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MEMORANDUM
To File
From Division of Risk Strategy and Financial Innovation1
Re Information regarding activities and positions of participants in the single-name credit default swap market
Date 3152012
Introduction
The Division of Risk Strategy and Financial Innovation has completed an analysis of
single-name credit default swap transaction and position activity The first analysis is
based on a sample of all new risk transfer dollar-adjusted gold record transactions in
both corporate and sovereign single-name credit default swaps (CDS) submitted to the
Depository Trust and Clearing Corporationrsquos Trade Information Warehouse (DTCC-
TIW) between January 1 2011 and December 31 2011 (the sample period)2 The second
analysis is based on monthly position data in single-name CDS over the same sample
period and provided by DTCC-TIW
The analysis provides information that characterizes the level of trading activity and
positions in the credit default swap market It is intended to assist the Commission in the
development of final rules that further define the terms ldquosecurity-based swap dealerrdquo and
ldquomajor security-based swap participantrdquo in connection with the implementation of the
Dodd-Frank Act3 In part this information should help evaluate the impact of alternative
approaches (1) to implementing the de minimis exception to the ldquosecurity-based swap
dealerrdquo definition by quantifying under certain assumptions the number of persons who
1 This is a memo by the Staff of the Division of Risk Strategy and Financial Innovation of the US Securities and Exchange Commission The Commission has expressed no view regarding the analysis findings or conclusions contained herein2 Non-dollar denominated transactions are adjusted to US dollars at prevailing exchanges rates 3 See Further Definition of ldquoSwap Dealerrdquo ldquoSecurity-Based Swap Dealerrdquo ldquoMajor Swap Participantrdquo ldquoMajor Security-Based Swap Participantrdquo and ldquoEligible Contract Participantrdquo Exchange Act Release No 63452 75 FR 80174 (Dec 21 2010)
may be required to register as ldquosecurity-based swap dealersrdquo or ldquomajor security-based
swap participantsrdquo and (2) to evaluating the security-based swap activities and positions
of such persons 4
The memo is organized as follows Section I first discusses potential criteria which
when analyzed in combination with the single-name CDS dataset available from DTCC-
TIW may be indicative of dealer activity Next the section outlines the methodological
approach An analysis of each criterion based on 12-month aggregate gross notional
dollar value of single-name CDS transactions and illustrated by charts and tables follows
as well as an analysis of the effect of combining multiple criteria Section I concludes
with an analysis of transaction activity between counterparties and special entities
Section II provides an analysis of aggregate gross notional positions that may be relevant
to predicting the number of entities that need to determine whether they qualify as major
security-based swap participants Finally an appendix repeats the criteria analysis from
Sections I and 2 for index CDS
Section I ndash Information about possible dealing activity in the security-based swap
market
Higher levels of activity and exposure are likely to be highly correlated with dealing
activity However high levels of market activity do not necessarily reflect dealer activity
For this reason a number of alternative analyses are included in this section that consider
other criteria which may be indicative of dealer activity These criteria were developed
to most effectively utilize the data available As a result the criteria used may not reflect
all potential criteria that could be indicative of dealer activity or the criteria that may be
4 Although rules requiring counterparties to report security-based swap (SBS) transactions to a Swap Data Repository in accordance the Dodd Frank Act have been proposed they have not been adopted As a result the Commission does not yet have ready access to all SBS market transactions Nevertheless because the industry through DTCC began to provide infrastructure to the CDS market (the most developed component of the SBS market) several years ago we have access to and are able to analyze a large fraction of the SBS market Our analysis may understate activity levels in the SBS market because it does not include other types of SBS In addition there is a second source of understatement because our analysis is based only on single-name CDS transactions as opposed to all CDS transactions that may be SBS
2
used to identify dealer activity in the final rules The criteria used in this analysis include
the following
1 Whether an entity transacts with multiple counterparties As a general matter
entities engaged in dealing activity are likely to have more counterparties than
non-dealers Nevertheless to the extent that a market participant limits its activity
to the inter-dealer market it is possible to transact with relatively few
counterparties despite engaging in dealing activity Also some non-dealers may
maintain trading relationships with numerous dealers
2 Whether an entity transacts with multiple counterparties excepting those entities
recognized by ISDA as dealers5 This criterion reflects the expectation that
dealers are likely to have more non-dealer counterparties than the typical non-
dealer That is dealers are more likely to interact with non-dealers than would
other non-dealers Nevertheless this analysis has an analogous limitation to that
described in the first criterion
3 Whether an entityrsquos aggregate buy notional amount is within 45-55 of its
aggregate gross notional transactions To the extent that dealing is associated
with zero net exposure a dealerrsquos buying and selling activity should be largely
offsetting Hence total notional buying exposure should comprise roughly half of
the gross notional transaction activity However because an entity may buy and
sell credit protection for the same notional amount but on different reference
entities or indexes or with different maturity dates on the same reference entity a
flat order book could nevertheless reflect directional speculative trades
uncharacteristic of a dealer
4 Whether an entityrsquos aggregate number of buy orders are within 45-55 of its
aggregate number of transactions Using the same rationale as for criterion 3
dealing activity commensurate with dealer status should in general reflect an
offsetting number of buy and sell transactions However a possible limitation of
this criterion is that a dealer may offset large trades with a large number of
5 See httpwwwisdaorgresearchnotespdfConcentrationRN_4-10pdf httpwwwisdaorgc_and_apdfISDA-Operations-Survey-2010pdf and httpwwwrisknetrisk-magazinenews2127940g14-dealer-adds (discussing CDS market and participants in CDS market)
3
smaller trades If a dealer offsets large protection selling trades with many
smaller protection buying trades a flat order book may not be characterized by an
equal number of buy and sell transactions In addition a dealer may offset trades
on indexes with a number of trades in single-name CDS which could also result
in an unequal number of buy and sell transactions
5 Whether an entityrsquos frequency of posting initial margin on orders occurs in less
than 10 of their aggregate transactions This criterion reflects the expectation
that in general dealers are less likely to post initial margin when trading CDS
particularly in dealer-to-dealer transactions A limitation of this analysis is that
reporting initial margin to DTCC-TIW is voluntary Therefore since this filter
may capture entities that in fact post margin but choose not to report the criterion
may be over-indicative of dealing activity
4
Methodology
To illustrate the number of persons who may be engaged in dealing activity involving
security-based swaps the analyses that follow include both histograms and tables for
each criterion Histograms are a heuristic method of representing the underlying data In
this analysis they are constructed to show the frequency (ie number) of potential
dealers who satisfy a particular criterion as measured at discrete intervals based on their
aggregate gross notional transaction amounts6 over the 12-month period ending on
December 31 2011 The discrete intervals (ldquobinsrdquo) are chosen so that the distribution is
sufficiently granular to permit inferences about possible de minimis threshold levels yet
wide enough to allow the shape of the distribution to emerge
Each histogram depicts the percentage of total entities accounted for by each notional bin
in graphical and tabular form The tables also report the percentage of notional as an
additional element This allows for inference as to the effect on the percentage of total
entities or total notional resulting from different choices for the value of the de minimis
exception
Finally this analysis reflects the state of the single-name credit default swap market in
2011 prior to the implementation of most of the provisions of Title VII of the Dodd-
Frank Act The full implementation of Title VII ndash including the implementation of
registration requirements for security-based swap dealers and an exception that would
permit some market participants to engage in unregulated dealing activity up to a de
minimis amount ndash may be expected to change the market This analysis does not seek to
predict those changes
6 The analysis in this memo aggregates account-level data to the corporate parent or transacting agent For example a corporate parent can transact through multiple accounts similarly an investment adviser can act as the transacting agent for multiple client accounts However for the purposes of the special entity analysis we have calculated 12-month notional at the account level to avoid pooling special entity transactions with non-special entity transactions
5
1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
50
100
150
200
250
300
350
400
450
500
Figure 1 Distribution of CDS Participants based on 12-Month Notional
All Entities
6
Table 1 12-Month Notional for All Entities
Notional Bin Entities of Entities Notional of Notional
$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418
Total 1084 $ 1262848
7
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
may be required to register as ldquosecurity-based swap dealersrdquo or ldquomajor security-based
swap participantsrdquo and (2) to evaluating the security-based swap activities and positions
of such persons 4
The memo is organized as follows Section I first discusses potential criteria which
when analyzed in combination with the single-name CDS dataset available from DTCC-
TIW may be indicative of dealer activity Next the section outlines the methodological
approach An analysis of each criterion based on 12-month aggregate gross notional
dollar value of single-name CDS transactions and illustrated by charts and tables follows
as well as an analysis of the effect of combining multiple criteria Section I concludes
with an analysis of transaction activity between counterparties and special entities
Section II provides an analysis of aggregate gross notional positions that may be relevant
to predicting the number of entities that need to determine whether they qualify as major
security-based swap participants Finally an appendix repeats the criteria analysis from
Sections I and 2 for index CDS
Section I ndash Information about possible dealing activity in the security-based swap
market
Higher levels of activity and exposure are likely to be highly correlated with dealing
activity However high levels of market activity do not necessarily reflect dealer activity
For this reason a number of alternative analyses are included in this section that consider
other criteria which may be indicative of dealer activity These criteria were developed
to most effectively utilize the data available As a result the criteria used may not reflect
all potential criteria that could be indicative of dealer activity or the criteria that may be
4 Although rules requiring counterparties to report security-based swap (SBS) transactions to a Swap Data Repository in accordance the Dodd Frank Act have been proposed they have not been adopted As a result the Commission does not yet have ready access to all SBS market transactions Nevertheless because the industry through DTCC began to provide infrastructure to the CDS market (the most developed component of the SBS market) several years ago we have access to and are able to analyze a large fraction of the SBS market Our analysis may understate activity levels in the SBS market because it does not include other types of SBS In addition there is a second source of understatement because our analysis is based only on single-name CDS transactions as opposed to all CDS transactions that may be SBS
2
used to identify dealer activity in the final rules The criteria used in this analysis include
the following
1 Whether an entity transacts with multiple counterparties As a general matter
entities engaged in dealing activity are likely to have more counterparties than
non-dealers Nevertheless to the extent that a market participant limits its activity
to the inter-dealer market it is possible to transact with relatively few
counterparties despite engaging in dealing activity Also some non-dealers may
maintain trading relationships with numerous dealers
2 Whether an entity transacts with multiple counterparties excepting those entities
recognized by ISDA as dealers5 This criterion reflects the expectation that
dealers are likely to have more non-dealer counterparties than the typical non-
dealer That is dealers are more likely to interact with non-dealers than would
other non-dealers Nevertheless this analysis has an analogous limitation to that
described in the first criterion
3 Whether an entityrsquos aggregate buy notional amount is within 45-55 of its
aggregate gross notional transactions To the extent that dealing is associated
with zero net exposure a dealerrsquos buying and selling activity should be largely
offsetting Hence total notional buying exposure should comprise roughly half of
the gross notional transaction activity However because an entity may buy and
sell credit protection for the same notional amount but on different reference
entities or indexes or with different maturity dates on the same reference entity a
flat order book could nevertheless reflect directional speculative trades
uncharacteristic of a dealer
4 Whether an entityrsquos aggregate number of buy orders are within 45-55 of its
aggregate number of transactions Using the same rationale as for criterion 3
dealing activity commensurate with dealer status should in general reflect an
offsetting number of buy and sell transactions However a possible limitation of
this criterion is that a dealer may offset large trades with a large number of
5 See httpwwwisdaorgresearchnotespdfConcentrationRN_4-10pdf httpwwwisdaorgc_and_apdfISDA-Operations-Survey-2010pdf and httpwwwrisknetrisk-magazinenews2127940g14-dealer-adds (discussing CDS market and participants in CDS market)
3
smaller trades If a dealer offsets large protection selling trades with many
smaller protection buying trades a flat order book may not be characterized by an
equal number of buy and sell transactions In addition a dealer may offset trades
on indexes with a number of trades in single-name CDS which could also result
in an unequal number of buy and sell transactions
5 Whether an entityrsquos frequency of posting initial margin on orders occurs in less
than 10 of their aggregate transactions This criterion reflects the expectation
that in general dealers are less likely to post initial margin when trading CDS
particularly in dealer-to-dealer transactions A limitation of this analysis is that
reporting initial margin to DTCC-TIW is voluntary Therefore since this filter
may capture entities that in fact post margin but choose not to report the criterion
may be over-indicative of dealing activity
4
Methodology
To illustrate the number of persons who may be engaged in dealing activity involving
security-based swaps the analyses that follow include both histograms and tables for
each criterion Histograms are a heuristic method of representing the underlying data In
this analysis they are constructed to show the frequency (ie number) of potential
dealers who satisfy a particular criterion as measured at discrete intervals based on their
aggregate gross notional transaction amounts6 over the 12-month period ending on
December 31 2011 The discrete intervals (ldquobinsrdquo) are chosen so that the distribution is
sufficiently granular to permit inferences about possible de minimis threshold levels yet
wide enough to allow the shape of the distribution to emerge
Each histogram depicts the percentage of total entities accounted for by each notional bin
in graphical and tabular form The tables also report the percentage of notional as an
additional element This allows for inference as to the effect on the percentage of total
entities or total notional resulting from different choices for the value of the de minimis
exception
Finally this analysis reflects the state of the single-name credit default swap market in
2011 prior to the implementation of most of the provisions of Title VII of the Dodd-
Frank Act The full implementation of Title VII ndash including the implementation of
registration requirements for security-based swap dealers and an exception that would
permit some market participants to engage in unregulated dealing activity up to a de
minimis amount ndash may be expected to change the market This analysis does not seek to
predict those changes
6 The analysis in this memo aggregates account-level data to the corporate parent or transacting agent For example a corporate parent can transact through multiple accounts similarly an investment adviser can act as the transacting agent for multiple client accounts However for the purposes of the special entity analysis we have calculated 12-month notional at the account level to avoid pooling special entity transactions with non-special entity transactions
5
1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
50
100
150
200
250
300
350
400
450
500
Figure 1 Distribution of CDS Participants based on 12-Month Notional
All Entities
6
Table 1 12-Month Notional for All Entities
Notional Bin Entities of Entities Notional of Notional
$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418
Total 1084 $ 1262848
7
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
used to identify dealer activity in the final rules The criteria used in this analysis include
the following
1 Whether an entity transacts with multiple counterparties As a general matter
entities engaged in dealing activity are likely to have more counterparties than
non-dealers Nevertheless to the extent that a market participant limits its activity
to the inter-dealer market it is possible to transact with relatively few
counterparties despite engaging in dealing activity Also some non-dealers may
maintain trading relationships with numerous dealers
2 Whether an entity transacts with multiple counterparties excepting those entities
recognized by ISDA as dealers5 This criterion reflects the expectation that
dealers are likely to have more non-dealer counterparties than the typical non-
dealer That is dealers are more likely to interact with non-dealers than would
other non-dealers Nevertheless this analysis has an analogous limitation to that
described in the first criterion
3 Whether an entityrsquos aggregate buy notional amount is within 45-55 of its
aggregate gross notional transactions To the extent that dealing is associated
with zero net exposure a dealerrsquos buying and selling activity should be largely
offsetting Hence total notional buying exposure should comprise roughly half of
the gross notional transaction activity However because an entity may buy and
sell credit protection for the same notional amount but on different reference
entities or indexes or with different maturity dates on the same reference entity a
flat order book could nevertheless reflect directional speculative trades
uncharacteristic of a dealer
4 Whether an entityrsquos aggregate number of buy orders are within 45-55 of its
aggregate number of transactions Using the same rationale as for criterion 3
dealing activity commensurate with dealer status should in general reflect an
offsetting number of buy and sell transactions However a possible limitation of
this criterion is that a dealer may offset large trades with a large number of
5 See httpwwwisdaorgresearchnotespdfConcentrationRN_4-10pdf httpwwwisdaorgc_and_apdfISDA-Operations-Survey-2010pdf and httpwwwrisknetrisk-magazinenews2127940g14-dealer-adds (discussing CDS market and participants in CDS market)
3
smaller trades If a dealer offsets large protection selling trades with many
smaller protection buying trades a flat order book may not be characterized by an
equal number of buy and sell transactions In addition a dealer may offset trades
on indexes with a number of trades in single-name CDS which could also result
in an unequal number of buy and sell transactions
5 Whether an entityrsquos frequency of posting initial margin on orders occurs in less
than 10 of their aggregate transactions This criterion reflects the expectation
that in general dealers are less likely to post initial margin when trading CDS
particularly in dealer-to-dealer transactions A limitation of this analysis is that
reporting initial margin to DTCC-TIW is voluntary Therefore since this filter
may capture entities that in fact post margin but choose not to report the criterion
may be over-indicative of dealing activity
4
Methodology
To illustrate the number of persons who may be engaged in dealing activity involving
security-based swaps the analyses that follow include both histograms and tables for
each criterion Histograms are a heuristic method of representing the underlying data In
this analysis they are constructed to show the frequency (ie number) of potential
dealers who satisfy a particular criterion as measured at discrete intervals based on their
aggregate gross notional transaction amounts6 over the 12-month period ending on
December 31 2011 The discrete intervals (ldquobinsrdquo) are chosen so that the distribution is
sufficiently granular to permit inferences about possible de minimis threshold levels yet
wide enough to allow the shape of the distribution to emerge
Each histogram depicts the percentage of total entities accounted for by each notional bin
in graphical and tabular form The tables also report the percentage of notional as an
additional element This allows for inference as to the effect on the percentage of total
entities or total notional resulting from different choices for the value of the de minimis
exception
Finally this analysis reflects the state of the single-name credit default swap market in
2011 prior to the implementation of most of the provisions of Title VII of the Dodd-
Frank Act The full implementation of Title VII ndash including the implementation of
registration requirements for security-based swap dealers and an exception that would
permit some market participants to engage in unregulated dealing activity up to a de
minimis amount ndash may be expected to change the market This analysis does not seek to
predict those changes
6 The analysis in this memo aggregates account-level data to the corporate parent or transacting agent For example a corporate parent can transact through multiple accounts similarly an investment adviser can act as the transacting agent for multiple client accounts However for the purposes of the special entity analysis we have calculated 12-month notional at the account level to avoid pooling special entity transactions with non-special entity transactions
5
1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
50
100
150
200
250
300
350
400
450
500
Figure 1 Distribution of CDS Participants based on 12-Month Notional
All Entities
6
Table 1 12-Month Notional for All Entities
Notional Bin Entities of Entities Notional of Notional
$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418
Total 1084 $ 1262848
7
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
smaller trades If a dealer offsets large protection selling trades with many
smaller protection buying trades a flat order book may not be characterized by an
equal number of buy and sell transactions In addition a dealer may offset trades
on indexes with a number of trades in single-name CDS which could also result
in an unequal number of buy and sell transactions
5 Whether an entityrsquos frequency of posting initial margin on orders occurs in less
than 10 of their aggregate transactions This criterion reflects the expectation
that in general dealers are less likely to post initial margin when trading CDS
particularly in dealer-to-dealer transactions A limitation of this analysis is that
reporting initial margin to DTCC-TIW is voluntary Therefore since this filter
may capture entities that in fact post margin but choose not to report the criterion
may be over-indicative of dealing activity
4
Methodology
To illustrate the number of persons who may be engaged in dealing activity involving
security-based swaps the analyses that follow include both histograms and tables for
each criterion Histograms are a heuristic method of representing the underlying data In
this analysis they are constructed to show the frequency (ie number) of potential
dealers who satisfy a particular criterion as measured at discrete intervals based on their
aggregate gross notional transaction amounts6 over the 12-month period ending on
December 31 2011 The discrete intervals (ldquobinsrdquo) are chosen so that the distribution is
sufficiently granular to permit inferences about possible de minimis threshold levels yet
wide enough to allow the shape of the distribution to emerge
Each histogram depicts the percentage of total entities accounted for by each notional bin
in graphical and tabular form The tables also report the percentage of notional as an
additional element This allows for inference as to the effect on the percentage of total
entities or total notional resulting from different choices for the value of the de minimis
exception
Finally this analysis reflects the state of the single-name credit default swap market in
2011 prior to the implementation of most of the provisions of Title VII of the Dodd-
Frank Act The full implementation of Title VII ndash including the implementation of
registration requirements for security-based swap dealers and an exception that would
permit some market participants to engage in unregulated dealing activity up to a de
minimis amount ndash may be expected to change the market This analysis does not seek to
predict those changes
6 The analysis in this memo aggregates account-level data to the corporate parent or transacting agent For example a corporate parent can transact through multiple accounts similarly an investment adviser can act as the transacting agent for multiple client accounts However for the purposes of the special entity analysis we have calculated 12-month notional at the account level to avoid pooling special entity transactions with non-special entity transactions
5
1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
50
100
150
200
250
300
350
400
450
500
Figure 1 Distribution of CDS Participants based on 12-Month Notional
All Entities
6
Table 1 12-Month Notional for All Entities
Notional Bin Entities of Entities Notional of Notional
$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418
Total 1084 $ 1262848
7
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Methodology
To illustrate the number of persons who may be engaged in dealing activity involving
security-based swaps the analyses that follow include both histograms and tables for
each criterion Histograms are a heuristic method of representing the underlying data In
this analysis they are constructed to show the frequency (ie number) of potential
dealers who satisfy a particular criterion as measured at discrete intervals based on their
aggregate gross notional transaction amounts6 over the 12-month period ending on
December 31 2011 The discrete intervals (ldquobinsrdquo) are chosen so that the distribution is
sufficiently granular to permit inferences about possible de minimis threshold levels yet
wide enough to allow the shape of the distribution to emerge
Each histogram depicts the percentage of total entities accounted for by each notional bin
in graphical and tabular form The tables also report the percentage of notional as an
additional element This allows for inference as to the effect on the percentage of total
entities or total notional resulting from different choices for the value of the de minimis
exception
Finally this analysis reflects the state of the single-name credit default swap market in
2011 prior to the implementation of most of the provisions of Title VII of the Dodd-
Frank Act The full implementation of Title VII ndash including the implementation of
registration requirements for security-based swap dealers and an exception that would
permit some market participants to engage in unregulated dealing activity up to a de
minimis amount ndash may be expected to change the market This analysis does not seek to
predict those changes
6 The analysis in this memo aggregates account-level data to the corporate parent or transacting agent For example a corporate parent can transact through multiple accounts similarly an investment adviser can act as the transacting agent for multiple client accounts However for the purposes of the special entity analysis we have calculated 12-month notional at the account level to avoid pooling special entity transactions with non-special entity transactions
5
1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
50
100
150
200
250
300
350
400
450
500
Figure 1 Distribution of CDS Participants based on 12-Month Notional
All Entities
6
Table 1 12-Month Notional for All Entities
Notional Bin Entities of Entities Notional of Notional
$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418
Total 1084 $ 1262848
7
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
1 Distribution of single-name CDS activity for all entities For each entity we calculate aggregate gross notional dollar value of single-name CDS transactions over the 12-month period ending December 31 2011 Figure 1 illustrates the number of entities at different levels of trading activity as measured by aggregate gross notional amounts Table 1 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
50
100
150
200
250
300
350
400
450
500
Figure 1 Distribution of CDS Participants based on 12-Month Notional
All Entities
6
Table 1 12-Month Notional for All Entities
Notional Bin Entities of Entities Notional of Notional
$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418
Total 1084 $ 1262848
7
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table 1 12-Month Notional for All Entities
Notional Bin Entities of Entities Notional of Notional
$0-100 million 429 3958 $ 1410 011 $01-1 billion 399 3681 $ 15478 123 $1-2 billion 90 830 $ 12849 102 $2-3 billion 43 397 $ 10628 084 $3-4 billion 25 231 $ 8639 068 $4-5 billion 14 129 $ 6438 051 $5-6 billion 14 129 $ 7661 061 $6-7 billion 7 065 $ 4616 037 $7-8 billion 2 018 $ 1468 012 $8-9 billion 6 055 $ 5096 040 $9-10 billion 4 037 $ 3744 030 $10-25 billion 28 258 $ 44953 356 $25-50 billion 4 037 $ 12545 099 $50-75 billion 3 028 $ 17263 137 $75-100 billion 1 009 $ 8637 068 $100-500 billion 6 055 $ 164679 1304 gt $500 billion 9 083 $ 936744 7418
Total 1084 $ 1262848
7
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table 2a 12-Month Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
2 Criterion Transactions with multiple counterparties For each entity we identify the number of unique counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there are at least 20 15 and 10 unique counterparties respectively Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
a Transactions with 20 or more unique counterparties
0
2
4
6
8
10
Figure 2a Distribution of CDS Participants based on 12-Month Notional
Entities with 20 or More Counterparties
8
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table 2b 12-Month Notional for Entities with 15 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
1
1
1
0
0
0
2
1
8
2
2
0
6
9
000
000
000
303
303
303
000
000
000
606
303
2424
606
606
000
1818
2727
$ -
$ -
$ -
$ 219
$ 348
$ 471
$ -
$ -
$ -
$ 1782
$ 943
$ 11468
$ 6948
$ 10579
$ -
$ 164679
$ 936744
000
000
000
002
003
004
000
000
000
016
008
101
061
093
000
1452
8259
Total 33 $ 1134181
b Transactions with 15 or more unique counterparties
0
2
4
6
8
10
Figure 2b Distribution of CDS Participants based on 12-Month Notional
Entities with 15 or More Counterparties
9
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table 2c 12-Month Notional for Entities with 10 or More Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
18
23
20
16
6
7
6
2
4
3
27
3
3
1
6
9
000
1169
1494
1299
1039
390
455
390
130
260
195
1753
195
195
065
390
584
$ -
$ 1022
$ 3227
$ 4799
$ 5456
$ 2780
$ 3881
$ 3962
$ 1468
$ 3435
$ 2828
$ 43368
$ 9820
$ 17263
$ 8637
$ 164679
$ 936744
000
008
027
040
045
023
032
033
012
028
023
357
081
142
071
1357
7720
Total 154 $ 1213368
c Transactions with 10 or more unique counterparties
0 5 10 15 20 25 30
Figure 2c Distribution of CDS Participants based on 12-Month Notional
Entities with 10 or More Counterparties
10
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
3 Criterion Transactions with multiple counterparties excepting ISDA-recognized dealers For each entity we identify the number of unique non-ISDA-recognized-dealer counterparties across all transactions over the 12-month period Figures 2a 2b and 2c illustrate the number of entities captured by different levels of trading activity when there respectively are at least 7 5 and 3 unique non-ISDA-recognized-dealer counterparties Each associated table provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
11
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
a Transactions with 7 or more counterparties excepting ISDA-recognized dealers
02468
10
Figure 3a Distribution of CDS Participants based on 12-Month Notional
Entities with 7 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3a 12-Month Notional for Entities with 7+ Non-ISDA-Recognizedndash Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
5
9
000
000
000
000
000
000
000
000
000
000
000
625
625
000
000
3125
5625
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ -
$ 1666
$ 3261
$ -
$ -
$ 149593
$ 936744
000
000
000
000
000
000
000
000
000
000
000
015
030
000
000
1371
8584
Total 16 $ 1091264
12
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
b Transactions with 5 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3b Distribution of CDS Participants based on 12-Month Notional
Entities with 5 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3b 12-Month Notional for Entities with 5+ Non-ISDA-Recognized Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million
$01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
1
0
0
0
1
0
0
0
1
0
1
1
1
0
5
9
000
500
000
000
000
500
000
000
000
500
000
500
500
500
000
2500
4500
$ -
$ 049
$ -
$ -
$ -
$ 471
$ -
$ -
$ -
$ 883
$ -
$ 1666
$ 3261
$ 5503
$ -
$ 149593
$ 936744
000
000
000
000
000
004
000
000
000
008
000
015
030
050
000
1362
8530
Total 20 $ 1098170
13
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
c Transactions with 3 or more counterparties excepting ISDA-recognized dealers
0
2
4
6
8
10
Figure 3c Distribution of CDS Participants based on 12-Month Notional
Entities with 3 or More Non-ISDA-Recognized-Dealer Counterparties
Table 3c 12-Month Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion
$1-2 billion
$2-3 billion
$3-4 billion
$4-5 billion
$5-6 billion
$6-7 billion
$7-8 billion
$8-9 billion
$9-10 billion
$10-25 billion
$25-50 billion
$50-75 billion
$75-100 billion
$100-500 billion
gt $500 billion
0
2
0
1
1
1
0
0
0
2
0
4
1
1
0
6
9
000
714
000
357
357
357
000
000
000
714
000
1429
357
357
000
2143
3214
$ -
$ 140
$ -
$ 219
$ 399
$ 471
$ -
$ -
$ -
$ 1782
$ -
$ 5004
$ 3261
$ 5503
$ -
$ 164679
$ 936744
000
001
000
002
004
004
000
000
000
016
000
045
029
049
000
1473
8377
Total 28 $ 1118203
14
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
4 Criterion Buy notional amounts within 45-55 of aggregate transactions For each entity total buy notional amounts are calculated as a percentage of their gross notional over the 12-month period ending December 31 2011 Figure 4 illustrates the number of entities at different levels of trading activity when their total buy notional is within 45-55 of their gross notional Table 4 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
Figure 4 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Notional Book
Table 4 12-Month Notional for Entities with Flat Notional Book
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2410 $ 081 001
$01-1 billion 24 2892 $ 1018 011
$1-2 billion 5 602 $ 698 007
$2-3 billion 2 241 $ 448 005
$3-4 billion 4 482 $ 1377 014
$4-5 billion 4 482 $ 1891 020
$5-6 billion 0 000 $ - 000
$6-7 billion 2 241 $ 1338 014
$7-8 billion 0 000 $ - 000
$8-9 billion 0 000 $ - 000
$9-10 billion 0 000 $ - 000
$10-25 billion 6 723 $ 8327 086
$25-50 billion 0 000 $ - 000
$50-75 billion 2 241 $ 12187 126
$75-100 billion 0 000 $ - 000
$100-500 billion 6 723 $ 164679 1706
gt $500 billion 8 964 $ 773527 8011
Total 83 $ 965572
15
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
5 Criterion Buy transactions within 45-55 of aggregate transactions For each entity buy transactions are calculated as a percentage of all transactions over the sample period Figure 5 illustrates the distribution of aggregate gross notional amounts for entities whose buy transactions are within 45-55 of their aggregate transactions Table 5 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0
5
10
15
20
25
30
35
Figure 5 Distribution of CDS Participants based on 12-Month Notional
Entities with Flat Transaction Volume
Table 5 12-Month Notional for Entities with Flat Transaction Volume
Notional Bin Entities of Entities Notional of Notional
$0-100 million 20 2151 $ 081 001
$01-1 billion 29 3118 $ 1255 011
$1-2 billion 8 860 $ 1109 010
$2-3 billion 3 323 $ 697 006
$3-4 billion 5 538 $ 1671 015
$4-5 billion 4 430 $ 1891 017
$5-6 billion 0 000 $ - 000
$6-7 billion 0 000 $ - 000
$7-8 billion 0 000 $ - 000
$8-9 billion 1 108 $ 899 008
$9-10 billion 0 000 $ - 000
$10-25 billion 6 645 $ 9160 081
$25-50 billion 0 000 $ - 000
$50-75 billion 2 215 $ 12187 108
$75-100 billion 0 000 $ - 000
$100-500 billion 6 645 $ 164679 1457
gt $500 billion 9 968 $ 936744 8287
Total 93 $ 1130375
16
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
6 Criterion Initial margin posted with less than 10 frequency For each entity the number of transactions in which they post initial margin is calculated as a percentage of all transactions over the sample period Figure 6 illustrates the distribution of aggregate gross notional amounts for entities who post initial margin with less than 10 frequency Table 6 also provides the percentage of total entities and the percentage of total notional accounted for by each notional bin
0 50
100 150 200 250
Figure 6 Distribution of CDS Participants based on 12-Month Notional
Entities with Low Frequency of Posting Initial Margin
Table 6 12-Month Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
210 156
36 19 10 6 3 3 1 2 1 8 2 1 1 6 8
44403298
761402211127063063021042021169042021021127169
$ 695 $ 5857 $ 5246 $ 4583 $ 3551 $ 2700 $ 1588 $ 2008 $ 703 $ 1782 $ 943 $ 10878 $ 5986 $ 5503 $ 8637 $ 164679 $ 773527
007 059 053 046 036 027 016 020 007 018 009 109 060 055 086
1649 7744
Total 473 $ 998867
17
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Analysis of Combined Criteria
Each of the above analyses is designed to inform on the number of entities that would be
captured by alternative criteria and definitions of trading activity While each of the
alterative analyses may indicate dealing activity there may be limitations that could lead
any single criterion to mis-specify dealing activity The analysis below provides the
number of entities that meet various combinations of the criteria Figure 7 identifies
participants passing any two of the dealing criteria and Figure 8 identifies participants
passing any three of the dealing criteria For purposes of this analysis we increase the
lsquomultiple counterpartyrsquo criteria to 15 and the lsquomultiple non-ISDA-recognized-dealer
counterpartiesrsquo criteria to 5 Tables 7 and 8 provide the associated percentages of total
entities and the percentage of total notional accounted for by each notional bin
18
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
0
5
10
15
20
25
30
Figure 7 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Two Criteria
Table 7 12-Month Notional for Entities Passing At Least Two Criteria
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
16 26
7 3 5 4 0 1 0 2 1 9 1 2 0 6 9
17392826
761326543435000109000217109978109217000652978
$ 061 $ 1095 $ 983 $ 697 $ 1725 $ 1891 $ - $ 695 $ - $ 1782 $ 943 $ 13499 $ 3261 $ 12187 $ - $ 164679 $ 936744
001 010 009 006 015 017 000 006 000 016 008 118 029 107 000
1444 8215
Total 92 $ 1140243
19
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
0123456789 10
Figure 8 Distribution of CDS Participants based on 12-Month Notional
Entities Passing At Least Three Criteria
20
Table 8 12-Month Notional for Entities Passing At Least Three Criteria
Notional Bucket Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
5 5 2 2 2 2 0 0 0 2 0 4 1 1 0 6 9
12201220488488488488000000000488000976244244000
14632195
$ 028 $ 238 $ 295 $ 448 $ 670 $ 966 $ - $ - $ - $ 1782 $ - $ 5324 $ 3261 $ 5503 $ - $ 164679 $ 936744
000 002 003 004 006 009 000 000 000 016 000 048 029 049 000
1470 8364
Total 41 $ 1119938
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Special Entity Analysis
Finally while the information in the above analyses may be relevant to evaluating possible approaches for implementing the de minimis exception to the ldquosecurity-based swap dealerrdquo definition the proposed rule also considers treating Dodd-Frank Act special entities7 differently from other end users for the purposes of this exception For this reason Table 9 illustrates the distribution of aggregate gross notional amounts for counterparties to special entity transactions8
Table 9 12-Month Notional for Counterparties (CPs) to Special Entities
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
1 1 0 0 5 2 1 1 1 2 1 0 1 0 0
625625000000
31251250625625625
1250625000625000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $
001 004
- -
329 299 213 314 411
1077 624
- 811
- -
002 009 000 000 807 733 521 768
1007 2637 1529
000 1987
000 000
Total 16 $ 4082
7 Classification is determined by whether the market participant appears to be a special entity based on its name 8 For the 16 participants who act as counterparties to special entities the average total notional across all accounts is $6803 billion with a minimum value of approximately $9 billion and a standard deviation of $5053 billion
21
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Section II ndash Information about single-name CDS positions of non-ISDA-recognized-dealer market participants
This section provides tables of aggregate gross notional positions for all entities except
for ISDA-recognized dealers and the Intercontinental Exchange Trust (ICE) Aggregate
gross notional positions are calculated on a monthly basis by summing gross notional buy
and sell positions and then averaging over the entire 12-month period ending December
31 2011 The analysis excludes ISDA-recognized dealers because registered dealers are
not a part of major participant regulation The analysis also excludes ICE In addition to
providing information about aggregate gross notional positions we separately report
gross notional buy and sell positions for those entities that have bought and sold credit
protection over the same period Collectively this information may reasonably be
expected to predict the number of entities that need to determine whether they qualify as
major security-based swap participants by virtue of having a ldquopotential future exposurerdquo
sufficient to approach the thresholds set forth by the rule defining ldquosubstantial positionrdquo
for purposes of the analysis
22
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
1 Aggregate gross notional positions
For each entity month-end buy and sell positions are aggregated and averaged over the sample period Table 10 illustrates the distribution of average aggregate gross notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 10 Average Aggregate Gross Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
646 357
70 30 15 9 9 4
13 2 1
20 8 1 2 1 0
54383005
589253126076076034109017008168067008017008000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1933 12657
9370 7537 5192 4020 4881 2608 9612 1784 927
31439 27786
5724 19051 13519
-
122 801 593 477 329 254 309 165 608 113 059
1989 1758
362 1205
855 000
Total 1188 $ 158039
23
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
2 Aggregate gross notional positions for entities buying credit protection
For each entity buying credit protection month-end buy positions are aggregated and averaged over the sample period Table 11 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 11 Average Aggregate Buy Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
632 322
59 22 12 9 6 6 2 4 2
17 2 1 0 0 0
57662938
538201109082055055018036018155018009000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1722 11686
7852 5596 4473 4021 3327 3849 1517 3284 1899
23843 7690 6492
- - -
197 1339
900 641 513 461 381 441 174 376 218
2733 881 744 000
000 000
Total 1096 $ 87250
24
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
3 Aggregate gross notional positions for entities selling credit protection
For each entity who sells credit protection month-end sell positions are aggregated and averaged over the sample period Table 12 illustrates the distribution of average aggregate notional amounts for all entities except ISDA-recognized dealers and ICE Trust
Table 12 Average Aggregate Sell Notional Positions
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
546 179
27 12
8 5 5 3 1 2 4
11 2 1 1 0 0
67662218335149099062062037012025050136025012012000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1250 6389 3806 2982 2641 2253 2666 1965 759
1794 3688
17642 7539 7027 8389
- -
177 902 538 421 373 318 377 278 107 253 521
2492 1065
993 1185 000 000
Total 807 $ 70789
25
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Appendix
Table A-1 12-Month Index CDS Notional for All Entities
26
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
285 339
86 47 26 16 7
15 10 6 7
33 24 9 3 11
13
30423618
918502277171075160107064075352256096032117139
$ 1256 $ 12490 $ 12333 $ 11800 $ 8913 $ 7438 $ 3872 $ 9896 $ 7657 $ 5212 $ 6802 $ 48957 $ 82233 $ 54827 $ 25924 $ 195593 $ 2924657
004 037 036 035 026 022 011 029 022 015 020 143 240 160 076
572 8552
Total 937 $ 3419860
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-2a 12-Month Index CDS Notional for Entities with 20 or more Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
0 0 0 0 0 0 0 0 0 0 0 1 1 0 0 2
13
000000000000000000000000000000000588588000000
11767647
$ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ 2077 $ 4920 $ - $ - $ 42567 $ 2924657
000 000 000 000 000 000 000 000 000 000 000 007 017 000 000 143
9833
Total 17 $ 2974221
27
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-2b 12-Month Index CDS Notional for Entities with 15 or more Counterparties
28
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 400 $ 1000 003 $10-25 billion 1 400 $ 2077 007 $25-50 billion 2 800 $ 7493 025 $50-75 billion 3 1200 $ 19641 064 $75-100 billion 0 000 $ - 000 $100-500 billion 5 2000 $ 94058 308 gt $500 billion 13 5200 $ 2924657 9592
Total 25 $ 3048926
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-2c 12-Month Index CDS Notional for Entities with 10 or more Counterparties
29
$0-100 million 1 097 $ 008 000 $01-1 billion 2 194 $ 170 001 $1-2 billion 2 194 $ 238 001 $2-3 billion 0 000 $ - 000 $3-4 billion 4 388 $ 1374 004 $4-5 billion 4 388 $ 1844 006 $5-6 billion 4 388 $ 2215 007 $6-7 billion 2 194 $ 1281 004 $7-8 billion 2 194 $ 1491 005 $8-9 billion 2 194 $ 1746 005 $9-10 billion 5 485 $ 4887 015 $10-25 billion 23 2233 $ 35110 106 $25-50 billion 17 1650 $ 58575 177 $50-75 billion 8 777 $ 48534 147 $75-100 billion 3 291 $ 25924 078 $100-500 billion 11 1068 $ 195593 592 gt $500 billion 13 1262 $ 2924657 8853
Total 103 $ 3303647
Notional Bin Entities of Entities Notional of Notional
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-3a 12-Month Index CDS Notional for Entities with 7+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 0 000 $ - 000 $10-25 billion 1 588 $ 2077 007 $25-50 billion 1 588 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1176 $ 42567 143 gt $500 billion 13 7647 $ 2924657 9833
Total 17 $ 2974221
30
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-3b 12-Month Index CDS Notional for Entities with 5+ Non-ISDA-Recognized-Dealer Counterparties
31
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 0 000 $ - 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 556 $ 1000 003 $10-25 billion 1 556 $ 2077 007 $25-50 billion 1 556 $ 4920 017 $50-75 billion 0 000 $ - 000 $75-100 billion 0 000 $ - 000 $100-500 billion 2 1111 $ 42567 143 gt $500 billion 13 7222 $ 2924657 9830
Total 18 $ 2975221
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
32
Table A-3c 12-Month Index CDS Notional for Entities with 3+ Non-ISDA-Recognized-Dealer Counterparties
Notional Bin Entities of Entities Notional of Notional
$0-100 million 0 000 $ - 000 $01-1 billion 2 833 $ 062 000 $1-2 billion 0 000 $ - 000 $2-3 billion 0 000 $ - 000 $3-4 billion 0 000 $ - 000 $4-5 billion 0 000 $ - 000 $5-6 billion 0 000 $ - 000 $6-7 billion 0 000 $ - 000 $7-8 billion 0 000 $ - 000 $8-9 billion 0 000 $ - 000 $9-10 billion 1 417 $ 1000 003 $10-25 billion 1 417 $ 2077 007 $25-50 billion 1 417 $ 4920 016 $50-75 billion 2 833 $ 12778 042 $75-100 billion 0 000 $ - 000 $100-500 billion 4 1667 $ 72591 241 gt $500 billion 13 5417 $ 2924657 9690
Total 24 $ 3018085
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-4 12-Month Index CDS Notional for Entities with Flat Notional Book
33
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 32
5 5 3 3 3 5 2 0 2
10 3 2 0 6
13
13762936459459275275275459183000183917275183000550
1193
$ 054 $ 1337 $ 783 $ 1188 $ 1008 $ 1353 $ 1619 $ 3316 $ 1553 $ - $ 1956 $ 15384 $ 9811 $ 11991 $ - $ 117679 $ 2924657
000 004 003 004 003 004 005 011 005 000 006 050 032 039 000 380
9454
Total 109 $ 3093689
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-5 12-Month Index CDS Notional for Entities with Flat Transaction Volume
34
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
15 29
8 6 2 2 3 2 1 1 3
12 5 1 1 8
13
13392589714536179179268179089089268
1071446089089714
1161
$ 066 $ 1165 $ 1194 $ 1402 $ 693 $ 831 $ 1619 $ 1320 $ 756 $ 873 $ 2921 $ 18689 $ 15370 $ 6675 $ 9970 $ 140517 $ 2924657
000 004 004 004 002 003 005 004 002 003 009 060 049 021 032 449
9348
Total 112 $ 3128718
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-6 12-Month Index CDS Notional for Entities with Low Frequency of Posting Initial Margin
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
123 131
46 18 12 9 3 6 6 4 4
12 10 5 0 6
10
303732351136444296222074148148099099296247123000148247
$ 514 $ 4928 $ 6692 $ 4627 $ 4063 $ 4205 $ 1707 $ 3947 $ 4606 $ 3477 $ 3885 $ 19333 $ 34516 $ 30640 $ - $ 100806 $ 2279854
002 020 027 018 016 017 007 016 018 014 015 077 138 122 000
402 9091
Total 405 $ 2507800
35
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-7 12-Month Index CDS Notional for Entities Passing at Least Two Criteria
36
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
17 31
7 4 3 3 3 4 2 0 2
11 4 2 0 8
13
14912719614351263263263351175000175965351175000702
1140
$ 073 $ 1289 $ 1054 $ 974 $ 1025 $ 1353 $ 1619 $ 2627 $ 1553 $ - $ 1956 $ 16584 $ 14439 $ 12778 $ - $ 140517 $ 2924657
000 004 003 003 003 004 005 008 005 000 006 053 046 041 000 450
9366
Total 114 $ 3122498
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-8 12-Month Index CDS Notional for Entities Passing at Least Three Criteria
37
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
4 6 1 0 1 1 1 2 1 0 1 6 1 1 0 4
13
9301395233000233233233465233000233
1395233233000930
3023
$ 010 $ 281 $ 190 $ - $ 348 $ 408 $ 556 $ 1320 $ 756 $ - $ 1000 $ 10212 $ 3089 $ 6675 $ - $ 72591 $ 2924657
000 001 001 000 001 001 002 004 003 000 003 034 010 022 000 240
9678
Total 43 $ 3022093
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-9 12-Month Index CDS Notional for Counterparties (CPs) to Special Entities
38
Notional Bin CPs of CPs Notional of Notional
$0-25 million $25-50 million $50-75 million $75-100 million $100 million - 1 billion $ 1-2 billion $ 2-3 billion $ 3-4 billion $ 4-5 billion $ 5-6 billion $ 6-7 billion $ 7-8 billion $ 8-9 billion $ 9-10 billion
gt $10 billion
0 0 1 0 0 3 1 0 0 1 0 1 0 0 8
000000667000000
2000667000000667000667000000
5333
$ - $ - $ 007 $ - $ - $ 367 $ 238 $ - $ - $ 563 $ - $ 775 $ - $ -
$ 18661
000 000 003 000 000 178 115 000 000 273 000 376 000 000
9054
Total 15 $ 20610
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-10 Aggregate Index CDS gross notional positions
39
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
563 299
46 14 19 9 5 2 4 6 3
16 8 1 1 0 0
56533002
462141191090050020040060030161080010010000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1735 10273
6546 3478 6634 4018 2837 1372 2963 5069 2921
28255 32169
7052 9709
- -
139 822 524 278 531 321 227 110 237 405 234
2260 2573 564 777
000 000
Total 996 $ 125031
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
40
Table A-11 Aggregate Index CDS gross notional positions for entities buying credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
555 257
35 11 7
12 3 1 4 1 1
16 0 1 0 0 0
61392843
387122077133033011044011011177000011000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
1586 8795 5008 2747 2461 5375 1694
683 2976
854 923
25370 -
5058 - - -
250 1384
788 432 387 846 267 108 468 134 145
3994 000 796 000
000 000
Total 904 $ 63529
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41
Table A-12 Aggregate Index CDS gross notional positions for entities selling credit protection
Notional Bin Entities of Entities Notional of Notional
$0-100 million $01-1 billion $1-2 billion $2-3 billion $3-4 billion $4-5 billion $5-6 billion $6-7 billion $7-8 billion $8-9 billion $9-10 billion $10-25 billion $25-50 billion $50-75 billion $75-100 billion
$100-500 billion gt $500 billion
411 170
25 16 10 6 3 2 1 2 2
14 1 1 0 0 0
61902560
377241151090045030015030030211015015000000000
$ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $
970 5591 3707 3830 3530 2779 1658 1335
764 1747 1892
22850 4651 6199
- - -
158 909 603 623 574 452 270 217 124 284 308
3715 756
1008 000
000 000
Total 664 $ 61502
41