Federal Register, Volume 76 Issue 141 (Friday, July 22, 2011)[Federal Register Volume 76, Number 141 (Friday, July 22, 2011)]
[Rules and Regulations]
[Pages 43851-43874]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-18054]
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COMMODITY FUTURES TRADING COMMISSION
17 CFR Parts 15 and 20
RIN 3038-AD17
Large Trader Reporting for Physical Commodity Swaps
AGENCY: Commodity Futures Trading Commission.
ACTION: Final rules.
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SUMMARY: The Commission is adopting reporting regulations (``Reporting
Rules'') that require physical commodity swap and swaption (for ease of
reference, collectively ``swaps'') reports. The new regulations require
routine position reports from clearing organizations, clearing members
and swap dealers and also apply to reportable swap trader positions.
DATES: Effective Dates: This rulemaking shall become effective
September 20, 2011.
FOR FURTHER INFORMATION CONTACT: Bruce Fekrat, Senior Special Counsel,
Office of the Director, (202) 418-5578, [email protected], or Ali
Hosseini, Attorney-Advisor, Office of the Director, (202) 418-6144,
[email protected], Division of Market Oversight, Commodity Futures
Trading Commission, Three Lafayette Centre, 1155 21st Street, NW.,
Washington, DC 20581.
SUPPLEMENTARY INFORMATION:
I. Background and Summary of Comments
A. Background
On November 2, 2010, the Commission proposed Reporting Rules that,
in addition to establishing recordkeeping requirements, require routine
swaps position reports from clearing organizations, clearing members
and swap dealers and apply non-routine reporting requirements to large
swaps traders.\1\ The Reporting Rules, as finalized and adopted herein,
will allow the Commission to administer its regulatory responsibilities
under the Commodity Exchange Act (``CEA or Act'') by implementing and
conducting effective surveillance of economically equivalent physical
commodity futures, options and swaps. The Reporting Rules will directly
support the Commission's transparency initiatives such as its
dissemination of Commitments of Traders and Index Investment Data
Reports and will allow the Commission to monitor compliance with the
trading requirements of the Act.\2\
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\1\ 75 FR 67258, November 2, 2010. Comments and ex parte
communications list available at http://comments.cftc.gov/PublicComments/CommentList.aspx?id=889.
\2\ See 76 FR 4752, January 26, 2011.
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The Commission currently receives and uses for market surveillance
and enforcement purposes, data on large positions in all physical
commodity futures and option contracts traded on designated contract
markets (``DCMs''). Without the Reporting Rules, there would be no
analogous reporting system in place for economically equivalent swaps,
which until recently were largely unregulated financial contracts. The
Reporting Rules, as discussed below, are reasonably necessary for the
effective surveillance of economically equivalent futures and swaps.
B. Proposed Reporting Rules Summary of Comments
The Commission received approximately 130 comment letters, and
engaged in several ex parte communications, for the proposed Reporting
Rules. The Commission has carefully reviewed and considered the
submitted comments. Substantive comments pertinent to specific
provisions in the rulemaking are summarized and discussed below and in
other sections of this notice.
The National Futures Association (``NFA'') submitted a comment \3\
suggesting that its issuance of trader identifications should be a part
of the position reporting process. Although beyond the scope of this
rulemaking as proposed, the Commission may review the feasibility of
adopting such an approach as a part of its ongoing updating and
revision of other transaction and position reporting requirements.
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\3\ Letter from Thomas W. Sexton, Senior Vice President and
General Counsel, NFA, to David A. Stawick, Secretary, CFTC (December
2, 2010).
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The Air Transport Association (``ATA''), Better Markets Inc.
(``Better Markets''), the Petroleum Marketers Association of America
(``PMAA'') and New England Fuel Institute (``NEFI''), and Robert Pollin
and James Heintz of the Political Economy Research Institute
[[Page 43852]]
(``PERI'') indicated support for the proposed regulations.\4\ ATA
supported the proposal as a practical solution to the Commission's
current lack of swaps position data. Better Markets stated its support
for the use of futures equivalence and the assembly of data based on
price relationships. PMAA and NEFI argued the regulations will provide
for a solid foundation for position limits.
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\4\ Letter from David A. Berg, Vice President and General
Counsel, ATA, to David A. Stawick, Secretary, CFTC (December 2,
2010); letter from Dennis M. Kelleher, President & CEO, and Wallace
C. Turbeville, Derivatives Specialist, Better Markets Inc., to David
A. Stawick, Secretary, CFTC (December 2, 2010); letter from Dan
Gilligan, President, PMAA, and Shane Sweet, President & CEO, NEFI,
to David A. Stawick, Secretary, CFTC (December 2, 2010); and letter
from Robert Pollin, Professor of Economics and Co-Director, and
James Heintz, Associate Research Professor and Associate Director,
PERI, to David A. Stawick, Secretary, CFTC (December 2, 2010).
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Bindicap Comster, the Futures Industry Association (``FIA'') and a
working group of commercial energy firms (``Working Group''),
meanwhile, opposed the proposed regulations,\5\ arguing that an
expanded special call reporting mechanism, similar to the special call
that the Commission has issued to support its Index Investment Data and
Commitments of Traders Reports, would be a better alternative to the
proposed regulations while remaining consistent with the requirements
of the Act.\6\ The Commission notes that its current special call for
Index Investment Data Reports is a targeted collection of data. It
gathers information related to specific products from a limited set of
market participants. The special call was not intended to function as a
tool for general market surveillance, including compliance with section
4a of the Act. In order to be able to gather data of the quality needed
to conduct market surveillance the special call would have to undergo
substantial modifications, such as requiring much more granular data by
counterparty in a data stream on or close to a next-day basis, which in
effect would convert it into the Reporting Rules.
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\5\ Letter from Bindicap Comster to David A. Stawick, Secretary,
CFTC (December 2, 2010); letter from John M. Damgard, President,
FIA, to David A. Stawick, Secretary, CFTC (December 2, 2010); and
letter from R. Michael Sweeney Jr., David T. McIndoe, and Mark W.
Menezes, Counsel for the Working Group, to David A. Stawick,
Secretary, CFTC (December 2, 2010).
\6\ The Commission conducts its current special call pursuant to
Commission regulation 18.05. Swap dealers and index traders that
receive a special call file monthly reports with the Commission
within five business days after the end of the month.
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FIA and the Working Group also questioned whether the Commission
has sufficient authority to adopt such regulations. FIA argued that the
Commission's authority is not clear because of the CEA section 2(h)
reporting exemption for swaps on exempt commodities. The Working Group
argued that the proposal is not required by the Dodd-Frank Act and that
it is not necessary to comply with CEA section 4a(a)(1). The Commission
has requisite statutory authority for the Reporting Rules based on CEA
sections 4a, 4t and 8a(5). Specifically, section 4a of the CEA, as
amended by the Dodd-Frank Act, directs the Commission to establish
position limits, as appropriate, for physical commodity swaps.\7\
Section 737 of the Dodd-Frank Act, which amended section 4a to direct
the Commission to impose these limits, became effective on the date of
enactment of the Dodd-Frank Act--i.e., July 21, 2010. Section 8a(5) of
the CEA authorizes the Commission to promulgate such regulations as, in
the judgment of the Commission, are reasonably necessary to effectuate
any of the provisions or to accomplish any of the purposes of the CEA.
In the Commission's judgment, the Reporting Rules are reasonably
necessary to implement the statutory mandate in section 4a for the
Commission to establish position limits, as appropriate, on an
expedited basis.
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\7\ Section 754 of the Dodd-Frank Act provides that, unless
otherwise provided, the provisions of subtitle A of Title VII
``shall take effect on the later of 360 days after the date of the
enactment of this subtitle or, to the extent a provision of this
subtitle requires a rulemaking, not less than 60 days after
publication of the final rule or regulation implementing such
provisions of this subtitle.'' CEA section 4a, as amended by Dodd-
Frank section 737, requires the Commission to establish position
limits for exempt commodities within 180 days after the date of
enactment, and position limits for agricultural commodities within
270 days after the date of enactment. The Commission is proceeding
deliberatively to meet this Congressional mandate. As previously
noted, on November 2, 2010, the Commission proposed these Reporting
Rules, and on January 26, 2011, the Commission proposed position
limits, including aggregate limits, for 28 major physical commodity
DCM contracts and economically equivalent swaps.
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In addition, section 4t of the Act authorizes the Commission to
establish a large trader reporting system for significant price
discovery function swaps, of which economically equivalent swaps are a
subset. Swaps position reports are a necessary component of an
effective surveillance program. Accordingly, the Commission is adopting
the subject swap reporting requirements pursuant to its authority in
sections 4a and 4t of the CEA, as described above.
With regard to the future establishment of swap data repositories
(``SDRs'') and whether the Commission should wait for SDRs to provide
swaps position data instead of adopting the regulations, ATA argued
that the Commission should proceed with the regulations and not wait
for SDRs to become operational. FIA and the Working Group, on the other
hand, argued that the future role of SDRs makes adoption of the
regulations unnecessary. The Commission has determined that the
Reporting Rules are reasonably necessary for several reasons. It is
likely that physical commodity SDRs will require the most time to
become operational since, unlike for swaps in the interest rate, equity
and credit default asset categories, there currently is no functional
and accepted data repository for swaps in the energy, metal or
agricultural commodity asset categories. In addition, even after SDRs
have been established, because they are fundamentally transaction
repositories, it may be a considerable time before SDRs are able to
reliably convert transaction data into positional data. Thus, in view
of the considerable time before physical commodity swap SDRs are likely
to be operational and have the ability to convert transactions to
positions, the Commission has determined to adopt the Reporting Rules.
In order to address concerns raised about the possibility of redundant
regulatory obligations, however, the Reporting Rules do include, in
final regulation 20.9, a sunset provision.
Better Markets, FIA and the Working Group, as well as a not-for-
profit electric end-user coalition (``Electric End User
Coalition''),\8\ argued that the proposed regulations should not be
adopted by the Commission until regulations defining the terms ``swap
dealer'' and ``swap'' are adopted first. As further explained below,
the Commission has determined to tie the compliance date of the
regulations for swap dealers that are not clearing members to the
effective date of the ``swap dealer'' definition final rulemaking.\9\
With regard to the ``swap'' definition, the Commission has determined
to utilize, on a transitional basis and until final definitional
regulations become effective, a definition of ``swap'' that is based on
the
[[Page 43853]]
reference to ``commodity swap'' within the definition of ``swap
agreement'' in part 35 of the Commission's regulations. Swap market
participants have relied on the definition of ``swap agreement'' for
exempting transactions from the CEA since 1993. As a result, market
participants have an understanding of the general nature of the
definition of commodity swap. The swaps that would be subject to the
Reporting Rules would be the same under both definitions.
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\8\ Letter from Russell Wasson, Director, Tax, Finance and
Accounting Policy, National Rural Electric Cooperative Association,
Susan N. Kelly, Senior Vice President of Policy Analysis and General
Counsel, American Public Power Association, and Noreen Roche-Carter,
Chair, Tax & Finance Task Force, Large Public Power Council, to
David A. Stawick, Secretary, CFTC (December 2, 2010).
\9\ Further Definition of ``Swap Dealer,'' ``Security-Based Swap
Dealer,'' ``Major Swap Participant,'' ``Major Security-Based Swap
Participant'' and ``Eligible Contract Participant,'' 75 FR 80174,
December 21, 2010.
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With regard to the definition of ``reporting entity,'' FIA and the
Working Group argued that it is overly broad. Bindicap Comster argued
that the definition is appropriate. In the Commission's judgment, the
Reporting Rules have been narrowly tailored to obtain the information
reasonably necessary from clearing organizations, clearing members and
swap dealers in order to implement and conduct an effective initial
surveillance program for swaps.
With regard to the proposed definition of ``paired swaps,'' the
Working Group argued that it would not always appropriately capture the
concept of economic equivalence because, for example, different
delivery locations may have periods of high correlation followed by
periods where such correlations break down. Better Markets argued that
it was too narrow because it did not consider criteria such as market
hedging practices, margin netting offered by clearing organizations or
historical price correlation. The proposed regulations identified three
categories of swaps that would be economically equivalent to DCM
contracts and thereby subject to reporting under the proposed rules:
(1) Swaps directly or indirectly linked to the price of a referenced
DCM contract; (2) swaps directly or indirectly linked to the price of
the same commodity for delivery at the same location as that of a
referenced DCM contract; and (3) swaps based on the same commodity as
that of a referenced DCM contract which are deliverable at different
locations that nonetheless have the same supply and demand fundamentals
as the referenced DCM contract's delivery point. The first two
categories of the definition of economically equivalent swaps are
appropriately tailored and objectively defined, do not require case by
case Commission analysis, and would provide sufficient data for the
Commission to meet its responsibility under sections 4a and 4t of the
Act. To further the objectives of clear applicability of the
regulations and the submission of accurate reports, as well as to lower
the burden on reporting entities by limiting the set of reportable
swaps, the Commission has amended the definition to remove the third
category.
With regard to the reporting mechanics and data fields of the
proposed regulations, Better Markets suggested additional reporting
fields, arguing that reporting entities should be required to specify
their role with respect to the execution of reported trades and that
clearing organizations should be required to report net position
information as well as gross positions and delta values. The Commission
has determined that the data fields specified in the regulations will
provide the Commission with sufficient data to begin its initial
surveillance of the swaps markets for physical commodities, while
minimizing the burden on reporting entities. Such identification data,
including trader categorization, will be collected in 102S and 40S
filings which include other trader identifying information and are
submitted to the Commission much less frequently than positional data.
The Commission can later broaden the scope of the reporting
requirements or frequency of reporting identifying data if necessary
based on its administrative experience.
The final Reporting Rules do, however, harmonize the data fields
required to be reported by swap dealers for cleared and non-cleared
swaptions. As proposed, certain fields were required for cleared
swaptions that were not required for non-cleared swaptions and vice-
versa. Although certain data fields may be more relevant for cleared or
non-cleared swaptions, the harmonization of required data fields will
simplify the reporting of swaptions and thereby will likely decrease
(and not increase) any burden associated with reporting swaptions under
the Reporting Rules as finalized.
FIA argued that reporting entities' trade capture systems are not
readily adaptable to the data fields specified in the proposed
regulations. It also argued that data for cleared swaps should only be
submitted by clearing members in order to prevent double counting. The
reporting of cleared positions by swap dealers and clearing members was
intentionally incorporated into the regulations. As with the collection
of any data, there is a need to verify submitted information.
FIA also argued that reporting entities, because certain
counterparty data may not be available to them or organized as
described by the Reporting Rules, should only be required to report
their positions and the names of counterparties, not all the specified
data related to consolidated accounts in the proposed regulations.
The Commission has amended the proposed regulations, which
initially required a reporting entity to identify information about the
controller of a reportable account, to partially address this concern
by requiring that data be provided by a clearing member's or swap
dealer's direct legal counterparty. Data is no longer required to be
provided by account controller. In addition, the final Reporting Rules
do not require reporting by actual swap and swaption accounts. All of
these amendments will serve to streamline the reporting process while
preserving the Commission's regulatory interests.
With regard to the reporting threshold of futures equivalent
contracts for economically equivalent swaps, Better Markets suggested
that the threshold reporting level should be 25 contracts instead of
the 50-contract threshold specified in the proposed regulations.
Bindicap Comster stated that the threshold reporting level of 50
contracts is generally suitable while the FIA stated that the threshold
reporting level for a particular swap should depend upon its liquidity.
The Commission determined the 50-contract threshold for reporting
based on industry inquiries regarding a reporting level that would make
95% of the economically equivalent swaps markets visible to the
Commission. In order to streamline reporting and give reporting
entities the option of avoiding a complex reporting level calculation,
however, the final Reporting Rules allow reporting entities to deem a
reporting level of one or more swaps to be a reportable position. Thus
the final Reporting Rules allow reporting entities the option of not
conducting any potentially complex or costly reporting threshold
analysis prior to transmitting reports to the Commission.
The Commission is aware that a reporting level of one contract
could potentially expand the Reporting Rules' books and records
obligations to additional swap market participants. Therefore, final
regulation 20.6 applies a books and records requirement to swap
counterparties only if such persons' swaps positions meet or exceed a
simplified 50 futures contract equivalent reporting level. Also, final
regulation 20.6 provides that persons with swaps positions meeting or
exceeding the aforementioned threshold may keep and reproduce books and
records for transactions resulting in such swaps positions in the
record retention format that such person has developed in the normal
course of business. Regulation 20.6 also provides
[[Page 43854]]
that such persons may keep and reproduce books and records for, among
other things, the cash commodity underlying such swaps positions in
accordance with the record retention format developed in the normal
course of business.
In connection with the submission of swaps position data, FIA
expressed concern about the confidential treatment of data submitted
should the Commission determine to require the submission of data to
third parties. This concern is not relevant as the regulations only
involve the submission of position and identifying data to the
Commission. The Commission will protect proprietary information
according to the Freedom of Information Act and 17 CFR part 145,
``Commission Records and Information.'' In addition, section 8(a)(1) of
the Act strictly prohibits the Commission, unless specifically
authorized by the Act, from making public ``data and information that
would separately disclose the business transactions or market positions
of any person and trade secrets or names of customers.'' The Commission
also is required to protect certain information contained in a
government system of records according to the Privacy Act of 1974, 5
U.S.C. 552a.
FIA and the Working Group argued that the costs placed by the
proposed regulations would be significant and that the Commission
significantly underestimated the costs to clearing members and swap
dealers. FIA stated that some of its members believe the costs to be
very substantial and in some cases exceeding millions of dollars, while
acknowledging that it is difficult to estimate costs with any
precision. The Working Group stated that some of its members estimate
the total compliance costs to range up to $80,000 to $750,000 per year,
inclusive of capital costs, and that the upfront costs could be as high
as $1.5 million. The Commission has carefully considered the costs on
market participants. In response, the Commission notes that the
Reporting Rules are tailored to collect routine reports only from
clearing organizations, clearing members, and swap dealers. Based on
discussions with potential reporting entities, the Commission has
determined that the costs that would be imposed by the regulations on
reporting entities is reasonable given the trade capture and
information technology resources of such entities and their familiarity
with limiting and managing complex price risks. Clearing organizations
and clearing members should have appropriate systems in place and
currently likely provide or collect market and large trader reports.
The compliance date for swap dealers that are not clearing members
will be delayed until the Commission further defines the term swap
dealer. In order to address concerns relating to the ability of
reporting entities to comply with the requirements of part 20 by the
compliance date set forth in final regulation 20.10(a), final
regulation 20.10(c) authorizes the Commission (or staff members
delegated with such authority) to permit, for a period not to exceed
six calendar months following the effective date of the Reporting
Rules, the submission of reports that differ in content, form, or
manner from that mandated in part 20, provided that there is a good
faith attempt at compliance with part 20.
In addition, in order to address the possibility of certain firms
that may not be able to comply expediently with the requirements of
part 20 should they fall within the definition of swap dealer,
regulation 20.10(e) allows the Commission to defer compliance for such
firms for a period not to exceed six calendar months following the
effective date of final regulations further defining the term swap
dealer. The Commission's consideration of costs and burdens is
discussed in more detail below.
The Electric End User Coalition also argued that the recordkeeping
burden imposed by the proposed regulations on commercial entities would
be significant. In particular it argued that the recordkeeping
requirements should not apply to end-users and that the Commission
should defer to other regulators, specifically the Federal Energy
Regulatory Commission (``FERC''), with regard to recordkeeping
obligations. In the Commission's judgment, the recordkeeping
requirements for end-users with swaps positions that meet or exceed the
relevant thresholds are consistent with requirements under current
Commission regulation 18.05. As described above, final regulation 20.6
generally permits such end-users to keep and reproduce records of swaps
positions, as well as the underlying cash commodities, in the record
retention format that such entities have developed in the normal course
of business.
II. The Final Reporting Rules
A. Covered Contracts
With regard to the ``swap'' definition, the final part 20
regulations utilize a definition of ``swap '' that is based on the
reference to ``commodity swaps'' within the definition of ``swap
agreement'' in part 35 of the Commission's regulations.\10\ Swap market
participants have relied on the definition of ``swap agreement'' for
exempting transactions from the CEA since 1993. As a result, market
participants have an understanding of the general nature of the
definition of commodity swaps. The part 35 definition will become
effective on the effective date of this final rulemaking and will
operate until the effective date of any swap definitional rulemaking by
the Commission under section 1a of the CEA. Under both definitions, the
category of the swaps that would be subject to the Reporting Rules
remains the same.\11\ For further clarity, forwards as currently
excluded from the CEA (i.e., prior to the effective date of the Dodd-
Frank Act) are also outside the scope of the definition of ``swap'' as
used in this reporting scheme.
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\10\ 17 CFR 35.1(b)(1).
\11\ This definition of ``swap'' is also intended to be
generally consistent with how swaps are defined in the Commission's
Policy Statement Concerning Swap Transactions, 54 FR 30694, July 21,
1989. That is, a ``swap'' as used in this rulemaking refers to an
agreement between two parties to exchange one or more cash flows
measured by different rates or prices with payments calculated by
reference to a principle base (notional amount).
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Regulation 20.2 lists the 46 DCM-listed futures contracts covered
by the Reporting Rules (``Covered Futures Contracts''), as well as an
additional line item for diversified commodity indices.\12\ The
Commission, through the definition of paired swap or paired swaption
(for ease of reference, collectively ``paired swaps'') in regulation
20.1, defines a subset of swaps as economically equivalent to the
Covered Futures Contracts. The definition of paired swaps (i.e.,
economically equivalent swaps) identifies two distinct categories of
instruments.
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\12\ 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.
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First, the definition includes those paired swaps that are directly
or indirectly linked to the price of a Covered Futures Contract. This
category includes swaps that are partially or fully settled or priced
at a differential to a Covered Futures Contract. The following are
examples of these types of paired swaps:
1. Directly linked to a listed contract--A swap settled to the
price of the New York Mercantile Exchange (``NYMEX'') Heating Oil
Calendar Swap Futures Contract is directly linked to a Covered
Futures Contract because the floating price of the futures contract
is equal to the monthly average settlement price
[[Page 43855]]
of the first nearby contract month for the NYMEX New York Harbor No.
2 Heating Oil Futures Contract.
2. Indirectly linked to a listed contract--The ICE WTI Average
Price Option is indirectly linked to a Covered Futures Contract
because the floating price of the swap references the ICE WTI 1st
Line Swap Contract which in turn is equal to the monthly average
settlement price of the NYMEX Front Month WTI Crude Futures
Contract.
3. Partially settled to a listed contract--A swap settled to the
Argus Sour Crude Index (``ASCI'') (which also underlies the Chicago
Mercantile Exchange (``CME'') Argus WTI Formula Basis Calendar Month
Swap Futures Contract) is partially settled to a Covered Futures
Contract.\13\ Because the ASCI index uses both a physical cash
market component and the NYMEX WTI Futures Contract to establish the
level of the index, it would partially settle to a Covered Futures
Contract and would be a paired swap under the first paragraph of the
definition.\14\
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\13\ The floating price of the CME futures contract is equal to
the arithmetic average of the ASCI (1st month) outright price from
Argus Media for each business day that the ASCI is determined during
the contract month.
\14\ For a description of the ASCI methodology, see, e.g.,
http://web04.us.argusmedia.com/ArgusStaticContent//Meth/ASCI.pdf.
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4. Priced at a differential to a listed contract--The ICE Henry
Physical Basis LD1 Contract is priced at a differential to a Covered
Futures Contract because the settlement price is the final
settlement price for natural gas futures (a Covered Futures
Contract) as reported by NYMEX for the specified month plus the
contract price.
The second category of swaps captured by the paired swap definition
includes swaps that directly or indirectly link to, including being
partially or fully settled or priced at a differential to, the price of
the same commodity for delivery at the same location or locations as
that of a Covered Futures Contract. As opposed to the first category of
paired swaps, the second category looks to a swap's connection to the
commodity underlying a Covered Futures Contract, and to the delivery
locations specified in a Covered Futures Contract, as opposed to the
price of the contract itself. Therefore, the linkage for contracts in
this second category is to the price of the underlying commodity and
its physical marketing channels.
As proposed, a paired swap would have also included swaps that are
based on the same commodity \15\ as that of a Covered Futures Contract
but deliverable at locations that are different than a Covered Futures
Contract's delivery locations, so long as such locations have
substantially the same supply and demand fundamentals as that of a
Covered Futures Contract reference delivery location. In response to
comments, the Commission has determined not to include this proposed
category in the final definition of paired swaps. The final definition
thereby narrows the scope of the swaps that are subject to position
reporting.
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\15\ A commodity is considered to be the same (for the purposes
of reporting under these regulations) if such commodity has the same
economic characteristics with respect to grade and quality
specifications as those referenced by a Covered Futures Contract.
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B. Reporting Under the Final Regulations
1. Clearing Organizations
Regulation 20.3 requires paired swap reports from clearing
organizations. Clearing organizations are defined in regulation 20.1 as
persons or organizations that act as a medium between clearing members
for the purpose of clearing swaps or effecting settlements of swaps or
swaptions. The definition is adopted as proposed and is modeled after
the definition used in current Commission regulation 15.00 (the
definitional section for the Commission's large trader reporting rules)
solely for the purposes of reporting under part 20. The definition is
intended to cover entities that qualify as clearing organizations,
regardless of their registration status with the Commission, should for
example there exist a mutual recognition regime. It is not meant to
apply to financial institutions or parties to swaps that provide
counterparties with financing, credit support, or hold collateral to
facilitate or to ensure that payments are made under the terms of a
paired swap.
Pursuant to regulation 20.3, clearing organizations, for paired
swap positions, are required to report the aggregate proprietary and
aggregate customer accounts of each clearing member of that clearing
organization. Regulation 20.1 defines clearing member as any person who
is a member of, or enjoys the privilege of clearing trades in its own
name through, a clearing organization. The paired swap positions must
be reported to the Commission as futures equivalent positions in terms
of a swap's related Covered Futures Contract. Appendix A to this part
provides several examples of the methods used for converting swap
positions into futures equivalent positions. The regulations call for
reporting in futures equivalents because such conversions are made by
entities that deal in swaps to effectively manage residual price risks
by entering into Covered Futures Contracts. Reporting in futures
equivalents provides a measure of equivalency between positions in
paired swaps and their related Covered Futures Contracts, which allows
for more effective market surveillance and the monitoring of trading
across futures and swaps.
As required under paragraphs (a) and (b) of regulation 20.3, each
clearing organization is required to submit to the Commission a data
record that identifies either gross long and gross short futures
equivalent positions if the data record corresponds to a paired swap
position, or gross long and gross short futures equivalent positions on
a non-delta-adjusted basis if the data record corresponds to a paired
swaption position. A data record (for the purposes of this rulemaking)
can be thought of as a grouped subset of data elements that
communicates a unique (non-repetitive) positional message to the
Commission.
Clearing organizations are required to report a data record for
each clearing member for each reporting day, which is defined in
regulation 20.1 as the daily period of time between a clearing
organization or reporting entity's usual and customary last internal
valuation of paired swaps and the next such period. In order to provide
clearing organizations with some flexibility in determining daily
operational cycles that would coincide with their obligation to provide
clearing member reports on a daily basis, the proposed definition would
permit such cycles of time to vary for different clearing
organizations, so long as the daily period of time is consistently
observed and the Commission is notified, upon its request, of the
manner by which a cycle is calculated. Data records would be reported
electronically in a manner consistent with current Commission practice.
The positional data elements in paragraphs (a) and (b) of
regulation 20.3 require daily reports for each aggregated proprietary
account and each aggregated customer account, by each cleared product,
and by each futures equivalent month. Each data record would indicate
the commodity reference price with which each cleared product is
associated. As defined in regulation 20.1, a commodity reference price
is the price series used by the parties to a swap or swaption to
determine payments made, exchanged, or accrued under the terms of that
swap or swaption. In addition, data records for swaptions are required
to be broken down further by expiration date, put or call indicator,
and strike price. Appendix B to part 20 includes examples of data
records that would be required of clearing organizations.
In addition to reports for clearing members, clearing organizations
are, pursuant to regulation 20.3(c), required to provide to the
Commission, for each
[[Page 43856]]
futures equivalent month, end of reporting day settlement prices for
each cleared product and deltas for every unique swaption put and call,
expiration date, and strike price. This second daily report will allow
the Commission to assign an appropriate weight to unadjusted positions.
2. Reporting Entities
Regulation 20.4 requires reporting entities to report principal
\16\ and direct legal counterparty paired swap positions to the
Commission when such positions become reportable. Reporting entities
are required to follow the same procedure for determining if their
principal or counterparty positions are reportable to the Commission.
Regulation 20.1 identifies a reporting entity as a clearing member or a
swap dealer as defined in section 1a of the CEA and as subject to
definitional changes that will be made through Commission regulations
further defining the term swap dealer. The compliance date of any
provisions relating to swap dealers will be the effective date of a
final swap dealer definition.\17\
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\16\ The Reporting Rules, as proposed, used the term proprietary
to refer to principal positions in the context of reporting by
clearing members and swap dealers.
\17\ The Reporting Rules render a swap dealer in any paired swap
to be a reporting entity with the responsibility to provide data on
all reportable positions, regardless of the specific types of paired
swaps that render the entity a statutory swap dealer under the CEA.
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Regulation 20.4 requires reporting entities to provide positional
reports when reporting entities have principal and counterparty
reportable paired swap positions. The final Reporting Rules amend
regulation 20.1 to define a reportable position in two distinct ways.
First, regulation 20.1, as proposed and finalized, defines a reportable
position as a position, in any one futures equivalent month, comprised
of 50 or more futures equivalent paired swaps or swaptions based on the
same commodity. This proposed level is calibrated to capture data on a
sufficiently large percentage of paired swap positions and was arrived
at after consultation with multiple market participants.\18\ Once a
paired swap position attributable to the reporting entity as principal
or to its counterparty meets or exceeds the 50 futures equivalent
contract threshold, all other paired swaps in the same commodity
attributable to such trader becomes part of that trader's reportable
position.\19\
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\18\ See http://comments.cftc.gov/PublicComments/CommentList.aspx?id=889.
\19\ In order to verify that a reporting entity's paired swap
positions are no longer above the threshold, the proposed definition
of reportable position would also encompass positions in paired
swaps held by the reporting entity on the first day after which the
reporting entity's paired swap positions are no longer reportable.
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Alternatively the Reporting Rules, as amended and finalized, allow
reporting entities to identify a reportable position as all positions
on a gross basis in a consolidated account (as described in regulation
20.4(a)) that are based on the same commodity, so long as this approach
is consistently applied to all consolidated accounts for reporting
purposes. This amended definition of a reportable position allows
reporting entities to forgo the 50-contract threshold calculation,
which may be complex or costly, prior to submitting reports to the
Commission.
As with reports that are required to be provided by clearing
organizations to the Commission under regulation 20.3, regulation 20.4
requires paired swap positions to be represented and reported in
futures equivalents. A common method of accounting for positions in
swaps and futures allows for more effective market surveillance. The
data collected by the Reporting Rules could be used to determine
aggregate open interest levels for economically equivalent derivatives.
For example, such ``size-of-the-market'' calculations could in turn
serve as a basis for computing non-spot-month position limits, should
the Commission determine to adopt such limits.
Under final regulation 20.11, for the purpose of reporting in
futures equivalents, paired swaps and swaptions that are based on
commonly known diversified indices with publicly available weightings
must be reported as if such indices underlie a single futures contract
with monthly expirations for each calendar month and year. Bespoke
indices, however, must be decomposed into their futures equivalent
components and reported along with a commodity reference price which
allows the Commission to match such components to the bespoke index.
The term commodity reference price is defined in regulation 20.1 as the
price series (including derivatives contract and cash market prices or
price indices) used by the parties to a swap or swaption to determine
payments made, exchanged, or accrued under the terms of such contracts.
To determine what to report under regulation 20.4, reporting
entities are required to separately consider principal and counterparty
positions on a gross basis. Reporting entities are required to provide
for each reporting day a data record that either identifies long and
short paired swap positions (if the record pertains to swap positions)
or long and short non-delta-adjusted paired swaption positions and long
and short delta-adjusted swaption positions (if the record pertains to
swaptions positions). For uncleared paired swaps, the regulations
require a reporting entity to use economically reasonable and
analytically supported deltas.
More specifically, regulation 20.4, as proposed and finalized,
requires that this information be grouped separately by principal or
counterparty positions, by futures equivalent month, by cleared or
uncleared contracts, by commodity reference price, and by clearing
organization if the data record pertains to cleared swaps. Data records
pertaining to swaption positions under the final regulations are to be
further grouped by put or call, expiration date, and strike price. The
reports provided under regulation 20.4 are required to also include
identifiers for the commodity underlying the reportable position, the
counterparties of the account and the 102S filing identifier, as
described in more detail below, assigned by the reporting entity to its
counterparty.
3. Series S Filings
Regulation 20.5(a) requires a 102S filing for the identification of
a reporting entity's counterparty when such counterparty holds a
reportable position. The 102S filing consists of the ``name, address,
and contact information of the counterparty with the reportable
account'' and a ``brief description of the nature of such person's
paired swaps and swaptions' market activity.'' The reporting entity is
required to submit a 102S filing only once for each person associated
with a reportable account unless prior filed information is no longer
accurate.
Once an account counterparty is reportable, the Commission may
contact the trader directly and require that the trader file a more
detailed identification report, a 40S filing. The Commission would
require a 40S filing if a trader has become reportable for the first
time and is not known to the Commission. A 40S filing consists of the
submission of a CFTC Form 40 ``Statement of Reporting Trader.'' As the
current version of Form 40 covers information on positions in futures
and options, traders would be required to complete the form as if the
form covered information related to positions in paired swaps and
swaptions.
The 102S filing and the 40S filing together would allow the
Commission to identify the person(s) owning or controlling the trading
of a reportable account, the person to contact regarding
[[Page 43857]]
trading, the nature of the trading, whether the reportable account is
related--by financial interest or control--to another account, and the
principal occupation or business of the account owner. The filings also
would provide the Commission information on whether the account is
being used for hedging cash market exposure.
Commission staff would use the information in these two filings to
determine if the reported account corresponds to a new trader or is an
additional account of an existing trader. If the account is an
additional one of an existing trader, it would then be aggregated with
that of other related accounts currently being reported.
The Commission plans to update, streamline and make electronic its
current Form 102 and Form 40 in the near term. The Commission intends
for such revised forms to include sections specifically for swap and
swaptions. When updated, regulation 20.5 will be amended to reflect
these revisions and to require reports electronically through updated
Forms 102 and 40.
4. Maintenance of Books and Records
Regulation 20.6 imposes recordkeeping requirements on clearing
organizations, reporting entities, and persons with positions in paired
swaps above a certain futures equivalent threshold. Regulations 20.6(a)
and 20.6(b) require clearing organizations and reporting entities,
respectively, to keep records of transactions in paired swaps or
swaptions as well as methods used to convert paired swaps or swaptions
into futures equivalents. In addition, regulation 20.6(c) requires
every person with greater than 50 all-months-combined futures
equivalent positions on a gross basis in paired swaps or swaptions on
the same commodity to keep books and records for transactions resulting
in such swaps positions and, among other things, the cash commodity
underlying such positions. In general, such person may keep and
reproduce such books and records in the record retention format that
such person has developed in the normal course of business.
Furthermore, in order to clarify the Commission's authority to issue
special calls for books and records, the Commission is including an
explicit special call provision with respect to reportable positions in
regulation 20.6(d).
The recordkeeping duties imposed by regulations 20.6(a) and 20.6(b)
are in accordance with the requirements of regulation 1.31. Regulation
1.31(a)(1) requires that these transaction records be kept for five
years, the first two of which they ``shall be readily accessible.''
Such books and records ``shall be open to inspection by any
representative of the Commission.''
These recordkeeping requirements allow the Commission to have ready
access to records that would enable Commission staff to reconstruct the
transaction history of reported positions. These requirements would
ensure that data records submitted to the Commission could be audited.
In addition, these records enable Commission staff to better
reconstruct trading activity that may have had a material impact on the
price discovery process.
The recordkeeping burden imposed by regulation 20.6 is not
anticipated to be unduly significant. These requirements are not unlike
the recordkeeping requirements imposed by Congress in new CEA section
4r(c)(2) on all swap market participants, and by the Commission on
those entities with reportable futures accounts under the existing
recordkeeping provision of regulation 18.05.
5. Form and Manner of Reporting
Regulation 20.7(a) provides that the Commission would specify, in
writing to persons required to report, the format, coding structure,
and electronic data transmission procedures for these reports and
submissions. The purpose of this provision is to provide notice on how
the Commission would determine the means by which the part 20 reports
are to be formatted and submitted. The Commission notes that subsequent
to the commencement of reporting, and from time to time thereafter, it
will provide standardized codes for data elements such as commodity
reference prices and require that submitted position reports use such
standard codes instead of proprietary codes. Such information will be
disseminated on the Commission's Web site.\20\
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\20\ As section II.(B).(8) herein describes, the Commission
anticipates consulting with clearing organizations and reporting
entities before determining the format, coding structure, and
electronic data transmission procedures referenced in final
regulation 20.7.
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6. Delegation of Authority
Regulation 20.8, as proposed and finalized, delegates certain of
the Commission's part 20 authorities to the Director of the Division of
Market Oversight and through the Director to other employee or
employees as designated by the Director. The delegated authority
extends to: (1) Issuing a special call for a 40S or 102S filing and
books and records; (2) providing instructions or determining the
format, coding structure, and electronic data transmission procedures
for submitting data records and any other information required under
this part; and (3) determining the compliance schedules described in
regulation 20.10. The purpose of these delegations is to facilitate the
ability of the Commission to respond to changing market and
technological conditions for the purpose of ensuring timely and
accurate data reporting.
7. Sunset Provision
Regulation 20.9, as proposed and finalized, includes a sunset
provision that would render the Reporting Rules ineffective and
unenforceable upon the Commission's finding (through the issuance of an
order) that operating SDRs are capable of processing positional data in
a manner that would enable the Commission to effectively oversee and
surveil paired swaps trading and paired swap markets. Regulation 20.9
also states that the Commission may retain the effectiveness and
enforceability of any or all requirements in part 20, such as the
reporting of deltas for uncleared paired swaps or the reporting of
paired swap positions in futures equivalents, should the Commission
determine through an order that such reporting is of material value to
conducting market surveillance.
8. Compliance Schedule
Under regulation 20.10, the compliance date for reporting
requirements for clearing organizations under regulation 20.3 and
clearing members under regulation 20.4 is sixty days after the
publication of this notice in the Federal Register. The compliance date
with regulation 20.4 for swap dealers that are not clearing members is
the effective date of final regulations defining the term swap
dealer.\21\ All special call provisions must be complied with sixty
days following the date of publication of this notice in the Federal
Register.
---------------------------------------------------------------------------
\21\ See 75 FR 80174, December 21, 2010.
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Regulation 20.10 also allows the Commission to permit for a period,
not to exceed six calendar months following the effective date of this
part, during which a clearing organization or reporting entity or
trader may provide reports that differ in content or are submitted in a
form and manner which is other than prescribed by the provisions of
part 20, provided that the submitter coordinates with the Commission
and is making a good faith attempt to comply with all of the provisions
of part 20. Furthermore, upon the passage of the full compliance
[[Page 43858]]
schedule outlined above, all paired swaps and swaptions position and
market reports that are currently reported under a Commission order or
parts 15 through 19 and 21 of the Commission's regulations must instead
be reported exclusively under part 20.
In order to address the possibility of certain firms that may not
be able to comply expediently with the requirements of part 20 should
they fall within the definition of swap dealer, regulation 20.10(e)
allows the Commission to defer compliance for such firms for a period
not to exceed six calendar months following the effective date of final
regulations further defining the term swap dealer.
A deferred compliance period of six months is appropriate to reduce
potential compliance costs for such reporting entities because they may
not have procedures in place for routine reporting of swaps data as
they currently are not regulated as financial firms. The deferred
compliance period would provide these affected entities with additional
time to determine whether they need to make any arrangements to
implement the reporting regime, and to make any such arrangements. Once
the swap dealer definition is final, a party that is uncertain as to
whether or not they are a swap dealer would not be foreclosed from
asking CFTC staff or the Commission for additional relief under the CEA
or Commission regulations.
The Commission also notes that it expects to consult with clearing
organizations and reporting entities with respect to the manner of
reporting before determining the format, coding structure, and
electronic data transmission procedures that must be used to transmit
information to the Commission pursuant to regulation 20.7.
III. Related Matters
A. Cost-Benefit Analysis
1. Introduction
Section 15(a) of the Act requires that the Commission, before
promulgating a regulation under the Act or issuing an order, consider
the costs and benefits of its action. By its terms, CEA section 15(a)
does not require the Commission to quantify the costs and benefits of a
new regulation or determine whether the benefits of the regulation
outweigh its costs. Rather, CEA section 15(a) requires the Commission
to ``consider the costs and benefits'' of its action.
CEA section 15(a) specifies that costs and benefits shall be
evaluated in light of the following considerations: (1) Protection of
market participants and the public; (2) efficiency, competitiveness,
and financial integrity of futures markets; (3) price discovery; (4)
sound risk management practices; and (5) other public interest
considerations. Accordingly, the Commission could, in its discretion,
give greater weight to any of the five considerations and could, in its
discretion, determine that, notwithstanding its costs, a particular
regulation was necessary or appropriate to protect the public interest
or to effectuate any of the provisions or to accomplish any of the
purposes of the Act.
2. Costs
As mentioned above, under CEA section 4a(a)(2), the Commission has
been directed to establish position limits for exempt and agricultural
commodities, as appropriate. Section 4t of the Act authorizes the
Commission to establish a large trader reporting system for significant
price discovery function swaps, of which economically equivalent swaps
are a subset. As discussed in more detail above, swaps position reports
are a necessary component of an effective surveillance program,
including monitoring compliance with any limits that may be established
by the Commission under section 4a of the Act.
Through the public comment process, alternatives to the Reporting
Rules were presented to and reviewed by the Commission. Some commenters
indicated that their respective alternatives would provide the
Commission with the data it needs and would be less burdensome than the
Reporting Rules. Bindicap Comster, the FIA, and the Working Group
opposed the proposed regulations, and suggested an expanded special
call reporting mechanism would be a better alternative. The
Commission's current Index Investment Data Reports special call is a
targeted collection of data. It gathers information related to specific
products from a limited set of market participants. The special call
was not intended to function as a tool for general market surveillance.
In order to be able to gather positional data of the quality needed to
conduct market surveillance, the special call would have to undergo
substantial modifications which in effect would convert it into the
Reporting Rules. In light of the broad areas of cost and benefit
evaluation specified by CEA section 15(a), in particular section
15(a)(2)(B), the Commission has determined that the alternative
presented by Bindicap Comster, FIA, and the Working Group is less
viable than the Reporting Rules and would not reduce costs to persons
subject to this part or provide additional benefits.
With regard to the future establishment of SDRs and whether the
Commission should wait for SDRs to provide swaps position data instead
of adopting the regulations, ATA argued that the Commission should
proceed with the regulations and not wait for SDRs to become
operational. FIA and the Working Group, meanwhile, argued that the
future role of SDRs makes adoption of the regulations unnecessary. The
Commission has determined that the Reporting Rules are necessary for
several reasons. It is likely that physical commodity SDRs will require
the most time to become operational since, unlike for swaps in the
interest rate, equity and credit default asset categories, there
currently is no functional and accepted data repository for energy,
metal and agricultural commodities. In addition, even after SDRs have
been established, because they are fundamentally transaction
repositories, it may be a considerable amount of time before SDRs are
able to reliably convert transaction data into positional data. Thus,
in view of the considerable time before physical commodity swap SDRs
are likely to be operational and have the ability to convert
transactions to positions, the Commission has determined to adopt the
Reporting Rules instead of the proposed alternative, consistent with
the objectives outlined in CEA section 15(a)(2). Without a
comprehensive and operational market surveillance system in the near
term, the Commission would not be able to administer the CEA as amended
by the Dodd-Frank Act.
The Electric End User Coalition also argued that the recordkeeping
burden imposed by the proposed regulations would be significant. In
particular it argued that the recordkeeping requirements should not
apply to end-users and that the Commission should defer to other
regulators, specifically FERC, with regard to recordkeeping
obligations. In the Commission's judgment, the recordkeeping
requirements of the regulations are not unduly burdensome and are
consistent with the recordkeeping requirements of current Commission
regulations 1.31 and 18.05. In addition, as the regulations have been
narrowly tailored to collect routine data only from clearing
organizations, clearing members and swap dealers, the Reporting Rules
will not have a significant negative impact on a substantial number of
end-users. The Commission has thus determined to proceed with the
Reporting Rules.
[[Page 43859]]
In developing the Reporting Rules, the Commission has aimed to
minimize the cost and burden associated with reporting positional data
to the Commission. As discussed above, the Commission has tailored the
Reporting Rules to conform to the market structure for cleared and
uncleared paired swaps. The cost of the part 20 regulations will be
borne by firms that are clearing organizations reporting under
regulation 20.3 and reporting entities reporting under regulation 20.4.
For such firms, the additional cost to implement a reporting system is
expected to be reasonable since the Commission understands these firms
track their counterparties' positions for risk management purposes.
Although the Reporting Rules establish a reporting system for
cleared paired swaps that resembles the large trader reporting system,
they establish a structurally different reporting system for uncleared
paired swaps. The structure of the uncleared paired swaps market is not
as centralized as the cleared paired swaps market: there is no central
counterparty that corresponds to a clearing organization in the
uncleared paired swaps market. The Commission believes that swap
dealers may be counterparties to a significant portion of the market
for uncleared paired swaps and swaptions.
Accordingly, the Reporting Rules require position reporting from
swap dealers. These firms are to report their reportable positions as
well as those of their counterparties. As is the case for clearing
member reporting entities, it is likely that creating or purchasing an
information technology system that can present such a firm's net
position exposures on a daily basis will not be an overly burdensome
marginal expense, since the Commission understands swap dealers track
their exposures for risk management purposes.
For counterparties that will be subject to the recordkeeping
requirements of regulation 20.6, it should be noted that these
requirements will place new burdens (in terms of reporting and
retaining information on cash market transactions) only on persons that
are reportable solely in paired swaps. This is because Congress, in new
CEA section 4r(c)(2), has extended recordkeeping requirements to all
swaps irrespective of any reporting requirement. Likewise,
counterparties that hold reportable futures positions (in addition to
reportable paired swaps positions) are currently subject to existing
recordkeeping requirements under regulation 18.05. Thus, the Commission
believes that these additional burdens, in marginal terms, are not
expected to be overly burdensome, given that firms collect information
on their commercial activities in the normal course of business
operations. The Commission also notes its adoption of regulation 20.10,
which staggers implementation of the Reporting Rules. The flexible
implementation process should reduce compliance costs in general.
As described in detail below, the Commission held several meetings
with potential reporting entities and conducted analysis to estimate
the reporting and recordkeeping burdens imposed by the Reporting Rules
annually for the next five years. For clearing organizations, the
reporting burden is estimated to be approximately 950 hours and
$100,000 spread across 5 entities, or 190 hours and $20,000 per entity.
The recordkeeping burden for clearing organizations is estimated to be
100 hours and $100,000 spread across 5 entities, or 20 hours and
$20,000 per entity. Each clearing organization, then, is estimated to
have a total annual burden of 207 hours and $40,000.
For clearing members, the reporting burden is estimated to be
25,000 hours and $6,000,000 spread across 100 entities (80 swap dealers
and 20 non-swap dealers), or 250 hours and $60,000 per entity. The
recordkeeping burden for clearing members is estimated to be 2,000
hours and $2,000,000 spread across 100 entities, or 20 hours and
$20,000 per entity. In addition, clearing members have a burden in
connection with 102S submissions. The burden for 102S submissions is
estimated to be 1,800 hours and $1,000,000 spread across 200 entities
(of which 100 are clearing members), or 9 hours and $5,000 per entity.
Each clearing member, then, is estimated to have a total annual burden
of 279 hours and $85,000.
For non-clearing member swap dealers, the reporting burden is
estimated to be 37,500 hours and $8,000,000 spread across 100 entities,
or 375 hours and $80,000 per entity. The recordkeeping burden for non-
clearing member swap dealers is estimated to be 2,000 hours and
$2,000,000 spread across 100 entities, or 20 hours and $20,000 per
entity. In addition, non-clearing member swap dealers have a burden in
connection with 102S submissions. The burden for 102S submissions is
estimated to be 1,800 hours and $1,000,000 spread across 200 entities
(of which 100 are non-clearing member swap dealers), or 9 hours and
$5,000 per entity. Each non-clearing member swap dealer, then, is
estimated to have a total annual burden of 404 hours and $105,000.
For persons with reportable positions, the reporting burden in
connection with 40S submissions is estimated to be 165 hours and
$4,500,000 spread across 500 entities, or .33 hours and $9,000 per
entity. The recordkeeping burden for persons with reportable positions
is estimated to be 10,000 hours and $11,500,000 spread across 500
entities, or 20 hours and $23,000 per entity. Each person with
reportable positions, then, is estimated to have a total annual burden
of 20.33 hours and $32,000.
Two commenters to the proposing release, FIA and the Working Group,
argued that the Commission underestimated the costs imposed by the
Reporting Rules. FIA stated that some of its members believe the costs
to be very substantial and in some cases exceeding millions of dollars.
The Working Group stated that some of its members estimate the total
compliance costs to range up to $80,000 to $750,000 per year, inclusive
of capital costs, and that the upfront costs could be as high as $1.5
million. In light of these comments, the Commission has carefully
reviewed its analysis and estimates, and it has determined its
estimates to be reasonable and satisfactory in accordance with CEA
section 15(a)(2) for the purpose of cost-benefit analysis of the
Reporting Rules.
3. Benefits
In addition to providing increased market transparency through the
reporting of paired swap positions to the Commission, the Commission
will be better able to first, protect market participants and the
public (CEA section 15(a)(2)(A)) and second, increase the efficiency
and competitiveness of the markets (CEA section 15(a)(2)(B)). The
extension of the Commission's surveillance activities to these paired
swap markets will enhance the deterrence and detection of problematic
activities and, thus, help ensure the integrity of these markets and
protect market participants and the public from disruptive trading,
price manipulation, and the effects of market congestion. Further, with
this extension, the Commission will be able to expand its Commitments
of Traders Reports, for example, to include aggregate position data on
the paired swaps markets, and thus will provide the public, including
market participants, greater transparency into the constitution of
markets covered by part 20. This increased transparency may reduce the
informational asymmetries in the paired swap markets and thereby
improve the efficiency of the market and promote competition.
[[Page 43860]]
As discussed above, implementing part 20 will enable the Commission
to monitor and enforce position limits, if established by the
Commission, to diminish, eliminate, or prevent excessive speculation;
to deter and prevent market manipulation; ensure sufficient market
liquidity for bona fide hedgers; and to ensure that the price discovery
function of the underlying market is not disrupted. By enabling the
Commission to monitor compliance with position limits, if established
by the Commission, to address these concerns, the Commission would be
better able to protect the price discovery process (CEA section
15(a)(2)(C)) and market participants and the public from the threats of
excessive speculation and price manipulation (CEA section 15(a)(2)(A)).
4. Conclusion
The Commission, after considering the CEA section 15(a) factors,
finds that the Reporting Rules are reasonably necessary and appropriate
to protect the public interest and effectuate and accomplish purposes
and goals of the CEA. The Commission also finds that the expected
incremental cost imposed by part 20 is outweighed by the expected
benefit. Accordingly, the Commission has determined to adopt the
Reporting Rules.
B. Regulatory Flexibility Act
The Regulatory Flexibility Act (``RFA'') requires Federal agencies,
in proposing regulations, to consider the impact of those regulations
on ``small entities.'' \22\ In response to the Reporting Rules, the
Electric End User Coalition argued that the recordkeeping burden
imposed by the proposed regulations would be significant. In particular
it argued that the recordkeeping requirements should not apply to end-
users and that the Commission should defer to other regulators,
specifically FERC, with regard to recordkeeping obligations. In the
Commission's judgment, the recordkeeping requirements of the
regulations are consistent with the recordkeeping requirements of
current Commission regulations 1.31 and 18.05. In addition, as the
regulations have been narrowly tailored to collect routine data only
from clearing organizations, clearing members and swap dealers, the
Commission has determined that the Commission does not expect the
Reporting Rules to have a significant impact on a substantial number of
small entities. The Commission has thus determined to proceed with the
Reporting Rules.
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\22\ 5 U.S.C. 601 et seq.
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The Reporting Rules will affect organizations including registered
derivatives clearing organization (``DCOs''), clearing members (many of
whom are registered with the Commission already as futures commission
merchants (``FCMs'')), swap dealers, and persons who have books and
records obligations under regulation 20.6.
The Commission has previously determined that DCOs \23\ and FCMs
\24\ are not ``small entities'' for purposes of the RFA. As noted
above, a person with non-discretionary reporting or books and records
obligations under final regulations 20.3, 20.4 and 20.6 will either be
a clearing organization, clearing member, swap dealer, or a person with
at least 50 or more gross paired swaps positions in the same commodity
on a futures equivalent and all-months-combined basis. The Commission
notes this threshold is comparable to the minimum 25-contract reporting
levels in effect for futures positions under regulation 15.03.
Previously, the Commission had determined that the reporting levels in
regulation 15.03, which determine which positions are reportable, would
not affect small entities.\25\ The Commission does not believe that
entities who meet the Reporting Rules' non-discretionary quantitative
threshold will constitute small entities for RFA purposes.
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\23\ 66 FR 45604, 45609, August 29, 2001.
\24\ Policy Statement and Establishment of Definitions of
``Small Entities'' for Purposes of the Regulatory Flexibility Act,
47 FR 18618, 18619, April 30, 1982.
\25\ Id. at 18620 (excluding large traders from the definition
of small entity).
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Accordingly, the Commission does not expect the Reporting Rules to
have a significant impact on a substantial number of small entities.
Therefore, the Chairman, on behalf of the Commission, hereby certifies,
pursuant to 5 U.S.C. 605(b), that the Reporting Rules will not have a
significant economic impact on a substantial number of small entities.
C. Paperwork Reduction Act
1. Overview
The Paperwork Reduction Act (``PRA'') \26\ imposes certain
requirements on Federal agencies in connection with their conducting or
sponsoring any collection of information as defined by the PRA. The
Reporting Rules will result in new collection of information
requirements within the meaning of the PRA. The Commission submitted
the proposing release to the Office of Management and Budget (``OMB'')
for review in accordance with 44 U.S.C. 3507(d) and 5 CFR 1320.11. The
Commission requested that OMB approve, and assign a new control number
for, the collections of information covered by the proposing release.
The information collection burdens created by the Commission's proposed
rules, which were discussed in detail in the proposing release, are
identical to the collective information collection burdens of the final
rules.
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\26\ 44 U.S.C. 3501 et seq.
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The Commission invited the public and other Federal agencies to
comment on any aspect of the information collection requirements
discussed above. Pursuant to 44 U.S.C. 3506(c)(2)(B), the Commission
solicited comments in order to: (i) Evaluate whether the proposed
collections of information were necessary for the proper performance of
the functions of the Commission, including whether the information will
have practical utility; (ii) evaluate the accuracy of the Commission's
estimates of the burden of the proposed collections of information;
(iii) determine whether there are ways to enhance the quality, utility
and clarity of the information to be collected; and (iv) minimize the
burden of the collections of information on those who are to respond,
including through the use of automated collection techniques or other
forms of information technology.
The Commission received two comments on the burden estimates and
information collection requirements contained in its proposing release.
FIA and the Working Group argued that the costs placed by the proposed
regulations would be significant and that the Commission significantly
underestimated the costs to clearing members and swap dealers. FIA
stated that some of its members believe the costs to be very
substantial and in some cases exceeding millions of dollars, while
acknowledging that it is difficult to estimate costs with any
precision. The Working Group stated that some of its members estimate
the total compliance costs to range up to $80,000 to $750,000 per year,
inclusive of capital costs, and that the upfront costs could be as high
as $1.5 million. The Commission has carefully considered the costs on
market participants. Some comments regarding significant industry
burdens assumed that a substantial number of end-users would be swept
up into the definition of swap dealer. In response, the Commission
notes that the Reporting Rules are tailored to collect routine reports
only from clearing
[[Page 43861]]
organizations, clearing members, and swap dealers. In addition, based
on numerous meetings with potential reporting entities, the Commission
has determined that the costs that would be imposed by the proposed
regulations on reporting entities is reasonable given the trade capture
and information technology resources of such entities.
The title for this collection of information is ``Part 20--Large
Trader Reporting for Physical Commodity Swaps.'' OMB has approved
assigned OMB control number 3038-[--] to this collection of
information.
2. Information Provided and Recordkeeping Duties
Part 20 establishes reporting requirements for clearing
organizations and reporting entities and recordkeeping requirements for
these firms in addition to firms that become reportable because of a
reportable paired swap or swaption positions. Accordingly, the
Commission is seeking a new and separate control number for reporting
from clearing organizations and reporting entities (collectively
``respondents'') and recordkeeping for firms that become reportable
because of a reportable paired swap or swaption position operating in
compliance with the requirements of part 20.
Part 20 will result in the collection of information on ``paired
swaps and swaptions'' positions as defined in regulation 20.1.
Specifically, part 20 provides for three new kinds of reports:
1. Under regulation 20.3, swap clearing organizations will provide
daily reports of relevant position and clearing data.
2. Under regulation 20.4, reporting entities will produce daily
position reports on a second-day basis on their own and individual
counterparty accounts. There are two categories of reporting entities:
(a) Clearing members and (b) swap dealers that are not clearing
members. The former category, clearing members, will include many firms
that are currently registered as FCMs with the Commission. The
Commission estimates that a total of 180 swap dealers transact in
physical commodity swaps and thereby may be reporting entities under
part 20 (clearing members and non-clearing members combined).
3. Finally, under regulation 20.5, all reporting entities will
submit identifying information to the Commission on new reportable
accounts through a 102S filing.
In addition to creating these reporting requirements, regulation
20.6 imposes recordkeeping requirements for (1) clearing organizations,
(2) reporting entities, and (3) persons with paired swaps positions as
specified in regulation 20.6(c). The Commission estimates that the
recordkeeping requirements of regulation 20.6 will not be overly
burdensome. For the firms subject to the reporting and recordkeeping
requirements of regulation 20.6, it should be noted that these
requirements are not unlike the recordkeeping requirements imposed by
Congress in new CEA section 4r(c)(2) and by existing recordkeeping
regulation 18.05. If a firm subject to these recordkeeping requirements
was previously reportable due to a futures position in the relevant
commodity above the ``reporting level'' (see regulation 15.03), then
the regulation 20.6(b) recordkeeping burdens would not be new, as that
firm would already be subject to these requirements under regulation
18.05. If a firm becomes subject to the regulation 20.6 recordkeeping
requirements only because of a reportable paired swaps position (and
not because of a futures position above the reportable level), then the
requirements contained in the Reporting Rules add only the duty to keep
records on all commercial activities that a reporting entity or person
hedges to the swaps-related recordkeeping duties imposed by CEA section
4r(c)(2). These additional burdens are not expected to be substantial,
given that in the normal course of business firms would collect this
information on their commercial activities.
The Commission estimates that implementing part 20 will create a
total annual reporting and recordkeeping hour burden of 79,503 hours
across 705 firms. Based on a weighted average wage rate of $74.36,\27\
this will amount to an annualized labor cost of $5.9 million. In
addition, the Commission estimates that total annualized capital/start-
up, operating, and maintenance costs \28\ will amount to a combined
$35.2 million (a typographical error in the proposed Reporting Rules
indicated a $32.7 cost). This overall total reporting and recordkeeping
hour burden is the sum of estimated burdens for the three reporting
categories and the three recordkeeping categories mentioned above.
---------------------------------------------------------------------------
\27\ The Commission staff's estimates concerning the wage rates
are based on salary information for the securities industry compiled
by the Securities Industry and Financial Markets Association
(``SIFMA''). The $74.36 per hour is derived from figures from a
weighted average of salaries and bonuses across different
professions from the SIFMA Report on Management & Professional
Earnings in the Securities Industry 2009, modified to account for an
1,800-hour work year and multiplied by 1.3 to account for overhead
and other benefits. The wage rate is a weighted national average of
salary and bonuses for professionals with the following titles (and
their relative weight): ``programmer (senior)'' (60% weight),
``compliance advisor (intermediate)'' (20%), ``systems analyst''
(10%), and ``assistant/associate general counsel'' (10%).
\28\ The capital/start-up cost component of ``annualized
capital/start-up, operating, and maintenance costs'' is based on an
initial capital/start-up cost that is straight-line depreciated over
five years.
---------------------------------------------------------------------------
Reporting burdens:
1. Regulation 20.3 clearing organization reports will account for
938 of these annual reporting and recordkeeping hours. These hours will
be spread across 5 respondents. Annualized capital/start-up, operating,
and maintenance costs for all affected clearing organizations combined
will be approximately $100,000.\29\
---------------------------------------------------------------------------
\29\ All of the capital cost estimates in these estimates are
based on a five-year, straight-line depreciation.
---------------------------------------------------------------------------
2. Regulation 20.4 reporting entity reports will have two separate
burden estimates based on the kind of reporting entity providing the
report:
a. Clearing member (80 clearing member/swap dealers plus 20
clearing member/non-swap dealers) reporting entity reports will create
an annual reporting and recordkeeping burden of 25,000 hours spread
across 100 respondents. Annualized capital/start-up, operating, and
maintenance costs for all firms in this category combined will be
approximately $6 million.
b. Swap dealer non-clearing member reporting entity reports will
create an annual reporting and recordkeeping burden of 37,500 hours
spread across 100 respondents. Annualized capital/start-up, operating,
and maintenance costs for all firms in this category combined will be
approximately $8 million.
3. Regulation 20.5 reporting entity 102S submissions will create an
annual reporting and recordkeeping burden of 1,800 hours spread across
200 firms. Annualized capital/start-up, operating, and maintenance
costs for all reporting entities combined providing these reports will
be approximately $1 million.
4. 40S submissions by persons with reportable positions under
regulation 20.5(b) in paired swaps will create an annual reporting and
recordkeeping burden of 165 hours and will affect 500 firms. Annualized
capital/start-up, operating, and combined maintenance costs for all
firms providing 40S filings will be approximately $4.5 million.
Recordkeeping burdens:
1. Regulation 20.6(a) recordkeeping duties for clearing
organizations will account for 100 of these annual
[[Page 43862]]
reporting and recordkeeping hours. These hours will be spread across 5
firms. Annualized capital/start-up, operating, and maintenance costs to
meet the recordkeeping requirements of regulation 20.6(a) will be
approximately $100,000.
2. Regulation 20.6(b) reporting entity recordkeeping duties will
have two separate burden estimates based on the kind of reporting
entity providing the report:
a. Clearing member (80 clearing member/swap dealers plus 20
clearing member/non-swap dealers) reporting entity recordkeeping will
create an annual reporting and recordkeeping burden of 2,000 hours
spread across 100 respondents. Annualized capital/start-up, operating,
and maintenance costs for all firms in this category of recordkeeping
reporting entities will be approximately $2 million.
b. Swap dealer non-clearing member reporting entity recordkeeping
will create an annual reporting and recordkeeping burden of 2,000 hours
spread across 100 respondents. Annualized capital/start-up, operating,
and maintenance costs for all firms in this category of recordkeeping
reporting entities will be approximately $2 million.
3. Regulation 20.6(c) recordkeeping duties for persons with paired
swaps positions will create an annual reporting and recordkeeping
burden of 10,000 hours spread across 500 firms. Annualized capital/
start-up, operating, and maintenance costs for all traders in this
category combined will be approximately $11.5 million.
3. Confidentiality
The Commission will protect proprietary information according to
the Freedom of Information Act and 17 CFR part 145, ``Commission
Records and Information.'' In addition, section 8(a)(1) of the Act
strictly prohibits the Commission, unless specifically authorized by
the Act, from making public ``data and information that would
separately disclose the business transactions or market positions of
any person and trade secrets or names of customers.'' \30\ The
Commission also is required to protect certain information contained in
a government system of records according to the Privacy Act of 1974, 5
U.S.C. 552a.
---------------------------------------------------------------------------
\30\ 7 U.S.C. 12(a)(1).
---------------------------------------------------------------------------
List of Subjects
17 CFR Part 15
Brokers, Commodity futures, Reporting and recordkeeping
requirements.
17 CFR Part 20
Physical commodity swaps, Swap dealers, Reporting and recordkeeping
requirements.
For the reasons stated in the preamble, the Commodity Futures
Trading Commission amends 17 CFR chapter I as follows:
PART 15--REPORTS--GENERAL PROVISIONS
0
1. The authority citation for part 15 is revised to read as follows:
Authority: 7 U.S.C. 2, 5, 6a, 6c, 6f, 6g, 6i, 6k, 6m, 6n, 7,
7a, 9, 12a, 19, and 21, as amended by Title VII of the Dodd-Frank
Wall Street Reform and Consumer Protection Act, Pub. L. 111-203, 124
Stat. 1376 (2010).
0
2. Revise the heading and introductory text in Sec. 15.00 to read as
follows:
Sec. 15.00 Definitions of terms used in parts 15 to 19, and 21 of
this chapter.
As used in parts 15 to 19, and 21 of this chapter:
* * * * *
0
3. Add part 20 to read as follows:
PART 20--LARGE TRADER REPORTING FOR PHYSICAL COMMODITY SWAPS
Sec.
20.1 Definitions.
20.2 Covered contracts.
20.3 Clearing organizations.
20.4 Reporting entities.
20.5 Series S filings.
20.6 Maintenance of books and records.
20.7 Form and manner of reporting and submitting information or
filings.
20.8 Delegation of authority to the Director of the Division of
Market Oversight.
20.9 Sunset provision.
20.10 Compliance schedule.
20.11 Diversified commodity indices.
Appendix A to Part 20--Guidelines on Futures Equivalency
Appendix B to Part 20--Explanatory Guidance on Data Record Layouts
Authority: 7 U.S.C. 1a, 2, 5, 6, 6a, 6c, 6f, 6g, 6t, 12a, 19,
as amended by Title VII of the Dodd-Frank Wall Street Reform and
Consumer Protection Act, Pub. L. 111-203, 124 Stat. 1376 (2010).
Sec. 20.1 Definitions.
As used in, and solely for the purposes of, this part:
Business day means ``business day'' as that term is defined in
Sec. 1.3 of this chapter.
Cleared product means a paired swap or swaption that a clearing
organization offers or accepts for clearing.
Clearing member means any person who is a member of, or enjoys the
privilege of, clearing trades in its own name through a clearing
organization.
Clearing organization means the person or organization that acts as
a medium between clearing members for the purpose of clearing swaps or
swaptions or effecting settlements of swaps or swaptions.
Closed swap or closed swaption means a swap or swaption that has
been settled, exercised, closed out or terminated.
Commodity reference price means the price series (including
derivatives contract and cash market prices or price indices) used by
the parties to a swap or swaption to determine payments made,
exchanged, or accrued under the terms of the contracts.
Counterparty means, from the perspective of one side to a contract,
the person that is the direct legal counterparty corresponding to the
other side of the contract.
Clearing member customer means any person for whom a reporting
entity clears a swap or swaption position.
Futures equivalent means an economically equivalent amount of one
or more futures contracts that represents a position or transaction in
one or more paired swaps or swaptions consistent with the conversion
guidelines in Appendix A of this part.
Open swap or swaption means a swap or swaption that has not been
closed.
Paired swap or paired swaption means an open swap or swaption that
is:
(1) Directly or indirectly linked, including being partially or
fully settled on, or priced at a differential to, the price of any
commodity futures contract listed in Sec. 20.2; or
(2) Directly or indirectly linked, including being partially or
fully settled on, or priced at a differential to, the price of the same
commodity for delivery at the same location or locations.
Person means any ``person'' as that term is defined in Sec. 1.3 of
this chapter.
Reportable account or consolidated account that is reportable means
a consolidated account that includes a reportable position.
Reportable position means:
(1)(i) A position, in any one futures equivalent month, comprised
of 50 or more futures equivalent paired swaps or swaptions based on the
same commodity underlying a futures contract listed in Sec. 20.2,
grouped separately by swaps and swaptions, then grouped by gross long
contracts on a futures equivalent basis or gross short contracts on a
futures equivalent basis;
(ii) For a consolidated account (described in Sec. 20.4(a)) that
includes a reportable position as defined in paragraph (1)(i) of this
definition, all other positions in that account that are
[[Page 43863]]
based on the commodity that renders the account reportable; and
(iii) The first reporting day on which a consolidated account
(described in Sec. 20.4(a)) no longer includes a reportable position
as described in paragraph (1)(i) of this definition (because on such
day, the reporting entity's consolidated account shall continue to be
considered and treated as if it in fact included reportable positions
as described in paragraph (1)(i) of this definition); or
(2) At the discretion of a reporting entity, and as an alternative
to paragraph (1) of this definition, so long as the same method is
consistently applied to all consolidated accounts (as described in
Sec. 20.4(a)) of the reporting entity, all positions on a gross basis
in a consolidated account that are based on the same commodity.
Reporting day means the period of time between a clearing
organization or reporting entity's usual and customary last internal
valuation of paired swaps or swaptions and the next such period, so
long as the period of time is consistently observed on a daily basis
and the Commission is notified, upon its request, of the manner by
which such period is calculated and any subsequent changes thereto.
Reporting entity means:
(1) A clearing member; or
(2) A swap dealer in one or more paired swaps or swaptions as that
term is defined in section 1a of the Act and any Commission
definitional regulations adopted thereunder.
Swap means:
(1) Until the effective date of any definitional rulemaking
regarding ``swap'' by the Commission under section 1a of the Act, an
agreement (including terms and conditions incorporated by reference
therein) which is a commodity swap (including any option to enter into
such swap) within the meaning of ``swap agreement'' under Sec.
35.1(b)(1) of this chapter, or a master agreement for a commodity swap
together with all supplements thereto; or
(2) ``Swap'' as defined in section 1a of the Act and any Commission
definitional regulations adopted thereunder, upon the effective date of
such regulations.
Swaption means an option to enter into a swap or a swap that is an
option.
Sec. 20.2 Covered contracts.
The futures and option contracts listed by designated contract
markets for the purpose of reports filed and information provided under
this part are as follows:
Covered Agricultural and Exempt Futures Contracts
------------------------------------------------------------------------
-------------------------------------------------------------------------
Chicago Board of Trade (``CBOT'') Corn.
CBOT Ethanol.
CBOT Oats.
CBOT Rough Rice.
CBOT Soybean Meal.
CBOT Soybean Oil.
CBOT Soybeans.
CBOT Wheat.
Chicago Mercantile Exchange (``CME'') Butter.
CME Cheese.
CME Dry Whey.
CME Feeder Cattle.
CME Hardwood Pulp.
CME Lean Hogs.
CME Live Cattle.
CME Milk Class III.
CME Non Fat Dry Milk.
CME Random Length Lumber.
CME Softwood Pulp.
COMEX (``CMX'') Copper Grade 1.
CMX Gold.
CMX Silver.
ICE Futures U.S. (``ICUS'') Cocoa.
ICUS Coffee C.
ICUS Cotton No. 2.
ICUS Frozen Concentrated Orange Juice.
ICUS Sugar No. 11.
ICUS Sugar No. 16.
Kansas City Board of Trade (``KCBT'') Wheat.
Minneapolis Grain Exchange (``MGEX'') Wheat.
NYSELiffe (``NYL'') Gold, 100 Troy Oz.
NYL Silver, 5000 Troy Oz.
New York Mercantile Exchange (``NYMEX'') Cocoa.
NYMEX Brent Financial.
NYMEX Central Appalachian Coal.
NYMEX Coffee.
NYMEX Cotton.
NYMEX Crude Oil, Light Sweet.
NYMEX Gasoline Blendstock (RBOB).
NYMEX Hot Rolled Coil Steel.
NYMEX Natural Gas.
NYMEX No. 2 Heating Oil, New York Harbor.
NYMEX Palladium.
NYMEX Platinum.
NYMEX Sugar No. 11.
NYMEX Uranium.
Diversified Commodity Index (See Sec. 20.11).
------------------------------------------------------------------------
Sec. 20.3 Clearing organizations.
(a) Reporting data records. For each reporting day, with respect to
paired swaps or swaptions, clearing organizations shall report to the
Commission, separately for each clearing member's proprietary and
clearing member customer account, unique groupings of the data elements
in paragraph (b) of this section (to the extent that there are such
corresponding elements), in a single data record, so that each reported
record is distinguishable from every other reported record (because of
differing data values, as opposed to the arrangement of the elements).
(b) Populating reported data records with data elements. Data
records reported under paragraph (a) of this section shall include the
following data elements:
(1) An identifier assigned by the Commission to the clearing
organization;
(2) The identifier assigned by the clearing organization to the
clearing member;
(3) The identifier assigned by the clearing organization for a
cleared product;
(4) The reporting day;
(5) A proprietary or clearing member customer account indicator;
(6) The futures equivalent month;
(7) The commodity reference price;
(8) Gross long swap positions;
(9) Gross short swap positions;
(10) A swaption put or call side indicator;
(11) A swaption expiration date;
(12) A swaption strike price;
(13) Gross long non-delta-adjusted swaption positions; and
(14) Gross short non-delta-adjusted swaption positions.
(c) End of reporting day data. For all futures equivalent months,
clearing organizations shall report end of reporting day settlement
prices for each cleared product and deltas for every unique swaption
put and call, expiration date, and strike price.
Sec. 20.4 Reporting entities.
(a) Consolidated accounts. Each reporting entity shall combine all
paired swap and swaption positions:
(1) That are principal positions (swaps and swaptions to which the
reporting entity is a direct legal counterparty), in a single
consolidated account that it shall attribute to itself; and
(2) That are positions of the reporting entity's counterparty in a
single consolidated account that it shall attribute to that specific
counterparty.
(b) Reporting data records. Reporting entities shall report to the
Commission, for each reporting day, and separately for each reportable
position in a consolidated account described in paragraphs (a)(1) and
(a)(2) of this section, unique groupings of the data elements in
paragraph (c) of this section (to the extent that there are such
corresponding elements), in a single data record, so that each reported
record is distinguishable from every other reported record (because of
differing data values, as opposed to the arrangement of the elements).
(c) Populating reported data records with data elements. Data
records reported under paragraph (b) of this
[[Page 43864]]
section shall include the following data elements:
(1) An identifier assigned by the Commission to the reporting
entity;
(2) An identifier indicating that a principal or counterparty
position is being reported;
(3) A 102S identifier assigned by the reporting entity to its
counterparty;
(4) The name of the counterparty whose position is being reported;
(5) The reporting day;
(6) If cleared, the identifier for the cleared product assigned by
the clearing organization;
(7) The commodity underlying the reportable positions;
(8) The futures equivalent month;
(9) A cleared or uncleared indicator;
(10) A clearing organization identifier;
(11) The commodity reference price;
(12) An execution facility indicator;
(13) Long paired swap positions;
(14) Short paired swap positions;
(15) A swaption put or call side indicator;
(16) A swaption expiration date;
(17) A swaption strike price;
(18) Long non-delta-adjusted paired swaption positions;
(19) Short non-delta-adjusted paired swaption positions;
(20) Long delta-adjusted paired swaption positions (using
economically reasonable and analytically supported deltas);
(21) Short delta-adjusted paired swaption positions (using
economically reasonable and analytically supported deltas);
(22) Long paired swap or swaption notional value; and
(23) Short paired swap or swaption notional value.
Sec. 20.5 Series S filings.
(a) 102S filing.
(1) When a counterparty consolidated account first becomes
reportable, the reporting entity shall submit a 102S filing, which
shall consist of the name, address, and contact information of the
counterparty and a brief description of the nature of such person's
paired swaps and swaptions market activity.
(2) A reporting entity may submit a 102S filing only once for each
counterparty, even if such persons at various times have multiple
reportable positions in the same or different paired swaps or
swaptions; however, reporting entities must update a 102S filing if the
information provided is no longer accurate.
(3) Reporting entities shall submit a 102S filing within three days
following the first day a consolidated account first becomes reportable
or at such time as instructed by the Commission upon special call.
(b) 40S filing. Every person subject to books or records under
Sec. 20.6 shall after a special call upon such person by the
Commission file with the Commission a 40S filing at such time and place
as directed in the call. A 40S filing shall consist of the submission
of a Form 40, which shall be completed by such person as if any
references to futures or option contracts were references to paired
swaps or swaptions as defined in Sec. 20.1.
Sec. 20.6 Maintenance of books and records.
(a) Every clearing organization shall keep all records of
transactions in paired swaps or swaptions, and methods used to convert
paired swaps or swaptions into futures equivalents, in accordance with
the requirements of Sec. 1.31 of this chapter.
(b) Every reporting entity shall keep all records of transactions
in paired swaps or swaptions, and methods used to convert paired swaps
or swaptions into futures equivalents, in accordance with the
requirements of Sec. 1.31 of this chapter.
(c) Every person with equal to or greater than 50 gross all-months-
combined futures equivalent positions in paired swaps or swaptions on
the same commodity shall:
(1) Keep books and records showing all records for transactions
resulting in such positions, which may be kept and reproduced for
Commission inspection in the record retention format that such person
has developed in the normal course of its business operations; and
(2) Keep books and records showing transactions in the cash
commodity underlying such positions or its products and byproducts, and
all commercial activities that are hedged or which have risks that are
mitigated by such positions, which may be kept in accordance with the
recordkeeping schedule and reproduced for Commission inspection in the
record retention format that such person has developed in the normal
course of its business operations.
(d) All books and records required to be kept by paragraphs (a)
through (c) of this section shall be furnished upon request to the
Commission along with any pertinent information concerning such
positions, transactions, or activities.
Sec. 20.7 Form and manner of reporting and submitting information or
filings.
Unless otherwise instructed by the Commission, a clearing
organization or reporting entity shall submit data records and any
other information required under this part to the Commission as
follows:
(a) Using the format, coding structure, and electronic data
transmission procedures approved in writing by the Commission;
(b) For clearing organizations, not later than 9:00 a.m. eastern
time on the next business day following the reporting day or at such
other time as instructed by the Commission; and
(c) For clearing members and swap dealers, not later than 12:00
p.m. eastern time on the second (T+2) business day following the
reporting day or at such other time as instructed by the Commission.
Sec. 20.8 Delegation of authority to the Director of the Division of
Market Oversight.
(a) The Commission hereby delegates, until it orders otherwise, to
the Director of the Division of Market Oversight or such other employee
or employees as the Director may designate from time to time, the
authority:
(1) In Sec. 20.5(a)(3) for issuing a special call for a 102S
filing;
(2) In Sec. 20.5(b) for issuing a special call for a 40S filing;
(3) In Sec. 20.6(d) for issuing a special call;
(4) In Sec. 20.7 for providing instructions or determining the
format, coding structure, and electronic data transmission procedures
for submitting data records and any other information required under
this part; and
(5) In Sec. 20.10 for determining the described compliance
schedules.
(b) The Director of the Division of Market Oversight may submit to
the Commission for its consideration any matter which has been
delegated in this section.
(c) Nothing in this section prohibits the Commission, at its
election, from exercising the authority delegated in this section.
Sec. 20.9 Sunset provision.
(a) Except as otherwise provided in paragraph (b) of this section,
the sections of this part shall become ineffective and unenforceable
upon a Commission finding that, through the issuance of an order,
operating swap data repositories are processing positional data and
that such processing will enable the Commission to effectively surveil
trading in paired swaps and swaptions and paired swap and swaption
markets.
(b) The Commission may determine, in its discretion, to maintain
the effectiveness and enforceability of any section of this part, or
any requirement therein, in an order issued under paragraph (a) of this
section, upon finding that such sections, or requirements therein,
provide the
[[Page 43865]]
Commission with positional data or data elements that materially
improves the accuracy and surveillance utility of the positional data
processed by swap data repositories.
Sec. 20.10 Compliance schedule.
(a) Clearinghouses, clearing members and persons with books and
records obligations shall comply with the requirements of this part
upon the effective date of this part.
(b) Swap dealers that are not clearing members shall comply with
the requirements of this part upon the effective date of final
regulations further defining the term swap dealer.
(c) The Commission may permit, for a period not to exceed six
calendar months following the effective date specified in paragraph (a)
of this section, the submission of reports pursuant to Sec. Sec. 20.3
and 20.4 that differ in content, or are submitted in a form and manner
which is other than prescribed by the provisions of this part, provided
that the submitter is making a good faith attempt to comply with all of
the provisions of this part.
(d) Unless determined otherwise by the Commission, paired swap and
swaption position and market reports submitted under parts 15 through
19, or 21 of this chapter, or any order of the Commission, shall
continue to be submitted under those parts or orders until swap dealers
are required to comply with Sec. 20.4.
(e) The Commission may extend the compliance date established in
paragraph (b) of this section by an additional six calendar months
based on resource limitations or lack of experience in reporting
transactions to the Commission for a swap dealer that is not an
affiliate of a bank holding company and:
(1) Is not registered with the Commission as a futures commission
merchant and is not an affiliate of a futures commission merchant;
(2) Is not registered with the Securities and Exchange Commission
as a broker or dealer and is not an affiliate of a broker or dealer;
and
(3) Is not supervised by any Federal prudential regulator.
Sec. 20.11 Diversified commodity indices.
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.
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
bbls
1,000 bbl = 1 futures contract
Therefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent
contracts
Total 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
Fraction of position position
Dates swap in force Referent futures month days (long) (short)
[dagger] [dagger]
----------------------------------------------------------------------------------------------------------------
January 1--January 22..................... February..................... 22/181 73 -73
January 23--February 22................... March........................ 31/181 103 -103
February 23--March 22..................... April........................ 28/181 93 -93
March 23--April 22........................ May.......................... 31/181 103 -103
April 23--May 22.......................... June......................... 30/181 99 -99
May 23--June 22........................... July......................... 31/181 103 -103
June 23--June 30th........................ August....................... 8/181 27 -27
---------------------------------------------------------------------
Total................................. ............................. 181/181 601 -601
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.
[[Page 43866]]
Futures equivalent position on January 2
Total Notional Quantity = Remaining swap term * 100,000 bbls/month =
596,685 bbls
1,000 bbl = 1 futures contract
Therefore 596,685 bbls/1,000 bbls/contract = 597 futures equivalent
contracts
Total 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 -70
January 23--February 22................... March........................ 31/180 103 -103
February 23--March 22..................... April........................ 28/180 93 -93
March 23--April 22........................ May.......................... 31/180 103 -103
April 23--May 22.......................... June......................... 30/180 99 -99
May 23--June 22........................... July......................... 31/180 103 -103
June 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 bushels
5,000 bushels = 1 futures contract
Therefore 6,000,000 bushels/5,000 bushels/contract = 1,200 futures
equivalent contracts
Total 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 -483
March 15-May 14.................. May................. 61/181 404 -404
May 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.
[[Page 43867]]
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
gallons
42,000 gallons = 1 futures contract
Therefore 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 -1989
April 1-June 30.................. July................ 91/181 2011 -2011
--------------------------------------------------------
Total........................ .................... 181/181 4000 -4000
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.
Example 4--Calendar Spread Swap
------------------------------------------------------------------------
------------------------------------------------------------------------
Reference 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
bbls
1,000 bbl = 1 futures contract
Therefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent
contracts
Total number of days = 31 + 28 + 31 + 30 + 31 + 30 = 181
Futures Equivalent Position of Swap on January 1
--------------------------------------------------------------------------------------------------------------------------------------------------------
Applicable next Company A Company B Applicable Company A Company B
Dates swap in force Fraction of to 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 73
January 23--February 22....... 31/181 March............. 103 -103 April............. -103 103
February 23--March 22......... 28/181 April............. 93 -93 May............... -93 93
March 23--April 22............ 31/181 May............... 103 -103 June.............. -103 103
April 23--May 22.............. 30/181 June.............. 99 -99 July.............. -99 99
May 23--June 22............... 31/181 July.............. 103 -103 August............ -103 103
June 23--June 30th............ 8/181 August............ 27 -27 September......... -27 27
-------------------------------------------------------------------------------------------------------------------------
,n,s♥,s♥,n,s♥Total........ 181/181 .................. 601 -601 .................. -601 601
--------------------------------------------------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.
[[Page 43868]]
Example 5--Columbia Gulf, Mainline Midpoint (``Midpoint') Basis Swap
------------------------------------------------------------------------
------------------------------------------------------------------------
Reference 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 MMBtu
10,000 MMBtu = 1 futures contract
Therefore 310,000 MMBtu/10,000 MMBtu/contract = 31 futures
equivalent contracts
Total number of days = 31
Futures Equivalent Position of Swap on January 1
--------------------------------------------------------------------------------------------------------------------------------------------------------
Company A Company B
position in position in
Columbia Company A Columbia Company B
Gulf, Position in Gulf, position in
Dates swap in force Fraction of Referent futures month Mainline NYMEX (Henry Mainline NYMEX (Henry
days 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..................... [dagger][dagge -28 [dagger][dagge 28
r][dagger] r][dagger]
January 29--January 31................... 3/31 March........................ .............. -3 .............. 3
--------------------------------------------------------------------------------------------------------------
,n,s♥Total........................... 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 bbls
1,000 bbl = 1 futures contract
Therefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent
contracts
Total number of days = 31
[[Page 43869]]
Gross Position on January 1
----------------------------------------------------------------------------------------------------------------
Company A Company B
Dates swap in force Referent futures month Fraction of position position
days (long)[dagger] (short)[dagger]
----------------------------------------------------------------------------------------------------------------
July 1 -July 22........................ August................... 22/31 70 -70
July 23--July 31....................... September................ 9/31 29 -29
---------------------------------------------
Total.............................. ......................... 31/31 99 -99
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.
Delta[dagger][dagger] 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
bbls
1,000 bbl = 1 futures contract
Therefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent
contracts
Total 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 -70.97
July 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.
[[Page 43870]]
Futures Equivalent Position on January 1
----------------------------------------------------------------------------------------------------------------
August[dagger][dagger] September[dagger][dagger]
Date ---------------------------------------------------------------------------
Long Short Long Short
----------------------------------------------------------------------------------------------------------------
January 1........................... 70 0 28 0
----------------------------------------------------------------------------------------------------------------
[dagger][dagger] Contracts rounded to the nearest integer.
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
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Clearing org clearing Clearing org cleared Proprietary/ customer Futures equivalent Commodity reference
Data records CFTC clearing org ID member ID product ID Reporting day account indicator month and year price
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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.
����������������������������������--------------------------------------------------------------------------------------------------------------------------------------------------------------
NDR.............................. Yes.................. Yes.................. Yes.................. Yes.................. Yes.................. Yes................. No.
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data records Long swap position Short swap position Put/call indicator Swaption expiration Swaption strike price Non-delta adjusted Non-delta adjusted
date long swaption short swaption
position position
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1.................... 0.................... 5000
Data record 2.................... 0.................... 2000
Data record 3.................... ..................... ..................... C.................... 7/29/2011............ 5.59................. 2000................ 0
[[Page 43871]]
Data record 4.................... ..................... ..................... C.................... 7/29/2011............ 5.59................. 18000............... 0
Data record 5.................... ..................... ..................... P.................... 7/29/2011............ 5.50................. 100................. 30
Data record 6.................... ..................... ..................... P.................... 7/29/2011............ 5.50................. 900................. 270
Data record 7.................... 5000................. 0
Data record 8.................... 5000................. 0
Data record 9.................... 429.................. 1286
Data record 10................... 2281................. 6843
Data record 11................... 1290................. 3871
NDR.............................. 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
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Clearing
org Swaption Swaption Swaption
Data records CFTC clearing org cleared Reporting Futures equivalent month Commodity reference price expiration strike Put/call Delta daily
ID product day and year date price indicator settlement
ID price
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1.......................... CCO--ID--1 CP--02 9/27/2010 Nov-10.................... NYMEX Henry Hub.......... 7/29/2011 5.59 C .5 6.25
Data record 2.......................... CCO--ID--1 CP--02 9/27/2010 Oct-10.................... NYMEX Henry Hub.......... 7/29/2011 5.59 C .5 5.50
Data record 3.......................... CCO--ID--1 CP--02 9/27/2010 Nov-10.................... NYMEX Henry Hub.......... 7/29/2011 5.50 P .2 4.53
Data 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
--------------------------------------------------------------------------------------------------------------------------------------------------------
Clearing org Swap daily
Data records CFTC clearing cleared Reporting day Futures equivalent month Commodity reference settlement
org ID product ID and year price price
--------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1........................ CCO--ID--1 CP--04 9/27/2010 Nov-10.................. NYMEX NY Harbor No. 2.. 20.35
Data record 2........................ CCO--ID--1 CP--04 9/27/2010 Oct-10.................. NYMEX NY Harbor No. 2.. 10.50
Data record 3........................ CCO--ID--1 CP--03 9/27/2010 Mar-11.................. NYMEX Light Sweet...... 15.00
Data record 4........................ CCO--ID--1 CP--03 9/27/2010 Feb-11.................. NYMEX Light Sweet...... 21.00
Data record 5........................ CCO--ID--1 CP--01 9/27/2010 Mar-11.................. NYMEX Light Sweet...... 17.50
Data record 6........................ CCO--ID--1 CP--01 9/27/2010 Feb-11.................. NYMEX Light Sweet...... 21.65
Data 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).
[[Page 43872]]
Table 4--Example of Data Records Reported Under Sec. 20.4(c)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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................... CRE--ID--1....... PRIN............. ................. ..................... 9/27/2011......... CPID--05............ HO............... Jan-12
Data record 2................... CRE--ID--1....... COUNT............ CP--01........... Energy--Firm--1...... 9/27/2011......... CPID--05............ HO............... Jan-12
Data record 3................... CRE--ID--1....... COUNT............ CP--02........... Energy--Firm--2...... 9/27/2011......... CPID--05............ HO............... Jan-12
Data record 4................... CRE--ID--1....... PRIN............. ................. ..................... 9/27/2011......... CPID--04............ HO............... Feb-12
Data record 5................... CRE--ID--1....... COUNT............ CP--03........... Energy--Firm--3...... 9/27/2011......... CPID--04............ HO............... Feb-12
Data record 6................... CRE--ID--1....... PRIN............. ................. ..................... 9/27/2011......... CPID--04............ HO............... Mar-12
Data record 7................... CRE--ID--1....... COUNT............ CP--04........... ABC--Firm............ 9/27/2011......... CPID--04............ HO............... Mar-12
Data record 8................... CRE--ID--1....... PRIN............. ................. ..................... 9/27/2011......... CDIP--07............ NG............... Mar-12
Data record 9................... CRE--ID--1....... COUNT............ CP--05........... XYZ--Firm............ 9/27/2011......... CDIP--07............ NG............... Mar-12
Data record 10.................. CRE--ID--1....... COUNT............ CP--06........... WVU--Firm............ 9/27/2011......... CDIP--07............ NG............... Mar-12
Data record 11.................. CRE--ID--1....... COUNT............ CP--01........... Energy--Firm--1...... 9/27/2011......... CDIP--07............ NG............... Mar-12
Data record 12.................. CRE--ID--1....... PRIN............. ................. ..................... 9/27/2011......... CDIP--07............ NG............... Mar-12
Data record 13.................. CRE--ID--1....... COUNT............ CP--07........... MNO--Firm............ 9/27/2011......... CDIP--07............ NG............... Mar-12
Data record 14.................. CRE--ID--1....... PRIN............. ................. ..................... 9/27/2011......... UNCL................ NG............... Jan-12
Data record 15.................. CRE--ID--1....... COUNT............ CP--02........... Energy--Firm--2...... 9/27/2011......... UNCL................ NG............... Jan-12
NDR Uncleared................... Yes.............. Yes.............. Yes.............. No................... Yes............... N/A................. No............... Yes
NDR Cleared..................... Yes.............. Yes.............. Yes.............. No................... Yes............... Yes................. No............... Yes
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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........ 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.............. 350 .................
Data record 5.................... C................. CCO--ID--1........ NYMEX NY Harbor No.2 EX2.............. ................. 350
Data record 6.................... C................. CCO--ID--1........ NYMEX NY Harbor No.2 EX1.............. 100 .................
Data record 7.................... C................. CCO--ID--1........ NYMEX NY Harbor No.2 EX1.............. ................. 100
Data record 8.................... C................. CCO--ID--1........ NYMEX Henry Hub..... EX3.............. 200 100
Data record 9.................... C................. CCO--ID--1........ NYMEX Henry Hub..... EX3.............. ................. 125
Data record 10................... C................. CCO--ID--1........ NYMEX Henry Hub..... EX3.............. ................. 75
Data record 11................... C................. CCO--ID--1........ NYMEX Henry Hub..... EX3.............. 100 .................
Data 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 No
NDR Cleared...................... Yes............... Yes............... No.................. Yes.............. No No
--------------------------------------------------------------------------------------------------------------------------------------------------------
Delta
Non-delta Non-delta Delta adjusted Long swap or Short swap or
Data records Put/call Swaption expiration Swaption adjusted long adjusted short adjusted long short swaption notional swaption notional
indicator date strike price swaption swaption swaption swaption value position value position
position position position position
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1................... ................ ................... ............. ............... ............... ............. ............. $25,200,000 ...................
Data record 2................... ................ ................... ............. ............... ............... ............. ............. ................... $6,300,000
Data record 3................... ................ ................... ............. ............... ............... ............. ............. ................... $18,900,000
Data record 4................... ................ ................... ............. ............... ............... ............. ............. $44,100,000 ...................
Data record 5................... ................ ................... ............. ............... ............... ............. ............. ................... $44,100,000
Data record 6................... ................ ................... ............. ............... ............... ............. ............. $12,600,000 ...................
Data record 7................... ................ ................... ............. ............... ............... ............. ............. ................... $12,600,000
Data record 8................... ................ ................... ............. ............... ............... ............. ............. $8,500,000 $4,250,000
Data record 9................... ................ ................... ............. ............... ............... ............. ............. ................... $5,312,500
Data record 10.................. ................ ................... ............. ............... ............... ............. ............. ................... $3,187,500
Data 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........... ................... $3,400,000
Data 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 No
NDR 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.
[[Page 43873]]
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-11
Data record 2................... SD--1............ PRIN............. ................. ..................... 1/1/2011.......... CPID--03............ CL............... Mar-11
Data record 3................... SD--1............ PRIN............. ................. ..................... 1/1/2011.......... CPID--03............ CL............... Apr-11
Data record 4................... SD--1............ PRIN............. ................. ..................... 1/1/2011.......... CPID--03............ CL............... May-11
Data record 5................... SD--1............ PRIN............. ................. ..................... 1/1/2011.......... CPID--03............ CL............... Jun-11
Data record 6................... SD--1............ PRIN............. ................. ..................... 1/1/2011.......... CPID--03............ CL............... Jul-11
Data record 7................... SD--1............ PRIN............. ................. ..................... 1/1/2011.......... CPID--03............ CL............... Aug-11
Data record 8................... SD--1............ COUNT............ CP--01........... Energy--Firm--1...... 1/1/2011.......... CPID--03............ CL............... Feb-11
Data record 9................... SD--1............ COUNT............ CP--01........... Energy--Firm--1...... 1/1/2011.......... CPID--03............ CL............... Mar-11
Data record 10.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1...... 1/1/2011.......... CPID--03............ CL............... Apr-11
Data record 11.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1...... 1/1/2011.......... CPID--03............ CL............... May-11
Data record 12.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1...... 1/1/2011.......... CPID--03............ CL............... Jun-11
Data record 13.................. SD--1............ COUNT............ CP--01........... Energy--Firm--1...... 1/1/2011.......... CPID--03............ CL............... Jul-11
Data 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.............. 73 .................
Data record 2.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 103 .................
Data record 3.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 93 .................
Data record 4.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 103 .................
Data record 5.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 99 .................
Data record 6.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 103 .................
Data record 7.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. 27 .................
Data record 8.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 73
Data record 9.................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 103
Data record 10................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 93
Data record 11................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 103
Data record 12................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 99
Data record 13................... C................. CCO--ID--1........ NYMEX Light Sweet... EX1.............. ................. 103
Data 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................... ................ ................... ............. ............... ............... ............. ............. ................... $7,300,000
Data record 9................... ................ ................... ............. ............... ............... ............. ............. ................... $10,300,000
Data record 10.................. ................ ................... ............. ............... ............... ............. ............. ................... $9,300,000
Data record 11.................. ................ ................... ............. ............... ............... ............. ............. ................... $10,300,000
Data record 12.................. ................ ................... ............. ............... ............... ............. ............. ................... $9,900,000
Data record 13.................. ................ ................... ............. ............... ............... ............. ............. ................... $10,300,000
Data 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)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Principal/
Commission counterparty 102S Swap counterparty Clearing org Futures
Data records reporting entity position ID Counterparty name Reporting day cleared product ID Commodity code equivalent month
ID indicator and year
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1................... SD--1............ PRIN............. ...................... .................... 1/2/2011......... CPID--03........... CL.............. Feb-11
Data record 2................... SD--1............ PRIN............. ...................... .................... 1/2/2011......... CPID--03........... CL.............. Mar-11
Data record 3................... SD--1............ PRIN............. ...................... .................... 1/2/2011......... CPID--03........... CL.............. Apr-11
Data record 4................... SD--1............ PRIN............. ...................... .................... 1/2/2011......... CPID--03........... CL.............. May-11
Data record 5................... SD--1............ PRIN............. ...................... .................... 1/2/2011......... CPID--03........... CL.............. Jun-11
Data record 6................... SD--1............ PRIN............. ...................... .................... 1/2/2011......... CPID--03........... CL.............. Jul-11
Data record 7................... SD--1............ PRIN............. ...................... .................... 1/2/2011......... CPID--03........... CL.............. Aug-11
Data record 8................... SD--1............ COUNT............ Counterparty--1....... Energy Firm......... 1/2/2011......... CPID--03........... CL.............. Feb-11
Data record 9................... SD--1............ COUNT............ Counterparty--1....... Energy Firm......... 1/2/2011......... CPID--03........... CL.............. Mar-11
Data record 10.................. SD--1............ COUNT............ Counterparty--1....... Energy Firm......... 1/2/2011......... CPID--03........... CL.............. Apr-11
Data record 11.................. SD--1............ COUNT............ Counterparty--1....... Energy Firm......... 1/2/2011......... CPID--03........... CL.............. May-11
Data record 12.................. SD--1............ COUNT............ Counterparty--1....... Energy Firm......... 1/2/2011......... CPID--03........... CL.............. Jun-11
Data record 13.................. SD--1............ COUNT............ Counterparty--1....... Energy Firm......... 1/2/2011......... CPID--03........... CL.............. Jul-11
Data 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.............. 70 ...................
[[Page 43874]]
Data record 2.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 103 ...................
Data record 3.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 93 ...................
Data record 4.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 103 ...................
Data record 5.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 99 ...................
Data record 6.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 103 ...................
Data record 7.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. 27 ...................
Data record 8.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 70
Data record 9.................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 103
Data record 10................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 93
Data record 11................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 103
Data record 12................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 99
Data record 13................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 103
Data record 14................... C................. CCO--ID--1....... NYMEX Light Sweet.. EX1.............. ................. 27
--------------------------------------------------------------------------------------------------------------------------------------------------------
Non-delta Non-delta Delta
Put/call Swaption expiration Swaption adjusted long adjusted short Delta adjusted adjusted long Long swap or Short swap or
Data records indicator date strike price swaption swaption long swaption swaption swaption notional swaption notional
position position position position value position value position
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1................... ................ ................... .............. ................ ................ .............. ............. $6,650,000 .................
Data record 2................... ................ ................... .............. ................ ................ .............. ............. $9,785,000 .................
Data record 3................... ................ ................... .............. ................ ................ .............. ............. $8,835,000 .................
Data record 4................... ................ ................... .............. ................ ................ .............. ............. $9,785,000 .................
Data record 5................... ................ ................... .............. ................ ................ .............. ............. $9,405,000 .................
Data record 6................... ................ ................... .............. ................ ................ .............. ............. $9,785,000 .................
Data record 7................... ................ ................... .............. ................ ................ .............. ............. $2,565,000 .................
Data record 8................... ................ ................... .............. ................ ................ .............. ............. ................. $6,650,000
Data record 9................... ................ ................... .............. ................ ................ .............. ............. ................. $9,785,000
Data record 10.................. ................ ................... .............. ................ ................ .............. ............. ................. $8,835,000
Data record 11.................. ................ ................... .............. ................ ................ .............. ............. ................. $9,785,000
Data record 12.................. ................ ................... .............. ................ ................ .............. ............. ................. $9,405,000
Data record 13.................. ................ ................... .............. ................ ................ .............. ............. ................. $9,785,000
Data record 14.................. ................ ................... .............. ................ ................ .............. ............. ................. $2,565,000
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Issued by the Commission this 7th day of July, 2011 in
Washington, DC.
David Stawick,
Secretary of the Commission.
Appendices to Large Trader Reporting for Physical Commodity Swaps--
Commission Voting Summary and Statements of Commissioners
Note: The following appendices will not appear in the Code of
Federal Regulations.
Appendix 1--Commission Voting Summary
On this matter, Chairman Gensler and Commissioners Dunn,
Sommers, O'Malia and Chilton voted in the affirmative; no
Commissioner voted in the negative.
Appendix 2--Statement of Chairman Gary Gensler
I support the final rulemaking to establish large trader
reporting for physical commodity swaps. This is a significant
rulemaking that, for the first time, enables the CFTC to receive
data from large traders in the commodity swaps markets.
The American public has benefited for decades by the
Commission's ability to gather large trader data in the futures
market and use that data to police the markets. Today's large trader
reporting rulemaking establishes that clearinghouses and swap
dealers will have to report to the CFTC about the swaps activities
of large traders in the physical swaps markets.
Over time, as a result of the Dodd-Frank Act, the markets will
benefit from swap data repositories. Today's rulemaking will enable
the Commission to gather important swaps data until there are
robust, well-regulated swap data repositories. This data will be
useful for the Commission to monitor and police the markets,
including establishing and enforcing position limits.
[FR Doc. 2011-18054 Filed 7-21-11; 8:45 am]
BILLING CODE P
Last Updated: July 22, 2011