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Code of Federal Regulations (Last Updated: July 5, 2024) |
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Title 17 - Commodity and Securities Exchanges |
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Chapter I - Commodity Futures Trading Commission |
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Part 20 - Large Trader Reporting for Physical Commodity Swaps |
Appendix B to Part 20 - Explanatory Guidance on Data Record Layouts
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Appendix B to Part 20 - Explanatory Guidance on Data Record Layouts
Record Layout Examples for § 20.3
The following example (in Tables 1, 2 and 3) covers reporting for a particular clearing organization. “Clearing Organization One” would report, for the 27th of September 2010, the following eleven unique data record submissions. Each data record submission represents a unique position, as indicated by § 20.3, held by a clearing member of Clearing Organization One. Paragraph (a) of § 20.3 broadly outlines the data elements that determine unique positions for reports on clearing member positions. Paragraphs (b) of § 20.3 present all of the data elements that should be submitted in reference to a particular data record for a particular clearing member (in Table 1). Paragraph (c) identifies data elements that would comprise end of day record data on cleared products (in Tables 2 and 3). Therefore, paragraphs (b) and (c) of § 20.3 present all of the data elements that should be submitted in reference to a particular data record.
Because CFTC designated Clearing Organization One (in this example) currently has two clearing members, “Clearing Member One” and “Clearing Member Two,” positions cleared for these two distinct clearing members would be subdivided.
In the following example it is assumed that the clearing member accounts are either proprietary or customer (but not both) and therefore data record submissions do not have to be delineated by these account types. However, if clearing members did have both proprietary and customer accounts, then a clearing organization would have to further subdivide these clearing member data records by these two account types.
Clearing Member One currently has five positions with multiple cleared product IDs and futures equivalent months/years, and therefore these positions also constitute separate data records.
Clearing Member Two currently has six positions with the following varying characteristics: Cleared product IDs; futures equivalent months/years; commodity reference prices; swaption positions that involve both puts and calls; and multiple strike prices. Accordingly, these positions must be reported in separate data records. An illustration of how these records would appear is included in Table 1 below. Clearing Organization One would also have to report the corresponding swaption position deltas, strike prices, expiration dates, and settlement prices and swap settlement prices. An illustration of these submissions is included in Tables 2 and 3 below.
Table 1 - Data Records Reported Under Paragraphs (a) and (b) of § 20.3
Data records CFTC clearing org ID Clearing org clearing member ID Clearing org cleared product ID Reporting day Proprietary/
customer
account indicatorFutures equivalent month and year Commodity reference price Data record 1 CCO__ID__1 CM__ID__2 CP__04 9/27/2010 C Nov-10 NYMEX NY Harbor No.2. Data record 2 CCO__ID__1 CM__ID__2 CP__04 9/27/2010 C Oct-10 NYMEX NY Harbor No.2. Data record 3 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Nov-10 NYMEX Henry Hub. Data record 4 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Oct-10 NYMEX Henry Hub. Data record 5 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Nov-10 NYMEX Henry Hub. Data record 6 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Oct-10 NYMEX Henry Hub. Data record 7 CCO__ID__1 CM__ID__1 CP__03 9/27/2010 P Mar-11 NYMEX Light Sweet. Data record 8 CCO__ID__1 CM__ID__1 CP__03 9/27/2010 P Feb-11 NYMEX Light Sweet. Data record 9 CCO__ID__1 CM__ID__1 CP__01 9/27/2010 P Mar-11 NYMEX Light Sweet. Data record 10 CCO__ID__1 CM__ID__1 CP__01 9/27/2010 P Feb-11 NYMEX Light Sweet. Data record 11 CCO__ID__1 CM__ID__1 CP__01 9/27/2010 P Jan-11 NYMEX Light Sweet. NDR Yes Yes Yes Yes Yes Yes No. Data records Long swap position Short swap position Put/call indicator Swaption expiration date Swaption strike price Non-delta adjusted long swaption position Non-delta adjusted short 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 whether data elements for which any difference in one of the elements constitutes a reason for a new data record (NDR).
Table 2 - Example of Data Records Required Under § 20.3(c) for Cleared Swaption Products
Data records CFTC clearing org ID Clearing org cleared product ID Reporting day Futures equivalent month and year Commodity reference price Swaption expiration
dateSwaption strike price Put/call indicator Delta Swaption daily settlement price Data record 1 CCO__ID__1 CP__02 9/27/2010 Nov-10 NYMEX Henry Hub 7/29/2011 5.59 C .5 6.25 Data record 2 CCO__ID__1 CP__02 9/27/2010 Oct-10 NYMEX Henry Hub 7/29/2011 5.59 C .5 5.50 Data record 3 CCO__ID__1 CP__02 9/27/2010 Nov-10 NYMEX Henry Hub 7/29/2011 5.50 P .2 4.53 Data record 4 CCO__ID__1 CP__02 9/27/2010 Oct-10 NYMEX Henry Hub 7/29/2011 5.50 P .2 4.78 Table 3 - Example of Data Records Required Under § 20.3(c) for Cleared Swap Products
Data records CFTC clearing org ID Clearing org cleared product ID Reporting day Futures equivalent month and year Commodity reference price Swap daily settlement price Data record 1 CCO__ID__1 CP__04 9/27/2010 Nov-10 NYMEX NY Harbor No. 2 20.35 Data record 2 CCO__ID__1 CP__04 9/27/2010 Oct-10 NYMEX NY Harbor No. 2 10.50 Data record 3 CCO__ID__1 CP__03 9/27/2010 Mar-11 NYMEX Light Sweet 15.00 Data record 4 CCO__ID__1 CP__03 9/27/2010 Feb-11 NYMEX Light Sweet 21.00 Data record 5 CCO__ID__1 CP__01 9/27/2010 Mar-11 NYMEX Light Sweet 17.50 Data record 6 CCO__ID__1 CP__01 9/27/2010 Feb-11 NYMEX Light Sweet 21.65 Data record 7 CCO__ID__1 CP__01 9/27/2010 Jan-11 NYMEX Light Sweet 12.50 First Record Layout Example for § 20.4:
This first example shows the data records generated under § 20.4 by a single reporting firm for report date September 27, 2011. Each data record represents a unique part of a reportable position in heating oil and natural gas by the reporting entity and its counterparties. Paragraph (b) of § 20.4 outlines the data elements that determine unique positions.
In this example, the reporting entity clears with one clearing organization and therefore the data records do not have to be delineated by clearing organization (there is a reportable position stemming from an uncleared transaction included as well). However, if the reporting entity in this example used multiple clearing organizations, then it would have to further subdivide its data submissions by each clearing organization.
The reporting entity reports fifteen records; six principal positions and nine counterparty positions. The reported positions constitute separate data records because they vary by the following characteristics: swap counterparties; futures equivalent months/years; clearing organization cleared products; swaptions that were either cleared or uncleared; commodity reference prices; and whether the trade was entered into on or off execution facilities. An illustration of how these records would be reported is included in Table 4 below.
For the calculation of notional values, assume for simplicity that the price of heating oil, for all contract months and for both reference prices, is $3/gal. Similarly, assume that the price of natural gas for all contract months is $4.25/MMBtu.
Note:The bottom two rows in Table 4 indicate whether, for uncleared and cleared swaps and swaptions, data elements for which any difference in one of the elements constitutes a reason for a new data record (NDR).
Table 4 - Example of Data Records Reported Under § 20.4(c)
Data records Commission reporting entity ID Principal/counterparty position indicator 102S Swap counterparty ID Counterparty name Reporting day Clearing org
cleared
product IDCommodity code Futures
equivalent month and yearData record 1 CRE__ID__1 PRIN 9/27/2011 CPID__05 HO Jan-12 Data record 2 CRE__ID__1 COUNT CP__01 Energy Firm 1 9/27/2011 CPID__05 HO Jan-12 Data record 3 CRE__ID__1 COUNT CP__02 Energy Firm 2 9/27/2011 CPID__05 HO Jan-12 Data record 4 CRE__ID__1 PRIN 9/27/2011 CPID__04 HO Feb-12 Data record 5 CRE__ID__1 COUNT CP__03 Energy Firm 3 9/27/2011 CPID__04 HO Feb-12 Data record 6 CRE__ID__1 PRIN 9/27/2011 CPID__04 HO Mar-12 Data record 7 CRE__ID__1 COUNT CP__04 ABC__Firm 9/27/2011 CPID__04 HO Mar-12 Data record 8 CRE__ID__1 PRIN 9/27/2011 CDIP__07 NG Mar-12 Data record 9 CRE__ID__1 COUNT CP__05 XYZ__Firm 9/27/2011 CDIP__07 NG Mar-12 Data record 10 CRE__ID__1 COUNT CP__06 WVU__Firm 9/27/2011 CDIP__07 NG Mar-12 Data record 11 CRE__ID__1 COUNT CP__01 Energy__Firm__1 9/27/2011 CDIP__07 NG Mar-12 Data record 12 CRE__ID__1 PRIN 9/27/2011 CDIP__07 NG Mar-12 Data record 13 CRE__ID__1 COUNT CP__07 MNO__Firm 9/27/2011 CDIP__07 NG Mar-12 Data record 14 CRE__ID__1 PRIN 9/27/2011 UNCL NG Jan-12 Data record 15 CRE__ID__1 COUNT CP__02 Energy Firm 2 9/27/2011 UNCL NG Jan-12 NDR Uncleared Yes Yes Yes No Yes N/A No Yes NDR Cleared Yes Yes Yes No Yes Yes No Yes Data records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position Data record 1 C CCO__ID__1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 200 Data record 2 C CCO__ID__1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 50 Data record 3 C CCO__ID__1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 150 Data record 4 C CCO__ID__1 NYMEX NY Harbor No.2 EX2 350 Data record 5 C CCO__ID__1 NYMEX NY Harbor No.2 EX2 350 Data record 6 C CCO__ID__1 NYMEX NY Harbor No.2 EX1 100 Data record 7 C CCO__ID__1 NYMEX NY Harbor No.2 EX1 100 Data record 8 C CCO__ID__1 NYMEX Henry Hub EX3 200 100 Data record 9 C CCO__ID__1 NYMEX Henry Hub EX3 125 Data record 10 C CCO__ID__1 NYMEX Henry Hub EX3 75 Data record 11 C CCO__ID__1 NYMEX Henry Hub EX3 100 Data record 12 C CCO__ID__1 NYMEX Henry Hub EX1 Data record 13 C CCO__ID__1 NYMEX Henry Hub EX1 Data record 14 U U NYMEX Henry Hub NOEX Data record 15 U U NYMEX Henry Hub NOEX NDR Uncleared Yes N/A Yes Yes No No NDR Cleared Yes Yes No Yes No No Data records Put/call
indicatorSwaption
expiration dateSwaption strike price Non-delta adjusted long swaption position Non-delta adjusted short swaption position Delta
adjusted long swaption positionDelta
adjusted short swaption positionLong swap or swaption
notional value
positionShort swap or swaption
notional value
positionData record 1 $25,200,000 Data record 2 $6,300,000 Data record 3 $18,900,000 Data record 4 $44,100,000 Data record 5 $44,100,000 Data record 6 $12,600,000 Data record 7 $12,600,000 Data record 8 $8,500,000 $4,250,000 Data record 9 $5,312,500 Data record 10 $3,187,500 Data record 11 $4,250,000 Data record 12 C 2/27/2012 4.00 100 80 $3,400,000 Data record 13 C 2/27/2012 4.00 100 80 $3,400,000 Data record 14 C 12/27/2011 4.25 100 95 $4,037,500 Data record 15 C 12/27/2011 4.25 100 95 $4,037,500 NDR Uncleared Yes Yes Yes No No No No No No NDR Cleared Yes Yes Yes No No No No No No Second Record Layout Example for § 20.4:
In this second example, the data records generated by § 20.4(c) are displayed for a hypothetical swap, as detailed in Example 1 of appendix A. In contrast to the above example, this second example of a § 20.4(c) data record is simplistic in that it displays a situation where the position records arise from a single swap transaction, in one commodity, with a single counterparty.
For the sake of this example, assume the swap dealer gained long exposure from the swap, and that the swap was cleared. The price of crude is assumed to be $100/bbl for all contract months on January 1 and $95/bbl for all contract months on January 2. An illustration of the data records generated for January 1, 2011 and January 2, 2011 as a result of this hypothetical swap can be found in Tables 5 and 6, respectively.
Table 5 - Example of Data Records Reported Under § 20.4(c) for January 1, 2011 (Appx A, Example 1)
Data records Commission reporting entity ID Principal/counterparty position indicator 102S swap counterparty ID Counterparty Name Reporting day Clearing org
cleared
product IDCommodity code Futures equivalent month and year Data record 1 SD__1 PRIN 1/1/2011 CPID__03 CL Feb-11 Data record 2 SD__1 PRIN 1/1/2011 CPID__03 CL Mar-11 Data record 3 SD__1 PRIN 1/1/2011 CPID__03 CL Apr-11 Data record 4 SD__1 PRIN 1/1/2011 CPID__03 CL May-11 Data record 5 SD__1 PRIN 1/1/2011 CPID__03 CL Jun-11 Data record 6 SD__1 PRIN 1/1/2011 CPID__03 CL Jul-11 Data record 7 SD__1 PRIN 1/1/2011 CPID__03 CL Aug-11 Data record 8 SD__1 COUNT CP__01 Firm____1 1/1/2011 CPID__03 CL Feb-11 Data record 9 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Mar-11 Data record 10 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Apr-11 Data record 11 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL May-11 Data record 12 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Jun-11 Data record 13 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Jul-11 Data record 14 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Aug-11 Data records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long
swap positionShort
swap positionData record 1 C CCO__ID__1 NYMEX Light Sweet EX1 73 Data record 2 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 3 C CCO__ID__1 NYMEX Light Sweet EX1 93 Data record 4 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 5 C CCO__ID__1 NYMEX Light Sweet EX1 99 Data record 6 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 7 C CCO__ID__1 NYMEX Light Sweet EX1 27 Data record 8 C CCO__ID__1 NYMEX Light Sweet EX1 73 Data record 9 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 10 C CCO__ID__1 NYMEX Light Sweet EX1 93 Data record 11 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 12 C CCO__ID__1 NYMEX Light Sweet EX1 99 Data record 13 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 14 C CCO__ID__1 NYMEX Light Sweet EX1 27 Data records Put/call indicator Swaption expiration date Swaption strike price Non-delta adjusted long swaption position Non-delta adjusted short swaption position Delta adjusted long swaption position Delta adjusted long swaption position Long swap or swaption notional value position Short swap or swaption notional value position Data record 1 $7,300,000 Data record 2 $10,300,000 Data record 3 $9,300,000 Data record 4 $10,300,000 Data record 5 $9,900,000 Data record 6 $10,300,000 Data record 7 $2,700,000 Data record 8 $7,300,000 Data record 9 $10,300,000 Data record 10 $9,300,000 Data record 11 $10,300,000 Data record 12 $9,900,000 Data record 13 $10,300,000 Data record 14 $2,700,000 Table 6 - Example of Data Records Reported Under § 20.4(c) for January 2, 2011 (Appx A, Example 1)
Data records Commission reporting entity ID Principal/counterparty position indicator 102S Swap counterparty ID Counterparty name Reporting day Clearing org
cleared
product
IDCommodity code Futures equivalent month and year Data record 1 SD__1 PRIN 1/2/2011 CPID__03 CL Feb-11 Data record 2 SD__1 PRIN 1/2/2011 CPID__03 CL Mar-11 Data record 3 SD__1 PRIN 1/2/2011 CPID__03 CL Apr-11 Data record 4 SD__1 PRIN 1/2/2011 CPID__03 CL May-11 Data record 5 SD__1 PRIN 1/2/2011 CPID__03 CL Jun-11 Data record 6 SD__1 PRIN 1/2/2011 CPID__03 CL Jul-11 Data record 7 SD__1 PRIN 1/2/2011 CPID__03 CL Aug-11 Data record 8 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Feb-11 Data record 9 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Mar-11 Data record 10 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Apr-11 Data record 11 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL May-11 Data record 12 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Jun-11 Data record 13 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Jul-11 Data record 14 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Aug-11 Data records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position Data record 1 C CCO__ID__1 NYMEX Light Sweet EX1 70 Data record 2 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 3 C CCO__ID__1 NYMEX Light Sweet EX1 93 Data record 4 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 5 C CCO__ID__1 NYMEX Light Sweet EX1 99 Data record 6 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 7 C CCO__ID__1 NYMEX Light Sweet EX1 27 Data record 8 C CCO__ID__1 NYMEX Light Sweet EX1 70 Data record 9 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 10 C CCO__ID__1 NYMEX Light Sweet EX1 93 Data record 11 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 12 C CCO__ID__1 NYMEX Light Sweet EX1 99 Data record 13 C CCO__ID__1 NYMEX Light Sweet EX1 103 Data record 14 C CCO__ID__1 NYMEX Light Sweet EX1 27 Data records Put/call indicator Swaption expiration date Swaption strike price Non-delta adjusted long swaption position Non-delta adjusted short swaption position Delta adjusted long swaption position Delta adjusted long swaption position Long swap or swaption notional value position Short swap or swaption notional value position Data record 1 $6,650,000 Data record 2 $9,785,000 Data record 3 $8,835,000 Data record 4 $9,785,000 Data record 5 $9,405,000 Data record 6 $9,785,000 Data record 7 $2,565,000 Data record 8 $6,650,000 Data record 9 $9,785,000 Data record 10 $8,835,000 Data record 11 $9,785,000 Data record 12 $9,405,000 Data record 13 $9,785,000 Data record 14 $2,565,000