Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules

67258 Federal Register / Vol. 75, No.
211 / Tuesday, November 2, 2010 / Proposed Rules
existing regulations and to specifically organizations, their members and swap 1155 21st Street, NW., Washington, DC
remove them if they were regarding dealers. Notably, the proposed 20581.
certain financial instruments. The regulations also include a sunset SUPPLEMENTARY INFORMATION:
Commission has completed the required provision. The sunset provision would
review of its regulations and has render the regulations ineffective upon I. Economically Equivalent Swaps
identified seven instances of references the Commission’s issuance of an order A. Background
to credit ratings, five of which were finding that operating swap data
The Commodity Exchange Act (‘‘CEA
regarding those financial instruments. repositories (‘‘SDRs’’) are capable of
or Act’’) of 1936,1 as amended by Title
Today, we are proposing removing these processing positional data in a manner
VII of the Dodd-Frank Wall Street
five references and reliance to credit that would enable the Commission to
Reform and Consumer Protection Act of
ratings. This rule addresses two of those set and enforce aggregate position
references in Regulation 1.49, which 2010 (‘‘Dodd-Frank Act’’),2 includes
limits.
limits the types of banks in which provisions imposing clearing and trade
DATES: Comments must be received on execution requirements on standardized
futures commission merchants and
or before December 2, 2010. derivatives as well as comprehensive
derivatives clearing organizations may
place customer funds, and 4.24, which ADDRESSES: You may submit comments, recordkeeping and reporting
requires commodity pool operators to identified by RIN number, by any of the requirements that extend to all swaps, a
disclose to their customers where they following methods: defined term in CEA section 1a(47).
• Federal eRulemaking Portal: http:// New section 4a(a)(2) of the CEA, as
are putting customer money. The other
www.regulations.gov. Follow introduced by section 737 of the Dodd-
actions we are taking today regarding
instructions for submitting comments. Frank Act, charges the Commission with
rule certifications in Part 40 and
• Agency Web Site: http:// promulgating regulations, as
investment of customer funds in
www.cftc.gov. appropriate, to limit the amount of
Regulation 1.25 and 30.7 will address • E-mail: [email protected].
the remaining instances of credit positions, other than bona fide hedge
• Mail: David A. Stawick, Secretary of positions, that may be held by any
ratings. the Commission, Commodity Futures person with respect to commodity
[FR Doc. 2010–27555 Filed 11–1–10; 8:45 am] Trading Commission, Three Lafayette futures and option contracts in exempt
BILLING CODE P Centre, 1155 21st Street, NW., and agricultural commodities 3 traded
Washington, DC 20581. on or subject to the rules of a DCM
• Hand Delivery/Courier: Same as within 180 and 270 days, respectively,
COMMODITY FUTURES TRADING mail above. of the legislation’s enactment on July 21,
COMMISSION All comments must be submitted in 2010. New section 4a(a)(6)(A) of the Act
English, or if not, accompanied by an requires Commission-set position limits
17 CFR Parts 15 and 20 English translation. Comments will be to apply aggregately across DCMs to
RIN 3038–AD17 posted as received to http:// contracts that are based on the same
www.cftc.gov. You should submit only commodity. The exempt and
Position Reports for Physical information that you wish to make agricultural commodity futures and
Commodity Swaps available publicly. If you wish the option contracts for which the
AGENCY: Commodity Futures Trading Commission to consider information Commission may consider position
Commission. that is exempt from disclosure under the limits are listed in proposed regulation
Freedom of Information Act, a petition 20.2 (‘‘20.2 listed futures contracts’’ or
ACTION: Notice of proposed rulemaking.
for confidential treatment of the exempt ‘‘20.2 contracts’’). The list in proposed
SUMMARY: The Commodity Futures information may be submitted according regulation 20.2, however, is non-
Trading Commission (‘‘Commission’’ or to the procedure established in CFTC exclusive and preliminary. Should the
‘‘CFTC’’) is proposing reporting regulation 145.9 (17 CFR 145.9). The Commission propose regulations to
regulations that are reasonably Commission reserves the right, but shall establish position limits, it may decide
necessary for implementing and have no obligation, to review, pre- not to propose position limits for all of
enforcing aggregate position limits for screen, filter, redact, refuse or remove the 20.2 listed futures contracts or,
certain physical commodity derivatives. any or all of your submission from alternatively, may decide to propose
As a result of recent legislative reforms, http://www.cftc.gov that it may deem to
the Commission may adopt regulations be inappropriate for publication, such as 17 U.S.C. 1 et seq.
establishing aggregate position limits for obscene language. All submissions that 2 See Dodd-Frank Wall Street Reform and
designated contract market (‘‘DCM’’) have been redacted or removed that Consumer Protection Act, Public Law 111–203, 124
physical commodity futures contracts contain comments on the merits of the Stat. 1376 (2010). The text of the Dodd-Frank Act
may be accessed at http://www.cftc.gov./
and swaps that are economically rulemaking will be retained in the LawRegulation/OTCDERIVATIVES/index.htm.
equivalent to such contracts. The public comment file and will be 3 Section 1a(20) of the Act defines the term
Commission currently receives, and considered as required under the ‘‘exempt commodity’’ to mean a commodity that is
uses for market surveillance purposes, Administrative Procedure Act and other not an excluded commodity or an agricultural
applicable laws, and may be accessible commodity. Section 1a(19) defines the term
including position limit enforcement, ‘‘excluded commodity’’ to mean, among other
data on large positions in all physical under the Freedom of Information Act. things, an interest rate, exchange rate, currency,
commodity futures and option contracts FOR FURTHER INFORMATION CONTACT: credit risk or measure, debt or equity instrument,
measure of inflation, or other macroeconomic index
jlentini on DSKJ8SOYB1PROD with PROPOSALS
traded on DCMs. However, there is no Stephen Sherrod, Acting Deputy

or measure. Although the term ‘‘agricultural
analogous reporting structure in place Director, Market Surveillance, (202) commodity’’ is not defined in the Act, CEA section
for economically equivalent swaps, 418–5452, [email protected], or Bruce 1a(9) enumerates a non-exclusive list of several
which until recently were largely Fekrat, Senior Special Counsel, Office of agricultural-based commodities. The Commission
unregulated financial contracts. The the Director, (202) 418–5578, will consider the issuance of a notice of rulemaking
proposing a definition for the term ‘‘agricultural
Commission’s proposal would require [email protected], Division of Market commodity’’ in October of 2010. Although broadly
position reports on economically Oversight, Commodity Futures Trading defined, exempt commodity futures contracts are
equivalent swaps from clearing Commission, Three Lafayette Centre, often viewed as energy and metals products.
VerDate Mar<15>2010 20:58 Nov 01, 2010 Jkt 223001 PO 00000 Frm 00006 Fmt 4702 Sfmt 4702 E:\FR\FM\02NOP1.SGM 02NOP1
Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 67259
position limits for futures contracts regard, the Commission receives serve as the Commission’s primary
other than the 20.2 contracts. positional data on swaps that are positional data source. The
Similar to CEA section 4a(a)(2), new significant price discovery contracts Congressionally mandated deadline for
section 4a(a)(5) of the Act charges the (‘‘SPDCs’’) under part 36 of its establishing position limits, however,
Commission with establishing position regulations. Such contracts are executed predates the deadline for Commission
limits, including aggregate position through exempt commercial markets regulations for SDR registration. Thus,
limits, as appropriate, for swaps that are and typically cleared. SPDCs, however, the position reports for physical
economically equivalent to DCM do not encompass all economically commodity swaps contemplated by
contracts in exempt and agricultural equivalent swaps (as defined by these proposed regulations would
commodities with CFTC-set position proposed regulation 20.1 through the function as a transitional tool until
limits. The definition of the term term paired swaps). SPDC positional SDRs are in operation and able to
‘‘paired swaps and swaptions’’ in data would therefore not supply provide the Commission with swap
proposed regulation 20.1 attempts to sufficient information to the positional data. If implemented in
recognize a readily identifiable and Commission to monitor all whole or in part, the Commission may
partial set of swaps and swaptions (for economically equivalent swaps for determine to continue or discontinue
ease of reference, collectively ‘‘swaps’’) aggregate position limit violations, the proposed reporting system once
that could potentially be considered as should such limits be adopted. SDRs are operational.
economically equivalent to 20.2 listed Moreover, parts 15 through 19 and 21 of
futures contracts. CEA sections 4a and 8a(5), considered
the Commission’s regulations do not
As discussed in more detail below, in tandem, provide the statutory
apply to uncleared swaps that may be
proposed regulation 20.1 defines paired authority for these proposed regulations.
SPDCs. To have consistency in
swaps, and hence economically The Commission cannot fully effectuate
reporting, regulation 20.2(a) would
equivalent swaps, in two ways. First, the mandate of section 4a of the Act
require SPDCs that are paired swaps to
paired swaps are defined as swaps that without an operational data collection
be reported under proposed part 20
are directly or indirectly linked to the instead of parts 15 through 19 and 21 of system. In proposing these regulations,
price of one or more 20.2 listed futures the Commission’s regulations (which the Commission relies on its CEA
contract. Second, paired swaps are include position reporting regulations section 8a(5) general rulemaking
defined as swaps that are based on the for clearing organizations and futures authority. Section 8a(5) authorizes the
price of the same commodity for intermediaries that are analogous to Commission ‘‘to make and promulgate
delivery at the same location(s) as that those proposed herein). such rules and regulations as, in the
of a 20.2 listed futures contract, or The Commission also receives judgment of the Commission, are
another delivery location, with positional data for some swaps that are reasonably necessary to effectuate any of
substantially the same supply and cleared by certain clearing organizations the provisions or to accomplish any of
demand fundamentals as the delivery but not listed for trading (‘‘cleared-only the purposes of this Act.’’ For the
location(s) referenced by a 20.2 listed swaps’’).5 This positional data is reasons discussed above, the proposed
futures contract. The paired swap received from a limited number of regulations, in the Commission’s
definition’s second part therefore clearing organizations, and depending judgment, are reasonably necessary to
proposes to include swaps that are on the contract and the clearing effectuate CEA section 4a as amended
settled to a price series that is not based organization, does not necessarily by the Dodd-Frank Act.
on, but is nonetheless highly correlated provide disaggregated data on swaps II. The Proposed Regulations
to, the price of a 20.2 listed futures held by non-clearing member
contract. counterparties. As with SPDCs, cleared- A. Listed Futures Contracts
only swaps positional data would not
B. The Necessity of the Proposed supply sufficient data to the Section 4a(a)(2) of the Act provides
Regulations Commission to monitor for aggregate that the Commission shall set, as
New section 4a(a)(5) of the Act position limit violations across DCM appropriate, position limits for exempt
provides that position limits for contracts with CFTC-set position limits and agricultural DCM futures and
economically equivalent swaps be and economically equivalent swaps. To option contracts.6 The Act also provides
developed concurrently with position the extent that cleared-only swaps are that the Commission shall establish
limits established for DCM contracts in paired swaps, regulation 20.2(a) would position limits, including aggregate
exempt and agricultural commodities. require reporting under proposed part limits, as appropriate, for swaps that are
In order to have the ability to enforce 20 instead of parts 15 through 19 and 21 economically equivalent to futures
market-specific and aggregate position of the Commission’s regulations. contracts (and options thereon or
limits for the relevant DCM contracts The Commission notes that the Dodd- options on commodities) with CFTC-set
and economically equivalent swaps, the Frank Act also provides for the position limits. Proposed regulation
Commission would require positional establishment of SDRs. Once established 20.2 lists a broad set of futures contracts
data for DCM contracts and and operationally able to receive swaps and options thereon which may be the
economically equivalent swaps. The data, SDRs would have the potential to subject of CFTC-set position limits.
Commission currently obtains DCM These 20.2 listed futures contracts can
futures and option positional data under 5 See, e.g., Order (1) Pursuant to Section 4(c) of be divided into two categories. The first
parts 15 through 19 and 21 of its the Commodity Exchange Act, Permitting the category contains futures contracts that
Chicago Mercantile Exchange to Clear Certain Over- have high levels of open interest and
regulations,4 which derive their the-Counter Agricultural Swaps and (2) Pursuant to
statutory authority in significant part significant notional value (and certain
Section 4d of the Commodity Exchange Act,
from sections 4a, 4g and 4i of the CEA. Permitting Customer Positions in Such Cleared-
In contrast, the Commission has limited Only Contracts and Associated Funds To Be 6 New section 4a(a)(2) by its terms also applies to
Commingled With Other Positions and Funds Held options on physicals. With respect to options on
access to swaps positional data. In this in Customer Segregated Accounts, 74 FR 12316, physicals traded on DCMs, the current open interest
12320 (March 24, 2009) (requiring reporting under levels in such DCM contracts on the commodities
4 Commission regulations referred to herein are parts 15, 16 and 17 of the Commission’s regulations underlying the 20.2 listed futures contracts are
found at 17 CFR chapter 1. for cleared-only swaps). minimal.
67260 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
related contracts).7 The contracts in this Such contracts may serve as the pricing settlement price of the NYMEX Front
category are: basis of a significant number of swap Month WTI Crude Futures Contract.
market transactions, thereby warranting 3. Partially settled to a listed
REFERENCE DCM CONTRACTS WITH some measure of Commission scrutiny. contract—A swap settled to the Argus
HIGH OPEN INTEREST AND NO- Sour Crude Index (‘‘ASCI’’) (which also
TIONAL VALUE (INCLUDING CERTAIN ADDITIONAL DCM REFERENCE underlies the CME Argus WTI Formula
RELATED CONTRACTS) CONTRACTS Basis Calendar Month Swap Futures
Contract) is partially settled to a 20.2
Chicago Board of Trade (‘‘CBOT’’) Corn. CBOT Ethanol. listed futures contract.9 Because the
CBOT Rough Rice. CBOT Oats. ASCI index uses both a physical cash
CBOT Soybeans. CME Butter. market component and the NYMEX WTI
CBOT Soybean Meal. CME Cheese. Futures Contract to establish the level of
CBOT Soybean Oil. CME Dry Whey. the index, it would partially settle to a
CBOT Wheat. CME Hardwood Pulp. 20.2 listed futures contract and would
Chicago Mercantile Exchange (‘‘CME’’) Feed- CME Lean Hogs. be a paired swap under the first
er Cattle. CME Non Fat Dry Milk.
paragraph of the proposed definition.10
CME Live Cattle. CME Random Length Lumber.
4. Priced at a differential to a listed
CME Milk Class III. CME Softwood Pulp.
NYMEX Brent Financial. contract—The ICE Henry Physical Basis
Comex (‘‘CMX’’) Copper Grade #1. LD1 Contract is priced at a differential
CMX Gold. NYMEX Central Appalachian Coal.
CMX Silver. NYMEX Hot Rolled Coil Steel. to a 20.2 listed futures contract because
ICE Futures US (‘‘ICUS’’) Cocoa. NYMEX Uranium. the settlement price is the final
ICUS Coffee C. settlement price for natural gas futures
ICUS Cotton No. 2. B. Scope of Economically Equivalent (a listed 20.2 contract) as reported by
ICUS Frozen Concentrated Orange Juice. Swaps NYMEX for the specified month plus
ICUS Sugar No. 11. the contract price.
ICUS Sugar No. 16. The Commission, through the The second paragraph of the proposed
Kansas City Board of Trade (‘‘KCBT’’) definition of paired swap or paired definition of a paired swap includes
Wheat. swaption (for ease of reference, swaps that directly or indirectly link to,
Minneapolis Grain Exchange (‘‘MGEX’’) collectively ‘‘paired swaps’’) in proposed including being partially or fully settled
Wheat. regulation 20.1, defines a subset of or priced at a differential to, the price
NYSELiffe (‘‘NYL’’) Gold, 100 Troy Oz. swaps that may qualify as economically
NYL Silver, 5000 Troy Oz. of the same commodity for delivery at
equivalent to the DCM contracts listed the same location or locations as that of
New York Mercantile Exchange (‘‘NYMEX’’)
Cocoa.
in proposed regulation 20.2. Proposed a 20.2 listed futures contract. As
NYMEX Coffee. regulation 20.1 identifies paired swaps opposed to paragraph one, the second
NYMEX Cotton. (i.e., economically equivalent swaps) in paragraph of the definition of paired
NYMEX Crude Oil, Light Sweet (‘‘WTI’’). two paragraphs. The first paragraph of swap looks to a swap’s connection to
NYMEX Gasoline Blendstock (RBOB). proposed regulation 20.1 defines paired the commodity underlying a 20.2 listed
NYMEX Natural Gas. swaps to include those that directly or futures contract, and to the delivery
NYMEX No. 2 Heating Oil, New York Harbor. indirectly are linked to the price of a locations with a nexus to those delivery
NYMEX Palladium. 20.2 listed futures contract. This locations specified in a 20.2 listed
NYMEX Platinum. category includes swaps that are
NYMEX Sugar No. 11. contract, as opposed to the price of the
partially or fully settled or priced at a of the contract itself. Therefore, in
differential to a 20.2 listed futures contrast to paragraph one, the linkage is
The contracts in the second category, contract. The following list provides to the price of the underlying
listed below, do not have high levels of examples of the types of swaps that are commodity and its physical marketing
open interest or represent significant intended to be covered under the first channels.
notional values. However, based on paragraph of the proposed definition of Under paragraph two, a paired swap
feedback from inquiries posed to swap paired swap. would include swaps that are based on
market participants relating to the size 1. Directly linked to a listed the same commodity11 as that of a 20.2
and level of activity in certain markets, contract—A swap settled to the price of listed futures contract but deliverable at
Commission staff recommended their the NYMEX Heating Oil Calendar Swap locations that are different than a 20.2
inclusion in proposed regulation 20.2.8 Futures Contract is directly linked to a listed futures contract’s delivery
20.2 listed DCM futures contract locations, so long as such locations have
7 These contracts can function as anchors to many
because the floating price of the futures substantially the same supply and
other DCM contracts and therefore directly or
indirectly correspond to a substantial fraction of contract is equal to the monthly average demand fundamentals as that of a 20.2
open interest for listed physical commodity settlement price of the first nearby
derivatives. See, e.g., Federal Speculative Position contract month for the NYMEX New 9 The floating price of the CME futures contract
Limits for Referenced Energy Contracts and is equal to the arithmetic average of the ASCI (1st
Associated Regulations, 75 FR 4133, 4154 (January
York Harbor No. 2 Heating Oil Futures month) outright price from Argus Media for each
26, 2010) (‘‘January 2010 proposed regulations for Contract. business day that the ASCI is determined during the
major energy contracts’’) (showing the spoke 2. Indirectly linked to a listed contract month.
contracts linked to the physically delivered NYMEX contract—The ICE WTI Average Price 10 For a description of the ASCI methodology, see,
Crude Oil, Light Sweet futures contract). e.g., http://web04.us.argusmedia.com/
Option is indirectly linked to a 20.2

8 Staff tasked with assisting the Commission in ArgusStaticContent//Meth/ASCI.pdf.
developing the proposed regulations made this listed futures contract because the 11 As provided in the Commission’s January 2010
recommendation after meeting with or speaking to floating price of the swap references the proposed regulations for major energy contracts, a
23 outside parties, representing commercial end- ICE WTI 1st Line Swap Contract which commodity will be considered to be the same (for
users, commercial merchants, commodity-based in turn is equal to the monthly average the purposes of reporting under this regulation) if
swap trading arms of large financial institutions, such commodity has the same economic
futures exchanges, swap data service providers, and characteristics with respect to grade and quality
our sister financial regulators. See http:// DoddFrankAct/ExternalMeetings/ specifications as those referenced by a 20.2 listed
www.cftc.gov/LawRegulation/ otc_meetings.html. futures contract.
listed futures contract reference delivery C. Reporting Under the Proposed the Commission a data record that
location. The following list provides Regulations identifies either gross long and gross
examples of the types of swaps that are short futures equivalent positions if the
1. Reports by Clearing Organizations
reportable under the second paragraph record corresponds to a paired swap
of the definition. Regulation 20.3 proposes to collect position, or gross long and gross short
paired swap reports from clearing futures equivalent positions on a non-
1. Same commodity with a delivery organizations. Clearing organizations are delta-adjusted basis if the data record
point that shares substantially the same defined in proposed regulation 20.1 as corresponds to a paired swaption
supply and demand fundamentals—An persons or organizations that act as a position. A data record (for the purposes
uncleared swap based on a NYMEX medium between clearing members for of this rulemaking) can be thought of as
Columbia Gulf, Mainline Natural Gas the purpose of clearing swaps or a grouped subset of the overall set of
Index Swap (Platts Gas Daily/Platts swaptions or effecting settlements of reported data elements that
IFERC) Futures Contract provides an swaps or swaptions. The intent of the communicates a unique (non-repetitive)
example of a futures contract which definition, which is modeled on the positional message to the Commission.
references an underlying spot market definition used in Commission Clearing organizations would be
that is affected by substantially similar regulation 15.00 (the definitional required to report a data record for each
supply and demand forces as the pricing section for the Commission’s large clearing member for each reporting day,
location to which the NYMEX Natural trader reporting rules), is to apply the which is defined in proposed regulation
Gas Futures Contract references. In this reporting regulations only to entities 20.1 as the daily period of time between
case, the floating price of the NYMEX that perform clearing functions as a clearing organization or reporting
Columbia Gulf, Mainline Natural Gas clearing intermediaries and entity’s usual and customary last
Index Swap (Platts Gas Daily/Platts counterparties to each side of a swap for internal valuation of paired swaps or
the purpose of clearing the trade. The swaptions and the next such period. In
IFERC) Futures Contract is equal to the
proposed definition is intended to cover order to provide clearing organizations
difference in the monthly average prices entities that are commonly known as with some flexibility in determining
for Mainline Midpoint (Midpoint) and clearing organizations, regardless of daily operational cycles that would
the Platts Inside FERC’s Gas Market their registration status with the coincide with their obligation to provide
Report (Platts IFERC) Columbia Gulf Commission. It is not meant to apply to clearing member reports on a daily
Transmission Co., Mainline Index. This financial institutions or parties to swaps basis, the proposed definition would
swap would be on based the same that provide counterparties with permit such cycles of time to vary for
commodity as that of a 20.2 listed financing, credit support, or hold different clearing organizations, so long
contract, but deliverable at a different collateral to facilitate or to ensure that as the daily period of time is
location. The different location, payments are made under the terms of consistently observed and the
however, shares substantially the same a paired swap. Commission is notified, upon its
supply and demand fundamentals as the Pursuant to proposed regulation 20.3, request, of the manner by which a cycle
Henry Hub, which is the delivery clearing organizations, for paired swap is calculated. Data records would be
location for the NYMEX Natural Gas positions, would report the aggregate reported electronically in a manner
contract. The swap’s delivery location is proprietary and aggregate customer consistent with current Commission
in close proximity to the Henry Hub, accounts of each clearing member of practice.
and there is tight arbitrage between the that clearing organization. Proposed The positional data elements in
two pricing hubs. regulation 20.1 defines clearing member paragraphs (a) and (b) of proposed
as any person who is a member of, or regulation 20.3 would require daily
2. Same commodity at different enjoys the privilege of clearing trades in reports for each aggregated proprietary
locations—The NYMEX Transco, Zone 6 its own name through, a clearing account and each aggregated customer
Natural Gas Index Swap (Platts Gas organization. The paired swap positions account, by each cleared product, and
Daily/Platts IFERC) Futures Contract would be reported to the Commission as by each futures equivalent month. Each
provides an example of a futures futures equivalent positions in terms of data record would indicate the
contract which references an underlying a swap’s related 20.2 listed futures commodity reference price with which
spot market that is interconnected with contract. Proposed Appendix A to this each cleared product is associated. As
a spot market to which the NYMEX part provides several examples of the defined in proposed regulation 20.1, a
Natural Gas Futures Contract references. methods used for converting swap commodity reference price is the price
The floating price of the NYMEX positions into futures equivalent series used by the parties to a swap or
Transco, Zone 6 Natural Gas Index positions. The proposed regulations swaption to determine payments made,
Swap (Platts Gas Daily/Platts IFERC) would ask for reporting in futures exchanged, or accrued under the terms
Futures is equal to the difference in the equivalents because such conversions of that swap or swaption. In addition,
monthly average prices for the Platts are made by entities that deal in swaps data records for swaptions would be
Gas Daily Transco, Zone 6 N.Y. to effectively manage residual price required to be broken down further by
Midpoint (Midpoint) and the Platts risks by entering into 20.2 listed futures expiration date, put or call indicator,
contracts. Reporting in futures and strike price. Proposed Appendix B
Inside FERC’s Gas Market Report (Platts
equivalents would result in a measure of to part 20 includes examples of data
IFERC) Transco Zone 6 Index (Index) for
equivalency between positions in paired records that would be required of
the stipulated period within the contract
swaps and their related 20.2 listed clearing organizations. The examples in
specifications. The index price futures contracts, and it would allow for Appendix B are provided to facilitate
represents a natural gas spot market that the enforcement of aggregate position the public’s ability to comment on these
is physically linked, via the Transco limits across futures and swaps should reports, and if adopted as part of a final
pipeline, to a spot market (Henry Hub) the Commission adopt such limits. rulemaking, increase a clearing
which is referenced by a 20.2 listed As required under paragraph (a) and organization’s familiarity with the type
futures contract. (b) of proposed regulation 20.3, each of reporting the regulations would
clearing organization would submit to require.
In addition to reports for clearing proposed level is calibrated to capture reasonable and analytically supported
members, clearing organizations would, data on a sufficiently large percentage of deltas.
pursuant to proposed regulation 20.3(c), paired swap positions and was arrived As proposed under regulation 20.4,
be required to provide to the at after consultation with multiple this information would be grouped
Commission, for each futures equivalent market participants.13 The Commission separately by swap or swaption account
month, end of reporting day settlement specifically requests comment on that is a part of a reportable account, by
prices for each cleared product and whether this reporting level is
futures equivalent month, by cleared or
deltas for every unique swaption put appropriate relative to the size of
and call, expiration date, and strike uncleared contracts, by commodity
positions held by paired swap
price. This second daily report would reference price, and by clearing
counterparties.
provide the type of information that is organization, if the data record pertains
Once a reporting entity’s paired swaps to cleared swaps. Data records
necessary to assign a weight to a trader’s position meets or exceeds the fifty
positions. pertaining to cleared swaption positions
futures equivalent paired swaps or under the proposed regulations would
2. Reports by Reporting Entities swaptions threshold, proposed be further grouped by put or call,
regulation 20.1 defines all other paired expiration date, and strike price.
Proposed regulation 20.4 would
require reporting entities to report swap positions held by the reporting Uncleared swaption positions, however,
proprietary positions in paired swaps entity (in the commodity that initially would not be required to be grouped by
and their paired swap counterparty caused the reporting entity’s positions
put or call, expiration date, and strike
positions. Proposed regulation 20.1 to be deemed reportable) to be part of
price. The reports provided under
identifies a reporting entity as a clearing the entity’s reportable position.14
proposed regulation 20.4 would also
member or a swap dealer as defined in Clearing members and other reporting
entities would follow the same include identifiers for the commodity
section 1a of the CEA and as subject to underlying the reportable position, the
definitional changes that may be made procedure for determining if their
proprietary positions or any counterparties of the account and the
through the issuance of Commission 102S filing identifier, as described in
regulations. counterparty positions are reportable to
the Commission. As with clearing more detail below, assigned by the
The definition of reporting entity is reporting entity to the owner(s) of the
intended to identify financial firms that member reports that would be provided
by clearing organizations to the account, as well as the controller(s) of
regularly make markets in swaps, as the account. Proposed Appendix B to
well as divisions or subsidiaries of large Commission under proposed regulation
20.3, proposed regulation 20.4 would this part includes several examples of
commercial swap market participants
require paired swap positions to be required records.
that provide risk management services
to other commercial entities in the represented and reported in futures
3. Series S Filings
normal course of their business equivalents. Without a common method
operations. Proposed regulation 20.4 is of accounting for positions in swaps and Proposed regulation 20.5(a) would
intended to require reports from such futures, aggregate positions could require a 102S filing for the
financial firms and not from commercial potentially not be enforceable, should identification of the direct owner or
end-users with swaps activities of the Commission promulgate such limits. controller of a ‘‘reportable account’’ by
limited scope. By requiring reporting To determine what to report under the reporting entity holding or carrying
from these large market participants, proposed regulation 20.4, reporting the account. The 102S filing would
proposed regulation 20.4 could provide entities would separately consider consist of the ‘‘name, address, and
visibility into the majority of paired proprietary positions, counterparty contact information of the direct owner
swaps trading activity without positions, and positions in controlled or controller of the reportable account’’
burdening commercial entities that may accounts. For each actual swap or and a ‘‘brief description of the nature of
have less experience with compliance swaption account that includes a paired such person’s paired swaps and
and reporting requirements stemming swap or swaption in which the swaptions’ market activity’’ (e.g.,
from the regulation of financial reporting entity is reportable, such whether it is an omnibus account for
institutions.12 The Commission solicits entities would be required to provide for another broker or an individual
comment specifically on the proposed each reporting day a data record that account). The reporting entity is
definition of reporting entity and the either identifies long and short paired required to submit a 102S filing only
sufficiency of the market visibility swap positions (if the record pertains to once for each person associated with a
gained by requiring reports only from a swap positions) or long and short non- reportable account.
limited set of market participants. delta-adjusted paired swaption
Proposed regulation 20.4 would positions and long and short delta- Once an account holder or controller
require reporting entities to provide the adjusted swaption positions (if the is reportable, the Commission may
Commission with positional reports record pertains to swaptions positions). contact the trader directly and require
only if the reporting entities hold For uncleared paired swaps, the that the trader file a more detailed
reportable paired swap positions. proposed regulations would require a identification report, a 40S filing. The
Proposed regulation 20.1 defines a reporting entity to use economically Commission would require a 40S filing
reportable position as a position, in any if a trader has become reportable for the
one futures equivalent month, 13 See http://www.cftc.gov/LawRegulation/ first time and is not known to the
comprised of fifty or more futures DoddFrankAct/ExternalMeetings/ Commission. A 40S filing would consist
otc_meetings.html. of the submission of a CFTC Form 40
equivalent paired swaps or swaptions 14 In order to verify that a reporting entity’s paired
based on the same commodity. This swap positions are no longer above the threshold, ‘‘Statement of Reporting Trader.’’ As the
the proposed definition of reportable position current version of Form 40 covers
12 The proposed definition of reporting entity would also encompass positions in paired swaps information on positions in futures and
includes an exemption from the definition of held by the reporting entity on the first day after
reporting entity for entities that are not commonly which the reporting entity’s paired swap positions
options, the trader would be required to
known as swap dealers. are no longer reportable. complete the form as if the form covered
information related to positions in transaction records be kept for five ineffective and unenforceable upon the
paired swaps and swaptions.15 years, the first two of which they ‘‘shall Commission’s finding (through the
The 102S filings and the 40S filing be readily accessible.’’ Such books and issuance of an order) that operating
together would allow the Commission to records ‘‘shall be open to inspection by SDRs are capable of processing
identify the person(s) owning the any representative of the Commission.’’ positional data in a manner that would
account or controlling its trading, the These recordkeeping requirements enable the Commission to effectively
person to contact regarding trading, the would allow the Commission to have surveil paired swaps trading and paired
nature of the account, whether the ready access to records that would swap markets. Proposed regulation 20.9
reported account is related—by enable Commission staff to reconstruct also provides the Commission with the
financial interest or control—to another the transaction history of reported authority to retain the effectiveness and
account, and the principal occupation positions. These requirements would enforceability of any requirement in part
or business of the account owner. The ensure that data records submitted to 20, such as the reporting of deltas for
filings also would provide the the Commission could be audited. In uncleared paired swaps or the reporting
Commission information on whether the addition, these records would enable of paired swap positions in futures
account is being used for hedging cash Commission staff to better reconstruct equivalents, should the Commission
market exposure. trading activity that may have had a determine that such reporting is of
Commission staff would use the material impact on the price discovery material value to conducting market
information in these two filings to process. surveillance.
determine if the reported account The recordkeeping burden imposed
D. Solicitation of Comments
corresponds to a new trader or is an by proposed regulation 20.6 is not
additional account of an existing trader. anticipated to be high. These Pursuant to the Dodd-Frank Act, the
If the account is an additional one of an requirements are not unlike the Commission will refine the definition of
existing trader, it would then be recordkeeping requirements imposed by swap dealer in CEA section 1a. The
aggregated with that of other related Congress in new CEA section 4r(c)(2) on Commission solicits comments on
accounts currently being reported. By all swap market participants, and by the whether it should delay the
properly identifying and aggregating Commission on those entities with implementation of proposed part 20 to
accounts, Commission surveillance staff reportable futures accounts under the sixty days following a final Commission
would be able to assess a trader’s existing recordkeeping provision of rulemaking further defining the term
regulation 18.05. swap dealer. The Commission also
compliance with speculative position
specifically requests comments on any
limits across futures and swaps markets, 5. Form and Manner of Reporting role self-regulatory organizations could
should the Commission adopt such
Proposed regulation 20.7(a) provides play in gathering positional data on
limits.
that the Commission would specify, in paired swaps. In addition, the
4. Maintenance of Books and Records writing to persons required to report, Commission solicits comments on
Proposed regulation 20.6 would the format, coding structure, and alternative approaches that may be
impose recordkeeping requirements on electronic data transmission procedures employed to gather positional data on
reporting clearing organizations, for these reports and submissions. The paired swaps.
reporting entities, and persons with purpose of this provision would be to III. Related Matters
reportable swaps positions. Proposed provide notice on how the Commission
regulation 20.6(a) would require would determine the means by which A. Cost-Benefit Analysis
clearing organizations to keep records of the part 20 reports are to be formatted 1. Introduction
transactions in paired swaps or and submitted.
Section 15(a) of the Act requires that
swaptions. Proposed regulation 20.6(b) 6. Delegation of Authority the Commission, before promulgating a
would require reporting entities and regulation under the Act or issuing an
Proposed regulation 20.8 delegates
persons with reportable positions to order, consider the costs and benefits of
certain of the Commission’s proposed
maintain ‘‘books and records * * * its action. By its terms, CEA section
part 20 authority to the Director of the
showing all records for transactions 15(a) does not require the Commission
Division of Market Oversight and
concerning all reportable positions.’’ In to quantify the costs and benefits of a
through the Director to other employee
addition, reporting entities and persons new regulation or determine whether
or employees as designated by the
with reportable positions would be the benefits of the regulation outweigh
Director. The delegated authority
required to keep books and records on its costs. Rather, CEA section 15(a)
extends to: (1) Issuing a special call for
‘‘transactions in the cash commodity’’ simply requires the Commission to
a 40S or 102S filing; and (2) providing
and its products and byproducts, and ‘‘consider the costs and benefits’’ of its
instructions or determining the format,
‘‘all commercial activities’’ that are action.
coding structure, and electronic data
hedged in 20.2 listed futures contract, CEA section 15(a) specifies that costs
transmission procedures for submitting
‘‘or options thereon,’’ or paired swaps and benefits shall be evaluated in light
data records and any other information
and swaptions. These recordkeeping of the following considerations: (1)
required under proposed part 20. The
requirements are very similar to those in Protection of market participants and
purpose of this delegation provision is
current regulation 18.05. the public; (2) efficiency,
to facilitate the ability of the
The recordkeeping duties imposed by competitiveness, and financial integrity
Commission to respond to changing
proposed regulation 20.6 are to be in of futures markets; (3) price discovery;
market and technological conditions for

accordance with the requirements of (4) sound risk management practices;
the purpose of ensuring timely and
regulation 1.31. Most pertinently, and (5) other public interest
accurate data reporting.
regulation 1.31(a)(1) requires that these considerations. Accordingly, the
7. Sunset Provision Commission could, in its discretion,
15 The Commission plans to revise Form 40 in the
future so that the form would explicitly target
Proposed regulation 20.9 includes a give greater weight to any of the five
information on paired swaps and swaptions sunset provision. The sunset provision considerations and could, in its
positions as well as futures and options positions. would render the proposed regulations discretion, determine that,
notwithstanding its costs, a particular likely that creating or purchasing an public from disruptive trading, price
regulation was necessary or appropriate information technology system that can manipulation, and the effects of market
to protect the public interest or to present such a firm’s net position congestion. Further, with the extension,
effectuate any of the provisions or to exposures on a daily basis would not be the Commission would be able to
accomplish any of the purposes of the an overly burdensome marginal expand its Commitments of Traders
Act. expense, since the Commission report to include aggregate position data
understands swap dealers track their on the paired swaps markets, and thus,
2. Costs
exposures for risk management would provide the public, including
As mentioned above, under CEA purposes. market participants, greater
section 4a(a)(2), the Commission has For counterparties that would be transparency into the constitution of
been directed to establish position subject to the recordkeeping markets covered by the proposed part.
limits, as appropriate, on traders in requirements of proposed regulation This increased transparency may reduce
certain physical commodity futures and 20.6, it should be noted that these the informational asymmetries in the
swaps markets within 180 or 270 days requirements would place new burdens paired swap markets and thereby
of the enactment of the Dodd-Frank Act, (in terms of reporting and retaining improve the efficiency of the market and
for exempt and agricultural information on cash market promote competition.
commodities, respectively. As explained transactions) only on persons that are
in this release, the Commission lacks reportable solely in paired swaps. This 4. Conclusion
the information it needs with respect to is because recordkeeping requirements The Commission, after considering
paired swaps to be able to conduct are imposed by Congress with respect to the CEA section 15(a) factors, finds that
surveillance for limits that may be all swaps in new section 4r(c)(2) of the the expected incremental cost imposed
established under CEA section 4a. CEA. Likewise, counterparties that hold by proposed part 20 is outweighed by
In developing these proposed reportable futures positions (in addition the expected benefit. Accordingly, the
regulations, the Commission has aimed to reportable paired swaps positions) are Commission has determined to propose
to minimize the cost and burden currently subject to existing part 20. The Commission invites public
associated with reporting positional recordkeeping requirements under comment on its cost-benefit
data to the Commission. As discussed regulation 18.05. Thus, the Commission considerations. Commenters are also are
above, the Commission has tailored the believes that these additional burdens, invited to submit any data or other
regulations to conform to the market in marginal terms, are not expected to information that they may have
structure for cleared and uncleared be overly burdensome, given that firms quantifying or qualifying the costs and
paired swaps. The cost of proposed part collect information on their commercial benefits of proposed part 20.
20 regulations would be borne by firms activities in the normal course of
that are clearing organizations reporting B. Regulatory Flexibility Act
business operations.
under proposed regulation 20.3 and The Regulatory Flexibility Act
clearing member reportable entities 3. Benefits (‘‘RFA’’) requires Federal agencies, in
reporting under proposed regulation As discussed above, implementing proposing regulations, to consider the
20.4. For such firms, the additional cost proposed part 20 would enable the impact of those regulations on ‘‘small
to implement a reporting system is Commission to monitor and enforce entities.’’ 16 The proposed regulations
expected to be minimal since the position limits, if established by the detailed in this release would affect
Commission understands these firms Commission, to diminish, eliminate, or organizations including registered
track their own and their counterparties’ prevent excessive speculation; to deter derivatives clearing organization
positions for risk-management purposes. and prevent market manipulation; (‘‘DCOs’’), clearing members (many of
Although the Commission has ensure sufficient market liquidity for whom would be registered with the
proposed a reporting system for cleared bona fide hedgers; and to ensure that the Commission already as futures
paired swaps that resembles the large price discovery function of the commission merchants (‘‘FCMs’’)), swap
trader reporting system, the Commission underlying market is not disrupted. By dealers, and persons who have
proposes a structurally different enabling the Commission to monitor reportable paired swaps positions and
reporting system for uncleared paired compliance with position limits to otherwise have not been reportable
swaps. The structure of the uncleared address these concerns, the Commission based on futures positions.
paired swaps market is not as would be better able to protect the price The Commission has previously
centralized as the cleared paired swaps discovery process (CEA section determined that DCOs 17 and FCMs 18
market: There is no central counterparty 15(a)(2)(C)) and market participants and are not ‘‘small entities’’ for purposes of
that corresponds to a clearing the public from the threats of excessive the RFA. As noted above, a reportable
organization in the uncleared paired speculation and price manipulation paired swaps position would include 50
swaps market. The Commission believes (CEA section 15(a)(2)(A)). or more paired swaps positions in a
that swap dealers may be counterparties In addition to providing increased futures equivalent month. The
to a significant portion of the market for market transparency through the Commission notes this threshold is
uncleared paired swaps and swaptions. reporting of paired swap positions to the higher than the minimum 25 contract
Accordingly, the Commission has Commission, the Commission would be reporting levels in effect for futures
proposed to require position reporting better able to first, protect market positions under regulation 15.03.
from swap dealers. These firms are to participants and the public (CEA section Previously, the Commission had
15(a)(2)(A)) and second, increase the determined that the reporting levels in
report their positions as well as those of

their counterparties, provided that they efficiency and competitiveness of the regulation 15.03 would not affect small
are above the ‘‘reportable position’’ level. markets (CEA section 15(a)(2)(B)). The
16 5 U.S.C. 601 et seq.
These firms have the creditworthiness extension of the Commission’s
17 66 FR 45604, 45609 (August 29, 2001).
to be able to negotiate a substantial surveillance activities to these paired 18 Policy Statement and Establishment of
swaps portfolio in paired swaps across swap markets would help ensure the Definitions of ‘‘Small Entities’’ for Purposes of the
many counterparties. As is the case for integrity of these markets and thereby Regulatory Flexibility Act, 47 FR 18618, 18619
clearing member reportable entities, it is protect market participants and the (Apr. 30, 1982).
entities.19 The Commission does not Commission set these position limits registered as FCMs with the
believe that entities who meet the within 180 days of enactment of the Commission. The Commission estimates
proposed larger quantitative threshold Dodd-Frank Act for exempt that a total of 180 swap dealers transact
would constitute small entities for RFA commodities and 270 days for in physical commodity swaps and
purposes. agricultural commodities. In order to thereby may be reporting entities under
Accordingly, the Commission does enforce regulations establishing position proposed part 20 (clearing members and
not expect the regulations, as proposed limits for economically equivalent non-clearing members combined).
herein, to have a significant impact on swaps, the Commission has determined 3. Finally, under proposed regulation
a substantial number of small entities. that it first needs to establish the 20.5, all ‘‘reporting entities’’ would
Therefore, the Chairman, on behalf of reporting regulations proposed herein. submit identifying information to the
the Commission, hereby certifies, Given the short timeframe in which the Commission on new reportable accounts
pursuant to 5 U.S.C. 605(b), that the Commission must determine whether to through a 102S filing.
proposed regulations would not have a set position limits under the Dodd- In addition to creating these reporting
significant economic impact on a Frank Act, the Commission has requirements, proposed regulation 20.6
substantial number of small entities. determined that it needs to adopt a would impose recordkeeping
The Commission invites the public to swaps reporting system on an expedited requirements for (1) clearing
comment on whether the entities basis to comply with the statutory organizations, (2) reporting entities, and
covered by these proposed regulations deadline contained in new section (3) persons with ‘‘reportable positions’’
should be considered small entities for 4a(a)(2)(B) of the CEA. in the covered futures contract listed in
purposes of the RFA. proposed regulation 20.2 or ‘‘paired
2. Information Provided and swaps or swaptions.’’ Proposed
C. Paperwork Reduction Act Recordkeeping Duties regulation 20.6(a) would require
1. Overview As a result of the Dodd-Frank Act, clearing organizations to maintain ‘‘all
The Paperwork Reduction Act new part 20 proposes putting into place records of transactions in paired swaps
(‘‘PRA’’) 20 imposes certain requirements reporting requirements for ‘‘clearing or swaptions’’ on clearing organizations.
on Federal agencies in connection with organizations’’ and ‘‘reporting entities’’ Proposed regulation 20.6(b) would
their conducting or sponsoring any and recordkeeping requirements for require reporting entities and ‘‘persons
collection of information as defined by these firms in addition to firms that with reportable positions’’ to maintain
the PRA. This proposed rulemaking become reportable because of a for all commodities in which it holds a
would result in new collection of reportable paired swap or swaption reportable position ‘‘all records for
information requirements within the positions. Accordingly, the Commission transactions * * * in the cash
meaning of the PRA. The Commission is seeking a new and separate control commodity * * * [and] its products and
therefore is submitting this proposal to number for reporting from ‘‘clearing byproducts’’ and in ‘‘commercial
the Office of Management and Budget organizations’’ and ‘‘reporting entities’’ activities’’ underlying a hedge in a
(‘‘OMB’’) for review in accordance with (collectively ‘‘respondents’’) and covered futures contract or in paired
44 U.S.C. 3507(d) and 5 CFR 1320.11. recordkeeping for firms that become swaps or swaptions. These provisions
The title for this collection of reportable because of a reportable paired extend those recordkeeping
information is ‘‘Part 20—Position swap or swaption position operating in requirements currently applicable to
Reports for Physical Commodity Swaps’’ compliance with the requirements of those traders holding reportable
(OMB control number 3038–NEW). If proposed part 20. Upon OMB’s approval positions in futures contracts, as
adopted, responses to this collection of and assignment of a new control currently found in regulation 18.05, to
information would be mandatory. number specifically for the collection of those traders holding reportable
An agency may not conduct or information and recordkeeping positions in swaps.
sponsor, and a person is not required to requirements of proposed part 20, the The Commission estimates that the
respond to, a collection of information Commission intends to submit the recordkeeping requirements of proposed
unless it displays a currently valid necessary documentation to OMB to regulation 20.6 would not be overly
control number. OMB has not yet enable it to apply a new OMB control burdensome. For the firms subject to the
assigned a control number to the new number exclusively for part 20 reports. reporting and recordkeeping
collection for proposed part 20. The Proposed part 20 would result in the requirements of proposed regulation
requirements of new part 20 are not collection of information on ‘‘paired 20.6, it should be noted that these
currently covered by any existing OMB swaps and swaptions’’ positions as requirements are not unlike the
control number. defined in proposed regulation 20.1. recordkeeping requirements imposed by
The Commission is submitting this Specifically, proposed part 20 provides Congress in the new CEA section
proposal to OMB for review in for three new kinds of reports: 4r(c)(2) of the CEA and by existing
accordance with 44 U.S.C. 3507(d) and 1. Under proposed regulation 20.3, recordkeeping regulation 18.05. If a firm
5 CFR 1320.11. swap ‘‘clearing organizations’’ would subject to these recordkeeping
As noted earlier, in section 737 of the provide daily reports of relevant requirements was previously reportable
Dodd-Frank Act, Congress amended position and clearing data. due to a futures position in the relevant
section 4a of the CEA to require the 2. Under proposed regulation 20.4, commodity above the ‘‘reporting level’’
Commission to establish, as appropriate, ‘‘reporting entities’’ would produce (see regulation 15.03), then the
aggregate position limits for futures position reports on a daily basis on their proposed regulation 20.6(b)
own and individual counterparty
contracts traded on a DCM and for recordkeeping burdens would not be

economically equivalent swaps. accounts. Within this class of ‘‘reporting new, as that firm would already be
Pursuant to new section 4a(a)(2)(B) of entities,’’ there are two categories of subject to these requirements under
the CEA, Congress mandated that the ‘‘reporting entities:’’ (a) ‘‘clearing regulation 18.05. If a firm becomes
members’’ and (b) ‘‘swap dealers’’ that subject to the proposed regulation 20.6
19 Id. at 18620 (excluding large traders from the are not clearing members. The former recordkeeping requirements only
definition of small entity). category, ‘‘clearing members,’’ would because of a reportable swaps position
20 44 U.S.C. 3501 et seq. include many firms that are currently (not because of a futures position above
the reportable level) then the entity reports would create an annual Annualized capital/start-up, operating,
requirements contained in the proposal reporting and recordkeeping burden of and maintenance costs for all firms in
add only the duty to keep records on 25,000 hours spread across 100 this category of recordkeeping reporting
‘‘all commercial activities that a respondents. Annualized capital/start- entities would be approximately $2
reporting entity or person hedges’’ to the up, operating, and maintenance costs for million.
swaps-related recordkeeping duties all firms in this category combined 3. Proposed regulation 20.6(b)
imposed by CEA section 4r(c)(2). These would be approximately $6 million. recordkeeping duties for persons with
additional burdens are not expected to b. Swap dealer non-clearing member reportable positions in swaps (these
be substantial, given that in the normal reporting entity reports would create an firms were previously not reportable)
course of business firms would collect annual reporting and recordkeeping would create an annual reporting and
this information on their commercial burden of 37,500 hours spread across recordkeeping burden of 10,000 hours
activities. 100 respondents. Annualized capital/ spread across 500 firms. Annualized
The Commission estimates that start-up, operating, and maintenance capital/start-up, operating, and
implementing proposed part 20 would costs for all firms in this category maintenance costs for all traders in this
create a total annual reporting and combined would be approximately $8 category combined would be
recordkeeping hour burden of 79,503 million. approximately $11.5 million.
hours across 705 firms. Based on a 3. Proposed regulation 20.5 reporting
entity 102S submissions would create 3. Confidentiality
weighted average wage rate of $74.36,21
this would amount to an annualized an annual reporting and recordkeeping The Commission would protect
labor cost of $5.9 million. In addition, burden of 1,800 hours spread across 200 proprietary information according to the
the Commission estimates that total firms. Annualized capital/start-up, Freedom of Information Act and 17 CFR
annualized capital/start-up, operating, operating, and maintenance costs for all part 145, ‘‘Commission Records and
and maintenance costs 22 would amount reporting entities combined providing Information.’’ In addition, section 8(a)(1)
to a combined $32.7 million. This these reports would be approximately of the Act strictly prohibits the
overall total reporting and $1 million. Commission, unless specifically
recordkeeping hour burden is the sum 4. 40S submissions by persons with authorized by the Act, from making
of estimated burdens for the three reportable positions under proposed public ‘‘data and information that would
reporting categories and the three regulation 20.5(b) in paired swaps separately disclose the business
recordkeeping categories mentioned would create an annual reporting and transactions or market positions of any
above. recordkeeping burden of 165 hours and person and trade secrets or names of
Reporting burdens: would affect 500 firms. Annualized customers.’’ 24 The Commission also is
1. Proposed regulation 20.3 clearing capital/start-up, operating, and required to protect certain information
organization reports would account for combined maintenance costs for all contained in a government system of
938 of these annual reporting and firms providing 40S filings would be records according to the Privacy Act of
recordkeeping hours. These hours approximately $4.5 million. 1974, 5 U.S.C. 552a.
would be spread across 5 respondents. Recordkeeping burdens:
Annualized capital/start-up, operating, 1. Proposed regulation 20.6(a) 4. Comments on Information Collection
and maintenance costs for all affected recordkeeping duties for clearing The Commission invites the public
clearing organizations combined would organizations would account for 100 of and other Federal agencies to comment
be approximately $100,000.23 these annual reporting and on any aspect of the reporting and
2. Proposed regulation 20.4 reporting recordkeeping hours. These hours recordkeeping burdens discussed above.
entity reports would have two separate would be spread across 5 firms. Pursuant to 44 U.S.C. 3506(c)(2)(B), the
burden estimates based on the kind of Annualized capital/start-up, operating, Commission solicits comments in order
reporting entity providing the report: and maintenance costs to meet the to: (i) Evaluate whether the proposed
a. Clearing member (80 clearing recordkeeping requirements of proposed collection of information is necessary
member/swap dealers plus 20 clearing regulation 20.6(a) would be for the proper performance of the
member/non-swap dealers) reporting approximately $100,000 spread across functions of the Commission, including
all affected clearing organizations. whether the information would have
21 The Commission staff’s estimates concerning
2. Proposed regulation 20.6(b) practical utility; (ii) evaluate the
the wage rates are based on salary information for
the securities industry compiled by the Securities
reporting entity recordkeeping duties accuracy of the Commission’s estimate
Industry and Financial Markets Association would have two separate burden of the burden of the proposed collection
(‘‘SIFMA’’). The $74.36 per hour is derived from estimates based on the kind of reporting of information; (iii) determine whether
figures from a weighted average of salaries and entity providing the report: there are ways to enhance the quality,
bonuses across different professions from the
SIFMA Report on Management & Professional
a. Clearing member (80 clearing utility, and clarity of the information to
Earnings in the Securities Industry 2009, modified member/swap dealers plus 20 clearing be collected; and (iv) minimize the
to account for an 1,800-hour work-year and member/non-swap dealers) reporting burden of the collection of information
multiplied by 1.3 to account for overhead and other entity recordkeeping would create an on those who are to respond, including
benefits. The wage rate is a weighted national
average of salary and bonuses for professionals with annual reporting and recordkeeping through the use of automated collection
the following titles (and their relative weight); burden of 2,000 hours spread across 100 techniques or other forms of information
‘‘programmer (senior)’’ (60% weight), ‘‘compliance respondents. Annualized capital/start- technology.
advisor (intermediate)’’ (20%), ‘‘systems analyst’’ up, operating, and maintenance costs for Comments may be submitted directly
(10%), and ‘‘assistant/associate general counsel’’
(10%). all firms in this category of to the Office of Information and

22 The capital/start-up cost component of recordkeeping reporting entities would Regulatory Affairs, by fax at (202) 395–
‘‘annualized capital/start-up, operating, and be approximately $2 million. 6566 or by e-mail at
maintenance costs’’ is based on an initial capital/ b. Swap dealer non-clearing member [email protected]. Please
start-up cost that is straight-line depreciated over reporting entity recordkeeping would
five years.
provide the Commission with a copy of
23 All of the capital cost estimates in these create an annual reporting and submitted comments so that all
estimates are based on a 5 year, straight-line recordkeeping burden of 2000 hours
depreciation. spread across 100 respondents. 24 7 U.S.C. 12(a)(1).
comments can be summarized and Appendix A to Part 20—Guidelines on price of the same commodity for
addressed in the final regulation Futures Equivalancy delivery at the same location, or
preamble. Refer to the Addresses section Appendix B to Part 20—Explanatory locations with substantially the same
of this notice of proposed rulemaking Guidance on Data Record Layouts supply and demand fundamentals, as
for comment submission instructions to Authority: 7 U.S.C. 1a, 2, 5, 6, 6a, 6c, 6f, that of a commodity futures contract
the Commission. A copy of the 6g, 6t, 12a, 19, as amended by Title VII of the listed in § 20.2.
supporting statements for the Dodd-Frank Wall Street Reform and Person means any ‘‘person’’ as that
collections of information discussed Consumer Protection Act, Pub. L. 111–203, term is defined in § 1.3 of this chapter.
124 Stat. 1376 (2010). Reportable account or consolidated
above may be obtained by visiting
RegInfo.gov. OMB is required to make a § 20.1 Definitions. account that is reportable means a
decision concerning the collection of As used in, and solely for the consolidated account that includes a
information between 30 and 60 days purposes of, this part: reportable position.
after publication of this release. Reportable position means:
Account controller means a person (1) A position, in any one futures
Consequently, a comment to OMB is that by power of attorney or otherwise
most assured of being fully effective if equivalent month, comprised of fifty or
directs trading for an account. more futures equivalent paired swaps or
received by OMB (and the Commission) Business day means ‘‘business day’’ as
within 30 days after publication of this swaptions based on the same
that term is defined in § 1.3 of this commodity underlying a futures
notice of proposed rulemaking. chapter. contract listed in § 20.2, grouped
List of Subjects Cleared product means a paired swap
separately by swaps and swaptions,
or swaption that a clearing organization
17 CFR Part 15 then grouped by gross long contracts on
offers or accepts for clearing.
a futures equivalent basis or gross short
Brokers, Commodity futures, Clearing member means any person
contracts on a futures equivalent basis;
Reporting and recordkeeping who is a member of, or enjoys the (2) For a consolidated account
requirements. privilege of, clearing trades in its own (described in § 20.4(a)) that includes a
name through a clearing organization. reportable position as defined in
17 CFR Part 20 Clearing organization means the paragraph (1) of this definition, all other
Physical commodity swaps, Swap person or organization that acts as a positions in that account that are based
dealers, Reporting and recordkeeping medium between clearing members for on the commodity that renders the
requirements. the purpose of clearing swaps or account reportable; and
For the reasons stated in the swaptions or effecting settlements of (3) The first reporting day on which
preamble, the Commodity Futures swaps or swaptions. a consolidated account (described in
Trading Commission proposes to amend Closed swap or closed swaption § 20.4(a)) no longer in fact includes a
17 CFR parts 15 and 20 as follows: means a swap or swaption that has been reportable position as described in
settled, exercised, closed out, or paragraph (1) of this definition (because
PART 15—REPORTS—GENERAL terminated. on such day, the reporting entity’s
PROVISIONS Commodity reference price means the consolidated account shall be
price series (including derivatives considered and treated as if it in fact
1. The authority citation for part 15 is contract and cash market prices or price
revised to read as follows: included reportable positions as
indices) used by the parties to a swap described in paragraph (1) of this
Authority: 7 U.S.C. 2, 5, 6a, 6c, 6f, 6g, 6i, or swaption to determine payments
6k, 6m, 6n, 7, 7a, 9, 12a, 19, and 21, as
definition.
made, exchanged, or accrued under the Reporting day means the period of
amended by Title VII of the Dodd-Frank Wall terms of the contracts.
Street Reform and Consumer Protection Act, time between a clearing organization or
Controlled account means ‘‘controlled reporting entity’s usual and customary
Pub. L. 111–203, 124 Stat. 1376 (2010).
account’’ as defined in § 1.3 of this last internal valuation of paired swaps
2. Revise the heading and chapter. or swaptions and the next such period,
introductory text in § 15.00 to read as Counterparty means, from the so long as the period of time is
follows: perspective of one side to a contract, the consistently observed on a daily basis
person that directly corresponds to the and the Commission is notified, upon
§ 15.00 Definitions of terms used in parts
15 to 19, and 21 of this chapter. other side of the contract. its request, of the manner by which such
Futures equivalent means an period is calculated and any subsequent
As used in parts 15 to 19, and 21 of
economically equivalent amount of one changes thereto.
this chapter:
or more futures contracts that represents Reporting entity, means:
* * * * * a position or transaction in one or more (1) A clearing member; or
3. Add part 20 to read as follows: paired swaps or swaptions consistent (2) Swap dealer as that term is defined
with the conversion guidelines in in section 1a of the Act and any
PART 20—POSITION REPORTS FOR
Appendix A of this part. Commission definitional regulations
PHYSICAL COMMODITY SWAPS
Open swap or swaption means a swap adopted thereunder, unless determined
Sec. or swaption that has not been closed. otherwise by the Commission for the
20.1 Definitions. Paired swap or paired swaption purpose of excluding entities that are
20.2 Covered contracts. means an open swap that is: not commonly known as swap dealers
20.3 Clearing organizations. (1) Directly or indirectly linked,
from the reporting requirements of

20.4 Reporting entities. including being partially or fully settled § 20.4.
20.5 Series S filings. on, or priced at a differential to, the Swap means (other than a swaption)
20.6 Maintenance of books and records.
20.7 Form and manner of reporting and
price of any commodity futures contract ‘‘swap’’ as defined in section 1a of the
submitting information or filings. listed in § 20.2; or Act and any Commission definitional
20.8 Delegation of authority to the Director (2) Directly or indirectly linked, regulations adopted thereunder.
of the Division of Market Oversight. including being partially or fully settled Swaption means an option to enter
20.9 Sunset provision. on, or priced at a differential to, the into a swap or a physical commodity
option included in the definition of COVERED AGRICULTURAL AND EXEMPT a single consolidated account that it
‘‘swap’’ under section 1a of the Act and FUTURES CONTRACTS—Continued shall attribute to that specific
any Commission definitional counterparty; and
regulations adopted thereunder. NYMEX Sugar No. 11. (3) That are positions under the
Swap or swaption account means an NYMEX Uranium. direction of an account controller, in a
account for swaps or swaptions single consolidated account that it shall
maintained at a clearing organization or § 20.3 Clearing organizations. attribute to that specific account
reporting entity. (a) Reporting data records. For each controller.
reporting day, with respect to paired (b) Reporting data records. Reporting
§ 20.2 Covered contracts. swaps or swaptions, clearing entities shall report to the Commission,
(a) All paired swaps and swaptions, organizations shall report to the for each reporting day, and separately
unless specifically provided otherwise, Commission, separately for each for each consolidated account described
shall be reported pursuant to the clearing member’s proprietary and in paragraphs (a)(1) through (a)(3) of this
requirements and conditions of this part customer account, unique groupings of section that is reportable, unique
and shall not be reported under parts 15 the data elements in paragraph (b) of groupings of the data elements in
through 19, or 21 of this chapter. this section (to the extent that there are paragraph (c) of this section (to the
(b) The futures and option contracts such corresponding elements), in a extent that there are such corresponding
listed by designated contract markets for single data record, so that each reported elements), in a single data record, so
the purpose of reports filed and record is distinguishable from every that each reported record is
information provided under this part are other reported record (because of distinguishable from every other
as follows: differing data values, as opposed to the reported record (because of differing
arrangement of the elements). data values, as opposed to the
COVERED AGRICULTURAL AND EXEMPT (b) Populating reported data records arrangement of the elements).
FUTURES CONTRACTS with data elements. Data records (c) Populating reported data records
reported under paragraph (a) of this with data elements. Data records
Chicago Board of Trade (‘‘CBOT’’) Corn. section shall include the following data reported under paragraph (b) of this
CBOT Ethanol. elements: section shall include the following data
CBOT Oats. (1) An identifier assigned by the elements:
CBOT Rough Rice. Commission to the clearing (1) An identifier assigned by the
CBOT Soybean Meal. organization; Commission to the reporting entity;
CBOT Soybean Oil. (2) The identifier assigned by the (2) An identifier assigned by the
CBOT Soybeans. clearing organization to the clearing reporting entity to each swap or
CBOT Wheat.
member; swaption account;
Chicago Mercantile Exchange (‘‘CME’’) But-
ter. (3) The identifier assigned by the (3) A 102S identifier assigned by the
CME Cheese. clearing organization for a cleared reporting entity to the owner of such
CME Dry Whey. product; accounts;
CME Feeder Cattle. (4) The reporting day; (4) A 102S identifier assigned by the
CME Hardwood Pulp. (5) A proprietary or customer account reporting entity to the controller of such
CME Lean Hogs. indicator; accounts;
CME Live Cattle. (6) The futures equivalent month; (5) The name of each owner of such
CME Milk Class III. (7) The commodity reference price; accounts;
CME Non Fat Dry Milk. (8) Long swap positions; (6) The name of each controller of
CME Random Length Lumber. (9) Short swap positions; such accounts;
CME Softwood Pulp. (10) A swaption put or call side (7) The reporting day;
COMEX (‘‘CMX’’) Copper Grade #1. indicator; (8) The identifier for the cleared
CMX Gold. (11) A swaption expiration date; product assigned by the clearing
CMX Silver. (12) A swaption strike price;
ICE Futures U.S. (‘‘ICUS’’) Cocoa. organization (cleared only);
(13) Long non-delta-adjusted (9) The commodity underlying the
ICUS Coffee C. swaption positions; and
ICUS Cotton No. 2. reportable positions;
(14) Short non-delta-adjusted (10) The futures equivalent month;
ICUS Frozen Concentrated Orange Juice.
swaption positions. (11) A cleared or uncleared indicator;
ICUS Sugar No. 11.
ICUS Sugar No. 16.
(c) End of reporting day data. For all (12) A clearing organization identifier;
Kansas City Board of Trade (‘‘KCBT’’) futures equivalent months, clearing (13) The commodity reference price;
Wheat. organizations shall report end of (14) A bi-lateral trade indicator;
Minneapolis Grain Exchange (‘‘MGEX’’) reporting day settlement prices for each (15) Long paired swap positions;
Wheat. cleared product and deltas for every (16) Short paired swap positions;
NYSELiffe (‘‘NYL’’) Gold, 100 Troy Oz. unique swaption put and call, (17) A swaption put or call side
NYL Silver, 5000 Troy Oz. expiration date, and strike price. indicator (cleared only);
New York Mercantile Exchange (‘‘NYMEX’’) (18) A swaption expiration date
Cocoa. § 20.4 Reporting entities. (cleared only);
NYMEX Brent Financial. (a) Consolidated accounts. Each (19) A swaption strike price (cleared
NYMEX Central Appalachian Coal. reporting entity shall combine all paired only);
NYMEX Coffee.
swap and swaption positions: (20) Long non-delta-adjusted paired

NYMEX Cotton. (1) That are proprietary positions
NYMEX Crude Oil, Light Sweet.
swaption positions;
NYMEX Gasoline Blendstock (RBOB).
(swaps and swaptions to which the (21) Short non-delta-adjusted paired
NYMEX Hot Rolled Coil Steel. reporting entity is a counterparty), in a swaption positions;
NYMEX Natural Gas. single consolidated account that it shall (22) Long delta-adjusted paired
NYMEX No. 2 Heating Oil, New York Harbor. attribute to itself; swaption positions (non-cleared only,
NYMEX Palladium. (2) That are positions directly owned using economically reasonable and
NYMEX Platinum. by a reporting entity’s counterparty, in analytically supported deltas);
(23) Short delta-adjusted paired paired swaps or swaptions in data records and any other information
swaption positions (non-cleared only, accordance with the requirements of required under this part.
using economically reasonable and § 1.31 of this chapter. (b) The Director of the Division of
analytically supported deltas); (b) Every reporting entity or person Market Oversight may submit to the
(24) Long paired swap or swaption with reportable positions shall keep Commission for its consideration any
notional value (non-cleared only); and books and records, in accordance with matter which has been delegated in this
(25) Short paired swap or swaption the requirements of § 1.31 of this section.
notional value (non-cleared only). chapter, showing all records for (c) Nothing in this section prohibits
transactions concerning all reportable the Commission, at its election, from
§ 20.5 Series S filings.
positions, including records for exercising the authority delegated in
(a) 102S filing. transactions in the cash commodity in
(1) When a consolidated account first this section.
which the reporting entity or other
becomes reportable, the reporting entity person is reportable, its products and § 20.9 Sunset provision.
holding or carrying the account shall byproducts, and all commercial
submit a 102S filing, which shall consist (a) Except as otherwise provided in
activities that a reporting entity or paragraph (b) of this section, the
of the name, address, and contact person hedges by taking a position in
information of the direct owner or sections of this part shall become
the contracts listed in § 20.2 or paired ineffective and unenforceable upon a
controller of the reportable account and swaps and swaptions.
a brief description of the nature of such Commission finding that, through the
person’s paired swaps and swaptions § 20.7 Form and manner of reporting and issuance of an order, operating swap
market activity. submitting information or filings. data repositories are processing
(2) A reporting entity may submit a positional data and that such processing
Unless otherwise instructed by the
102S filing only once for each person, will enable the Commission to
Commission, a clearing organization or
even if such persons at various times effectively surveil trading in paired
reporting entity shall submit data
have multiple reportable positions in swaps and swaptions and paired swap
records and any other information
the same or different paired swaps or and swaption markets.
required under this part to the
swaptions; however, reporting entities Commission as follows: (b) The Commission may determine,
must update a 102S filing if the (a) Using the format, coding structure, in its discretion, to maintain the
information provided is no longer and electronic data transmission effectiveness and enforceability of any
accurate. procedures approved in writing by the section of this part, or any requirement
(3) Reporting entities shall submit a Commission; and therein, in an order issued under
102S filing within three days following (b) Not later than 9 a.m. eastern time paragraph (a) of this section, upon
the first day a consolidated account first on the next business day following the finding that such sections, or
becomes reportable or at such time as reporting day or at such other time as requirements therein, provide the
instructed by the Commission upon instructed by the Commission. Commission with positional data or data
special call. elements that materially improves the
(b) 40S filing. Every person who holds § 20.8 Delegation of authority to the accuracy and surveillance utility of the
or controls a reportable position shall Director of the Division of Market Oversight. positional data processed by swap data
after a special call upon such person by (a) The Commission hereby delegates, repositories.
the Commission file with the until it orders otherwise, to the Director
Appendix A to Part 20—Guidelines on
Commission a 40S filing at such time of the Division of Market Oversight or
Futures Equivalency
and place as directed in the call. A 40S such other employee or employees as
filing shall consist of the submission of the Director may designate from time to The following examples illustrate how
a Form 40, which shall be completed by time, the authority: swaps should be converted into futures
(1) In § 20.5(a)(3) for issuing a special equivalents. In general the total notional
such person as if any references to
call for a 102S filing; quantity for each swap should be
futures or option contracts were apportioned to referent futures months based
references to paired swaps or swaptions (2) In § 20.5(b) for issuing a special
on the fraction of days remaining in the life
as defined in § 20.1. call for a 40S filing; of the swap during each referent futures
(3) In § 20.7 for providing instructions month to the total duration of the swap,
§ 20.6 Maintenance of books and records. or determining the format, coding measured in days. The terms used in the
(a) Every clearing organization shall structure, and electronic data examples are to be understood in a manner
keep all records of transactions in transmission procedures for submitting 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 Con-
tract (‘‘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 WTI futures contract is shown as the 22nd of 1,000 bbl = 1 futures contract
futures contract ceases on the third business the month. Therefore 600,000 bbls/1,000 bbls/contract =
day prior to the 25th of the calendar month Futures equivalent position on January 1 600 futures equivalent contracts
preceding the contract month. For simplicity Total number of days in swap term = 31 +
Total Notional Quantity = 6 months *
in this example, the last trading day in each 28 + 31 + 30 + 31 + 30 = 181
100,000 bbls/month = 600,000 bbls
FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1

Company A Company B
Dates swap in force Referent futures month Fraction of days position position
(long) † (short) †
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

† Contracts rounded to the nearest integer.
Futures equivalent position on January 2 1,000 bbl = 1 futures contract Total number of days = 30 + 28 + 31 + 30
Total Notional Quantity = Remaining swap Therefore 596,685 bbls/1,000 bbls/contract = + 31 + 30 = 180
term * 100,000 bbls/month = 596,685 597 futures equivalent contracts
bbls

[Example 1 continued]
Company A Company B
Dates swap in force Referent futures month Fraction of days position position
(long) † (short) †
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

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.
Notional Quantity ................................................. 1,000,000 bushels/month.
Last trading day in the nearby CBOT Corn are March, May, July, September, and 5,000 bushels = 1 futures contract
futures contract is the business day preceding December. Therefore 6,000,000 bushels/5,000 bushels/
the 15th of the contract month. For simplicity Futures equivalent position on January 1 contract = 1,200 futures equivalent
in this example, the last trading day in each contracts
Total Notional Quantity = 6 contract months
Corn futures contract is shown as the 14th of Total days = 31 + 28 + 31 + 30 + 31 + 30
* 1,000,000 bushels/month = 6,000,000
the month. Futures contract months for corn bushels = 181

Company A posi- Company B posi-
Dates swap in force Referent futures month Fraction of days tion tion
(long)† (short)†
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

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 busi-
ness day that it is determined during the contract month.
Calculation Period ............................................... One quarter.
Notional Quantity ................................................. 84 million gallons/quarter.
NYMEX NY RBOB (Platts) Calendar Swap Futures equivalent position on January 1 Therefore 168 million/42,000 gallons/futures
Futures Contract month ends on the final Total Notional Quantity = 2 quarters * 84 contract = 4,000 futures equivalent
business day of the contract month. For contracts
simplicity in this example, the last trading million = 168 million gallons
42,000 gallons = 1 futures contract Total number of days = 31 + 28 + 31 + 30
day in each futures contract is shown as the + 31 + 30 = 181
final day of the month.

Company A posi- Company B posi-
Dates swap in force Referent futures month Fraction of days tion tion
(long)† (short)†
January 1–March 31 .............................................. April ............................................. 90/181 1989 ¥1989

April 1–June 30 ...................................................... July .............................................. 91/181 2011 ¥2011
Total ................................................................ ..................................................... 181/181 4000 4000

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.
Notional Quantity ................................................. 100,000 bbls/month.
NYMEX WTI trading in the next to expire WTI futures contract is shown as the 22nd of 1,000 bbl = 1 futures contract
futures contract ceases on the third business the month. Therefore 600,000 bbls/1,000 bbls/contract =
day prior to the 25th of the calendar month Futures equivalent position on January 1 600 futures equivalent contracts
preceding the contract month. For simplicity Total number of days = 31 + 28 + 31 + 30
Total Notional Quantity = 6 months *
in this example, the last trading day in each + 31 + 30 = 181
100,000 bbls/month = 600,000 bbls

Applicable Company A Company B Applicable Company A Company B
Fraction of
Dates swap in force next to expire position position deferred fu- position Position
days futures month (long)† (short)† tures month (short)† (long)†
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
Total ................................... 181/181 ...................... 601 ¥601 ...................... ¥601 601

EXAMPLE 5—COLUMBIA GULF MAINLINE BASIS SWAP (PLATTS IFERC) FUTURES

Reference price ................................................... The next issue of the Inside FERC’s Gas Market Report (‘‘Platts IFERC’’) Columbia Gulf
Transmission Co. Mainline Index (‘‘Index’’) and the next to expire NYMEX (Henry Hub) Nat-
ural Gas Futures contract final settlement price.
Fixed Price .......................................................... $0.05 per MMBtu per month.
Floating Price ...................................................... The Floating Price for each contract month will be equal to the Platts Inside FERC’s Gas Mar-
ket Report (‘‘Platts IFERC’’) Columbia Gulf Transmission Co. Mainline Index (‘‘Index’’) pub-
lished in the table titled ‘‘Prices of Spot Gas Delivered to Pipelines’’ in the first regular issue
of the contract month minus the NYMEX (Henry Hub) Natural Gas Futures contract final
settlement price for the corresponding contract month.
Calculation Period ............................................... Monthly.
Notional Quantity ................................................. 10,000 MMBtu/calendar day.
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 Futures equivalent position on January 1 Therefore 310,000 MMBtu/10,000 MMBtu/
Contract trading ceases three business days Total Notional Quantity for each leg = 1 contract = 31 futures equivalent
prior to the first day of the delivery month. contracts
For simplicity in this example, the last month * 31 days/month * 10,000
MMBtu/day = 310,000 MMBtu Total number of days = 31
trading day in the futures contract is shown
as the 28th of the month. 10,000 MMBtu = 1 futures contract

Company A Company B
position in Company A position in Company B
Columbia position in Columbia position in
Referent Gulf NYMEX Gulf NYMEX
Fraction of
Dates swap in force futures Transmission (Henry Transmission (Henry
days month Co. mainline Hub) natural Co. mainline Hub) natural
natural gas gas futures natural gas gas futures
(long) (short) (short) (long)
MMBtu MMBtu
January 1–January 28 ......................................... 28/31 February ....... ††† ¥28 ††† 28

January 29–January 31 ....................................... 3/31 March ........... ...................... ¥3 ...................... 3
Total ............................................................. 31/31 ...................... ...................... ¥31 ...................... 31

††† 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.
EXAMPLE 6—WTI SWAPTION (CALL)—Continued

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.
Swap Term .......................................................... One month from July 1 to July 31 of the current year.
NYMEX WTI trading ceases on the third day in each WTI futures contract is shown as 1,000 bbl = 1 futures contract
business day prior to the 25th of the calendar the 22nd of the month. Therefore 100,000 bbls/1,000 bbls/contract =
month preceding the delivery month. For Futures equivalent position on January 1 100 futures equivalent contracts
simplicity in this example, the last trading Total number of days = 31
Total Notional Quantity = 1 month * 100,000
bbls/month = 100,000 bbls
GROSS POSITION ON JANUARY 1

Company A Company B
Dates swap in force Referent futures month Fraction of days position position (short)†
(long)†
July 1–July 22 ........................................................ August ......................................... 22/31 70 ¥70

July 23—July 31 ..................................................... September .................................. 9/31 29 ¥29
Total ................................................................ ..................................................... 31/31 99 99

DELTA †† ADJUSTED POSITION AND FUTURES EQUIVALENT POSITION ON JANUARY 1

August September
Date
Delta Position Delta Position
January 1 ......................................................................................... .2 14 .2 5
†† 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.
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.
Swap Term .......................................................... One month from July 1 to July 31 of the current year.
NYMEX WTI trading ceases on the third day in each WTI futures contract is shown as 1,000 bbl = 1 futures contract
business day prior to the 25th of the calendar the 22nd of the month. Therefore 100,000 bbls/1,000 bbls/contract =
month preceding the delivery month. For Futures equivalent position on January 1 100 futures equivalent contracts
simplicity in this example, the last trading Total number of days = 31
Total Notional Quantity = 1 month * 100,000
bbls/month = 100,000 bbls
GROSS POSITION ON JANUARY 1

Company A position Company B position
Referent futures Fraction of
Dates swap in force month days Call Put Call Put
July 1–July 22 ......................... August .................... 22/31 70.97 70.97 ¥70.97 ¥70.97
GROSS POSITION ON JANUARY 1—Continued

Company A position Company B position
Referent futures Fraction of
Dates swap in force month days Call Put Call Put
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† ADJUSTED POSITION ON JANUARY 1

August September
Date Long call Short put Long call Short put
Delta Position Delta Position Delta Position Delta Position
January 1 ......................................... .7 49 .3 ¥21 .7 20 .3 ¥8

† Deltas should be calculated in an economically reasonable and analytically supportable basis.
FUTURES EQUIVALENT POSITION ON JANUARY 1

August †† September ††
Date
Long Short Long Short
January 1 ......................................................................................... 70 0 28 0
†† Contracts rounded to the nearest integer.
Appendix B to Part 20—Explanatory (a) Reporting data records. For each therefore data record submissions do not
Guidance on Data Record Layouts reporting day, with respect to paired swaps have to be delineated by these account types.
or swaptions, clearing organizations shall However, if clearing members did have both
Record Layout Examples for § 20.3 report to the Commission, separately for each proprietary and customer accounts, then a
The following example (in Tables 1, 2 and clearing member’s proprietary and customer clearing organization would have to further
3) covers reporting for a particular clearing account, unique groupings of the data subdivide these clearing member data
elements in paragraph (b) of this section (to records by these two account types.
organization. ‘‘Clearing Organization One’’
the extent that there are such corresponding Clearing Member One currently has five
would report, for the 27th of September 2010, elements), in a single data record, so that
the following eleven unique data record positions with multiple cleared product IDs
each reported record is distinguishable from and futures equivalent months/years, and
submissions. Each data record submission every other reported record (because of
represents a unique position, as indicated by therefore these positions also constitute
differing data values, as opposed to the
§ 20.3, held by a clearing member of Clearing separate data records.
arrangement of the elements).
Organization One. Paragraph (a) of § 20.3 Clearing Member Two currently has six
(c) End of reporting day data. For all
positions with the following varying
broadly outlines the data elements that futures equivalent months, clearing
organizations shall report end of reporting characteristics: Cleared product IDs; futures
determine unique positions for reports on
day settlement prices for each cleared equivalent months/years; commodity
clearing member positions. Paragraphs (b) of reference prices; swaption positions that
§ 20.3 present all of the data elements that product and deltas for every unique swaption
put and call, expiration date, and strike involve both puts and calls; and multiple
should be submitted in reference to a strike prices. Accordingly, these positions
particular data record for a particular clearing price.
Because CFTC designated Clearing must be reported in separate data records. An
member (in Table 1). Paragraph (c) identifies illustration of how these records would
Organization One (in this example) currently
data elements that would comprise end of has two clearing members, ‘‘Clearing appear is included in Table 1 below. Clearing
day record data on cleared products (in Members One’’ and ‘‘Clearing Member Two.’’ Organization One would also have to report
Tables 2 and 3). Therefore, paragraphs (b) positions cleared for these two distinct the corresponding swaption position deltas,
and (c) of § 20.3 present all of the data clearing members would be subdivided. strike prices, expiration dates, and settlement
elements that should be submitted in In the following example it is assumed that prices and swap settlement prices. An
reference to a particular data record. the clearing member accounts are either illustration of these submissions is included
Paragraphs (a) and (c) are reproduced below. proprietary or customer (but not both) and in Tables 2 and 3 below.
TABLE 1—DATA RECORDS REPORTED UNDER PARAGRAPHS (a) AND (b) OF § 20.3
Clearing Proprietary/ Futures
CFTC Clearing
org Reporting customer equivalent
Data records clearing org cleared Commodity reference price
clearing day account month and
org ID product ID
member ID indicator year
Data record 1 ........................... CCI_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 ........................... CCI_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 ........................... CCI_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.
TABLE 1—DATA RECORDS REPORTED UNDER PARAGRAPHS (a) AND (b) OF § 20.3—Continued
Clearing Proprietary/ Futures
CFTC Clearing
org Reporting customer equivalent
Data records clearing org cleared Commodity reference price
clearing day account month and
org ID product ID
member ID indicator year
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.
Non-delta
Swaption adjusted
Long swap Short swap Put/call Swaption Non-delta adjusted short
Data records expiration long
position position indicator strike price swaption position
date swaption
position
Data record 1 .......................... 0 5000

Data record 2 .......................... 0 2000
Data record 3 .......................... C 7/29/2011 5.59 2000 0
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 difference in one of the elements constitutes
whether data elements for which any a reason for a new data record (NDR).
TABLE 2—EXAMPLE OF DATA RECORDS REQUIRED UNDER § 20.3(c) FOR CLEARED SWAPTION PRODUCTS
Futures Swaption
CFTC Clearing Swaption Swaption
Reporting equivalent Commodity ref- Put/call daily set-
Data records clearing org cleared expiration strike Delta
day month and erence price indicator tlement
org ID product ID date price
year price
Data record 1 ..................... CCI_ID_1 .. CP_02 ...... 9/27/2010 Nov–10 ..... NYMEX Henry 7/29/2011 5.59 ........ C ............ .5 ............ 6.25
Hub.
Data record 2 ..................... CCO_ID_1 CP_02 ...... 9/27/2010 Oct–10 ..... NYMEX Henry 7/29/2011 5.59 ........ C ............ .5 ............ 5.50
Hub.
Data record 3 ..................... CCI_ID_1 .. CP_02 ...... 9/27/2010 Nov–10 ..... NYMEX Henry 7/29/2011 5.50 ........ P ............. .2 ............ 4.53
Hub.
Data record 4 ..................... CCO_ID_1 CP_02 ...... 9/27/2010 Oct–10 ..... NYMEX Henry 7/29/2011 5.50 ........ P ............. .2 ............ 4.78
Hub.
TABLE 3—EXAMPLE OF DATA RECORDS REQUIRED UNDER § 20.3(c) FOR CLEARED SWAP PRODUCTS
Futures
Clearing org Commodity Swap daily
CFTC clear- equivalent
Data records cleared prod- Reporting day reference settlement
ing org ID month and
uct ID price price
year
Data record 1 ................................................. CCI_ID_1 ...... CP_04 .......... 9/27/2010 Nov–10 ......... C .................. 20.35
Data record 2 ................................................. CCO_ID_1 .... CP_04 .......... 9/27/2010 Oct–10 ......... C .................. 10.50
Data record 3 ................................................. CCO_ID_1 .... CP_03 .......... 9/27/2010 Mar–11 ......... P ................... 15.00
Data record 4 ................................................. CCO_ID_1 .... CP_03 .......... 9/27/2010 Feb–11 ......... P ................... 21.00
Data record 5 ................................................. CCO_ID_1 .... CP_01 .......... 9/27/2010 Mar–11 ......... P ................... 17.50
Data record 6 ................................................. CCO_ID_1 .... CP_01 .......... 9/27/2010 Feb–11 ......... P ................... 21.65
Data record 7 ................................................. CCO_ID_1 .... CP_01 .......... 9/27/2010 Jan–11 ......... P ................... 12.50
Record Layout Example for § 20.4 elements that determine unique positions; section (to the extent that there are such
In this example, ‘‘Reporting Entity One’’ paragraph (b) is reproduced below. corresponding elements), in a single data
(b) Reporting data records. Reporting record, so that each reported record is
would report for the 27th of September 2010,
entities shall report to the Commission, for distinguishable from every other reported
the following twelve unique data records each reporting day, and separately for each record (because of differing data values, as
under § 20.4. Each data record represents a consolidated account described in opposed to the arrangement of the elements).
unique part of a reportable position in the paragraphs (a)(1) through (a)(3) of this In the following example it is assumed that
same commodity held by Reporting Entity section that is reportable, unique groupings Reporting Entity One currently clears with
One. Paragraph (b) of § 20.4 outlines the data of the data elements in paragraph (c) of this one clearing organization and therefore the
data records do not have to be delineated by Reporting Entity One currently has twelve uncleared; commodity reference prices; and
clearing organization. However, if Reporting positions with the following varying whether the trade was entered into on or off
Entity One did use multiple clearing characteristics: account owners; account execution facilities. Accordingly, these
organizations, then it would have to further controllers; futures equivalent months/years; positions constitute separate data records. An
subdivide its data submissions by each clearing organization cleared products; illustration of how these records would
clearing organization. swaptions that were either cleared or appear is included in Table 4 below.
TABLE 4—EXAMPLE OF DATA RECORDS REPORTED UNDER § 20.4(C)

Reporting
Commission Account Clearing org
entity client 102S Owner 102S Account
Data records reporting controller Reporting day cleared
account ID Controller ID owner name
entity ID name product ID
number
Data record 1 ....................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_04
Data record 5 ....................................... CRE_ID_1 .. ACCT_3 ...... CONTROL_2 OWNER_1 .. XYZ Corp. .. FED Corp. .. 9/27/2010 ..... CP_03
Data record 6 ....................................... CRE_ID_1 .. ACCT_4 ...... CONTROL_2 OWNER_2 .. WVU Corp. FED Corp. .. 9/27/2010 ..... CP_03
Data record 8 ....................................... CRE_ID_1 .. ACCT_5 ...... CONTROL_1 OWNER_2 .. WVU Corp. ABC Corp. .. 9/27/2010 ..... CP_03
Data record 9 ....................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 .....
Data record 10 ..................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 .....
Data record 11 ..................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_01
Data record 12 ..................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_01
NDR Uncleared .................................... Yes ............. Yes ............. No ................. No .............. No ............... No ............... Yes ............... No
NDR Cleared ........................................ Yes ............. Yes ............. No ................. No ............... No ............... No .............. Yes ............... Yes
Futures Cleared/ CFTC Long Short

Commodity equivalent Execution
Data records uncleared clearing org Commodity reference price swap swap
code month and facility
indicator identifier position position
year
Data record 1 ............................ HO1 .......... Feb-11 ........ C ................... CCO_ID_1 .. Platts Oilgram Price Report for EX1 .......... 1989 ....... 0
New York No. 2 (Barge).
Data record 2 ............................ HO1 .......... Jan-11 ........ C ................... CCO_ID_1 .. Platts Oilgram Price Report for EX2 .......... 2011 ....... 0
New York No. 2 (Barge).
Data record 3 ............................ HO1 .......... Feb-11 ........ C ................... CCO_ID_1 .. NYMEX NY Harbor No. 2 ........ EX1 .......... 0 ............. 5000
Data record 4 ............................ CL ............ Jan-11 ........ C ................... CCO_ID_1 .. NYMEX NY Harbor No. 2 ........ EX3 .......... 0 ............. 2000
Data record 5 ............................ CL ............ Feb-11 ........ C ................... CCO_ID_1 .. NYMEX Light Sweet ................ EX1 .......... 5000 ....... 0
Data record 7 ............................ CL ............ Feb-11 ........ C ................... CCO_ID_1 .. NYMEX Light Sweet ................ EX7 .......... 429 ......... 1286
Data record 9 ............................ NG ............ Nov-10 ........ U ................... U ................. NYMEX Henry Hub .................. NOEX ....... ................
Data record 10 .......................... NG ............ Oct-10 ........ U ................... U ................. NYMEX Henry Hub .................. NOEX ....... ................
Data record 11 .......................... NG ............ Nov-10 ........ C ................... CCO_ID_1 .. NYMEX Henry Hub .................. EX1 .......... ................
Data record 12 .......................... NG ............ Oct-10 ........ C ................... CCO_ID_1 .. NYMEX Henry Hub .................. EX1 .......... ................
NDR Uncleared ........................ No ............ Yes ............. Yes ............... No .............. Yes ........................................... Yes ........... No .......... No
NDR Cleared ............................ No ............ Yes ............. Yes ............... Yes ............. No ............................................. Yes ........... No .......... No
Short
Non-delta Non-delta Delta Delta Long swap or swap or
Swaption adjusted adjusted adjusted adjusted
Put/call Swaption swaption swaption
Data records strike long short long short
indicator expiration date notional value notional
price swaption swaption swaption swaption position value
position position position position position
Data record 1 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 2 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 3 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 4 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 5 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 6 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 7 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 8 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................
Data record 9 ....................................... .................. ....................... ................ 2000 ......... 0 ............... 1000 ....... 0 ............. 111800000 ..... 0
Data record 10 ..................................... .................. ....................... ................ 18000 ....... 0 ............... 9000 ....... 0 ............. 1006200000 ... 0
Data record 11 ..................................... P ............... 7/29/2011 ...... 5.55 ........ 100 ........... 30 ............. 20 ........... 6 ............. ........................
Data record 12 ..................................... P ............... 7/29/2011 ...... 5.55 ........ 900 ........... 270 ........... 180 ......... 54 ........... ........................
NDR Uncleared ................................... No ............ Yes ................ No .......... No ............ No ............ No .......... No .......... No ................... No
NDR Cleared ....................................... Yes ........... Yes ................ Yes ......... No ............ No ............ No .......... No .......... No ................... No
Note: The bottom two rows in Table 4 Issued by the Commission this 19th day of Statement of Chairman Gary Gensler
indicate whether, for uncleared and cleared October 2010 in Washington, DC.
swaps and swaptions, data elements for Position Reports for Physical
David Stawick,
which any difference in one of the elements Commodity Swaps
Secretary of the Commission.
constitutes a reason for a new data record October 19, 2010
(NDR). Note: The following attachments will not
I support the proposed large trader
appear in the Code of Federal Regulations.
reporting rulemaking for physical
commodity swaps. The Commission
currently receives data on large
positions in all physical commodity interest in each market. Only then is the SUMMARY: The Commodity Futures
futures traded on DCMs and uses it for Commission able to properly consider Trading Commission (Commission or
market surveillance purposes, including the size of each market and calibrate a CFTC) is proposing rules to implement
position limit enforcement. With today’s limit that is appropriate for each market. new statutory provisions enacted by
proposed rule, we would have an Currently, the Commission does not Title VII of the Dodd-Frank Wall Street
analogous reporting system for swaps. have complete data and will not have Reform and Consumer Protection Act.
The proposal would require position complete data until swap data These proposed rules apply to the
reports on economically equivalent repositories are up and running and all review of swaps by the Commission to
swaps from clearing organizations, their swap market data is reported to swap determine whether the swaps are
members and swap dealers. This will data repositories or to the Commission. required to be cleared.
enable the CFTC to receive such data I believe that, optimistically, the earliest DATES: Submit comments on or before
until swap data repositories are in this reporting can happen will be by the January 3, 2011.
operation and capable of fulfilling the end of 2011. Again that is an optimistic
Commission’s need for this information. estimate. ADDRESSES: You may submit comments,
Because of the 180 and 270 day identified by RIN number, by any of the
Concurring Statement of Commissioner following methods:
Jill E. Sommers requirements in Dodd-Frank, as we sit
here today, the Commission is • Agency Web Site, via its Comments
Relating to the Commission’s Proposal tentatively planning a November 30 Online process: http://
on Position Reports for Physical public meeting to vote on proposed comments.cftc.gov. Follow the
Commodity Swaps and Swaptions speculative position limits for exempt instructions for submitting comments
October 19, 2010 and agricultural commodities. Mind through the Web site.
you, by November 30 the Commission • Mail: David A. Stawick, Secretary of
I support this proposal to receive will not have garnered any data from the the Commission, Commodity Futures
daily position reports for physical proposed rule we are discussing today, Trading Commission, Three Lafayette
commodity swaps and swaptions because it, or some modified version of Centre, 1155 21st Street, NW.,
because I believe it furthers our it, probably will not be effective in final Washington, DC 20581.
continued effort to expand transparency form by November 30. In addition, by
into swap markets and because I believe • Hand Delivery/Courier: Same as
November 30, swap data repositories mail above.
it is critical that the Commission receive
will still be at least one year away from • Federal eRulemaking Portal: http://
this information as soon as possible. I
operating. Even if the proposed rule we www.regulations.gov. Follow the
recognize that this proposal is a
are discussing today were effective by instructions for submitting comments.
precursor to the Commission moving
November 30, it will not provide
forward with a proposal on the All comments must be submitted in
complete information sufficient to
imposition of position limits. That said, English, or if not, accompanied by an
impose position limits.
my vote in support of this proposal Under these circumstances, when English translation. Comments will be
today should not in any way be considering the imposition of aggregate posted as received to http://
interpreted as expressing support for position limits on exempt and www.cftc.gov. You should submit only
moving forward with the imposition of agricultural commodities, I believe the information that you wish to make
position limits by the deadlines set forth Commission should find that imposing available publicly. If you wish the
in Dodd-Frank. such limits is not appropriate in the Commission to consider information
In July and August 2009, the that may be exempt from disclosure
absence of full and complete data and
Commission held three public hearings under the Freedom of Information Act,
analysis on the open interest in each
to discuss imposition of position limits a petition for confidential treatment of
market. I believe it is a mistake to
in energy markets. Five months later, in the exempt information may be
interpret the arbitrary 180 day and 270
January 2010, the Commission issued a submitted according to the established
day deadlines as somehow trumping the
proposed rule imposing position limits procedures in CFTC Regulation 145.9.1
requirement that the Commission make
in four enumerated energy contracts. I FOR FURTHER INFORMATION CONTACT:
an appropriateness determination before
had grave concerns about moving Eileen A. Donovan, Special Counsel,
imposing any position limits.
forward with position limits on those 202–418–5096, [email protected],
This is an issue that I will be
four contracts, and accordingly voted Division of Clearing and Intermediary
following closely, and I look forward to
against the proposal. My grave concerns Oversight, Commodity Futures Trading
hearing the views of the public and
about moving forward with position Commission, Three Lafayette Centre,
market participants on this issue.
limits have not been eased, and in fact, 1155 21st Street, NW., Washington, DC
have only been heighted by certain [FR Doc. 2010–27538 Filed 11–1–10; 8:45 am]
20581.
provisions of Dodd-Frank. BILLING CODE 6351–01–P
Section 737 of Dodd-Frank states that SUPPLEMENTARY INFORMATION:
the Commission shall by rule, I. Background
regulation, or order establish limits on COMMODITY FUTURES TRADING
the amount of positions, as appropriate, COMMISSION On July 21, 2010, President Obama
that may be held by any person. This signed the Dodd-Frank Wall Street
17 CFR Parts 39 and 140
section requires the limits to be Reform and Consumer Protection Act
aggregated across markets and related RIN 3038–AD00 (Dodd-Frank Act).2 Title VII of the
products and to be imposed within 180
days for energy and metals contracts, Process for Review of Swaps for 1 Commission regulations referred to herein are
and 270 days for agricultural contracts. Mandatory Clearing found at 17 CFR Ch. 1.
2 See Dodd-Frank Wall Street Reform and
In my view, no position limit is AGENCY: Commodity Futures Trading Consumer Protection Act, Public Law 111–203, 124
appropriate if it is imposed without the Commission. Stat. 1376 (2010). The text of the Dodd-Frank Act
benefit of receiving and fully analyzing may be accessed at http://www.cftc.gov./
ACTION: Notice of proposed rulemaking.
complete data concerning the open LawRegulation/OTCDERIVATIVES/index.htm.

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67258 Federal Register / Vol. 75, No.

211 / Tuesday, November 2, 2010 / Proposed Rules

traded on DCMs. However, there is no Stephen Sherrod, Acting Deputy

Option is indirectly linked to a 20.2

market and technological conditions for

report their positions as well as those of

contracts traded on a DCM and for recordkeeping burdens would not be

(10%). all firms in this category of to the Office of Information and

from the reporting requirements of

swap and swaption positions: (20) Long non-delta-adjusted paired

Floating Price Payer ............................................ Company B.

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1

January 1–January 22 .................................................. February ............................... 22/181 73 73

Total ....................................................................... .............................................. 181/181 601 601

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 2

January 2–January 22 ............................................ February ...................................... 21/180 70 ¥70

Total ................................................................ ..................................................... 180/180 597 ¥597

EXAMPLE 2—FIXED FOR FLOATING CORN SWAP

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1

January 1–March 14 .............................................. March .......................................... 73/181 483 ¥483

Total ................................................................ ..................................................... 181/181 1,198 ¥1,198

EXAMPLE 3—FIXED FOR FLOATING NY RBOB (PLATTS) CALENDAR SWAP FUTURES

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1

January 1–March 31 .............................................. April ............................................. 90/181 1989 ¥1989

Total ................................................................ ..................................................... 181/181 4000 4000

EXAMPLE 4—CALENDAR SPREAD SWAP

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1

Total ................................... 181/181 ...................... 601 ¥601 ...................... ¥601 601

EXAMPLE 5—COLUMBIA GULF MAINLINE BASIS SWAP (PLATTS IFERC) FUTURES

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1

January 1–January 28 ......................................... 28/31 February ....... ††† ¥28 ††† 28

Total ............................................................. 31/31 ...................... ...................... ¥31 ...................... 31

EXAMPLE 6—WTI SWAPTION (CALL)

Swaption Style .................................................... American.

EXAMPLE 6—WTI SWAPTION (CALL)—Continued

GROSS POSITION ON JANUARY 1

July 1–July 22 ........................................................ August ......................................... 22/31 70 ¥70

Total ................................................................ ..................................................... 31/31 99 99

DELTA †† ADJUSTED POSITION AND FUTURES EQUIVALENT POSITION ON JANUARY 1

EXAMPLE 7—WTI COLLAR SWAP

GROSS POSITION ON JANUARY 1

GROSS POSITION ON JANUARY 1—Continued

Total ................................. ................................. 31/31 100 100 ¥100 ¥100

COMPANY (A) DELTA† ADJUSTED POSITION ON JANUARY 1

Date Long call Short put Long call Short put

Delta Position Delta Position Delta Position Delta Position

January 1 ......................................... .7 49 .3 ¥21 .7 20 .3 ¥8

FUTURES EQUIVALENT POSITION ON JANUARY 1

Data record 1 .......................... 0 5000

TABLE 4—EXAMPLE OF DATA RECORDS REPORTED UNDER § 20.4(C)

Futures Cleared/ CFTC Long Short

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