 3

II. Analysis .................................................................................................................................. 4

A. Methodology ............................................................................................................... 4

B. Preliminary Results .................................................................................................... 5

1. Transaction Exclusion Scenario Descriptions ................................................ 6

2. Metric Descriptions ........................................................................................ 7

3. Likely SD Coverage Ratio Descriptions ........................................................ 8

4. Projected Impact of Exclusions at $8 Billion AGNA Threshold ................. 10
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I. Background 

Section 1a(49) of the Commodity Exchange Act (“CEA”) defines the term “swap dealer” 

to include any person who: (1) holds itself out as a dealer in swaps; (2) makes a market in 

swaps; (3) regularly enters into swaps with counterparties as an ordinary course of business for 

its own account; or (4) engages in any activity causing the person to be commonly known in the 

trade as a dealer or market maker in swaps (collectively referred to as “swap dealing,” “swap 

dealing activity,” or “dealing activity”).1

 The statute also requires the Commodity Futures 

Trading Commission (“CFTC” or “Commission”) to promulgate regulations to establish factors 

with respect to the making of a determination to exempt from designation as a swap dealer 

(“SD”) an entity engaged in a de minimis quantity of swap dealing.2

In May 2012, the CFTC and the Securities and Exchange Commission jointly issued an 

adopting release3

 further defining, among other things, the term “swap dealer” in § 1.3 of the 

CFTC’s regulations (“SD Definition”) and providing for a de minimis exception in paragraph (4) 

therein (“DM Exception”).4 Pursuant to an amendment proposed in June 2018 (“2018 DM 

NPRM”),

5

 and adopted by the Commission in November 2018 (“2018 DM Final Rule,” and 

collectively with the 2018 DM NPRM, “2018 DM Releases”),6 the DM Exception now states 

that a person shall not be deemed to be an SD unless its swaps connected with swap dealing 

activities exceed an aggregate gross notional amount (“AGNA”) threshold of $8 billion 

(measured over the prior 12-month period).7

In connection with the 2018 DM Final Rule, Chairman Giancarlo stated that he would 

ask Commission staff to “conduct a study on possible alternative metrics for the calculation of 

 

1 7 U.S.C. 1a(49)(A). In general, a person that satisfies any one of these prongs is deemed to be engaged in swap 

dealing activity. See also the definitions of “swap” in CEA section 1a(47) and § 1.3 of the Commission’s 

regulations. 7 U.S.C. 1a(47); 17 CFR 1.3.

2 7 U.S.C. 1a(49)(D).

3 Further Definition of “Swap Dealer,” “Security-Based Swap Dealer,” “Major Swap Participant,” “Major SecurityBased Swap Participant” and “Eligible Contract Participant,” 77 FR 30596 (May 23, 2012).

4 See 17 CFR 1.3, Swap dealer.

5 See De Minimis Exception to the Swap Dealer Definition, 83 FR 27444 (proposed June 12, 2018).

6 See De Minimis Exception to the Swap Dealer Definition, 83 FR 56666 (Nov. 13, 2018).

7 See 17 CFR 1.3, Swap dealer, paragraph (4)(i)(A).
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the SD de minimis threshold drawing upon proposals in the June 2018 NPRM.”8 Among other 

things, the 2018 DM NPRM included a discussion regarding whether an exclusion from the de 

minimis calculation for swaps that are executed on an exchange (e.g., a swap execution facility 

or designated contract market) (referred to as “on-venue” swaps) and/or cleared by a derivatives 

clearing organization is appropriate. 

This report presents additional data and analysis Commission staff conducted with 

respect to on-venue and cleared swaps.

II. Analysis 

A. Methodology 

The data used in this analysis is drawn from the 2018 DM Releases, where the 

Commission considered reducing the AGNA de minimis threshold to $3 billion, maintaining the 

threshold at $8 billion, or increasing the threshold.9

 As discussed in more detail in the 2018 DM 

Releases, this analysis is based on a January 1, 2017 through December 31, 2017 review period, 

and includes swap transactions reported to swap data repositories, excluding inter-affiliate and 

non-U.S. transactions. The total size of the swap market that was analyzed (after excluding 

inter-affiliate, non-U.S. transactions, and non-financial commodity swaps) was approximately 

$221.1 trillion in AGNA of swaps activity, approximately 3.8 million transactions, and 34,774 

counterparties. 

Staff identified those entities that, based on their observable business activities, were 

potentially engaging in swap dealing activity (“In-Scope Entities”)10 versus those likely to be 

engaging in other kinds of transactions (e.g., swaps entered into for hedging, investing, or 

proprietary trading purposes). Further, a minimum unique counterparty count of 10 

 

8 2018 DM Final Rule, 83 FR at 56690; Statement of Chairman J. Christopher Giancarlo Regarding the Final Rule 

on Swap Dealer De Minimis Calculation (Nov. 5, 2018), available at 

https://www.cftc.gov/PressRoom/SpeechesTestimony/giancarlostatement110518. 

9 The methodology described below is explained in more detail in those releases. See 2018 DM Final Rule, 83 FR at 

56669-71; 2018 DM NPRM, 83 FR at 27749-50.

10 The majority of In-Scope Entities are banks, broker-dealers, non-bank financial entities, and affiliates thereof.
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counterparties was utilized to better identify the entities that are likely to be engaged in 

transactions that have to be considered for the SD Definition.11

Among other things, staff estimated regulatory coverage by assessing the extent to which 

the swap market would have been subject to SD regulation at different AGNA thresholds 

because at least one counterparty to a swap was identified as a “Likely SD” (“Estimated 

Regulatory Coverage”). The term “Likely SD” refers to an In-Scope Entity that exceeded a 

specified AGNA threshold level, and traded with at least 10 unique counterparties. With regard 

to Estimated Regulatory Coverage, staff identified the extent to which: (1) swaps activity, 

measured in terms of AGNA (see Table 1) or transaction count (see Table 2), would have been 

subject to SD regulation during the review period, at a specified AGNA threshold, because at 

least one counterparty to a swap was identified as a Likely SD at that AGNA threshold; and (2) 

counterparties (see Table 3) in the swap market would have transacted with at least one Likely 

SD during the review period, at a specified AGNA threshold. 

Staff extended the analysis from the 2018 DM Releases to estimate regulatory coverage 

after excluding on-venue and/or cleared swaps from the DM Exception calculation. Staff 

compared the totals of all Likely SD activity in each scenario to the overall market size statistics 

from the 2018 DM Releases, described above. Staff notes that this analysis is based on historical 

data and does not account for any potential changes to market structure that would result if there 

was an exclusion from the de minimis calculation for on-venue and/or cleared swaps.

B. Preliminary Results 

As noted in the SD Definition, “a person who is deemed to be a swap dealer shall be 

deemed to be a swap dealer with respect to each swap it enters into, regardless of the category of 

the swap or the person’s activities in connection with the swap.”12 Therefore, the analysis 

compares the projected total activity (not just swaps counted in the relevant scenario) of all 

Likely SDs to the 2018 DM Releases baseline scenario totals. The analysis also compares the 

 

11 Adding this filter to the analysis reduced the likelihood of false positives – i.e., reduced the potential that entities 

likely engaged in hedging or other non-dealing activity would be identified as potential SDs. See 2018 DM NPRM, 

83 FR at 27449.

12 17 CFR 1.3, Swap dealer, paragraph (3).
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total activity remaining in each scenario (after exclusions) of all Likely SDs to the 2018 DM 

Releases baseline scenario totals. 

1. Transaction Exclusion Scenario Descriptions

All scenarios assume a de minimis threshold of $8 billion in AGNA of swap activity. 

The totals for each exclusion scenario only include the activity of Likely SDs that exceeded the 

$8 billion threshold after application of the relevant exclusion.13

“2018 DM Releases” Scenario (Column 1) 

This baseline scenario is the analysis that was included in the 2018 DM Releases. All inscope swap transactions are included in this baseline scenario, including swaps that were onvenue and/or cleared. 

“On-Venue and Cleared” Exclusion Scenario (Column 2) 

Swap transactions that are both on-venue and cleared are excluded from calculating a 

person’s AGNA total for purposes of the DM threshold calculation. Swap transactions that are 

on-venue and not cleared, off-venue and cleared, or off-venue and not cleared are included.

“On-Venue” Exclusion Scenario (Column 3) 

Swap transactions that are on-venue (regardless of clearing status) are excluded from 

calculating a person’s AGNA total for purposes of the DM threshold calculation. Swap 

transactions that are off-venue and cleared, or off-venue and not cleared are included. 

 

13 Paragraph (4) of the SD definition in § 1.3 requires that, in determining whether its swap dealing transactions 

exceed the de minimis threshold, a person must include the aggregate notional value of any swap dealing 

transactions entered into by its affiliates under common control. Therefore, a person would aggregate all swaps 

connected with its dealing activity with those of persons controlling, controlled by, or under common control with 

the potential SD to the extent that these affiliated persons are themselves required to include those swaps in their 

own de minimis thresholds, unless the affiliated person is itself a registered SD. Consistent with the analysis from 

the 2018 DM Releases, a small number of Likely SDs in a given scenario were counted despite AGNA below $8 

billion for the individual legal entity because the aggregate AGNA of unregistered entities in the corporate family

exceeded $8 billion in the given scenario. 
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“Cleared” Exclusion Scenario (Column 4) 

Swap transactions that are cleared (regardless of venue status) are excluded from 

calculating a person’s AGNA total for purposes of the DM threshold calculation. Swap 

transactions that are not cleared and on-venue, or not cleared and off-venue are included.

“On-Venue or Cleared” Exclusion Scenario (Column 5) 

Swap transactions that are either on-venue or cleared are excluded from calculating a 

person’s AGNA total for purposes of the DM threshold calculation. Only swap transactions that 

are off-venue and not cleared are included.

2. Metric Descriptions

“Baseline AGNA/Trades/CPs Included in DM Analysis” (Row A)

“Baseline AGNA /Trades/CPs Included in DM Analysis” represents the total market size 

of all AGNA, transactions, and counterparties, as discussed in the 2018 DM Releases. All inscope swap transactions are included in this scenario, including on-venue and/or cleared swaps. 

Transactions are included regardless of whether a Likely SD is a counterparty to the transaction. 

“AGNA/Trades/CPs Excluded from DM Analysis under Exclusion Scenario” (Row B)

“AGNA/Trades/CPs Excluded from DM Analysis under Exclusion Scenario” represents 

the total market size of all AGNA, transactions, and counterparties that are excluded in a given 

scenario. Transactions are excluded regardless of whether a Likely SD is a counterparty to the 

transaction.

“AGNA/Trades/CPs Included in DM Analysis under Exclusion Scenario” (Row C)

“AGNA/Trades/CPs Included in DM Analysis under Exclusion Scenario” represents the 

total market size of all AGNA, transactions, and counterparties that remain in a given scenario 

after excluding the relevant transaction type (on-venue and/or cleared). The transactions 

included in this market would be counted towards a person’s DM Exception threshold. 

Transactions are included regardless of whether a Likely SD is a counterparty to the transaction. 
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“No. of Likely SDs” (Row D)

“No. of Likely SDs” represents the total count of all Likely SDs projected to have to 

register as an SD in the given transaction exclusion scenario. 

“Non-Excluded AGNA/Trades/CPs of Likely SDs after Applying Exclusion” (Row E)

This represents the total AGNA, transactions, or counterparties of the projected Likely 

SDs, after application of the relevant transaction exclusion. Only transactions that meet the 

requirements of the scenario and include at least one Likely SD as a counterparty are included in 

these totals. 

“Total AGNA/Trades/CPs of Likely SDs” (Row F)

This represents the total AGNA, transactions, or counterparties of the projected Likely 

SDs in the given transaction exclusion scenario. For each exclusion scenario, AGNA of all 

swaps entered into by the Likely SDs for that exclusion scenario are included, including the onvenue and/or cleared swaps of the Likely SDs. 

3. Likely SD Coverage Ratio Descriptions

“Non-Excluded AGNA/Trades/CPs of Likely SDs After Applying Exclusion v. Baseline 

AGNA/Trades/CPs” (Row E divided by Row A) 

This metric indicates the activity of all Likely SDs at the $8 billion AGNA threshold that 

remains after exclusions in the relevant scenario compared to the baseline scenario market size.

As seen in Table 1, for example, assuming on-venue swaps were excluded, the projected 

92 Likely SDs would be a counterparty to $115.2 trillion AGNA of off-venue swaps, covering 

52.11% of the baseline market size of $221.1 trillion AGNA (which includes both on-venue and 

off-venue swaps). 

“Non-Excluded AGNA/Trades/CPs of Likely SDs after Applying Exclusion v. 

AGNA/Trades/CPs Included in DM Analysis under Exclusion Scenario” (Row E divided by 

Row C)

This metric indicates the activity of all Likely SDs at the $8 billion AGNA threshold that 

remains after exclusions in the relevant scenario compared to the exclusion scenario market 

size. 
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As seen in Table 2, for example, assuming cleared swaps were excluded, the projected 

95 Likely SDs would be a counterparty to 2.96 million swap transactions that are not cleared, 

covering 99.69% of the exclusion scenario market size of 2.97 million transactions that are not 

cleared.

“Total AGNA/Trades/CPs of Likely SDs v. Baseline AGNA/Trades/CPs” (Row F 

divided by Row A)

This metric indicates the total activity of all Likely SDs at the $8 billion AGNA 

threshold in the relevant scenario compared to the baseline scenario market size. This is a 

broader measure of all the activity of the Likely SDs, not just the transactions that were counted 

in a given transaction exclusion scenario towards the $8 billion threshold. As discussed above, a 

person who is deemed to be an SD is deemed to be an SD with respect to each swap it enters 

into, not just those swaps used for counting towards the de minimis threshold in a given scenario.

As seen in Table 1, for example, assuming swaps that were both on-venue and cleared

were excluded, the projected 104 Likely SDs would be a counterparty to $221.0 trillion total 

AGNA swaps activity, covering 99.95% of the baseline market size of $221.1 trillion AGNA.
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4. Projected Impact of Exclusions at $8 Billion AGNA Threshold 

Table 1 – Likely SD Market Coverage 

AGNA (in USD Trillions) 

Transaction Exclusion Scenario

Column 1 Column 2 Column 3 Column 4 Column 5

Data 

Row

2018 DM 

Releases

On-Venue and 

Cleared On-Venue Cleared

On-Venue or 

Cleared

Baseline AGNA Included in DM Analysis A 221.1 221.1 221.1 221.1 221.1

 AGNA Excluded from DM Analysis under Exclusion Scenario B 0.0 93.3 105.8 159.2 171.7

AGNA Included in DM Analysis under Exclusion Scenario C 221.1 127.9 115.3 62.0 49.4

No. of Likely SDs D 108 104 92 95 85

Non-Excluded AGNA of Likely SDs after Applying Exclusion E 221.0 127.8 115.2 61.9 49.3

 v. Baseline AGNA E / A 99.95% 57.80% 52.11% 27.99% 22.32%

 v. AGNA Included in DM Analysis under Exclusion Scenario E / C 99.95% 99.95% 99.91% 99.87% 99.84%

Total AGNA of Likely SDs (i.e., AGNA of all swaps entered into 

by Likely SDs, including on-venue and/or cleared swaps) F 221.0 221.0 220.6 220.6 220.5

 v. Baseline AGNA F / A 99.95% 99.95% 99.76% 99.75% 99.72%
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Table 2 – Likely SD Market Coverage 

Transactions (in Millions)

Transaction Exclusion Scenario

Column 1 Column 2 Column 3 Column 4 Column 5

Data 

Row

2018 DM 

Releases

On-Venue and 

Cleared On-Venue Cleared

On-Venue or 

Cleared

Baseline Trades Included in DM Analysis A 3.80 3.80 3.80 3.80 3.80

 Trades Excluded from DM Analysis under Exclusion Scenario B 0.0 0.57 1.06 0.84 1.32

Trades Included in DM Analysis under Exclusion Scenario C 3.80 3.23 2.74 2.97 2.48

No. of Likely SDs D 108 104 92 95 85

Non-Excluded Trades of Likely SDs after Applying Exclusion E 3.80 3.22 2.74 2.96 2.47

 v. Baseline Trades E / A 99.77% 84.70% 71.90% 77.75% 64.96%

 v. Trades Included in DM Analysis under Exclusion Scenario E / C 99.77% 99.76% 99.70% 99.69% 99.64%

Total Trades of Likely SDs (i.e., trades of all swaps entered into 

by Likely SDs, including on-venue and/or cleared swaps) F 3.80 3.80 3.79 3.79 3.79

 v. Baseline Trades F / A 99.77% 99.77% 99.55% 99.52% 99.51%
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Table 3 – Likely SD Market Coverage 

Counterparties (“CPs”)

Transaction Exclusion Scenario

Column 1 Column 2 Column 3 Column 4 Column 5

Data 

Row

2018 DM 

Releases

On-Venue and 

Cleared On-Venue Cleared

On-Venue or 

Cleared

Baseline CPs Included in DM Analysis A 34,774 34,774 34,774 34,774 34,774

 CPs Excluded from DM Analysis under Exclusion Scenario B 0 249 489 1,326 1,571

CPs Included in DM Analysis under Exclusion Scenario C 34,774 34,525 34,285 33,448 33,203

No. of Likely SDs D 108 104 92 95 85

Non-Excluded CPs of Likely SDs after Applying Exclusion E 30,879 30,631 30,146 28,621 28,375

 v. Baseline CPs E / A 88.80% 88.09% 86.69% 82.31% 81.60%

 v. CPs Included in DM Analysis under Exclusion Scenario E / C 88.80% 88.72% 87.93% 85.57% 85.46%

Total CPs of Likely SDs (i.e., CPs of all swaps entered into by 

Likely SDs, including on-venue and/or cleared swaps) F 30,879 30,879 30,631 29,947 29,946

 v. Baseline CPs F / A 88.80% 88.80% 88.09% 86.12% 86.12%