For the purpose of reporting in futures equivalents, paired swaps and swaptions using commodity reference prices that are commonly known diversified indices with publicly available weightings may be reported as if such indices underlie a single futures contract with monthly expirations for each calendar month and year.
Sec. Appendix A to Part 20--Guidelines on Futures Equivalency
The following examples illustrate how swaps should be converted into futures equivalents. In general the total notional quantity for each swap should be apportioned to referent futures months based on the fraction of days remaining in the life of the swap during each referent futures month to the total duration of the swap, measured in days. The terms used in the examples are to be understood in a manner that is consistent with industry practice.
Example 1--Fixed for Floating WTI Crude Oil Swap Linked to a DCM
Contract------------------------------------------------------------------------
------------------------------------------------------------------------Reference Price................... Daily official next to expire
contract price for the NYMEX Light
Sweet Crude Oil Futures Contract
(``WTI'') in $/bbl through the
NYMEX spot month.Fixed Price....................... $80.00 per barrel.Floating Price.................... The arithmetic average of the
reference price during the pricing
period.Notional Quantity................. 100,000 bbls/month.Calculation Period................ One month.Fixed Price Payer................. Company A.Floating Price Payer.............. Company B.Settlement Type................... Financial.Swap Term......................... Six full months from January 1 to
June 30.Floating Amount................... Floating Price * Notional Quantity.Fixed Amount...................... Fixed Price * Notional Quantity.------------------------------------------------------------------------
NYMEX WTI trading in the next to expire futures contract ceases on the third business day prior to the 25th of the calendar month preceding the contract month. For simplicity in this example, the last trading day in each WTI futures contract is shown as the 22nd of the month.
Futures Equivalent Position on January 1 Total Notional Quantity = 6 months * 100,000 bbls/month = 600,000 bbls1,000 bbl = 1 futures contractTherefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent
contractsTotal number of days in swap term = 31 + 28 + 31 + 30 + 31 + 30 = 181
Futures Equivalent Position of Swap on January 1----------------------------------------------------------------------------------------------------------------
Company A Company B
Dates swap in force Referent futures Fraction of days position (long) position (short)
month [dagger] [dagger]----------------------------------------------------------------------------------------------------------------January 1--January 22............... February 22/181 73 -73January 23--February 22............. March 31/181 103 -103February 23--March 22............... April 28/181 93 -93March 23--April 22.................. May 31/181 103 -103April 23--May 22.................... June 30/181 99 -99May 23--June 22..................... July 31/181 103 -103June 23--June 30th.................. August 8/181 27 -27
---------------------------------------------------------------------------
Total........................... ................. 181/181 601 -601----------------------------------------------------------------------------------------------------------------[dagger] Contracts rounded to the nearest integer.
Futures equivalent position on January 2 Total Notional Quantity = Remaining swap term * 100,000 bbls/month =
596,685 bbls1,000 bbl = 1 futures contractTherefore 596,685 bbls/1,000 bbls/contract = 597 futures equivalent
contractsTotal number of days = 30 + 28 + 31 + 30 + 31 + 30 = 180
Futures Equivalent Position of Swap on January 2 (Example 1 Continued)----------------------------------------------------------------------------------------------------------------
Company A Company B
Fraction of position position
Dates swap in force Referent futures month days (long) (short)
[dagger] [dagger]----------------------------------------------------------------------------------------------------------------January 2--January 22..................... February..................... 21/180 70 -70January 23--February 22................... March........................ 31/180 103 -103February 23--March 22..................... April........................ 28/180 93 -93March 23--April 22........................ May.......................... 31/180 103 -103April 23--May 22.......................... June......................... 30/180 99 -99May 23--June 22........................... July......................... 31/180 103 -103June 23--June 30th........................ August....................... 8/180 27 -27
--------------------------------------
Total................................. ............................. 180/180 597 -597----------------------------------------------------------------------------------------------------------------[dagger] Contracts rounded to the nearest integer.
Example 2--Fixed for Floating Corn Swap------------------------------------------------------------------------
------------------------------------------------------------------------Reference Price................... Daily official next to expire
contract price for the CBOT Corn
Futures Contract in $/bushel
through the CBOT spot month.Fixed Price....................... $5.00 per bushel per month.Floating Price.................... The arithmetic average of the
reference price during the pricing
period.Calculation Period................ One month.Notional Quantity................. 1,000,000 bushels/month.Fixed Price Payer................. Company A.Floating Price Payer.............. Company B.Settlement Type................... Financial.Swap Term......................... Six full months from January 1 to
June 30.Floating Amount................... Floating Price * Notional Quantity.Fixed Amount...................... Fixed Price * Notional Quantity.------------------------------------------------------------------------
Last trading day in the nearby CBOT Corn futures contract is the business day preceding the 15th of the contract month. For simplicity in this example, the last trading day in each Corn futures contract is shown as the 14th of the month. Futures contract months for corn are March, May, July, September, and December.
Futures Equivalent Position on January 1 Total Notional Quantity = 6 contract months * 1,000,000 bushels/month =
6,000,000 bushels5,000 bushels = 1 futures contractTherefore 6,000,000 bushels/5,000 bushels/contract = 1,200 futures
equivalent contractsTotal days = 31 + 28 + 31 + 30 + 31 + 30 = 181
Futures Equivalent Position of Swap on January 1----------------------------------------------------------------------------------------------------------------
Company A Company B
Dates swap in force Referent futures Fraction of days position (long) position (short)
month [dagger] [dagger]----------------------------------------------------------------------------------------------------------------January 1-March 14............... March............... 73/181 483 -483March 15-May 14.................. May................. 61/181 404 -404May 15-June 30................... July................ 47/181 311 -311
--------------------------------------------------------
Total........................ .................... 181/181 1,198 -1,198----------------------------------------------------------------------------------------------------------------[dagger] Contracts rounded to the nearest integer.
Example 3--Fixed for Floating NY RBOB (Platts) Calendar Swap Futures------------------------------------------------------------------------
------------------------------------------------------------------------Reference Price................... Platts Oilgram next to expire
contract Price Report for New York
RBOB (Barge) through the NYMEX spot
month.Fixed Price....................... $1.8894 per gallon.Floating Price.................... For each contract month, the
floating price is equal to the
arithmetic average of the high and
low quotations from Platts Oilgram
Price Report for New York RBOB
(Barge) for each business day that
it is determined during the
contract month.Calculation Period................ One quarter.Notional Quantity................. 84 million gallons/quarter.Fixed Price Payer................. Company A.Floating Price Payer.............. Company B.Settlement Type................... Financial.Swap Term......................... Six full months from January 1 to
June 30.Floating Amount................... Floating Price * Notional Quantity.Fixed Amount...................... Fixed Price * Notional Quantity.------------------------------------------------------------------------
NYMEX NY RBOB (Platts) Calendar Swap Futures Contract month ends on the final business day of the contract month. For simplicity in this example, the last trading day in each futures contract is shown as the final day of the month.
Futures Equivalent Position on January 1 Total Notional Quantity = 2 quarters * 84 million = 168 million gallons42,000 gallons = 1 futures contractTherefore 168 million/42,000 gallons/futures contract = 4,000 futures
equivalent contracts Total number of days = 31 + 28 + 31 + 30 + 31 + 30 = 181
Futures Equivalent Position of Swap on January 1----------------------------------------------------------------------------------------------------------------
Company A Company B
Dates swap in force Referent futures Fraction of days position (long) position (short)
month [dagger] [dagger]----------------------------------------------------------------------------------------------------------------January 1-March 31............... April............... 90/181 1989 -1989April 1-June 30.................. July................ 91/181 2011 -2011
--------------------------------------------------------
Total........................ .................... 181/181 4000 -4000----------------------------------------------------------------------------------------------------------------[dagger] Contracts rounded to the nearest integer.
Example 4--Calendar Spread SwapReference Price................... The difference between the next to
expire contract price for the NYMEX
WTI Futures contract and the
deferred contract price for the
NYMEX WTI Futures contract.Fixed Price....................... $80 per barrel.Floating Price.................... The arithmetic average of the
reference price during the pricing
period.Calculation Period................ One month.Notional Quantity................. 100,000 bbls/month.Fixed Price Payer................. Company A.Floating Price Payer.............. Company B.Settlement Type................... Financial.Swap Term......................... Six full months from January 1 to
June 30.Floating Amount................... Floating Price * Notional Quantity.Fixed Amount...................... Fixed Price * Notional Quantity.------------------------------------------------------------------------
NYMEX WTI trading in the next to expire futures contract ceases on the third business day prior to the 25th of the calendar month preceding the contract month. For simplicity in this example, the last trading day in each WTI futures contract is shown as the 22nd of the month.
Futures Equivalent Position on January 1 Total Notional Quantity = 6 months * 100,000 bbls/month = 600,000 bbls1,000 bbl = 1 futures contractTherefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent
contractsTotal number of days = 31 + 28 + 31 + 30 + 31 + 30 = 181
Futures Equivalent Position of Swap on January 1--------------------------------------------------------------------------------------------------------------------------------------------------------
Applicable next to Company A Company B Applicable Company A Company B
Dates swap in force Fraction of expire futures position position deferred futures position position
days month (long)[dagger] (short)[dagger] month (short)[dagger] (long)[dagger]--------------------------------------------------------------------------------------------------------------------------------------------------------January 1--January 22......... 22/181 February.......... 73 -73 March............. -73 73January 23--February 22....... 31/181 March............. 103 -103 April............. -103 103February 23--March 22......... 28/181 April............. 93 -93 May............... -93 93March 23--April 22............ 31/181 May............... 103 -103 June.............. -103 103April 23--May 22.............. 30/181 June.............. 99 -99 July.............. -99 99May 23--June 22............... 31/181 July.............. 103 -103 August............ -103 103June 23--June 30th............ 8/181 August............ 27 -27 September......... -27 27
-------------------------------------------------------------------------------------------------------------------------
,n,s,s,n,sTotal........ 181/181 .................. 601 -601 .................. -601 601--------------------------------------------------------------------------------------------------------------------------------------------------------[dagger] Contracts rounded to the nearest integer.
Example 5--Columbia Gulf, Mainline Midpoint (``Midpoint') Basis SwapReference Price................... The Platts Gas Daily Columbia Gulf,
Mainline Midpoint (``Midpoint'')
and the next to expire NYMEX (Henry
Hub) Natural Gas Futures contract.Fixed Price....................... $0.05 per MMBtu.Floating Price.................... The Floating Price will be equal to
the arithmetic average of the daily
value of the Platts Gas Daily
Columbia Gulf, Mainline Midpoint
(``Midpoint'') minus the NYMEX
(Henry Hub) Natural Gas Futures
contract daily settlement price.Calculation Period................ Monthly.Notional Quantity................. 10,000 MMBtu/calendar day.Fixed Price Payer................. Company A.Floating Price Payer.............. Company B.Settlement type................... Financial.Swap Term......................... One month from January 1 to January
31.Floating Amount................... Floating Price * Notional Quantity *
calendar days in the month.Fixed Amount...................... Fixed Price * Notional Quantity *
calendar days in the month.------------------------------------------------------------------------
NYMEX Henry Hub Natural Gas Futures Contract trading ceases three business days prior to the first day of the delivery month. For simplicity in this example, the last trading day in the futures contract is shown as the 28th of the month.
Futures Equivalent Position on January 1 Total Notional Quantity for each leg = 1 month * 31 days/month * 10,000
MMBtu/day = 310,000 MMBtu10,000 MMBtu = 1 futures contractTherefore 310,000 MMBtu/10,000 MMBtu/contract = 31 futures equivalent
contractsTotal number of days = 31
Futures Equivalent Position of Swap on January 1--------------------------------------------------------------------------------------------------------------------------------------------------------
Company A Company B
position in Company A position in Company B
Columbia Gulf, Position in Columbia Gulf, position in
Fraction of Mainline NYMEX (Henry Mainline NYMEX (Henry
Dates swap in force days Referent futures month Midpoint Hub) natural Midpoint Hub) natural
(``Midpoint'') gas futures (``Midpoint'') gas futures
natural gas (short) natural gas (long)
(long) MMBtu (short) MMBtu--------------------------------------------------------------------------------------------------------------------------------------------------------January 1--January 28.................... 28/31 February..................... -28 28January 29--January 31................... 3/31 March........................ .............. -3 .............. 3
--------------------------------------------------------------------------------------------------------------
,n,sTotal........................... 31/31 ............................. .............. -31 .............. 31--------------------------------------------------------------------------------------------------------------------------------------------------------[dagger][dagger][dagger] Note: Because there is no underlying position taken in a basis contract, for reporting purposes, only enter the futures
equivalent contract quantities into the corresponding futures.
Example 6--WTI Swaption (Call)------------------------------------------------------------------------
------------------------------------------------------------------------Swaption Style.................... American.Option Type....................... Call.Swaption Start Date............... Jan 1 of the current year.Swaption End Date................. June 30 of the current year.Strike Price...................... $80.50/bbl.Notional Quantity................. 100,000 bbl/month.Calculation Period................ One month.Reference Price................... Daily official next to expire
contract price for WTI NYMEX Crude
Oil Futures Contract in $/bbl
through the NYMEX spot month.Fixed Price....................... $80.00 per barrel per month.Floating Price.................... The arithmetic average of the
reference price during the pricing
period.Settlement Type................... Financial.Swap Term......................... One month from July 1 to July 31 of
the current year.Floating Amount................... Floating Price * Notional Quantity.Fixed Amount...................... Fixed Price * Notional Quantity.------------------------------------------------------------------------
NYMEX WTI trading ceases on the third business day prior to the 25th of the calendar month preceding the delivery month. For simplicity in this example, the last trading day in each WTI futures contract is shown as the 22nd of the month.
Futures Equivalent Position on January 1 Total Notional Quantity = 1 month*100,000 bbls/month=100,000 bbls1,000 bbl = 1 futures contractTherefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent
contractsTotal number of days = 31
Gross Position on January 1----------------------------------------------------------------------------------------------------------------
Company A Company B
Dates swap in force Referent futures month Fraction of position position
days (long) (short) ----------------------------------------------------------------------------------------------------------------July 1 -July 22........................... August....................... 22/31 70 -70July 23--July 31.......................... September.................... 9/31 29 -29
--------------------------------------
Total................................. ............................. 31/31 99 -99----------------------------------------------------------------------------------------------------------------[dagger] Contracts rounded to the nearest integer.
Delta Adjusted Position and Futures Equivalent Position on January 1----------------------------------------------------------------------------------------------------------------
August September
Date ------------------------------------------------------------------------------
Delta Position Delta Position----------------------------------------------------------------------------------------------------------------January 1........................ .2.................. 14 .2 5----------------------------------------------------------------------------------------------------------------[dagger][dagger] Deltas should be calculated in an economically reasonable and analytically supportable basis.
Example 7--WTI Collar Swap------------------------------------------------------------------------
------------------------------------------------------------------------Swaption Style.................... American.Swaption Start Date............... Jan 1 of the current year.Swaption End Date................. June 30 of the current year.Call strike Price................. $70.00 per bbl.Put strike price.................. $90.00 per bbl.Notional Quantity................. 100,000 barrels per month.Calculation Period................ One month.Reference Price................... Daily official next to expire
contract price for WTI NYMEX Crude
Oil in $/bbl through the NYMEX spot
month.Fixed Price....................... $80.00 per barrel.Floating Price.................... The arithmetic average of the
reference price during the pricing
period.Settlement Type................... Financial.Swap Term......................... One month from July 1 to July 31 of
the current year.Floating Amount................... Floating Price * Notional Quantity.Fixed Amount...................... Fixed Price * Notional Quantity.------------------------------------------------------------------------
NYMEX WTI trading ceases on the third business day prior to the 25th of the calendar month preceding the delivery month. For simplicity in this example, the last trading day in each WTI futures contract is shown as the 22nd of the month.
Futures Equivalent Position on January 1 Total Notional Quantity = 1 month * 100,000 bbls/month = 100,000 bbls1,000 bbl = 1 futures contractTherefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent
contractsTotal number of days = 31
Gross Position on January 1--------------------------------------------------------------------------------------------------------------------------------------------------------
Company A position Company B position
Dates swap in force Referent futures month Fraction of -----------------------------------------------------------------------
days Call Put Call Put--------------------------------------------------------------------------------------------------------------------------------------------------------July 1-July 22....................... August.................. 22/31 70.97 70.97 -70.97 -70.97July 23-July 31...................... September............... 9/31 29.03 29.03 -29.03 -29.03
----------------------------------------------------------------------------------------
Total............................ ........................ 31/31 100 100 -100 -100--------------------------------------------------------------------------------------------------------------------------------------------------------
Company (A) Delta[dagger] Adjusted Position on January 1--------------------------------------------------------------------------------------------------------------------------------------------------------
August September
-------------------------------------------------------------------------------------------------------
Date Long call Short put Long call Short put
-------------------------------------------------------------------------------------------------------
Delta Position Delta Position Delta Delta Position--------------------------------------------------------------------------------------------------------------------------------------------------------January 1....................................... .7 49 .3 -21 .7 20 .3 -8--------------------------------------------------------------------------------------------------------------------------------------------------------[dagger] Deltas should be calculated in an economically reasonable and analytically supportable basis.
Futures Equivalent Position on January 1----------------------------------------------------------------------------------------------------------------
August September
Date ---------------------------------------------------------------------------
Long Short Long Short----------------------------------------------------------------------------------------------------------------January 1........................... 70 0 28 0----------------------------------------------------------------------------------------------------------------[dagger][dagger] Contracts rounded to the nearest integer.
Sec. Appendix B to Part 20--Explanatory Guidance on Data Record Layouts
Record Layout Examples for Sec. 20.3
The following example (in Tables 1, 2 and 3) covers reporting for a particular clearing organization. ``Clearing Organization One'' would report, for the 27th of September 2010, the following eleven unique data record submissions. Each data record submission represents a unique position, as indicated by Sec. 20.3, held by a clearing member of Clearing Organization One. Paragraph (a) of Sec. 20.3 broadly outlines the data elements that determine unique positions for reports on clearing member positions. Paragraphs (b) of Sec. 20.3 present all of the data elements that should be submitted in reference to a particular data record for a particular clearing member (in Table 1). Paragraph (c) identifies data elements that would comprise end of day record data on cleared products (in Tables 2 and 3). Therefore, paragraphs (b) and (c) of Sec. 20.3 present all of the data elements that should be submitted in reference to a particular data record.
Because CFTC designated Clearing Organization One (in this example) currently has two clearing members, ``Clearing Member One'' and ``Clearing Member Two,'' positions cleared for these two distinct clearing members would be subdivided.
In the following example it is assumed that the clearing member accounts are either proprietary or customer (but not both) and therefore data record submissions do not have to be delineated by these account types. However, if clearing members did have both proprietary and customer accounts, then a clearing organization would have to further subdivide these clearing member data records by these two account types.
Clearing Member One currently has five positions with multiple cleared product IDs and futures equivalent months/years, and therefore these positions also constitute separate data records.
Clearing Member Two currently has six positions with the following varying characteristics: Cleared product IDs; futures equivalent months/years; commodity reference prices; swaption positions that involve both puts and calls; and multiple strike prices. Accordingly, these positions must be reported in separate data records. An illustration of how these records would appear is included in Table 1 below. Clearing Organization One would also have to report the corresponding swaption position deltas, strike prices, expiration dates, and settlement prices and swap settlement prices. An illustration of these submissions is included in Tables 2 and 3 below.
Table 1--Data Records Reported Under Paragraphs (a) and (b) of Sec. 20.3--------------------------------------------------------------------------------------------------------------------------------------------------------
Proprietary/
CFTC clearing Clearing org Clearing org customer Futures Commodity
Data records org ID clearing member cleared product Reporting day account equivalent reference price
ID ID indicator month and year--------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................ CCO--ID--1...... CM--ID--2....... CP--04.......... 9/27/2010....... C.............. Nov-10......... NYMEX NY Harbor
No.2.Data record 2................ CCO--ID--1...... CM--ID--2....... CP--04.......... 9/27/2010....... C.............. Oct-10......... NYMEX NY Harbor
No.2.Data record 3................ CCO--ID--1...... CM--ID--2....... CP--02.......... 9/27/2010....... C.............. Nov-10......... NYMEX Henry
Hub.
Data record 4................ CCO--ID--1...... CM--ID--2....... CP--02.......... 9/27/2010....... C.............. Oct-10......... NYMEX Henry
Hub.Data record 5................ CCO--ID--1...... CM--ID--2....... CP--02.......... 9/27/2010....... C.............. Nov-10......... NYMEX Henry
Hub.Data record 6................ CCO--ID--1...... CM--ID--2....... CP--02.......... 9/27/2010....... C.............. Oct-10......... NYMEX Henry
Hub.Data record 7................ CCO--ID--1...... CM--ID--1....... CP--03.......... 9/27/2010....... P.............. Mar-11......... NYMEX Light
Sweet.Data record 8................ CCO--ID--1...... CM--ID--1....... CP--03.......... 9/27/2010....... P.............. Feb-11......... NYMEX Light
Sweet.Data record 9................ CCO--ID--1...... CM--ID--1....... CP--01.......... 9/27/2010....... P.............. Mar-11......... NYMEX Light
Sweet.Data record 10............... CCO--ID--1...... CM--ID--1....... CP--01.......... 9/27/2010....... P.............. Feb-11......... NYMEX Light
Sweet.Data record 11............... CCO--ID--1...... CM--ID--1....... CP--01.......... 9/27/2010....... P.............. Jan-11......... NYMEX Light
Sweet.rrrrrrrrrrrrrrrrrrrrrrrrrrrrrr--------------------------------------------------------------------------------------------------------------------------NDR.......................... Yes............. Yes............. Yes............. Yes............. Yes............ Yes............ No.--------------------------------------------------------------------------------------------------------------------------------------------------------
Data records Long swap Short swap Put/call Swaption Swaption strike Non-delta Non-delta
position position indicator expiration date price adjusted long adjusted short
swaption swaption
position position--------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................ 0............... 5000Data record 2................ 0............... 2000Data record 3................ ................ ................ C............... 7/29/2011....... 5.59........... 2000........... 0Data record 4................ ................ ................ C............... 7/29/2011....... 5.59........... 18000.......... 0Data record 5................ ................ ................ P............... 7/29/2011....... 5.50........... 100............ 30Data record 6................ ................ ................ P............... 7/29/2011....... 5.50........... 900............ 270Data record 7................ 5000............ 0Data record 8................ 5000............ 0Data record 9................ 429............. 1286Data record 10............... 2281............ 6843Data record 11............... 1290............ 3871NDR.......................... No.............. No.............. Yes............. Yes............. Yes............ No............. No.--------------------------------------------------------------------------------------------------------------------------------------------------------
Note: The bottom row of Table 1 indicates whether data elements for which any difference in one of the elements constitutes a reason for a new data record (NDR).
Table 2--Example of Data Records Required Under Sec. 20.3(c) for Cleared Swaption Products----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
CFTC clearing org Clearing org Futures equivalent Commodity Swaption Swaption strike Swaption daily
Data records ID cleared product ID Reporting day month and year reference price expiration date price Put/call indicator Delta settlement price----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................... CCO--ID--1........ CP--02............ 9/27/2010......... Nov-10............ NYMEX Henry Hub... 7/29/2011......... 5.59.............. C................. .5................ 6.25Data record 2................... CCO--ID--1........ CP--02............ 9/27/2010......... Oct-10............ NYMEX Henry Hub... 7/29/2011......... 5.59.............. C................. .5................ 5.50Data record 3................... CCO--ID--1........ CP--02............ 9/27/2010......... Nov-10............ NYMEX Henry Hub... 7/29/2011......... 5.50.............. P................. .2................ 4.53Data record 4................... CCO--ID--1........ CP--02............ 9/27/2010......... Oct-10............ NYMEX Henry Hub... 7/29/2011......... 5.50.............. P................. .2................ 4.78----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Table 3--Example of Data Records Required Under Sec. 20.3(c) for Cleared Swap Products--------------------------------------------------------------------------------------------------------------------------------------------------------
CFTC clearing org Clearing org Futures equivalent Commodity Swap daily
Data records ID cleared product ID Reporting day month and year reference price settlement price--------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................... CCO--ID--1........ CP--04............ 9/27/2010......... Nov-10............ NYMEX NY Harbor 20.35
No. 2.Data record 2................... CCO--ID--1........ CP--04............ 9/27/2010......... Oct-10............ NYMEX NY Harbor 10.50
No. 2.Data record 3................... CCO--ID--1........ CP--03............ 9/27/2010......... Mar-11............ NYMEX Light Sweet. 15.00Data record 4................... CCO--ID--1........ CP--03............ 9/27/2010......... Feb-11............ NYMEX Light Sweet. 21.00Data record 5................... CCO--ID--1........ CP--01............ 9/27/2010......... Mar-11............ NYMEX Light Sweet. 17.50Data record 6................... CCO--ID--1........ CP--01............ 9/27/2010......... Feb-11............ NYMEX Light Sweet. 21.65Data record 7................... CCO--ID--1........ CP--01............ 9/27/2010......... Jan-11............ NYMEX Light Sweet. 12.50--------------------------------------------------------------------------------------------------------------------------------------------------------
First Record Layout Example for Sec. 20.4:
This first example shows the data records generated under Sec. 20.4 by a single reporting firm for report date September 27, 2011. Each data record represents a unique part of a reportable position in heating oil and natural gas by the reporting entity and its counterparties. Paragraph (b) of Sec. 20.4 outlines the data elements that determine unique positions.
In this example, the reporting entity clears with one clearing organization and therefore the data records do not have to be delineated by clearing organization (there is a reportable position stemming from an uncleared transaction included as well). However, if the reporting entity in this example used multiple clearing organizations, then it would have to further subdivide its data submissions by each clearing organization.
The reporting entity reports fifteen records; six principal positions and nine counterparty positions. The reported positions constitute separate data records because they vary by the following characteristics: swap counterparties; futures equivalent months/years; clearing organization cleared products; swaptions that were either cleared or uncleared; commodity reference prices; and whether the trade was entered into on or off execution facilities. An illustration of how these records would be reported is included in Table 4 below.
For the calculation of notional values, assume for simplicity that the price of heating oil, for all contract months and for both reference prices, is $3/gal. Similarly, assume that the price of natural gas for all contract months is $4.25/MMBtu.
Note: The bottom two rows in Table 4 indicate whether, for uncleared and cleared swaps and swaptions, data elements for which any difference in one of the elements constitutes a reason for a new data record (NDR).
Table 4--Example of Data Records Reported Under Sec. 20.4(c)------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Commission Principal/
Data records reporting entity counterparty 102S Swap Counterparty name Reporting day Clearing org Commodity code Futures equivalent
ID position indicator counterparty ID cleared product ID month and year------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................... CRE--ID--1........ PRIN.............. .................. .................. 9/27/2011......... CPID--05.......... HO................ Jan-12Data record 2................... CRE--ID--1........ COUNT............. CP--01............ Energy Firm 1..... 9/27/2011......... CPID--05.......... HO................ Jan-12Data record 3................... CRE--ID--1........ COUNT............. CP--02............ Energy Firm 2..... 9/27/2011......... CPID--05.......... HO................ Jan-12Data record 4................... CRE--ID--1........ PRIN.............. .................. .................. 9/27/2011......... CPID--04.......... HO................ Feb-12Data record 5................... CRE--ID--1........ COUNT............. CP--03............ Energy Firm 3..... 9/27/2011......... CPID--04.......... HO................ Feb-12Data record 6................... CRE--ID--1........ PRIN.............. .................. .................. 9/27/2011......... CPID--04.......... HO................ Mar-12Data record 7................... CRE--ID--1........ COUNT............. CP--04............ ABC--Firm......... 9/27/2011......... CPID--04.......... HO................ Mar-12Data record 8................... CRE--ID--1........ PRIN.............. .................. .................. 9/27/2011......... CDIP--07.......... NG................ Mar-12Data record 9................... CRE--ID--1........ COUNT............. CP--05............ XYZ--Firm......... 9/27/2011......... CDIP--07.......... NG................ Mar-12Data record 10.................. CRE--ID--1........ COUNT............. CP--06............ WVU--Firm......... 9/27/2011......... CDIP--07.......... NG................ Mar-12Data record 11.................. CRE--ID--1........ COUNT............. CP--01............ Energy--Firm--1... 9/27/2011......... CDIP--07.......... NG................ Mar-12Data record 12.................. CRE--ID--1........ PRIN.............. .................. .................. 9/27/2011......... CDIP--07.......... NG................ Mar-12Data record 13.................. CRE--ID--1........ COUNT............. CP--07............ MNO--Firm......... 9/27/2011......... CDIP--07.......... NG................ Mar-12Data record 14.................. CRE--ID--1........ PRIN.............. .................. .................. 9/27/2011......... UNCL.............. NG................ Jan-12Data record 15.................. CRE--ID--1........ COUNT............. CP--02............ Energy Firm 2..... 9/27/2011......... UNCL.............. NG................ Jan-12NDR Uncleared................... Yes............... Yes............... Yes............... No................ Yes............... N/A............... No................ YesNDR Cleared..................... Yes............... Yes............... Yes............... No................ Yes............... Yes............... No................ Yes------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ --------------------------------------------------------------------------------------------------------------------------------------------------------
Cleared/uncleared CFTC clearing org Commodity reference Long swap Short swap
Data records indicator identifier price Execution facility position position--------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1..................... C................... CCO--ID--1.......... Platts Oilgram Price EX1................. 200
Report for New York
No. 2 (Barge).Data record 2..................... C................... CCO--ID--1.......... Platts Oilgram Price EX1................. ............. 50
Report for New York
No. 2 (Barge).Data record 3..................... C................... CCO--ID--1.......... Platts Oilgram Price EX1................. ............. 150
Report for New York
No. 2 (Barge).Data record 4..................... C................... CCO--ID--1.......... NYMEX NY Harbor No.2 EX2................. 350Data record 5..................... C................... CCO--ID--1.......... NYMEX NY Harbor No.2 EX2................. ............. 350Data record 6..................... C................... CCO--ID--1.......... NYMEX NY Harbor No.2 EX1................. 100Data record 7..................... C................... CCO--ID--1.......... NYMEX NY Harbor No.2 EX1................. ............. 100Data record 8..................... C................... CCO--ID--1.......... NYMEX Henry Hub..... EX3................. 200 100Data record 9..................... C................... CCO--ID--1.......... NYMEX Henry Hub..... EX3................. ............. 125Data record 10.................... C................... CCO--ID--1.......... NYMEX Henry Hub..... EX3................. ............. 75Data record 11.................... C................... CCO--ID--1.......... NYMEX Henry Hub..... EX3................. 100Data record 12.................... C................... CCO--ID--1.......... NYMEX Henry Hub..... EX1................. .............Data record 13.................... C................... CCO--ID--1.......... NYMEX Henry Hub..... EX1................. .............Data record 14.................... U................... U................... NYMEX Henry Hub..... NOEX................ .............Data record 15.................... U................... U................... NYMEX Henry Hub..... NOEX................ .............NDR Uncleared..................... Yes................. N/A................. Yes................. Yes................. No NoNDR Cleared....................... Yes................. Yes................. No.................. Yes................. No No-------------------------------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Non-delta Non-delta Long swap or Short swap or
Put/call Swaption Swaption strike adjusted long adjusted short Delta adjusted Delta adjusted swaption swaption
Data records indicator expiration date price swaption swaption long swaption short swaption notional value notional value
position position position position position position------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................. ................ ................ ................ ................ ................ ................ ................ $25,200,000.....Data record 2................. ................ ................ ................ ................ ................ ................ ................ ................ $6,300,000Data record 3................. ................ ................ ................ ................ ................ ................ ................ ................ $18,900,000Data record 4................. ................ ................ ................ ................ ................ ................ ................ $44,100,000.....Data record 5................. ................ ................ ................ ................ ................ ................ ................ ................ $44,100,000Data record 6................. ................ ................ ................ ................ ................ ................ ................ $12,600,000.....Data record 7................. ................ ................ ................ ................ ................ ................ ................ ................ $12,600,000Data record 8................. ................ ................ ................ ................ ................ ................ ................ $8,500,000...... $4,250,000Data record 9................. ................ ................ ................ ................ ................ ................ ................ ................ $5,312,500Data record 10................ ................ ................ ................ ................ ................ ................ ................ ................ $3,187,500Data record 11................ ................ ................ ................ ................ ................ ................ ................ $4,250,000......Data record 12................ C............... 2/27/2012....... 4.00............ 100............. ................ 80.............. ................ $3,400,000......Data record 13................ C............... 2/27/2012....... 4.00............ ................ 100............. ................ 80.............. ................ $3,400,000Data record 14................ C............... 12/27/2011...... 4.25............ 100............. ................ 95.............. ................ $4,037,500......Data record 15................ C............... 12/27/2011...... 4.25............ ................ 100............. ................ 95.............. ................ $4,037,500
NDR Uncleared................. Yes............. Yes............. Yes............. No.............. No.............. No.............. No.............. No.............. NoNDR Cleared................... Yes............. Yes............. Yes............. No.............. No.............. No.............. No.............. No.............. No------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Second Record Layout Example for Sec. 20.4:
In this second example, the data records generated by Sec. 20.4(c) are displayed for a hypothetical swap, as detailed in Example 1 of appendix A. In contrast to the above example, this second example of a Sec. 20.4(c) data record is simplistic in that it displays a situation where the position records arise from a single swap transaction, in one commodity, with a single counterparty.
For the sake of this example, assume the swap dealer gained long exposure from the swap, and that the swap was cleared. The price of crude is assumed to be $100/bbl for all contract months on January 1 and $95/bbl for all contract months on January 2. An illustration of the data records generated for January 1, 2011 and January 2, 2011 as a result of this hypothetical swap can be found in Tables 5 and 6, respectively.
Table 5--Example of Data Records Reported Under Sec. 20.4(c) for January 1, 2011 (Appx A, Example 1)------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Principal/
Commission counterparty 102S swap Clearing org cleared Futures
Data records reporting entity position counterparty ID Counterparty Name Reporting day product ID Commodity code equivalent month
ID indicator and year------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................... SD--1............ PRIN............. ................. ...................... 1/1/2011.......... CPID--03............ CL............... Feb-11Data record 2................... SD--1............ PRIN............. ................. ...................... 1/1/2011.......... CPID--03............ CL............... Mar-11Data record 3................... SD--1............ PRIN............. ................. ...................... 1/1/2011.......... CPID--03............ CL............... Apr-11Data record 4................... SD--1............ PRIN............. ................. ...................... 1/1/2011.......... CPID--03............ CL............... May-11Data record 5................... SD--1............ PRIN............. ................. ...................... 1/1/2011.......... CPID--03............ CL............... Jun-11Data record 6................... SD--1............ PRIN............. ................. ...................... 1/1/2011.......... CPID--03............ CL............... Jul-11Data record 7................... SD--1............ PRIN............. ................. ...................... 1/1/2011.......... CPID--03............ CL............... Aug-11Data record 8................... SD--1............ COUNT............ CP--01........... Energy--Firm--1....... 1/1/2011.......... CPID--03............ CL............... Feb-11Data record 9................... SD--1............ COUNT............ CP--01........... Energy--Firm--1....... 1/1/2011.......... CPID--03............ CL............... Mar-11Data record 10.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1....... 1/1/2011.......... CPID--03............ CL............... Apr-11Data record 11.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1....... 1/1/2011.......... CPID--03............ CL............... May-11Data record 12.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1....... 1/1/2011.......... CPID--03............ CL............... Jun-11Data record 13.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1....... 1/1/2011.......... CPID--03............ CL............... Jul-11Data record 14.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1....... 1/1/2011.......... CPID--03............ CL............... Aug-11------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Cleared/uncleared CFTC clearing org Commodity reference Execution Long swap Short swap
Data records indicator identifier price facility position position--------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 73Data record 2.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 103Data record 3.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 93Data record 4.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 103Data record 5.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 99Data record 6.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 103Data record 7.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 27Data record 8.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 73Data record 9.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 103Data record 10................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 93Data record 11................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 103Data record 12................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 99Data record 13................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 103Data record 14................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 27--------------------------------------------------------------------------------------------------------------------------------------------------------
Non-delta Non-delta Delta Delta
Put/call Swaption expiration Swaption adjusted long adjusted short adjusted long adjusted long Long swap or Short swap or
Data records indicator date strike price swaption swaption swaption swaption swaption notional swaption notional
position position position position value position value position------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................... ................ ................... ............. ............... ............... ............. ............. $7,300,000.........Data record 2................... ................ ................... ............. ............... ............... ............. ............. $10,300,000........Data record 3................... ................ ................... ............. ............... ............... ............. ............. $9,300,000.........Data record 4................... ................ ................... ............. ............... ............... ............. ............. $10,300,000........Data record 5................... ................ ................... ............. ............... ............... ............. ............. $9,900,000.........Data record 6................... ................ ................... ............. ............... ............... ............. ............. $10,300,000........Data record 7................... ................ ................... ............. ............... ............... ............. ............. $2,700,000.........Data record 8................... ................ ................... ............. ............... ............... ............. ............. ................... $7,300,000Data record 9................... ................ ................... ............. ............... ............... ............. ............. ................... $10,300,000Data record 10.................. ................ ................... ............. ............... ............... ............. ............. ................... $9,300,000Data record 11.................. ................ ................... ............. ............... ............... ............. ............. ................... $10,300,000Data record 12.................. ................ ................... ............. ............... ............... ............. ............. ................... $9,900,000Data record 13.................. ................ ................... ............. ............... ............... ............. ............. ................... $10,300,000Data record 14.................. ................ ................... ............. ............... ............... ............. ............. ................... $2,700,000------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Table 6--Example of Data Records Reported Under Sec. 20.4(c) for January 2, 2011 (Appx A, Example 1)------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Commission Principal/
Data records reporting entity counterparty 102S Swap Counterparty name Reporting day Clearing org Commodity code Futures equivalent
ID position indicator counterparty ID cleared product ID month and year------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................... SD--1............. PRIN.............. .................. .................. 1/2/2011.......... CPID--03.......... CL................ Feb-11Data record 2................... SD--1............. PRIN.............. .................. .................. 1/2/2011.......... CPID--03.......... CL................ Mar-11Data record 3................... SD--1............. PRIN.............. .................. .................. 1/2/2011.......... CPID--03.......... CL................ Apr-11Data record 4................... SD--1............. PRIN.............. .................. .................. 1/2/2011.......... CPID--03.......... CL................ May-11Data record 5................... SD--1............. PRIN.............. .................. .................. 1/2/2011.......... CPID--03.......... CL................ Jun-11Data record 6................... SD--1............. PRIN.............. .................. .................. 1/2/2011.......... CPID--03.......... CL................ Jul-11Data record 7................... SD--1............. PRIN.............. .................. .................. 1/2/2011.......... CPID--03.......... CL................ Aug-11Data record 8................... SD--1............. COUNT............. Counterparty--1... Energy Firm....... 1/2/2011.......... CPID--03.......... CL................ Feb-11Data record 9................... SD--1............. COUNT............. Counterparty--1... Energy Firm....... 1/2/2011.......... CPID--03.......... CL................ Mar-11Data record 10.................. SD--1............. COUNT............. Counterparty--1... Energy Firm....... 1/2/2011.......... CPID--03.......... CL................ Apr-11Data record 11.................. SD--1............. COUNT............. Counterparty--1... Energy Firm....... 1/2/2011.......... CPID--03.......... CL................ May-11Data record 12.................. SD--1............. COUNT............. Counterparty--1... Energy Firm....... 1/2/2011.......... CPID--03.......... CL................ Jun-11Data record 13.................. SD--1............. COUNT............. Counterparty--1... Energy Firm....... 1/2/2011.......... CPID--03.......... CL................ Jul-11Data record 14.................. SD--1............. COUNT............. Counterparty--1... Energy Firm....... 1/2/2011.......... CPID--03.......... CL................ Aug-11------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Cleared/uncleared CFTC clearing org Commodity reference Execution Long swap
Data records indicator identifier price facility position Short swap position--------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 70Data record 2.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 103Data record 3.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 93Data record 4.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 103Data record 5.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 99Data record 6.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 103Data record 7.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 27Data record 8.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 70Data record 9.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 103Data record 10................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 93Data record 11................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 103Data record 12................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 99Data record 13................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 103Data record 14................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 27-------------------------------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Long swap or Short swap
Non-delta Non-delta Delta adjusted Delta adjusted swaption or swaption
Data records Put/call Swaption Swaption strike adjusted long adjusted short long swaption long swaption notional notional
indicator expiration date price swaption position swaption position position position value value
position position------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------Data record 1................. ................. ................. ................. ................. ................. ................. ................. $6,650,000Data record 2................. ................. ................. ................. ................. ................. ................. ................. $9,785,000Data record 3................. ................. ................. ................. ................. ................. ................. ................. $8,835,000Data record 4................. ................. ................. ................. ................. ................. ................. ................. $9,785,000Data record 5................. ................. ................. ................. ................. ................. ................. ................. $9,405,000Data record 6................. ................. ................. ................. ................. ................. ................. ................. $9,785,000Data record 7................. ................. ................. ................. ................. ................. ................. ................. $2,565,000Data record 8................. ................. ................. ................. ................. ................. ................. ................. ............. $6,650,000
Data record 9................. ................. ................. ................. ................. ................. ................. ................. ............. $9,785,000Data record 10................ ................. ................. ................. ................. ................. ................. ................. ............. $8,835,000Data record 11................ ................. ................. ................. ................. ................. ................. ................. ............. $9,785,000Data record 12................ ................. ................. ................. ................. ................. ................. ................. ............. $9,405,000Data record 13................ ................. ................. ................. ................. ................. ................. ................. ............. $9,785,000Data record 14................ ................. ................. ................. ................. ................. ................. ................. ............. $2,565,000------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------