[Federal Register Volume 76, Number 141 (Friday, July 22, 2011)]
[Rules and Regulations]
[Pages 43851-43874]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-18054]


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COMMODITY FUTURES TRADING COMMISSION

17 CFR Parts 15 and 20

RIN 3038-AD17


Large Trader Reporting for Physical Commodity Swaps

AGENCY: Commodity Futures Trading Commission.

ACTION: Final rules.

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SUMMARY: The Commission is adopting reporting regulations (``Reporting 
Rules'') that require physical commodity swap and swaption (for ease of 
reference, collectively ``swaps'') reports. The new regulations require 
routine position reports from clearing organizations, clearing members 
and swap dealers and also apply to reportable swap trader positions.

DATES: Effective Dates: This rulemaking shall become effective 
September 20, 2011.

FOR FURTHER INFORMATION CONTACT: Bruce Fekrat, Senior Special Counsel, 
Office of the Director, (202) 418-5578, [email protected], or Ali 
Hosseini, Attorney-Advisor, Office of the Director, (202) 418-6144, 
[email protected], Division of Market Oversight, Commodity Futures 
Trading Commission, Three Lafayette Centre, 1155 21st Street, NW., 
Washington, DC 20581.

SUPPLEMENTARY INFORMATION: 

I. Background and Summary of Comments

A. Background

    On November 2, 2010, the Commission proposed Reporting Rules that, 
in addition to establishing recordkeeping requirements, require routine 
swaps position reports from clearing organizations, clearing members 
and swap dealers and apply non-routine reporting requirements to large 
swaps traders.\1\ The Reporting Rules, as finalized and adopted herein, 
will allow the Commission to administer its regulatory responsibilities 
under the Commodity Exchange Act (``CEA or Act'') by implementing and 
conducting effective surveillance of economically equivalent physical 
commodity futures, options and swaps. The Reporting Rules will directly 
support the Commission's transparency initiatives such as its 
dissemination of Commitments of Traders and Index Investment Data 
Reports and will allow the Commission to monitor compliance with the 
trading requirements of the Act.\2\
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    \1\ 75 FR 67258, November 2, 2010. Comments and ex parte 
communications list available at http://comments.cftc.gov/PublicComments/CommentList.aspx?id=889.
    \2\ See 76 FR 4752, January 26, 2011.
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    The Commission currently receives and uses for market surveillance 
and enforcement purposes, data on large positions in all physical 
commodity futures and option contracts traded on designated contract 
markets (``DCMs''). Without the Reporting Rules, there would be no 
analogous reporting system in place for economically equivalent swaps, 
which until recently were largely unregulated financial contracts. The 
Reporting Rules, as discussed below, are reasonably necessary for the 
effective surveillance of economically equivalent futures and swaps.

B. Proposed Reporting Rules Summary of Comments

    The Commission received approximately 130 comment letters, and 
engaged in several ex parte communications, for the proposed Reporting 
Rules. The Commission has carefully reviewed and considered the 
submitted comments. Substantive comments pertinent to specific 
provisions in the rulemaking are summarized and discussed below and in 
other sections of this notice.
    The National Futures Association (``NFA'') submitted a comment \3\ 
suggesting that its issuance of trader identifications should be a part 
of the position reporting process. Although beyond the scope of this 
rulemaking as proposed, the Commission may review the feasibility of 
adopting such an approach as a part of its ongoing updating and 
revision of other transaction and position reporting requirements.
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    \3\ Letter from Thomas W. Sexton, Senior Vice President and 
General Counsel, NFA, to David A. Stawick, Secretary, CFTC (December 
2, 2010).
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    The Air Transport Association (``ATA''), Better Markets Inc. 
(``Better Markets''), the Petroleum Marketers Association of America 
(``PMAA'') and New England Fuel Institute (``NEFI''), and Robert Pollin 
and James Heintz of the Political Economy Research Institute

[[Page 43852]]

(``PERI'') indicated support for the proposed regulations.\4\ ATA 
supported the proposal as a practical solution to the Commission's 
current lack of swaps position data. Better Markets stated its support 
for the use of futures equivalence and the assembly of data based on 
price relationships. PMAA and NEFI argued the regulations will provide 
for a solid foundation for position limits.
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    \4\ Letter from David A. Berg, Vice President and General 
Counsel, ATA, to David A. Stawick, Secretary, CFTC (December 2, 
2010); letter from Dennis M. Kelleher, President & CEO, and Wallace 
C. Turbeville, Derivatives Specialist, Better Markets Inc., to David 
A. Stawick, Secretary, CFTC (December 2, 2010); letter from Dan 
Gilligan, President, PMAA, and Shane Sweet, President & CEO, NEFI, 
to David A. Stawick, Secretary, CFTC (December 2, 2010); and letter 
from Robert Pollin, Professor of Economics and Co-Director, and 
James Heintz, Associate Research Professor and Associate Director, 
PERI, to David A. Stawick, Secretary, CFTC (December 2, 2010).
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    Bindicap Comster, the Futures Industry Association (``FIA'') and a 
working group of commercial energy firms (``Working Group''), 
meanwhile, opposed the proposed regulations,\5\ arguing that an 
expanded special call reporting mechanism, similar to the special call 
that the Commission has issued to support its Index Investment Data and 
Commitments of Traders Reports, would be a better alternative to the 
proposed regulations while remaining consistent with the requirements 
of the Act.\6\ The Commission notes that its current special call for 
Index Investment Data Reports is a targeted collection of data. It 
gathers information related to specific products from a limited set of 
market participants. The special call was not intended to function as a 
tool for general market surveillance, including compliance with section 
4a of the Act. In order to be able to gather data of the quality needed 
to conduct market surveillance the special call would have to undergo 
substantial modifications, such as requiring much more granular data by 
counterparty in a data stream on or close to a next-day basis, which in 
effect would convert it into the Reporting Rules.
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    \5\ Letter from Bindicap Comster to David A. Stawick, Secretary, 
CFTC (December 2, 2010); letter from John M. Damgard, President, 
FIA, to David A. Stawick, Secretary, CFTC (December 2, 2010); and 
letter from R. Michael Sweeney Jr., David T. McIndoe, and Mark W. 
Menezes, Counsel for the Working Group, to David A. Stawick, 
Secretary, CFTC (December 2, 2010).
    \6\ The Commission conducts its current special call pursuant to 
Commission regulation 18.05. Swap dealers and index traders that 
receive a special call file monthly reports with the Commission 
within five business days after the end of the month.
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    FIA and the Working Group also questioned whether the Commission 
has sufficient authority to adopt such regulations. FIA argued that the 
Commission's authority is not clear because of the CEA section 2(h) 
reporting exemption for swaps on exempt commodities. The Working Group 
argued that the proposal is not required by the Dodd-Frank Act and that 
it is not necessary to comply with CEA section 4a(a)(1). The Commission 
has requisite statutory authority for the Reporting Rules based on CEA 
sections 4a, 4t and 8a(5). Specifically, section 4a of the CEA, as 
amended by the Dodd-Frank Act, directs the Commission to establish 
position limits, as appropriate, for physical commodity swaps.\7\ 
Section 737 of the Dodd-Frank Act, which amended section 4a to direct 
the Commission to impose these limits, became effective on the date of 
enactment of the Dodd-Frank Act--i.e., July 21, 2010. Section 8a(5) of 
the CEA authorizes the Commission to promulgate such regulations as, in 
the judgment of the Commission, are reasonably necessary to effectuate 
any of the provisions or to accomplish any of the purposes of the CEA. 
In the Commission's judgment, the Reporting Rules are reasonably 
necessary to implement the statutory mandate in section 4a for the 
Commission to establish position limits, as appropriate, on an 
expedited basis.
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    \7\ Section 754 of the Dodd-Frank Act provides that, unless 
otherwise provided, the provisions of subtitle A of Title VII 
``shall take effect on the later of 360 days after the date of the 
enactment of this subtitle or, to the extent a provision of this 
subtitle requires a rulemaking, not less than 60 days after 
publication of the final rule or regulation implementing such 
provisions of this subtitle.'' CEA section 4a, as amended by Dodd-
Frank section 737, requires the Commission to establish position 
limits for exempt commodities within 180 days after the date of 
enactment, and position limits for agricultural commodities within 
270 days after the date of enactment. The Commission is proceeding 
deliberatively to meet this Congressional mandate. As previously 
noted, on November 2, 2010, the Commission proposed these Reporting 
Rules, and on January 26, 2011, the Commission proposed position 
limits, including aggregate limits, for 28 major physical commodity 
DCM contracts and economically equivalent swaps.
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    In addition, section 4t of the Act authorizes the Commission to 
establish a large trader reporting system for significant price 
discovery function swaps, of which economically equivalent swaps are a 
subset. Swaps position reports are a necessary component of an 
effective surveillance program. Accordingly, the Commission is adopting 
the subject swap reporting requirements pursuant to its authority in 
sections 4a and 4t of the CEA, as described above.
    With regard to the future establishment of swap data repositories 
(``SDRs'') and whether the Commission should wait for SDRs to provide 
swaps position data instead of adopting the regulations, ATA argued 
that the Commission should proceed with the regulations and not wait 
for SDRs to become operational. FIA and the Working Group, on the other 
hand, argued that the future role of SDRs makes adoption of the 
regulations unnecessary. The Commission has determined that the 
Reporting Rules are reasonably necessary for several reasons. It is 
likely that physical commodity SDRs will require the most time to 
become operational since, unlike for swaps in the interest rate, equity 
and credit default asset categories, there currently is no functional 
and accepted data repository for swaps in the energy, metal or 
agricultural commodity asset categories. In addition, even after SDRs 
have been established, because they are fundamentally transaction 
repositories, it may be a considerable time before SDRs are able to 
reliably convert transaction data into positional data. Thus, in view 
of the considerable time before physical commodity swap SDRs are likely 
to be operational and have the ability to convert transactions to 
positions, the Commission has determined to adopt the Reporting Rules. 
In order to address concerns raised about the possibility of redundant 
regulatory obligations, however, the Reporting Rules do include, in 
final regulation 20.9, a sunset provision.
    Better Markets, FIA and the Working Group, as well as a not-for-
profit electric end-user coalition (``Electric End User 
Coalition''),\8\ argued that the proposed regulations should not be 
adopted by the Commission until regulations defining the terms ``swap 
dealer'' and ``swap'' are adopted first. As further explained below, 
the Commission has determined to tie the compliance date of the 
regulations for swap dealers that are not clearing members to the 
effective date of the ``swap dealer'' definition final rulemaking.\9\ 
With regard to the ``swap'' definition, the Commission has determined 
to utilize, on a transitional basis and until final definitional 
regulations become effective, a definition of ``swap'' that is based on 
the

[[Page 43853]]

reference to ``commodity swap'' within the definition of ``swap 
agreement'' in part 35 of the Commission's regulations. Swap market 
participants have relied on the definition of ``swap agreement'' for 
exempting transactions from the CEA since 1993. As a result, market 
participants have an understanding of the general nature of the 
definition of commodity swap. The swaps that would be subject to the 
Reporting Rules would be the same under both definitions.
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    \8\ Letter from Russell Wasson, Director, Tax, Finance and 
Accounting Policy, National Rural Electric Cooperative Association, 
Susan N. Kelly, Senior Vice President of Policy Analysis and General 
Counsel, American Public Power Association, and Noreen Roche-Carter, 
Chair, Tax & Finance Task Force, Large Public Power Council, to 
David A. Stawick, Secretary, CFTC (December 2, 2010).
    \9\ Further Definition of ``Swap Dealer,'' ``Security-Based Swap 
Dealer,'' ``Major Swap Participant,'' ``Major Security-Based Swap 
Participant'' and ``Eligible Contract Participant,'' 75 FR 80174, 
December 21, 2010.
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    With regard to the definition of ``reporting entity,'' FIA and the 
Working Group argued that it is overly broad. Bindicap Comster argued 
that the definition is appropriate. In the Commission's judgment, the 
Reporting Rules have been narrowly tailored to obtain the information 
reasonably necessary from clearing organizations, clearing members and 
swap dealers in order to implement and conduct an effective initial 
surveillance program for swaps.
    With regard to the proposed definition of ``paired swaps,'' the 
Working Group argued that it would not always appropriately capture the 
concept of economic equivalence because, for example, different 
delivery locations may have periods of high correlation followed by 
periods where such correlations break down. Better Markets argued that 
it was too narrow because it did not consider criteria such as market 
hedging practices, margin netting offered by clearing organizations or 
historical price correlation. The proposed regulations identified three 
categories of swaps that would be economically equivalent to DCM 
contracts and thereby subject to reporting under the proposed rules: 
(1) Swaps directly or indirectly linked to the price of a referenced 
DCM contract; (2) swaps directly or indirectly linked to the price of 
the same commodity for delivery at the same location as that of a 
referenced DCM contract; and (3) swaps based on the same commodity as 
that of a referenced DCM contract which are deliverable at different 
locations that nonetheless have the same supply and demand fundamentals 
as the referenced DCM contract's delivery point. The first two 
categories of the definition of economically equivalent swaps are 
appropriately tailored and objectively defined, do not require case by 
case Commission analysis, and would provide sufficient data for the 
Commission to meet its responsibility under sections 4a and 4t of the 
Act. To further the objectives of clear applicability of the 
regulations and the submission of accurate reports, as well as to lower 
the burden on reporting entities by limiting the set of reportable 
swaps, the Commission has amended the definition to remove the third 
category.
    With regard to the reporting mechanics and data fields of the 
proposed regulations, Better Markets suggested additional reporting 
fields, arguing that reporting entities should be required to specify 
their role with respect to the execution of reported trades and that 
clearing organizations should be required to report net position 
information as well as gross positions and delta values. The Commission 
has determined that the data fields specified in the regulations will 
provide the Commission with sufficient data to begin its initial 
surveillance of the swaps markets for physical commodities, while 
minimizing the burden on reporting entities. Such identification data, 
including trader categorization, will be collected in 102S and 40S 
filings which include other trader identifying information and are 
submitted to the Commission much less frequently than positional data. 
The Commission can later broaden the scope of the reporting 
requirements or frequency of reporting identifying data if necessary 
based on its administrative experience.
    The final Reporting Rules do, however, harmonize the data fields 
required to be reported by swap dealers for cleared and non-cleared 
swaptions. As proposed, certain fields were required for cleared 
swaptions that were not required for non-cleared swaptions and vice-
versa. Although certain data fields may be more relevant for cleared or 
non-cleared swaptions, the harmonization of required data fields will 
simplify the reporting of swaptions and thereby will likely decrease 
(and not increase) any burden associated with reporting swaptions under 
the Reporting Rules as finalized.
    FIA argued that reporting entities' trade capture systems are not 
readily adaptable to the data fields specified in the proposed 
regulations. It also argued that data for cleared swaps should only be 
submitted by clearing members in order to prevent double counting. The 
reporting of cleared positions by swap dealers and clearing members was 
intentionally incorporated into the regulations. As with the collection 
of any data, there is a need to verify submitted information.
    FIA also argued that reporting entities, because certain 
counterparty data may not be available to them or organized as 
described by the Reporting Rules, should only be required to report 
their positions and the names of counterparties, not all the specified 
data related to consolidated accounts in the proposed regulations.
    The Commission has amended the proposed regulations, which 
initially required a reporting entity to identify information about the 
controller of a reportable account, to partially address this concern 
by requiring that data be provided by a clearing member's or swap 
dealer's direct legal counterparty. Data is no longer required to be 
provided by account controller. In addition, the final Reporting Rules 
do not require reporting by actual swap and swaption accounts. All of 
these amendments will serve to streamline the reporting process while 
preserving the Commission's regulatory interests.
    With regard to the reporting threshold of futures equivalent 
contracts for economically equivalent swaps, Better Markets suggested 
that the threshold reporting level should be 25 contracts instead of 
the 50-contract threshold specified in the proposed regulations. 
Bindicap Comster stated that the threshold reporting level of 50 
contracts is generally suitable while the FIA stated that the threshold 
reporting level for a particular swap should depend upon its liquidity.
    The Commission determined the 50-contract threshold for reporting 
based on industry inquiries regarding a reporting level that would make 
95% of the economically equivalent swaps markets visible to the 
Commission. In order to streamline reporting and give reporting 
entities the option of avoiding a complex reporting level calculation, 
however, the final Reporting Rules allow reporting entities to deem a 
reporting level of one or more swaps to be a reportable position. Thus 
the final Reporting Rules allow reporting entities the option of not 
conducting any potentially complex or costly reporting threshold 
analysis prior to transmitting reports to the Commission.
    The Commission is aware that a reporting level of one contract 
could potentially expand the Reporting Rules' books and records 
obligations to additional swap market participants. Therefore, final 
regulation 20.6 applies a books and records requirement to swap 
counterparties only if such persons' swaps positions meet or exceed a 
simplified 50 futures contract equivalent reporting level. Also, final 
regulation 20.6 provides that persons with swaps positions meeting or 
exceeding the aforementioned threshold may keep and reproduce books and 
records for transactions resulting in such swaps positions in the 
record retention format that such person has developed in the normal 
course of business. Regulation 20.6 also provides

[[Page 43854]]

that such persons may keep and reproduce books and records for, among 
other things, the cash commodity underlying such swaps positions in 
accordance with the record retention format developed in the normal 
course of business.
    In connection with the submission of swaps position data, FIA 
expressed concern about the confidential treatment of data submitted 
should the Commission determine to require the submission of data to 
third parties. This concern is not relevant as the regulations only 
involve the submission of position and identifying data to the 
Commission. The Commission will protect proprietary information 
according to the Freedom of Information Act and 17 CFR part 145, 
``Commission Records and Information.'' In addition, section 8(a)(1) of 
the Act strictly prohibits the Commission, unless specifically 
authorized by the Act, from making public ``data and information that 
would separately disclose the business transactions or market positions 
of any person and trade secrets or names of customers.'' The Commission 
also is required to protect certain information contained in a 
government system of records according to the Privacy Act of 1974, 5 
U.S.C. 552a.
    FIA and the Working Group argued that the costs placed by the 
proposed regulations would be significant and that the Commission 
significantly underestimated the costs to clearing members and swap 
dealers. FIA stated that some of its members believe the costs to be 
very substantial and in some cases exceeding millions of dollars, while 
acknowledging that it is difficult to estimate costs with any 
precision. The Working Group stated that some of its members estimate 
the total compliance costs to range up to $80,000 to $750,000 per year, 
inclusive of capital costs, and that the upfront costs could be as high 
as $1.5 million. The Commission has carefully considered the costs on 
market participants. In response, the Commission notes that the 
Reporting Rules are tailored to collect routine reports only from 
clearing organizations, clearing members, and swap dealers. Based on 
discussions with potential reporting entities, the Commission has 
determined that the costs that would be imposed by the regulations on 
reporting entities is reasonable given the trade capture and 
information technology resources of such entities and their familiarity 
with limiting and managing complex price risks. Clearing organizations 
and clearing members should have appropriate systems in place and 
currently likely provide or collect market and large trader reports.
    The compliance date for swap dealers that are not clearing members 
will be delayed until the Commission further defines the term swap 
dealer. In order to address concerns relating to the ability of 
reporting entities to comply with the requirements of part 20 by the 
compliance date set forth in final regulation 20.10(a), final 
regulation 20.10(c) authorizes the Commission (or staff members 
delegated with such authority) to permit, for a period not to exceed 
six calendar months following the effective date of the Reporting 
Rules, the submission of reports that differ in content, form, or 
manner from that mandated in part 20, provided that there is a good 
faith attempt at compliance with part 20.
    In addition, in order to address the possibility of certain firms 
that may not be able to comply expediently with the requirements of 
part 20 should they fall within the definition of swap dealer, 
regulation 20.10(e) allows the Commission to defer compliance for such 
firms for a period not to exceed six calendar months following the 
effective date of final regulations further defining the term swap 
dealer. The Commission's consideration of costs and burdens is 
discussed in more detail below.
    The Electric End User Coalition also argued that the recordkeeping 
burden imposed by the proposed regulations on commercial entities would 
be significant. In particular it argued that the recordkeeping 
requirements should not apply to end-users and that the Commission 
should defer to other regulators, specifically the Federal Energy 
Regulatory Commission (``FERC''), with regard to recordkeeping 
obligations. In the Commission's judgment, the recordkeeping 
requirements for end-users with swaps positions that meet or exceed the 
relevant thresholds are consistent with requirements under current 
Commission regulation 18.05. As described above, final regulation 20.6 
generally permits such end-users to keep and reproduce records of swaps 
positions, as well as the underlying cash commodities, in the record 
retention format that such entities have developed in the normal course 
of business.

II. The Final Reporting Rules

A. Covered Contracts

    With regard to the ``swap'' definition, the final part 20 
regulations utilize a definition of ``swap '' that is based on the 
reference to ``commodity swaps'' within the definition of ``swap 
agreement'' in part 35 of the Commission's regulations.\10\ Swap market 
participants have relied on the definition of ``swap agreement'' for 
exempting transactions from the CEA since 1993. As a result, market 
participants have an understanding of the general nature of the 
definition of commodity swaps. The part 35 definition will become 
effective on the effective date of this final rulemaking and will 
operate until the effective date of any swap definitional rulemaking by 
the Commission under section 1a of the CEA. Under both definitions, the 
category of the swaps that would be subject to the Reporting Rules 
remains the same.\11\ For further clarity, forwards as currently 
excluded from the CEA (i.e., prior to the effective date of the Dodd-
Frank Act) are also outside the scope of the definition of ``swap'' as 
used in this reporting scheme.
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    \10\ 17 CFR 35.1(b)(1).
    \11\ This definition of ``swap'' is also intended to be 
generally consistent with how swaps are defined in the Commission's 
Policy Statement Concerning Swap Transactions, 54 FR 30694, July 21, 
1989. That is, a ``swap'' as used in this rulemaking refers to an 
agreement between two parties to exchange one or more cash flows 
measured by different rates or prices with payments calculated by 
reference to a principle base (notional amount).
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    Regulation 20.2 lists the 46 DCM-listed futures contracts covered 
by the Reporting Rules (``Covered Futures Contracts''), as well as an 
additional line item for diversified commodity indices.\12\ The 
Commission, through the definition of paired swap or paired swaption 
(for ease of reference, collectively ``paired swaps'') in regulation 
20.1, defines a subset of swaps as economically equivalent to the 
Covered Futures Contracts. The definition of paired swaps (i.e., 
economically equivalent swaps) identifies two distinct categories of 
instruments.
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    \12\ For the purpose of reporting in futures equivalents, paired 
swaps and swaptions using commodity reference prices that are 
commonly known diversified indices with publicly available 
weightings may be reported as if such indices underlie a single 
futures contract with monthly expirations for each calendar month 
and year.
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    First, the definition includes those paired swaps that are directly 
or indirectly linked to the price of a Covered Futures Contract. This 
category includes swaps that are partially or fully settled or priced 
at a differential to a Covered Futures Contract. The following are 
examples of these types of paired swaps:

    1. Directly linked to a listed contract--A swap settled to the 
price of the New York Mercantile Exchange (``NYMEX'') Heating Oil 
Calendar Swap Futures Contract is directly linked to a Covered 
Futures Contract because the floating price of the futures contract 
is equal to the monthly average settlement price

[[Page 43855]]

of the first nearby contract month for the NYMEX New York Harbor No. 
2 Heating Oil Futures Contract.
    2. Indirectly linked to a listed contract--The ICE WTI Average 
Price Option is indirectly linked to a Covered Futures Contract 
because the floating price of the swap references the ICE WTI 1st 
Line Swap Contract which in turn is equal to the monthly average 
settlement price of the NYMEX Front Month WTI Crude Futures 
Contract.
    3. Partially settled to a listed contract--A swap settled to the 
Argus Sour Crude Index (``ASCI'') (which also underlies the Chicago 
Mercantile Exchange (``CME'') Argus WTI Formula Basis Calendar Month 
Swap Futures Contract) is partially settled to a Covered Futures 
Contract.\13\ Because the ASCI index uses both a physical cash 
market component and the NYMEX WTI Futures Contract to establish the 
level of the index, it would partially settle to a Covered Futures 
Contract and would be a paired swap under the first paragraph of the 
definition.\14\
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    \13\ The floating price of the CME futures contract is equal to 
the arithmetic average of the ASCI (1st month) outright price from 
Argus Media for each business day that the ASCI is determined during 
the contract month.
    \14\ For a description of the ASCI methodology, see, e.g., 
http://web04.us.argusmedia.com/ArgusStaticContent//Meth/ASCI.pdf.
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    4. Priced at a differential to a listed contract--The ICE Henry 
Physical Basis LD1 Contract is priced at a differential to a Covered 
Futures Contract because the settlement price is the final 
settlement price for natural gas futures (a Covered Futures 
Contract) as reported by NYMEX for the specified month plus the 
contract price.

    The second category of swaps captured by the paired swap definition 
includes swaps that directly or indirectly link to, including being 
partially or fully settled or priced at a differential to, the price of 
the same commodity for delivery at the same location or locations as 
that of a Covered Futures Contract. As opposed to the first category of 
paired swaps, the second category looks to a swap's connection to the 
commodity underlying a Covered Futures Contract, and to the delivery 
locations specified in a Covered Futures Contract, as opposed to the 
price of the contract itself. Therefore, the linkage for contracts in 
this second category is to the price of the underlying commodity and 
its physical marketing channels.
    As proposed, a paired swap would have also included swaps that are 
based on the same commodity \15\ as that of a Covered Futures Contract 
but deliverable at locations that are different than a Covered Futures 
Contract's delivery locations, so long as such locations have 
substantially the same supply and demand fundamentals as that of a 
Covered Futures Contract reference delivery location. In response to 
comments, the Commission has determined not to include this proposed 
category in the final definition of paired swaps. The final definition 
thereby narrows the scope of the swaps that are subject to position 
reporting.
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    \15\ A commodity is considered to be the same (for the purposes 
of reporting under these regulations) if such commodity has the same 
economic characteristics with respect to grade and quality 
specifications as those referenced by a Covered Futures Contract.
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B. Reporting Under the Final Regulations

1. Clearing Organizations
    Regulation 20.3 requires paired swap reports from clearing 
organizations. Clearing organizations are defined in regulation 20.1 as 
persons or organizations that act as a medium between clearing members 
for the purpose of clearing swaps or effecting settlements of swaps or 
swaptions. The definition is adopted as proposed and is modeled after 
the definition used in current Commission regulation 15.00 (the 
definitional section for the Commission's large trader reporting rules) 
solely for the purposes of reporting under part 20. The definition is 
intended to cover entities that qualify as clearing organizations, 
regardless of their registration status with the Commission, should for 
example there exist a mutual recognition regime. It is not meant to 
apply to financial institutions or parties to swaps that provide 
counterparties with financing, credit support, or hold collateral to 
facilitate or to ensure that payments are made under the terms of a 
paired swap.
    Pursuant to regulation 20.3, clearing organizations, for paired 
swap positions, are required to report the aggregate proprietary and 
aggregate customer accounts of each clearing member of that clearing 
organization. Regulation 20.1 defines clearing member as any person who 
is a member of, or enjoys the privilege of clearing trades in its own 
name through, a clearing organization. The paired swap positions must 
be reported to the Commission as futures equivalent positions in terms 
of a swap's related Covered Futures Contract. Appendix A to this part 
provides several examples of the methods used for converting swap 
positions into futures equivalent positions. The regulations call for 
reporting in futures equivalents because such conversions are made by 
entities that deal in swaps to effectively manage residual price risks 
by entering into Covered Futures Contracts. Reporting in futures 
equivalents provides a measure of equivalency between positions in 
paired swaps and their related Covered Futures Contracts, which allows 
for more effective market surveillance and the monitoring of trading 
across futures and swaps.
    As required under paragraphs (a) and (b) of regulation 20.3, each 
clearing organization is required to submit to the Commission a data 
record that identifies either gross long and gross short futures 
equivalent positions if the data record corresponds to a paired swap 
position, or gross long and gross short futures equivalent positions on 
a non-delta-adjusted basis if the data record corresponds to a paired 
swaption position. A data record (for the purposes of this rulemaking) 
can be thought of as a grouped subset of data elements that 
communicates a unique (non-repetitive) positional message to the 
Commission.
    Clearing organizations are required to report a data record for 
each clearing member for each reporting day, which is defined in 
regulation 20.1 as the daily period of time between a clearing 
organization or reporting entity's usual and customary last internal 
valuation of paired swaps and the next such period. In order to provide 
clearing organizations with some flexibility in determining daily 
operational cycles that would coincide with their obligation to provide 
clearing member reports on a daily basis, the proposed definition would 
permit such cycles of time to vary for different clearing 
organizations, so long as the daily period of time is consistently 
observed and the Commission is notified, upon its request, of the 
manner by which a cycle is calculated. Data records would be reported 
electronically in a manner consistent with current Commission practice.
    The positional data elements in paragraphs (a) and (b) of 
regulation 20.3 require daily reports for each aggregated proprietary 
account and each aggregated customer account, by each cleared product, 
and by each futures equivalent month. Each data record would indicate 
the commodity reference price with which each cleared product is 
associated. As defined in regulation 20.1, a commodity reference price 
is the price series used by the parties to a swap or swaption to 
determine payments made, exchanged, or accrued under the terms of that 
swap or swaption. In addition, data records for swaptions are required 
to be broken down further by expiration date, put or call indicator, 
and strike price. Appendix B to part 20 includes examples of data 
records that would be required of clearing organizations.
    In addition to reports for clearing members, clearing organizations 
are, pursuant to regulation 20.3(c), required to provide to the 
Commission, for each

[[Page 43856]]

futures equivalent month, end of reporting day settlement prices for 
each cleared product and deltas for every unique swaption put and call, 
expiration date, and strike price. This second daily report will allow 
the Commission to assign an appropriate weight to unadjusted positions.
2. Reporting Entities
    Regulation 20.4 requires reporting entities to report principal 
\16\ and direct legal counterparty paired swap positions to the 
Commission when such positions become reportable. Reporting entities 
are required to follow the same procedure for determining if their 
principal or counterparty positions are reportable to the Commission. 
Regulation 20.1 identifies a reporting entity as a clearing member or a 
swap dealer as defined in section 1a of the CEA and as subject to 
definitional changes that will be made through Commission regulations 
further defining the term swap dealer. The compliance date of any 
provisions relating to swap dealers will be the effective date of a 
final swap dealer definition.\17\
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    \16\ The Reporting Rules, as proposed, used the term proprietary 
to refer to principal positions in the context of reporting by 
clearing members and swap dealers.
    \17\ The Reporting Rules render a swap dealer in any paired swap 
to be a reporting entity with the responsibility to provide data on 
all reportable positions, regardless of the specific types of paired 
swaps that render the entity a statutory swap dealer under the CEA.
---------------------------------------------------------------------------

    Regulation 20.4 requires reporting entities to provide positional 
reports when reporting entities have principal and counterparty 
reportable paired swap positions. The final Reporting Rules amend 
regulation 20.1 to define a reportable position in two distinct ways. 
First, regulation 20.1, as proposed and finalized, defines a reportable 
position as a position, in any one futures equivalent month, comprised 
of 50 or more futures equivalent paired swaps or swaptions based on the 
same commodity. This proposed level is calibrated to capture data on a 
sufficiently large percentage of paired swap positions and was arrived 
at after consultation with multiple market participants.\18\ Once a 
paired swap position attributable to the reporting entity as principal 
or to its counterparty meets or exceeds the 50 futures equivalent 
contract threshold, all other paired swaps in the same commodity 
attributable to such trader becomes part of that trader's reportable 
position.\19\
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    \18\ See http://comments.cftc.gov/PublicComments/CommentList.aspx?id=889.
    \19\ In order to verify that a reporting entity's paired swap 
positions are no longer above the threshold, the proposed definition 
of reportable position would also encompass positions in paired 
swaps held by the reporting entity on the first day after which the 
reporting entity's paired swap positions are no longer reportable.
---------------------------------------------------------------------------

    Alternatively the Reporting Rules, as amended and finalized, allow 
reporting entities to identify a reportable position as all positions 
on a gross basis in a consolidated account (as described in regulation 
20.4(a)) that are based on the same commodity, so long as this approach 
is consistently applied to all consolidated accounts for reporting 
purposes. This amended definition of a reportable position allows 
reporting entities to forgo the 50-contract threshold calculation, 
which may be complex or costly, prior to submitting reports to the 
Commission.
    As with reports that are required to be provided by clearing 
organizations to the Commission under regulation 20.3, regulation 20.4 
requires paired swap positions to be represented and reported in 
futures equivalents. A common method of accounting for positions in 
swaps and futures allows for more effective market surveillance. The 
data collected by the Reporting Rules could be used to determine 
aggregate open interest levels for economically equivalent derivatives. 
For example, such ``size-of-the-market'' calculations could in turn 
serve as a basis for computing non-spot-month position limits, should 
the Commission determine to adopt such limits.
    Under final regulation 20.11, for the purpose of reporting in 
futures equivalents, paired swaps and swaptions that are based on 
commonly known diversified indices with publicly available weightings 
must be reported as if such indices underlie a single futures contract 
with monthly expirations for each calendar month and year. Bespoke 
indices, however, must be decomposed into their futures equivalent 
components and reported along with a commodity reference price which 
allows the Commission to match such components to the bespoke index. 
The term commodity reference price is defined in regulation 20.1 as the 
price series (including derivatives contract and cash market prices or 
price indices) used by the parties to a swap or swaption to determine 
payments made, exchanged, or accrued under the terms of such contracts.
    To determine what to report under regulation 20.4, reporting 
entities are required to separately consider principal and counterparty 
positions on a gross basis. Reporting entities are required to provide 
for each reporting day a data record that either identifies long and 
short paired swap positions (if the record pertains to swap positions) 
or long and short non-delta-adjusted paired swaption positions and long 
and short delta-adjusted swaption positions (if the record pertains to 
swaptions positions). For uncleared paired swaps, the regulations 
require a reporting entity to use economically reasonable and 
analytically supported deltas.
    More specifically, regulation 20.4, as proposed and finalized, 
requires that this information be grouped separately by principal or 
counterparty positions, by futures equivalent month, by cleared or 
uncleared contracts, by commodity reference price, and by clearing 
organization if the data record pertains to cleared swaps. Data records 
pertaining to swaption positions under the final regulations are to be 
further grouped by put or call, expiration date, and strike price. The 
reports provided under regulation 20.4 are required to also include 
identifiers for the commodity underlying the reportable position, the 
counterparties of the account and the 102S filing identifier, as 
described in more detail below, assigned by the reporting entity to its 
counterparty.
3. Series S Filings
    Regulation 20.5(a) requires a 102S filing for the identification of 
a reporting entity's counterparty when such counterparty holds a 
reportable position. The 102S filing consists of the ``name, address, 
and contact information of the counterparty with the reportable 
account'' and a ``brief description of the nature of such person's 
paired swaps and swaptions' market activity.'' The reporting entity is 
required to submit a 102S filing only once for each person associated 
with a reportable account unless prior filed information is no longer 
accurate.
    Once an account counterparty is reportable, the Commission may 
contact the trader directly and require that the trader file a more 
detailed identification report, a 40S filing. The Commission would 
require a 40S filing if a trader has become reportable for the first 
time and is not known to the Commission. A 40S filing consists of the 
submission of a CFTC Form 40 ``Statement of Reporting Trader.'' As the 
current version of Form 40 covers information on positions in futures 
and options, traders would be required to complete the form as if the 
form covered information related to positions in paired swaps and 
swaptions.
    The 102S filing and the 40S filing together would allow the 
Commission to identify the person(s) owning or controlling the trading 
of a reportable account, the person to contact regarding

[[Page 43857]]

trading, the nature of the trading, whether the reportable account is 
related--by financial interest or control--to another account, and the 
principal occupation or business of the account owner. The filings also 
would provide the Commission information on whether the account is 
being used for hedging cash market exposure.
    Commission staff would use the information in these two filings to 
determine if the reported account corresponds to a new trader or is an 
additional account of an existing trader. If the account is an 
additional one of an existing trader, it would then be aggregated with 
that of other related accounts currently being reported.
    The Commission plans to update, streamline and make electronic its 
current Form 102 and Form 40 in the near term. The Commission intends 
for such revised forms to include sections specifically for swap and 
swaptions. When updated, regulation 20.5 will be amended to reflect 
these revisions and to require reports electronically through updated 
Forms 102 and 40.
4. Maintenance of Books and Records
    Regulation 20.6 imposes recordkeeping requirements on clearing 
organizations, reporting entities, and persons with positions in paired 
swaps above a certain futures equivalent threshold. Regulations 20.6(a) 
and 20.6(b) require clearing organizations and reporting entities, 
respectively, to keep records of transactions in paired swaps or 
swaptions as well as methods used to convert paired swaps or swaptions 
into futures equivalents. In addition, regulation 20.6(c) requires 
every person with greater than 50 all-months-combined futures 
equivalent positions on a gross basis in paired swaps or swaptions on 
the same commodity to keep books and records for transactions resulting 
in such swaps positions and, among other things, the cash commodity 
underlying such positions. In general, such person may keep and 
reproduce such books and records in the record retention format that 
such person has developed in the normal course of business. 
Furthermore, in order to clarify the Commission's authority to issue 
special calls for books and records, the Commission is including an 
explicit special call provision with respect to reportable positions in 
regulation 20.6(d).
    The recordkeeping duties imposed by regulations 20.6(a) and 20.6(b) 
are in accordance with the requirements of regulation 1.31. Regulation 
1.31(a)(1) requires that these transaction records be kept for five 
years, the first two of which they ``shall be readily accessible.'' 
Such books and records ``shall be open to inspection by any 
representative of the Commission.''
    These recordkeeping requirements allow the Commission to have ready 
access to records that would enable Commission staff to reconstruct the 
transaction history of reported positions. These requirements would 
ensure that data records submitted to the Commission could be audited. 
In addition, these records enable Commission staff to better 
reconstruct trading activity that may have had a material impact on the 
price discovery process.
    The recordkeeping burden imposed by regulation 20.6 is not 
anticipated to be unduly significant. These requirements are not unlike 
the recordkeeping requirements imposed by Congress in new CEA section 
4r(c)(2) on all swap market participants, and by the Commission on 
those entities with reportable futures accounts under the existing 
recordkeeping provision of regulation 18.05.
5. Form and Manner of Reporting
    Regulation 20.7(a) provides that the Commission would specify, in 
writing to persons required to report, the format, coding structure, 
and electronic data transmission procedures for these reports and 
submissions. The purpose of this provision is to provide notice on how 
the Commission would determine the means by which the part 20 reports 
are to be formatted and submitted. The Commission notes that subsequent 
to the commencement of reporting, and from time to time thereafter, it 
will provide standardized codes for data elements such as commodity 
reference prices and require that submitted position reports use such 
standard codes instead of proprietary codes. Such information will be 
disseminated on the Commission's Web site.\20\
---------------------------------------------------------------------------

    \20\ As section II.(B).(8) herein describes, the Commission 
anticipates consulting with clearing organizations and reporting 
entities before determining the format, coding structure, and 
electronic data transmission procedures referenced in final 
regulation 20.7.
---------------------------------------------------------------------------

6. Delegation of Authority
    Regulation 20.8, as proposed and finalized, delegates certain of 
the Commission's part 20 authorities to the Director of the Division of 
Market Oversight and through the Director to other employee or 
employees as designated by the Director. The delegated authority 
extends to: (1) Issuing a special call for a 40S or 102S filing and 
books and records; (2) providing instructions or determining the 
format, coding structure, and electronic data transmission procedures 
for submitting data records and any other information required under 
this part; and (3) determining the compliance schedules described in 
regulation 20.10. The purpose of these delegations is to facilitate the 
ability of the Commission to respond to changing market and 
technological conditions for the purpose of ensuring timely and 
accurate data reporting.
7. Sunset Provision
    Regulation 20.9, as proposed and finalized, includes a sunset 
provision that would render the Reporting Rules ineffective and 
unenforceable upon the Commission's finding (through the issuance of an 
order) that operating SDRs are capable of processing positional data in 
a manner that would enable the Commission to effectively oversee and 
surveil paired swaps trading and paired swap markets. Regulation 20.9 
also states that the Commission may retain the effectiveness and 
enforceability of any or all requirements in part 20, such as the 
reporting of deltas for uncleared paired swaps or the reporting of 
paired swap positions in futures equivalents, should the Commission 
determine through an order that such reporting is of material value to 
conducting market surveillance.
8. Compliance Schedule
    Under regulation 20.10, the compliance date for reporting 
requirements for clearing organizations under regulation 20.3 and 
clearing members under regulation 20.4 is sixty days after the 
publication of this notice in the Federal Register. The compliance date 
with regulation 20.4 for swap dealers that are not clearing members is 
the effective date of final regulations defining the term swap 
dealer.\21\ All special call provisions must be complied with sixty 
days following the date of publication of this notice in the Federal 
Register.
---------------------------------------------------------------------------

    \21\ See 75 FR 80174, December 21, 2010.
---------------------------------------------------------------------------

    Regulation 20.10 also allows the Commission to permit for a period, 
not to exceed six calendar months following the effective date of this 
part, during which a clearing organization or reporting entity or 
trader may provide reports that differ in content or are submitted in a 
form and manner which is other than prescribed by the provisions of 
part 20, provided that the submitter coordinates with the Commission 
and is making a good faith attempt to comply with all of the provisions 
of part 20. Furthermore, upon the passage of the full compliance

[[Page 43858]]

schedule outlined above, all paired swaps and swaptions position and 
market reports that are currently reported under a Commission order or 
parts 15 through 19 and 21 of the Commission's regulations must instead 
be reported exclusively under part 20.
    In order to address the possibility of certain firms that may not 
be able to comply expediently with the requirements of part 20 should 
they fall within the definition of swap dealer, regulation 20.10(e) 
allows the Commission to defer compliance for such firms for a period 
not to exceed six calendar months following the effective date of final 
regulations further defining the term swap dealer.
    A deferred compliance period of six months is appropriate to reduce 
potential compliance costs for such reporting entities because they may 
not have procedures in place for routine reporting of swaps data as 
they currently are not regulated as financial firms. The deferred 
compliance period would provide these affected entities with additional 
time to determine whether they need to make any arrangements to 
implement the reporting regime, and to make any such arrangements. Once 
the swap dealer definition is final, a party that is uncertain as to 
whether or not they are a swap dealer would not be foreclosed from 
asking CFTC staff or the Commission for additional relief under the CEA 
or Commission regulations.
    The Commission also notes that it expects to consult with clearing 
organizations and reporting entities with respect to the manner of 
reporting before determining the format, coding structure, and 
electronic data transmission procedures that must be used to transmit 
information to the Commission pursuant to regulation 20.7.

III. Related Matters

A. Cost-Benefit Analysis

1. Introduction
    Section 15(a) of the Act requires that the Commission, before 
promulgating a regulation under the Act or issuing an order, consider 
the costs and benefits of its action. By its terms, CEA section 15(a) 
does not require the Commission to quantify the costs and benefits of a 
new regulation or determine whether the benefits of the regulation 
outweigh its costs. Rather, CEA section 15(a) requires the Commission 
to ``consider the costs and benefits'' of its action.
    CEA section 15(a) specifies that costs and benefits shall be 
evaluated in light of the following considerations: (1) Protection of 
market participants and the public; (2) efficiency, competitiveness, 
and financial integrity of futures markets; (3) price discovery; (4) 
sound risk management practices; and (5) other public interest 
considerations. Accordingly, the Commission could, in its discretion, 
give greater weight to any of the five considerations and could, in its 
discretion, determine that, notwithstanding its costs, a particular 
regulation was necessary or appropriate to protect the public interest 
or to effectuate any of the provisions or to accomplish any of the 
purposes of the Act.
2. Costs
    As mentioned above, under CEA section 4a(a)(2), the Commission has 
been directed to establish position limits for exempt and agricultural 
commodities, as appropriate. Section 4t of the Act authorizes the 
Commission to establish a large trader reporting system for significant 
price discovery function swaps, of which economically equivalent swaps 
are a subset. As discussed in more detail above, swaps position reports 
are a necessary component of an effective surveillance program, 
including monitoring compliance with any limits that may be established 
by the Commission under section 4a of the Act.
    Through the public comment process, alternatives to the Reporting 
Rules were presented to and reviewed by the Commission. Some commenters 
indicated that their respective alternatives would provide the 
Commission with the data it needs and would be less burdensome than the 
Reporting Rules. Bindicap Comster, the FIA, and the Working Group 
opposed the proposed regulations, and suggested an expanded special 
call reporting mechanism would be a better alternative. The 
Commission's current Index Investment Data Reports special call is a 
targeted collection of data. It gathers information related to specific 
products from a limited set of market participants. The special call 
was not intended to function as a tool for general market surveillance. 
In order to be able to gather positional data of the quality needed to 
conduct market surveillance, the special call would have to undergo 
substantial modifications which in effect would convert it into the 
Reporting Rules. In light of the broad areas of cost and benefit 
evaluation specified by CEA section 15(a), in particular section 
15(a)(2)(B), the Commission has determined that the alternative 
presented by Bindicap Comster, FIA, and the Working Group is less 
viable than the Reporting Rules and would not reduce costs to persons 
subject to this part or provide additional benefits.
    With regard to the future establishment of SDRs and whether the 
Commission should wait for SDRs to provide swaps position data instead 
of adopting the regulations, ATA argued that the Commission should 
proceed with the regulations and not wait for SDRs to become 
operational. FIA and the Working Group, meanwhile, argued that the 
future role of SDRs makes adoption of the regulations unnecessary. The 
Commission has determined that the Reporting Rules are necessary for 
several reasons. It is likely that physical commodity SDRs will require 
the most time to become operational since, unlike for swaps in the 
interest rate, equity and credit default asset categories, there 
currently is no functional and accepted data repository for energy, 
metal and agricultural commodities. In addition, even after SDRs have 
been established, because they are fundamentally transaction 
repositories, it may be a considerable amount of time before SDRs are 
able to reliably convert transaction data into positional data. Thus, 
in view of the considerable time before physical commodity swap SDRs 
are likely to be operational and have the ability to convert 
transactions to positions, the Commission has determined to adopt the 
Reporting Rules instead of the proposed alternative, consistent with 
the objectives outlined in CEA section 15(a)(2). Without a 
comprehensive and operational market surveillance system in the near 
term, the Commission would not be able to administer the CEA as amended 
by the Dodd-Frank Act.
    The Electric End User Coalition also argued that the recordkeeping 
burden imposed by the proposed regulations would be significant. In 
particular it argued that the recordkeeping requirements should not 
apply to end-users and that the Commission should defer to other 
regulators, specifically FERC, with regard to recordkeeping 
obligations. In the Commission's judgment, the recordkeeping 
requirements of the regulations are not unduly burdensome and are 
consistent with the recordkeeping requirements of current Commission 
regulations 1.31 and 18.05. In addition, as the regulations have been 
narrowly tailored to collect routine data only from clearing 
organizations, clearing members and swap dealers, the Reporting Rules 
will not have a significant negative impact on a substantial number of 
end-users. The Commission has thus determined to proceed with the 
Reporting Rules.

[[Page 43859]]

    In developing the Reporting Rules, the Commission has aimed to 
minimize the cost and burden associated with reporting positional data 
to the Commission. As discussed above, the Commission has tailored the 
Reporting Rules to conform to the market structure for cleared and 
uncleared paired swaps. The cost of the part 20 regulations will be 
borne by firms that are clearing organizations reporting under 
regulation 20.3 and reporting entities reporting under regulation 20.4. 
For such firms, the additional cost to implement a reporting system is 
expected to be reasonable since the Commission understands these firms 
track their counterparties' positions for risk management purposes.
    Although the Reporting Rules establish a reporting system for 
cleared paired swaps that resembles the large trader reporting system, 
they establish a structurally different reporting system for uncleared 
paired swaps. The structure of the uncleared paired swaps market is not 
as centralized as the cleared paired swaps market: there is no central 
counterparty that corresponds to a clearing organization in the 
uncleared paired swaps market. The Commission believes that swap 
dealers may be counterparties to a significant portion of the market 
for uncleared paired swaps and swaptions.
    Accordingly, the Reporting Rules require position reporting from 
swap dealers. These firms are to report their reportable positions as 
well as those of their counterparties. As is the case for clearing 
member reporting entities, it is likely that creating or purchasing an 
information technology system that can present such a firm's net 
position exposures on a daily basis will not be an overly burdensome 
marginal expense, since the Commission understands swap dealers track 
their exposures for risk management purposes.
    For counterparties that will be subject to the recordkeeping 
requirements of regulation 20.6, it should be noted that these 
requirements will place new burdens (in terms of reporting and 
retaining information on cash market transactions) only on persons that 
are reportable solely in paired swaps. This is because Congress, in new 
CEA section 4r(c)(2), has extended recordkeeping requirements to all 
swaps irrespective of any reporting requirement. Likewise, 
counterparties that hold reportable futures positions (in addition to 
reportable paired swaps positions) are currently subject to existing 
recordkeeping requirements under regulation 18.05. Thus, the Commission 
believes that these additional burdens, in marginal terms, are not 
expected to be overly burdensome, given that firms collect information 
on their commercial activities in the normal course of business 
operations. The Commission also notes its adoption of regulation 20.10, 
which staggers implementation of the Reporting Rules. The flexible 
implementation process should reduce compliance costs in general.
    As described in detail below, the Commission held several meetings 
with potential reporting entities and conducted analysis to estimate 
the reporting and recordkeeping burdens imposed by the Reporting Rules 
annually for the next five years. For clearing organizations, the 
reporting burden is estimated to be approximately 950 hours and 
$100,000 spread across 5 entities, or 190 hours and $20,000 per entity. 
The recordkeeping burden for clearing organizations is estimated to be 
100 hours and $100,000 spread across 5 entities, or 20 hours and 
$20,000 per entity. Each clearing organization, then, is estimated to 
have a total annual burden of 207 hours and $40,000.
    For clearing members, the reporting burden is estimated to be 
25,000 hours and $6,000,000 spread across 100 entities (80 swap dealers 
and 20 non-swap dealers), or 250 hours and $60,000 per entity. The 
recordkeeping burden for clearing members is estimated to be 2,000 
hours and $2,000,000 spread across 100 entities, or 20 hours and 
$20,000 per entity. In addition, clearing members have a burden in 
connection with 102S submissions. The burden for 102S submissions is 
estimated to be 1,800 hours and $1,000,000 spread across 200 entities 
(of which 100 are clearing members), or 9 hours and $5,000 per entity. 
Each clearing member, then, is estimated to have a total annual burden 
of 279 hours and $85,000.
    For non-clearing member swap dealers, the reporting burden is 
estimated to be 37,500 hours and $8,000,000 spread across 100 entities, 
or 375 hours and $80,000 per entity. The recordkeeping burden for non-
clearing member swap dealers is estimated to be 2,000 hours and 
$2,000,000 spread across 100 entities, or 20 hours and $20,000 per 
entity. In addition, non-clearing member swap dealers have a burden in 
connection with 102S submissions. The burden for 102S submissions is 
estimated to be 1,800 hours and $1,000,000 spread across 200 entities 
(of which 100 are non-clearing member swap dealers), or 9 hours and 
$5,000 per entity. Each non-clearing member swap dealer, then, is 
estimated to have a total annual burden of 404 hours and $105,000.
    For persons with reportable positions, the reporting burden in 
connection with 40S submissions is estimated to be 165 hours and 
$4,500,000 spread across 500 entities, or .33 hours and $9,000 per 
entity. The recordkeeping burden for persons with reportable positions 
is estimated to be 10,000 hours and $11,500,000 spread across 500 
entities, or 20 hours and $23,000 per entity. Each person with 
reportable positions, then, is estimated to have a total annual burden 
of 20.33 hours and $32,000.
    Two commenters to the proposing release, FIA and the Working Group, 
argued that the Commission underestimated the costs imposed by the 
Reporting Rules. FIA stated that some of its members believe the costs 
to be very substantial and in some cases exceeding millions of dollars. 
The Working Group stated that some of its members estimate the total 
compliance costs to range up to $80,000 to $750,000 per year, inclusive 
of capital costs, and that the upfront costs could be as high as $1.5 
million. In light of these comments, the Commission has carefully 
reviewed its analysis and estimates, and it has determined its 
estimates to be reasonable and satisfactory in accordance with CEA 
section 15(a)(2) for the purpose of cost-benefit analysis of the 
Reporting Rules.
3. Benefits
    In addition to providing increased market transparency through the 
reporting of paired swap positions to the Commission, the Commission 
will be better able to first, protect market participants and the 
public (CEA section 15(a)(2)(A)) and second, increase the efficiency 
and competitiveness of the markets (CEA section 15(a)(2)(B)). The 
extension of the Commission's surveillance activities to these paired 
swap markets will enhance the deterrence and detection of problematic 
activities and, thus, help ensure the integrity of these markets and 
protect market participants and the public from disruptive trading, 
price manipulation, and the effects of market congestion. Further, with 
this extension, the Commission will be able to expand its Commitments 
of Traders Reports, for example, to include aggregate position data on 
the paired swaps markets, and thus will provide the public, including 
market participants, greater transparency into the constitution of 
markets covered by part 20. This increased transparency may reduce the 
informational asymmetries in the paired swap markets and thereby 
improve the efficiency of the market and promote competition.

[[Page 43860]]

    As discussed above, implementing part 20 will enable the Commission 
to monitor and enforce position limits, if established by the 
Commission, to diminish, eliminate, or prevent excessive speculation; 
to deter and prevent market manipulation; ensure sufficient market 
liquidity for bona fide hedgers; and to ensure that the price discovery 
function of the underlying market is not disrupted. By enabling the 
Commission to monitor compliance with position limits, if established 
by the Commission, to address these concerns, the Commission would be 
better able to protect the price discovery process (CEA section 
15(a)(2)(C)) and market participants and the public from the threats of 
excessive speculation and price manipulation (CEA section 15(a)(2)(A)).
4. Conclusion
    The Commission, after considering the CEA section 15(a) factors, 
finds that the Reporting Rules are reasonably necessary and appropriate 
to protect the public interest and effectuate and accomplish purposes 
and goals of the CEA. The Commission also finds that the expected 
incremental cost imposed by part 20 is outweighed by the expected 
benefit. Accordingly, the Commission has determined to adopt the 
Reporting Rules.

B. Regulatory Flexibility Act

    The Regulatory Flexibility Act (``RFA'') requires Federal agencies, 
in proposing regulations, to consider the impact of those regulations 
on ``small entities.'' \22\ In response to the Reporting Rules, the 
Electric End User Coalition argued that the recordkeeping burden 
imposed by the proposed regulations would be significant. In particular 
it argued that the recordkeeping requirements should not apply to end-
users and that the Commission should defer to other regulators, 
specifically FERC, with regard to recordkeeping obligations. In the 
Commission's judgment, the recordkeeping requirements of the 
regulations are consistent with the recordkeeping requirements of 
current Commission regulations 1.31 and 18.05. In addition, as the 
regulations have been narrowly tailored to collect routine data only 
from clearing organizations, clearing members and swap dealers, the 
Commission has determined that the Commission does not expect the 
Reporting Rules to have a significant impact on a substantial number of 
small entities. The Commission has thus determined to proceed with the 
Reporting Rules.
---------------------------------------------------------------------------

    \22\ 5 U.S.C. 601 et seq.
---------------------------------------------------------------------------

    The Reporting Rules will affect organizations including registered 
derivatives clearing organization (``DCOs''), clearing members (many of 
whom are registered with the Commission already as futures commission 
merchants (``FCMs'')), swap dealers, and persons who have books and 
records obligations under regulation 20.6.
    The Commission has previously determined that DCOs \23\ and FCMs 
\24\ are not ``small entities'' for purposes of the RFA. As noted 
above, a person with non-discretionary reporting or books and records 
obligations under final regulations 20.3, 20.4 and 20.6 will either be 
a clearing organization, clearing member, swap dealer, or a person with 
at least 50 or more gross paired swaps positions in the same commodity 
on a futures equivalent and all-months-combined basis. The Commission 
notes this threshold is comparable to the minimum 25-contract reporting 
levels in effect for futures positions under regulation 15.03. 
Previously, the Commission had determined that the reporting levels in 
regulation 15.03, which determine which positions are reportable, would 
not affect small entities.\25\ The Commission does not believe that 
entities who meet the Reporting Rules' non-discretionary quantitative 
threshold will constitute small entities for RFA purposes.
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    \23\ 66 FR 45604, 45609, August 29, 2001.
    \24\ Policy Statement and Establishment of Definitions of 
``Small Entities'' for Purposes of the Regulatory Flexibility Act, 
47 FR 18618, 18619, April 30, 1982.
    \25\ Id. at 18620 (excluding large traders from the definition 
of small entity).
---------------------------------------------------------------------------

    Accordingly, the Commission does not expect the Reporting Rules to 
have a significant impact on a substantial number of small entities. 
Therefore, the Chairman, on behalf of the Commission, hereby certifies, 
pursuant to 5 U.S.C. 605(b), that the Reporting Rules will not have a 
significant economic impact on a substantial number of small entities.

C. Paperwork Reduction Act

1. Overview
    The Paperwork Reduction Act (``PRA'') \26\ imposes certain 
requirements on Federal agencies in connection with their conducting or 
sponsoring any collection of information as defined by the PRA. The 
Reporting Rules will result in new collection of information 
requirements within the meaning of the PRA. The Commission submitted 
the proposing release to the Office of Management and Budget (``OMB'') 
for review in accordance with 44 U.S.C. 3507(d) and 5 CFR 1320.11. The 
Commission requested that OMB approve, and assign a new control number 
for, the collections of information covered by the proposing release. 
The information collection burdens created by the Commission's proposed 
rules, which were discussed in detail in the proposing release, are 
identical to the collective information collection burdens of the final 
rules.
---------------------------------------------------------------------------

    \26\ 44 U.S.C. 3501 et seq.
---------------------------------------------------------------------------

    The Commission invited the public and other Federal agencies to 
comment on any aspect of the information collection requirements 
discussed above. Pursuant to 44 U.S.C. 3506(c)(2)(B), the Commission 
solicited comments in order to: (i) Evaluate whether the proposed 
collections of information were necessary for the proper performance of 
the functions of the Commission, including whether the information will 
have practical utility; (ii) evaluate the accuracy of the Commission's 
estimates of the burden of the proposed collections of information; 
(iii) determine whether there are ways to enhance the quality, utility 
and clarity of the information to be collected; and (iv) minimize the 
burden of the collections of information on those who are to respond, 
including through the use of automated collection techniques or other 
forms of information technology.
    The Commission received two comments on the burden estimates and 
information collection requirements contained in its proposing release. 
FIA and the Working Group argued that the costs placed by the proposed 
regulations would be significant and that the Commission significantly 
underestimated the costs to clearing members and swap dealers. FIA 
stated that some of its members believe the costs to be very 
substantial and in some cases exceeding millions of dollars, while 
acknowledging that it is difficult to estimate costs with any 
precision. The Working Group stated that some of its members estimate 
the total compliance costs to range up to $80,000 to $750,000 per year, 
inclusive of capital costs, and that the upfront costs could be as high 
as $1.5 million. The Commission has carefully considered the costs on 
market participants. Some comments regarding significant industry 
burdens assumed that a substantial number of end-users would be swept 
up into the definition of swap dealer. In response, the Commission 
notes that the Reporting Rules are tailored to collect routine reports 
only from clearing

[[Page 43861]]

organizations, clearing members, and swap dealers. In addition, based 
on numerous meetings with potential reporting entities, the Commission 
has determined that the costs that would be imposed by the proposed 
regulations on reporting entities is reasonable given the trade capture 
and information technology resources of such entities.
    The title for this collection of information is ``Part 20--Large 
Trader Reporting for Physical Commodity Swaps.'' OMB has approved 
assigned OMB control number 3038-[--] to this collection of 
information.
2. Information Provided and Recordkeeping Duties
    Part 20 establishes reporting requirements for clearing 
organizations and reporting entities and recordkeeping requirements for 
these firms in addition to firms that become reportable because of a 
reportable paired swap or swaption positions. Accordingly, the 
Commission is seeking a new and separate control number for reporting 
from clearing organizations and reporting entities (collectively 
``respondents'') and recordkeeping for firms that become reportable 
because of a reportable paired swap or swaption position operating in 
compliance with the requirements of part 20.
    Part 20 will result in the collection of information on ``paired 
swaps and swaptions'' positions as defined in regulation 20.1. 
Specifically, part 20 provides for three new kinds of reports:
    1. Under regulation 20.3, swap clearing organizations will provide 
daily reports of relevant position and clearing data.
    2. Under regulation 20.4, reporting entities will produce daily 
position reports on a second-day basis on their own and individual 
counterparty accounts. There are two categories of reporting entities: 
(a) Clearing members and (b) swap dealers that are not clearing 
members. The former category, clearing members, will include many firms 
that are currently registered as FCMs with the Commission. The 
Commission estimates that a total of 180 swap dealers transact in 
physical commodity swaps and thereby may be reporting entities under 
part 20 (clearing members and non-clearing members combined).
    3. Finally, under regulation 20.5, all reporting entities will 
submit identifying information to the Commission on new reportable 
accounts through a 102S filing.
    In addition to creating these reporting requirements, regulation 
20.6 imposes recordkeeping requirements for (1) clearing organizations, 
(2) reporting entities, and (3) persons with paired swaps positions as 
specified in regulation 20.6(c). The Commission estimates that the 
recordkeeping requirements of regulation 20.6 will not be overly 
burdensome. For the firms subject to the reporting and recordkeeping 
requirements of regulation 20.6, it should be noted that these 
requirements are not unlike the recordkeeping requirements imposed by 
Congress in new CEA section 4r(c)(2) and by existing recordkeeping 
regulation 18.05. If a firm subject to these recordkeeping requirements 
was previously reportable due to a futures position in the relevant 
commodity above the ``reporting level'' (see regulation 15.03), then 
the regulation 20.6(b) recordkeeping burdens would not be new, as that 
firm would already be subject to these requirements under regulation 
18.05. If a firm becomes subject to the regulation 20.6 recordkeeping 
requirements only because of a reportable paired swaps position (and 
not because of a futures position above the reportable level), then the 
requirements contained in the Reporting Rules add only the duty to keep 
records on all commercial activities that a reporting entity or person 
hedges to the swaps-related recordkeeping duties imposed by CEA section 
4r(c)(2). These additional burdens are not expected to be substantial, 
given that in the normal course of business firms would collect this 
information on their commercial activities.
    The Commission estimates that implementing part 20 will create a 
total annual reporting and recordkeeping hour burden of 79,503 hours 
across 705 firms. Based on a weighted average wage rate of $74.36,\27\ 
this will amount to an annualized labor cost of $5.9 million. In 
addition, the Commission estimates that total annualized capital/start-
up, operating, and maintenance costs \28\ will amount to a combined 
$35.2 million (a typographical error in the proposed Reporting Rules 
indicated a $32.7 cost). This overall total reporting and recordkeeping 
hour burden is the sum of estimated burdens for the three reporting 
categories and the three recordkeeping categories mentioned above.
---------------------------------------------------------------------------

    \27\ The Commission staff's estimates concerning the wage rates 
are based on salary information for the securities industry compiled 
by the Securities Industry and Financial Markets Association 
(``SIFMA''). The $74.36 per hour is derived from figures from a 
weighted average of salaries and bonuses across different 
professions from the SIFMA Report on Management & Professional 
Earnings in the Securities Industry 2009, modified to account for an 
1,800-hour work year and multiplied by 1.3 to account for overhead 
and other benefits. The wage rate is a weighted national average of 
salary and bonuses for professionals with the following titles (and 
their relative weight): ``programmer (senior)'' (60% weight), 
``compliance advisor (intermediate)'' (20%), ``systems analyst'' 
(10%), and ``assistant/associate general counsel'' (10%).
    \28\ The capital/start-up cost component of ``annualized 
capital/start-up, operating, and maintenance costs'' is based on an 
initial capital/start-up cost that is straight-line depreciated over 
five years.
---------------------------------------------------------------------------

    Reporting burdens:
    1. Regulation 20.3 clearing organization reports will account for 
938 of these annual reporting and recordkeeping hours. These hours will 
be spread across 5 respondents. Annualized capital/start-up, operating, 
and maintenance costs for all affected clearing organizations combined 
will be approximately $100,000.\29\
---------------------------------------------------------------------------

    \29\ All of the capital cost estimates in these estimates are 
based on a five-year, straight-line depreciation.
---------------------------------------------------------------------------

    2. Regulation 20.4 reporting entity reports will have two separate 
burden estimates based on the kind of reporting entity providing the 
report:
    a. Clearing member (80 clearing member/swap dealers plus 20 
clearing member/non-swap dealers) reporting entity reports will create 
an annual reporting and recordkeeping burden of 25,000 hours spread 
across 100 respondents. Annualized capital/start-up, operating, and 
maintenance costs for all firms in this category combined will be 
approximately $6 million.
    b. Swap dealer non-clearing member reporting entity reports will 
create an annual reporting and recordkeeping burden of 37,500 hours 
spread across 100 respondents. Annualized capital/start-up, operating, 
and maintenance costs for all firms in this category combined will be 
approximately $8 million.
    3. Regulation 20.5 reporting entity 102S submissions will create an 
annual reporting and recordkeeping burden of 1,800 hours spread across 
200 firms. Annualized capital/start-up, operating, and maintenance 
costs for all reporting entities combined providing these reports will 
be approximately $1 million.
    4. 40S submissions by persons with reportable positions under 
regulation 20.5(b) in paired swaps will create an annual reporting and 
recordkeeping burden of 165 hours and will affect 500 firms. Annualized 
capital/start-up, operating, and combined maintenance costs for all 
firms providing 40S filings will be approximately $4.5 million.
    Recordkeeping burdens:
    1. Regulation 20.6(a) recordkeeping duties for clearing 
organizations will account for 100 of these annual

[[Page 43862]]

reporting and recordkeeping hours. These hours will be spread across 5 
firms. Annualized capital/start-up, operating, and maintenance costs to 
meet the recordkeeping requirements of regulation 20.6(a) will be 
approximately $100,000.
    2. Regulation 20.6(b) reporting entity recordkeeping duties will 
have two separate burden estimates based on the kind of reporting 
entity providing the report:
    a. Clearing member (80 clearing member/swap dealers plus 20 
clearing member/non-swap dealers) reporting entity recordkeeping will 
create an annual reporting and recordkeeping burden of 2,000 hours 
spread across 100 respondents. Annualized capital/start-up, operating, 
and maintenance costs for all firms in this category of recordkeeping 
reporting entities will be approximately $2 million.
    b. Swap dealer non-clearing member reporting entity recordkeeping 
will create an annual reporting and recordkeeping burden of 2,000 hours 
spread across 100 respondents. Annualized capital/start-up, operating, 
and maintenance costs for all firms in this category of recordkeeping 
reporting entities will be approximately $2 million.
    3. Regulation 20.6(c) recordkeeping duties for persons with paired 
swaps positions will create an annual reporting and recordkeeping 
burden of 10,000 hours spread across 500 firms. Annualized capital/
start-up, operating, and maintenance costs for all traders in this 
category combined will be approximately $11.5 million.
3. Confidentiality
    The Commission will protect proprietary information according to 
the Freedom of Information Act and 17 CFR part 145, ``Commission 
Records and Information.'' In addition, section 8(a)(1) of the Act 
strictly prohibits the Commission, unless specifically authorized by 
the Act, from making public ``data and information that would 
separately disclose the business transactions or market positions of 
any person and trade secrets or names of customers.'' \30\ The 
Commission also is required to protect certain information contained in 
a government system of records according to the Privacy Act of 1974, 5 
U.S.C. 552a.
---------------------------------------------------------------------------

    \30\ 7 U.S.C. 12(a)(1).
---------------------------------------------------------------------------

List of Subjects

17 CFR Part 15

    Brokers, Commodity futures, Reporting and recordkeeping 
requirements.

17 CFR Part 20

    Physical commodity swaps, Swap dealers, Reporting and recordkeeping 
requirements.

    For the reasons stated in the preamble, the Commodity Futures 
Trading Commission amends 17 CFR chapter I as follows:

PART 15--REPORTS--GENERAL PROVISIONS

0
1. The authority citation for part 15 is revised to read as follows:

    Authority:  7 U.S.C. 2, 5, 6a, 6c, 6f, 6g, 6i, 6k, 6m, 6n, 7, 
7a, 9, 12a, 19, and 21, as amended by Title VII of the Dodd-Frank 
Wall Street Reform and Consumer Protection Act, Pub. L. 111-203, 124 
Stat. 1376 (2010).


0
2. Revise the heading and introductory text in Sec.  15.00 to read as 
follows:


Sec.  15.00  Definitions of terms used in parts 15 to 19, and 21 of 
this chapter.

    As used in parts 15 to 19, and 21 of this chapter:
* * * * *

0
3. Add part 20 to read as follows:

PART 20--LARGE TRADER REPORTING FOR PHYSICAL COMMODITY SWAPS

Sec.
20.1 Definitions.
20.2 Covered contracts.
20.3 Clearing organizations.
20.4 Reporting entities.
20.5 Series S filings.
20.6 Maintenance of books and records.
20.7 Form and manner of reporting and submitting information or 
filings.
20.8 Delegation of authority to the Director of the Division of 
Market Oversight.
20.9 Sunset provision.
20.10 Compliance schedule.
20.11 Diversified commodity indices.
Appendix A to Part 20--Guidelines on Futures Equivalency
Appendix B to Part 20--Explanatory Guidance on Data Record Layouts

    Authority:  7 U.S.C. 1a, 2, 5, 6, 6a, 6c, 6f, 6g, 6t, 12a, 19, 
as amended by Title VII of the Dodd-Frank Wall Street Reform and 
Consumer Protection Act, Pub. L. 111-203, 124 Stat. 1376 (2010).


Sec.  20.1  Definitions.

    As used in, and solely for the purposes of, this part:
    Business day means ``business day'' as that term is defined in 
Sec.  1.3 of this chapter.
    Cleared product means a paired swap or swaption that a clearing 
organization offers or accepts for clearing.
    Clearing member means any person who is a member of, or enjoys the 
privilege of, clearing trades in its own name through a clearing 
organization.
    Clearing organization means the person or organization that acts as 
a medium between clearing members for the purpose of clearing swaps or 
swaptions or effecting settlements of swaps or swaptions.
    Closed swap or closed swaption means a swap or swaption that has 
been settled, exercised, closed out or terminated.
    Commodity reference price means the price series (including 
derivatives contract and cash market prices or price indices) used by 
the parties to a swap or swaption to determine payments made, 
exchanged, or accrued under the terms of the contracts.
    Counterparty means, from the perspective of one side to a contract, 
the person that is the direct legal counterparty corresponding to the 
other side of the contract.
    Clearing member customer means any person for whom a reporting 
entity clears a swap or swaption position.
    Futures equivalent means an economically equivalent amount of one 
or more futures contracts that represents a position or transaction in 
one or more paired swaps or swaptions consistent with the conversion 
guidelines in Appendix A of this part.
    Open swap or swaption means a swap or swaption that has not been 
closed.
    Paired swap or paired swaption means an open swap or swaption that 
is:
    (1) Directly or indirectly linked, including being partially or 
fully settled on, or priced at a differential to, the price of any 
commodity futures contract listed in Sec.  20.2; or
    (2) Directly or indirectly linked, including being partially or 
fully settled on, or priced at a differential to, the price of the same 
commodity for delivery at the same location or locations.
    Person means any ``person'' as that term is defined in Sec.  1.3 of 
this chapter.
    Reportable account or consolidated account that is reportable means 
a consolidated account that includes a reportable position.
    Reportable position means:
    (1)(i) A position, in any one futures equivalent month, comprised 
of 50 or more futures equivalent paired swaps or swaptions based on the 
same commodity underlying a futures contract listed in Sec.  20.2, 
grouped separately by swaps and swaptions, then grouped by gross long 
contracts on a futures equivalent basis or gross short contracts on a 
futures equivalent basis;
    (ii) For a consolidated account (described in Sec.  20.4(a)) that 
includes a reportable position as defined in paragraph (1)(i) of this 
definition, all other positions in that account that are

[[Page 43863]]

based on the commodity that renders the account reportable; and
    (iii) The first reporting day on which a consolidated account 
(described in Sec.  20.4(a)) no longer includes a reportable position 
as described in paragraph (1)(i) of this definition (because on such 
day, the reporting entity's consolidated account shall continue to be 
considered and treated as if it in fact included reportable positions 
as described in paragraph (1)(i) of this definition); or
    (2) At the discretion of a reporting entity, and as an alternative 
to paragraph (1) of this definition, so long as the same method is 
consistently applied to all consolidated accounts (as described in 
Sec.  20.4(a)) of the reporting entity, all positions on a gross basis 
in a consolidated account that are based on the same commodity.
    Reporting day means the period of time between a clearing 
organization or reporting entity's usual and customary last internal 
valuation of paired swaps or swaptions and the next such period, so 
long as the period of time is consistently observed on a daily basis 
and the Commission is notified, upon its request, of the manner by 
which such period is calculated and any subsequent changes thereto.
    Reporting entity means:
    (1) A clearing member; or
    (2) A swap dealer in one or more paired swaps or swaptions as that 
term is defined in section 1a of the Act and any Commission 
definitional regulations adopted thereunder.
    Swap means:
    (1) Until the effective date of any definitional rulemaking 
regarding ``swap'' by the Commission under section 1a of the Act, an 
agreement (including terms and conditions incorporated by reference 
therein) which is a commodity swap (including any option to enter into 
such swap) within the meaning of ``swap agreement'' under Sec.  
35.1(b)(1) of this chapter, or a master agreement for a commodity swap 
together with all supplements thereto; or
    (2) ``Swap'' as defined in section 1a of the Act and any Commission 
definitional regulations adopted thereunder, upon the effective date of 
such regulations.
    Swaption means an option to enter into a swap or a swap that is an 
option.


Sec.  20.2  Covered contracts.

    The futures and option contracts listed by designated contract 
markets for the purpose of reports filed and information provided under 
this part are as follows:

            Covered Agricultural and Exempt Futures Contracts
------------------------------------------------------------------------
 
-------------------------------------------------------------------------
Chicago Board of Trade (``CBOT'') Corn.
CBOT Ethanol.
CBOT Oats.
CBOT Rough Rice.
CBOT Soybean Meal.
CBOT Soybean Oil.
CBOT Soybeans.
CBOT Wheat.
Chicago Mercantile Exchange (``CME'') Butter.
CME Cheese.
CME Dry Whey.
CME Feeder Cattle.
CME Hardwood Pulp.
CME Lean Hogs.
CME Live Cattle.
CME Milk Class III.
CME Non Fat Dry Milk.
CME Random Length Lumber.
CME Softwood Pulp.
COMEX (``CMX'') Copper Grade 1.
CMX Gold.
CMX Silver.
ICE Futures U.S. (``ICUS'') Cocoa.
ICUS Coffee C.
ICUS Cotton No. 2.
ICUS Frozen Concentrated Orange Juice.
ICUS Sugar No. 11.
ICUS Sugar No. 16.
Kansas City Board of Trade (``KCBT'') Wheat.
Minneapolis Grain Exchange (``MGEX'') Wheat.
NYSELiffe (``NYL'') Gold, 100 Troy Oz.
NYL Silver, 5000 Troy Oz.
New York Mercantile Exchange (``NYMEX'') Cocoa.
NYMEX Brent Financial.
NYMEX Central Appalachian Coal.
NYMEX Coffee.
NYMEX Cotton.
NYMEX Crude Oil, Light Sweet.
NYMEX Gasoline Blendstock (RBOB).
NYMEX Hot Rolled Coil Steel.
NYMEX Natural Gas.
NYMEX No. 2 Heating Oil, New York Harbor.
NYMEX Palladium.
NYMEX Platinum.
NYMEX Sugar No. 11.
NYMEX Uranium.
Diversified Commodity Index (See Sec.   20.11).
------------------------------------------------------------------------

Sec.  20.3  Clearing organizations.

    (a) Reporting data records. For each reporting day, with respect to 
paired swaps or swaptions, clearing organizations shall report to the 
Commission, separately for each clearing member's proprietary and 
clearing member customer account, unique groupings of the data elements 
in paragraph (b) of this section (to the extent that there are such 
corresponding elements), in a single data record, so that each reported 
record is distinguishable from every other reported record (because of 
differing data values, as opposed to the arrangement of the elements).
    (b) Populating reported data records with data elements. Data 
records reported under paragraph (a) of this section shall include the 
following data elements:
    (1) An identifier assigned by the Commission to the clearing 
organization;
    (2) The identifier assigned by the clearing organization to the 
clearing member;
    (3) The identifier assigned by the clearing organization for a 
cleared product;
    (4) The reporting day;
    (5) A proprietary or clearing member customer account indicator;
    (6) The futures equivalent month;
    (7) The commodity reference price;
    (8) Gross long swap positions;
    (9) Gross short swap positions;
    (10) A swaption put or call side indicator;
    (11) A swaption expiration date;
    (12) A swaption strike price;
    (13) Gross long non-delta-adjusted swaption positions; and
    (14) Gross short non-delta-adjusted swaption positions.
    (c) End of reporting day data. For all futures equivalent months, 
clearing organizations shall report end of reporting day settlement 
prices for each cleared product and deltas for every unique swaption 
put and call, expiration date, and strike price.


Sec.  20.4  Reporting entities.

    (a) Consolidated accounts. Each reporting entity shall combine all 
paired swap and swaption positions:
    (1) That are principal positions (swaps and swaptions to which the 
reporting entity is a direct legal counterparty), in a single 
consolidated account that it shall attribute to itself; and
    (2) That are positions of the reporting entity's counterparty in a 
single consolidated account that it shall attribute to that specific 
counterparty.
    (b) Reporting data records. Reporting entities shall report to the 
Commission, for each reporting day, and separately for each reportable 
position in a consolidated account described in paragraphs (a)(1) and 
(a)(2) of this section, unique groupings of the data elements in 
paragraph (c) of this section (to the extent that there are such 
corresponding elements), in a single data record, so that each reported 
record is distinguishable from every other reported record (because of 
differing data values, as opposed to the arrangement of the elements).
    (c) Populating reported data records with data elements. Data 
records reported under paragraph (b) of this

[[Page 43864]]

section shall include the following data elements:
    (1) An identifier assigned by the Commission to the reporting 
entity;
    (2) An identifier indicating that a principal or counterparty 
position is being reported;
    (3) A 102S identifier assigned by the reporting entity to its 
counterparty;
    (4) The name of the counterparty whose position is being reported;
    (5) The reporting day;
    (6) If cleared, the identifier for the cleared product assigned by 
the clearing organization;
    (7) The commodity underlying the reportable positions;
    (8) The futures equivalent month;
    (9) A cleared or uncleared indicator;
    (10) A clearing organization identifier;
    (11) The commodity reference price;
    (12) An execution facility indicator;
    (13) Long paired swap positions;
    (14) Short paired swap positions;
    (15) A swaption put or call side indicator;
    (16) A swaption expiration date;
    (17) A swaption strike price;
    (18) Long non-delta-adjusted paired swaption positions;
    (19) Short non-delta-adjusted paired swaption positions;
    (20) Long delta-adjusted paired swaption positions (using 
economically reasonable and analytically supported deltas);
    (21) Short delta-adjusted paired swaption positions (using 
economically reasonable and analytically supported deltas);
    (22) Long paired swap or swaption notional value; and
    (23) Short paired swap or swaption notional value.


Sec.  20.5  Series S filings.

    (a) 102S filing.
    (1) When a counterparty consolidated account first becomes 
reportable, the reporting entity shall submit a 102S filing, which 
shall consist of the name, address, and contact information of the 
counterparty and a brief description of the nature of such person's 
paired swaps and swaptions market activity.
    (2) A reporting entity may submit a 102S filing only once for each 
counterparty, even if such persons at various times have multiple 
reportable positions in the same or different paired swaps or 
swaptions; however, reporting entities must update a 102S filing if the 
information provided is no longer accurate.
    (3) Reporting entities shall submit a 102S filing within three days 
following the first day a consolidated account first becomes reportable 
or at such time as instructed by the Commission upon special call.
    (b) 40S filing. Every person subject to books or records under 
Sec.  20.6 shall after a special call upon such person by the 
Commission file with the Commission a 40S filing at such time and place 
as directed in the call. A 40S filing shall consist of the submission 
of a Form 40, which shall be completed by such person as if any 
references to futures or option contracts were references to paired 
swaps or swaptions as defined in Sec.  20.1.


Sec.  20.6  Maintenance of books and records.

    (a) Every clearing organization shall keep all records of 
transactions in paired swaps or swaptions, and methods used to convert 
paired swaps or swaptions into futures equivalents, in accordance with 
the requirements of Sec.  1.31 of this chapter.
    (b) Every reporting entity shall keep all records of transactions 
in paired swaps or swaptions, and methods used to convert paired swaps 
or swaptions into futures equivalents, in accordance with the 
requirements of Sec.  1.31 of this chapter.
    (c) Every person with equal to or greater than 50 gross all-months-
combined futures equivalent positions in paired swaps or swaptions on 
the same commodity shall:
    (1) Keep books and records showing all records for transactions 
resulting in such positions, which may be kept and reproduced for 
Commission inspection in the record retention format that such person 
has developed in the normal course of its business operations; and
    (2) Keep books and records showing transactions in the cash 
commodity underlying such positions or its products and byproducts, and 
all commercial activities that are hedged or which have risks that are 
mitigated by such positions, which may be kept in accordance with the 
recordkeeping schedule and reproduced for Commission inspection in the 
record retention format that such person has developed in the normal 
course of its business operations.
    (d) All books and records required to be kept by paragraphs (a) 
through (c) of this section shall be furnished upon request to the 
Commission along with any pertinent information concerning such 
positions, transactions, or activities.


Sec.  20.7  Form and manner of reporting and submitting information or 
filings.

    Unless otherwise instructed by the Commission, a clearing 
organization or reporting entity shall submit data records and any 
other information required under this part to the Commission as 
follows:
    (a) Using the format, coding structure, and electronic data 
transmission procedures approved in writing by the Commission;
    (b) For clearing organizations, not later than 9:00 a.m. eastern 
time on the next business day following the reporting day or at such 
other time as instructed by the Commission; and
    (c) For clearing members and swap dealers, not later than 12:00 
p.m. eastern time on the second (T+2) business day following the 
reporting day or at such other time as instructed by the Commission.


Sec.  20.8  Delegation of authority to the Director of the Division of 
Market Oversight.

    (a) The Commission hereby delegates, until it orders otherwise, to 
the Director of the Division of Market Oversight or such other employee 
or employees as the Director may designate from time to time, the 
authority:
    (1) In Sec.  20.5(a)(3) for issuing a special call for a 102S 
filing;
    (2) In Sec.  20.5(b) for issuing a special call for a 40S filing;
    (3) In Sec.  20.6(d) for issuing a special call;
    (4) In Sec.  20.7 for providing instructions or determining the 
format, coding structure, and electronic data transmission procedures 
for submitting data records and any other information required under 
this part; and
    (5) In Sec.  20.10 for determining the described compliance 
schedules.
    (b) The Director of the Division of Market Oversight may submit to 
the Commission for its consideration any matter which has been 
delegated in this section.
    (c) Nothing in this section prohibits the Commission, at its 
election, from exercising the authority delegated in this section.


Sec.  20.9  Sunset provision.

    (a) Except as otherwise provided in paragraph (b) of this section, 
the sections of this part shall become ineffective and unenforceable 
upon a Commission finding that, through the issuance of an order, 
operating swap data repositories are processing positional data and 
that such processing will enable the Commission to effectively surveil 
trading in paired swaps and swaptions and paired swap and swaption 
markets.
    (b) The Commission may determine, in its discretion, to maintain 
the effectiveness and enforceability of any section of this part, or 
any requirement therein, in an order issued under paragraph (a) of this 
section, upon finding that such sections, or requirements therein, 
provide the

[[Page 43865]]

Commission with positional data or data elements that materially 
improves the accuracy and surveillance utility of the positional data 
processed by swap data repositories.


Sec.  20.10  Compliance schedule.

    (a) Clearinghouses, clearing members and persons with books and 
records obligations shall comply with the requirements of this part 
upon the effective date of this part.
    (b) Swap dealers that are not clearing members shall comply with 
the requirements of this part upon the effective date of final 
regulations further defining the term swap dealer.
    (c) The Commission may permit, for a period not to exceed six 
calendar months following the effective date specified in paragraph (a) 
of this section, the submission of reports pursuant to Sec. Sec.  20.3 
and 20.4 that differ in content, or are submitted in a form and manner 
which is other than prescribed by the provisions of this part, provided 
that the submitter is making a good faith attempt to comply with all of 
the provisions of this part.
    (d) Unless determined otherwise by the Commission, paired swap and 
swaption position and market reports submitted under parts 15 through 
19, or 21 of this chapter, or any order of the Commission, shall 
continue to be submitted under those parts or orders until swap dealers 
are required to comply with Sec.  20.4.
    (e) The Commission may extend the compliance date established in 
paragraph (b) of this section by an additional six calendar months 
based on resource limitations or lack of experience in reporting 
transactions to the Commission for a swap dealer that is not an 
affiliate of a bank holding company and:
    (1) Is not registered with the Commission as a futures commission 
merchant and is not an affiliate of a futures commission merchant;
    (2) Is not registered with the Securities and Exchange Commission 
as a broker or dealer and is not an affiliate of a broker or dealer; 
and
    (3) Is not supervised by any Federal prudential regulator.


Sec.  20.11  Diversified commodity indices.

    For the purpose of reporting in futures equivalents, paired swaps 
and swaptions using commodity reference prices that are commonly known 
diversified indices with publicly available weightings may be reported 
as if such indices underlie a single futures contract with monthly 
expirations for each calendar month and year.

Appendix A to Part 20--Guidelines on Futures Equivalency

    The following examples illustrate how swaps should be converted 
into futures equivalents. In general the total notional quantity for 
each swap should be apportioned to referent futures months based on 
the fraction of days remaining in the life of the swap during each 
referent futures month to the total duration of the swap, measured 
in days. The terms used in the examples are to be understood in a 
manner that is consistent with industry practice.

    Example 1--Fixed for Floating WTI Crude Oil Swap Linked to a DCM
                                Contract
------------------------------------------------------------------------
 
------------------------------------------------------------------------
Reference Price...................  Daily official next to expire
                                     contract price for the NYMEX Light
                                     Sweet Crude Oil Futures Contract
                                     (``WTI'') in $/bbl through the
                                     NYMEX spot month.
Fixed Price.......................  $80.00 per barrel.
Floating Price....................  The arithmetic average of the
                                     reference price during the pricing
                                     period.
Notional Quantity.................  100,000 bbls/month.
Calculation Period................  One month.
Fixed Price Payer.................  Company A.
Floating Price Payer..............  Company B.
Settlement Type...................  Financial.
Swap Term.........................  Six full months from January 1 to
                                     June 30.
Floating Amount...................  Floating Price * Notional Quantity.
Fixed Amount......................  Fixed Price * Notional Quantity.
------------------------------------------------------------------------

    NYMEX WTI trading in the next to expire futures contract ceases 
on the third business day prior to the 25th of the calendar month 
preceding the contract month. For simplicity in this example, the 
last trading day in each WTI futures contract is shown as the 22nd 
of the month.

Futures Equivalent Position on January 1

Total Notional Quantity = 6 months * 100,000 bbls/month = 600,000 
bbls
1,000 bbl = 1 futures contract
Therefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent 
contracts
Total number of days in swap term = 31 + 28 + 31 + 30 + 31 + 30 = 
181

                                Futures Equivalent Position of Swap on January 1
----------------------------------------------------------------------------------------------------------------
                                                                                         Company A    Company B
                                                                           Fraction of    position     position
            Dates swap in force                 Referent futures month         days        (long)      (short)
                                                                                          [dagger]     [dagger]
----------------------------------------------------------------------------------------------------------------
January 1--January 22.....................  February.....................       22/181           73          -73
January 23--February 22...................  March........................       31/181          103         -103
February 23--March 22.....................  April........................       28/181           93          -93
March 23--April 22........................  May..........................       31/181          103         -103
April 23--May 22..........................  June.........................       30/181           99          -99
May 23--June 22...........................  July.........................       31/181          103         -103
June 23--June 30th........................  August.......................        8/181           27          -27
                                           ---------------------------------------------------------------------
    Total.................................  .............................      181/181          601         -601
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.


[[Page 43866]]

Futures equivalent position on January 2

Total Notional Quantity = Remaining swap term * 100,000 bbls/month = 
596,685 bbls
1,000 bbl = 1 futures contract
Therefore 596,685 bbls/1,000 bbls/contract = 597 futures equivalent 
contracts
Total number of days = 30 + 28 + 31 + 30 + 31 + 30 = 180

                     Futures Equivalent Position of Swap on January 2 (Example 1 Continued)
----------------------------------------------------------------------------------------------------------------
                                                                                         Company A    Company B
                                                                           Fraction of    position     position
            Dates swap in force                 Referent futures month         days        (long)      (short)
                                                                                          [dagger]     [dagger]
----------------------------------------------------------------------------------------------------------------
January 2--January 22.....................  February.....................       21/180           70          -70
January 23--February 22...................  March........................       31/180          103         -103
February 23--March 22.....................  April........................       28/180           93          -93
March 23--April 22........................  May..........................       31/180          103         -103
April 23--May 22..........................  June.........................       30/180           99          -99
May 23--June 22...........................  July.........................       31/180          103         -103
June 23--June 30th........................  August.......................        8/180           27          -27
                                                                          --------------------------------------
    Total.................................  .............................      180/180          597         -597
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.


                 Example 2--Fixed for Floating Corn Swap
------------------------------------------------------------------------
 
------------------------------------------------------------------------
Reference Price...................  Daily official next to expire
                                     contract price for the CBOT Corn
                                     Futures Contract in $/bushel
                                     through the CBOT spot month.
Fixed Price.......................  $5.00 per bushel per month.
Floating Price....................  The arithmetic average of the
                                     reference price during the pricing
                                     period.
Calculation Period................  One month.
Notional Quantity.................  1,000,000 bushels/month.
Fixed Price Payer.................  Company A.
Floating Price Payer..............  Company B.
Settlement Type...................  Financial.
Swap Term.........................  Six full months from January 1 to
                                     June 30.
Floating Amount...................  Floating Price * Notional Quantity.
Fixed Amount......................  Fixed Price * Notional Quantity.
------------------------------------------------------------------------

    Last trading day in the nearby CBOT Corn futures contract is the 
business day preceding the 15th of the contract month. For 
simplicity in this example, the last trading day in each Corn 
futures contract is shown as the 14th of the month. Futures contract 
months for corn are March, May, July, September, and December.

Futures Equivalent Position on January 1

Total Notional Quantity = 6 contract months * 1,000,000 bushels/
month = 6,000,000 bushels
5,000 bushels = 1 futures contract
Therefore 6,000,000 bushels/5,000 bushels/contract = 1,200 futures 
equivalent contracts
Total days = 31 + 28 + 31 + 30 + 31 + 30 = 181

                                Futures Equivalent Position of Swap on January 1
----------------------------------------------------------------------------------------------------------------
                                                                                Company A          Company B
       Dates swap in force           Referent futures     Fraction of days   position  (long)  position  (short)
                                           month                                 [dagger]           [dagger]
----------------------------------------------------------------------------------------------------------------
January 1-March 14...............  March...............             73/181                483               -483
March 15-May 14..................  May.................             61/181                404               -404
May 15-June 30...................  July................             47/181                311               -311
                                                        --------------------------------------------------------
    Total........................  ....................            181/181              1,198             -1,198
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.


  Example 3--Fixed for Floating NY RBOB (Platts) Calendar Swap Futures
------------------------------------------------------------------------
 
------------------------------------------------------------------------
Reference Price...................  Platts Oilgram next to expire
                                     contract Price Report for New York
                                     RBOB (Barge) through the NYMEX spot
                                     month.
Fixed Price.......................  $1.8894 per gallon.
Floating Price....................  For each contract month, the
                                     floating price is equal to the
                                     arithmetic average of the high and
                                     low quotations from Platts Oilgram
                                     Price Report for New York RBOB
                                     (Barge) for each business day that
                                     it is determined during the
                                     contract month.
Calculation Period................  One quarter.
Notional Quantity.................  84 million gallons/quarter.
Fixed Price Payer.................  Company A.
Floating Price Payer..............  Company B.
Settlement Type...................  Financial.
Swap Term.........................  Six full months from January 1 to
                                     June 30.

[[Page 43867]]

 
Floating Amount...................  Floating Price * Notional Quantity.
Fixed Amount......................  Fixed Price * Notional Quantity.
------------------------------------------------------------------------

    NYMEX NY RBOB (Platts) Calendar Swap Futures Contract month ends 
on the final business day of the contract month. For simplicity in 
this example, the last trading day in each futures contract is shown 
as the final day of the month.

Futures Equivalent Position on January 1

Total Notional Quantity = 2 quarters * 84 million = 168 million 
gallons
42,000 gallons = 1 futures contract
Therefore 168 million/42,000 gallons/futures contract = 4,000 
futures equivalent contracts
Total number of days = 31 + 28 + 31 + 30 + 31 + 30 = 181

                                Futures Equivalent Position of Swap on January 1
----------------------------------------------------------------------------------------------------------------
                                                                                Company A          Company B
       Dates swap in force           Referent futures     Fraction of days   position  (long)  position  (short)
                                           month                                 [dagger]           [dagger]
----------------------------------------------------------------------------------------------------------------
January 1-March 31...............  April...............             90/181               1989              -1989
April 1-June 30..................  July................             91/181               2011              -2011
                                                        --------------------------------------------------------
    Total........................  ....................            181/181               4000              -4000
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.


                     Example 4--Calendar Spread Swap
------------------------------------------------------------------------
 
------------------------------------------------------------------------
Reference Price...................  The difference between the next to
                                     expire contract price for the NYMEX
                                     WTI Futures contract and the
                                     deferred contract price for the
                                     NYMEX WTI Futures contract.
Fixed Price.......................  $80 per barrel.
Floating Price....................  The arithmetic average of the
                                     reference price during the pricing
                                     period.
Calculation Period................  One month.
Notional Quantity.................  100,000 bbls/month.
Fixed Price Payer.................  Company A.
Floating Price Payer..............  Company B.
Settlement Type...................  Financial.
Swap Term.........................  Six full months from January 1 to
                                     June 30.
Floating Amount...................  Floating Price * Notional Quantity.
Fixed Amount......................  Fixed Price * Notional Quantity.
------------------------------------------------------------------------

    NYMEX WTI trading in the next to expire futures contract ceases 
on the third business day prior to the 25th of the calendar month 
preceding the contract month. For simplicity in this example, the 
last trading day in each WTI futures contract is shown as the 22nd 
of the month.

Futures Equivalent Position on January 1

Total Notional Quantity = 6 months * 100,000 bbls/month = 600,000 
bbls
1,000 bbl = 1 futures contract
Therefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent 
contracts
Total number of days = 31 + 28 + 31 + 30 + 31 + 30 = 181

                                                    Futures Equivalent Position of Swap on January 1
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                 Applicable  next      Company A       Company B         Applicable         Company A        Company B
      Dates swap in force         Fraction of   to expire  futures     position         position      deferred futures       position        position
                                     days              month        (long)[dagger]  (short)[dagger]         month        (short)[dagger]  (long)[dagger]
--------------------------------------------------------------------------------------------------------------------------------------------------------
January 1--January 22.........          22/181  February..........              73              -73  March.............              -73              73
January 23--February 22.......          31/181  March.............             103             -103  April.............             -103             103
February 23--March 22.........          28/181  April.............              93              -93  May...............              -93              93
March 23--April 22............          31/181  May...............             103             -103  June..............             -103             103
April 23--May 22..............          30/181  June..............              99              -99  July..............              -99              99
May 23--June 22...............          31/181  July..............             103             -103  August............             -103             103
June 23--June 30th............           8/181  August............              27              -27  September.........              -27              27
                               -------------------------------------------------------------------------------------------------------------------------
    ,n,s,s,n,sTotal........         181/181  ..................             601             -601  ..................             -601             601
--------------------------------------------------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.


[[Page 43868]]


  Example 5--Columbia Gulf, Mainline Midpoint (``Midpoint') Basis Swap
------------------------------------------------------------------------
 
------------------------------------------------------------------------
Reference Price...................  The Platts Gas Daily Columbia Gulf,
                                     Mainline Midpoint (``Midpoint'')
                                     and the next to expire NYMEX (Henry
                                     Hub) Natural Gas Futures contract.
Fixed Price.......................  $0.05 per MMBtu.
Floating Price....................  The Floating Price will be equal to
                                     the arithmetic average of the daily
                                     value of the Platts Gas Daily
                                     Columbia Gulf, Mainline Midpoint
                                     (``Midpoint'') minus the NYMEX
                                     (Henry Hub) Natural Gas Futures
                                     contract daily settlement price.
Calculation Period................  Monthly.
Notional Quantity.................  10,000 MMBtu/calendar day.
Fixed Price Payer.................  Company A.
Floating Price Payer..............  Company B.
Settlement type...................  Financial.
Swap Term.........................  One month from January 1 to January
                                     31.
Floating Amount...................  Floating Price * Notional Quantity *
                                     calendar days in the month.
Fixed Amount......................  Fixed Price * Notional Quantity *
                                     calendar days in the month.
------------------------------------------------------------------------

    NYMEX Henry Hub Natural Gas Futures Contract trading ceases 
three business days prior to the first day of the delivery month. 
For simplicity in this example, the last trading day in the futures 
contract is shown as the 28th of the month.

Futures Equivalent Position on January 1

Total Notional Quantity for each leg = 1 month * 31 days/month * 
10,000 MMBtu/day = 310,000 MMBtu
10,000 MMBtu = 1 futures contract
Therefore 310,000 MMBtu/10,000 MMBtu/contract = 31 futures 
equivalent contracts
Total number of days = 31

                                                    Futures Equivalent Position of Swap on January 1
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                             Company A                       Company B
                                                                                            position in                     position in
                                                                                             Columbia        Company A       Columbia        Company B
                                                                                               Gulf,        Position in        Gulf,        position in
           Dates swap in force              Fraction  of      Referent futures  month        Mainline      NYMEX  (Henry     Mainline      NYMEX  (Henry
                                                days                                         Midpoint      Hub)  natural     Midpoint      Hub)  natural
                                                                                          (``Midpoint'')   gas  futures   (``Midpoint'')   gas  futures
                                                                                            natural gas       (short)       natural gas       (long)
                                                                                           (long) MMBtu                    (short) MMBtu
--------------------------------------------------------------------------------------------------------------------------------------------------------
January 1--January 28....................           28/31  February.....................  [dagger][dagge             -28  [dagger][dagge              28
                                                                                              r][dagger]                      r][dagger]
January 29--January 31...................            3/31  March........................  ..............              -3  ..............               3
                                          --------------------------------------------------------------------------------------------------------------
    ,n,sTotal...........................           31/31  .............................  ..............             -31  ..............              31
--------------------------------------------------------------------------------------------------------------------------------------------------------
 [dagger][dagger][dagger] Note: Because there is no underlying position taken in a basis contract, for reporting purposes, only enter the futures
  equivalent contract quantities into the corresponding futures.


                     Example 6--WTI Swaption (Call)
------------------------------------------------------------------------
 
------------------------------------------------------------------------
Swaption Style....................  American.
Option Type.......................  Call.
Swaption Start Date...............  Jan 1 of the current year.
Swaption End Date.................  June 30 of the current year.
Strike Price......................  $80.50/bbl.
Notional Quantity.................  100,000 bbl/month.
Calculation Period................  One month.
Reference Price...................  Daily official next to expire
                                     contract price for WTI NYMEX Crude
                                     Oil Futures Contract in $/bbl
                                     through the NYMEX spot month.
Fixed Price.......................  $80.00 per barrel per month.
Floating Price....................  The arithmetic average of the
                                     reference price during the pricing
                                     period.
Settlement Type...................  Financial.
Swap Term.........................  One month from July 1 to July 31 of
                                     the current year.
Floating Amount...................  Floating Price * Notional Quantity.
Fixed Amount......................  Fixed Price * Notional Quantity.
------------------------------------------------------------------------

    NYMEX WTI trading ceases on the third business day prior to the 
25th of the calendar month preceding the delivery month. For 
simplicity in this example, the last trading day in each WTI futures 
contract is shown as the 22nd of the month.

Futures Equivalent Position on January 1

Total Notional Quantity = 1 month*100,000 bbls/month=100,000 bbls
1,000 bbl = 1 futures contract
Therefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent 
contracts
Total number of days = 31

[[Page 43869]]



                                           Gross Position on January 1
----------------------------------------------------------------------------------------------------------------
                                                                                    Company A       Company B
          Dates swap in force              Referent futures month   Fraction of     position         position
                                                                        days     (long)[dagger]  (short)[dagger]
----------------------------------------------------------------------------------------------------------------
July 1 -July 22........................  August...................        22/31             70             -70
July 23--July 31.......................  September................         9/31             29             -29
                                                                   ---------------------------------------------
    Total..............................  .........................        31/31             99             -99
----------------------------------------------------------------------------------------------------------------
[dagger] Contracts rounded to the nearest integer.


              Delta[dagger][dagger] Adjusted Position and Futures Equivalent Position on January 1
----------------------------------------------------------------------------------------------------------------
                                                    August                                September
               Date               ------------------------------------------------------------------------------
                                           Delta              Position            Delta             Position
----------------------------------------------------------------------------------------------------------------
January 1........................  .2..................                 14                 .2                  5
----------------------------------------------------------------------------------------------------------------
[dagger][dagger] Deltas should be calculated in an economically reasonable and analytically supportable basis.


                       Example 7--WTI Collar Swap
------------------------------------------------------------------------
 
------------------------------------------------------------------------
Swaption Style....................  American.
Swaption Start Date...............  Jan 1 of the current year.
Swaption End Date.................  June 30 of the current year.
Call strike Price.................  $70.00 per bbl.
Put strike price..................  $90.00 per bbl.
Notional Quantity.................  100,000 barrels per month.
Calculation Period................  One month.
Reference Price...................  Daily official next to expire
                                     contract price for WTI NYMEX Crude
                                     Oil in $/bbl through the NYMEX spot
                                     month.
Fixed Price.......................  $80.00 per barrel.
Floating Price....................  The arithmetic average of the
                                     reference price during the pricing
                                     period.
Settlement Type...................  Financial.
Swap Term.........................  One month from July 1 to July 31 of
                                     the current year.
Floating Amount...................  Floating Price * Notional Quantity.
Fixed Amount......................  Fixed Price * Notional Quantity.
------------------------------------------------------------------------

    NYMEX WTI trading ceases on the third business day prior to the 
25th of the calendar month preceding the delivery month. For 
simplicity in this example, the last trading day in each WTI futures 
contract is shown as the 22nd of the month.

Futures Equivalent Position on January 1

Total Notional Quantity = 1 month * 100,000 bbls/month = 100,000 
bbls
1,000 bbl = 1 futures contract
Therefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent 
contracts
Total number of days = 31

                                                               Gross Position on January 1
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                          Company A  position                 Company B  position
         Dates swap in force            Referent futures month     Fraction  of  -----------------------------------------------------------------------
                                                                       days             Call               Put              Call               Put
--------------------------------------------------------------------------------------------------------------------------------------------------------
July 1-July 22.......................  August..................            22/31             70.97             70.97            -70.97            -70.97
July 23-July 31......................  September...............             9/31             29.03             29.03            -29.03            -29.03
                                                                ----------------------------------------------------------------------------------------
    Total............................  ........................            31/31            100               100              -100              -100
--------------------------------------------------------------------------------------------------------------------------------------------------------


                                                Company (A) Delta[dagger] Adjusted Position on January 1
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                        August                                             September
                                                 -------------------------------------------------------------------------------------------------------
                      Date                                Long call                 Short put                 Long call                 Short put
                                                 -------------------------------------------------------------------------------------------------------
                                                     Delta       Position      Delta       Position      Delta                     Delta       Position
--------------------------------------------------------------------------------------------------------------------------------------------------------
January 1.......................................           .7           49           .3          -21           .7           20           .3           -8
--------------------------------------------------------------------------------------------------------------------------------------------------------
[dagger] Deltas should be calculated in an economically reasonable and analytically supportable basis.


[[Page 43870]]


                                    Futures Equivalent Position on January 1
----------------------------------------------------------------------------------------------------------------
                                             August[dagger][dagger]               September[dagger][dagger]
                Date                 ---------------------------------------------------------------------------
                                             Long              Short               Long              Short
----------------------------------------------------------------------------------------------------------------
January 1...........................                 70                  0                 28                  0
----------------------------------------------------------------------------------------------------------------
[dagger][dagger] Contracts rounded to the nearest integer.

Appendix B to Part 20--Explanatory Guidance on Data Record Layouts

Record Layout Examples for Sec.  20.3

    The following example (in Tables 1, 2 and 3) covers reporting 
for a particular clearing organization. ``Clearing Organization 
One'' would report, for the 27th of September 2010, the following 
eleven unique data record submissions. Each data record submission 
represents a unique position, as indicated by Sec.  20.3, held by a 
clearing member of Clearing Organization One. Paragraph (a) of Sec.  
20.3 broadly outlines the data elements that determine unique 
positions for reports on clearing member positions. Paragraphs (b) 
of Sec.  20.3 present all of the data elements that should be 
submitted in reference to a particular data record for a particular 
clearing member (in Table 1). Paragraph (c) identifies data elements 
that would comprise end of day record data on cleared products (in 
Tables 2 and 3). Therefore, paragraphs (b) and (c) of Sec.  20.3 
present all of the data elements that should be submitted in 
reference to a particular data record.
    Because CFTC designated Clearing Organization One (in this 
example) currently has two clearing members, ``Clearing Member One'' 
and ``Clearing Member Two,'' positions cleared for these two 
distinct clearing members would be subdivided.
    In the following example it is assumed that the clearing member 
accounts are either proprietary or customer (but not both) and 
therefore data record submissions do not have to be delineated by 
these account types. However, if clearing members did have both 
proprietary and customer accounts, then a clearing organization 
would have to further subdivide these clearing member data records 
by these two account types.
    Clearing Member One currently has five positions with multiple 
cleared product IDs and futures equivalent months/years, and 
therefore these positions also constitute separate data records.
    Clearing Member Two currently has six positions with the 
following varying characteristics: Cleared product IDs; futures 
equivalent months/years; commodity reference prices; swaption 
positions that involve both puts and calls; and multiple strike 
prices. Accordingly, these positions must be reported in separate 
data records. An illustration of how these records would appear is 
included in Table 1 below. Clearing Organization One would also have 
to report the corresponding swaption position deltas, strike prices, 
expiration dates, and settlement prices and swap settlement prices. 
An illustration of these submissions is included in Tables 2 and 3 
below.

                                                           Table 1--Data Records Reported Under Paragraphs (a) and (b) of Sec.   20.3
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                          Clearing org clearing   Clearing org cleared                         Proprietary/ customer   Futures equivalent    Commodity reference
           Data records             CFTC clearing org ID        member ID              product ID           Reporting day        account indicator       month and year             price
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1....................  CCO--ID--1...........  CM--ID--2............  CP--04...............  9/27/2010............  C....................  Nov-10..............  NYMEX NY Harbor
                                                                                                                                                                             No.2.
Data record 2....................  CCO--ID--1...........  CM--ID--2............  CP--04...............  9/27/2010............  C....................  Oct-10..............  NYMEX NY Harbor
                                                                                                                                                                             No.2.
Data record 3....................  CCO--ID--1...........  CM--ID--2............  CP--02...............  9/27/2010............  C....................  Nov-10..............  NYMEX Henry Hub.
Data record 4....................  CCO--ID--1...........  CM--ID--2............  CP--02...............  9/27/2010............  C....................  Oct-10..............  NYMEX Henry Hub.
Data record 5....................  CCO--ID--1...........  CM--ID--2............  CP--02...............  9/27/2010............  C....................  Nov-10..............  NYMEX Henry Hub.
Data record 6....................  CCO--ID--1...........  CM--ID--2............  CP--02...............  9/27/2010............  C....................  Oct-10..............  NYMEX Henry Hub.
Data record 7....................  CCO--ID--1...........  CM--ID--1............  CP--03...............  9/27/2010............  P....................  Mar-11..............  NYMEX Light Sweet.
Data record 8....................  CCO--ID--1...........  CM--ID--1............  CP--03...............  9/27/2010............  P....................  Feb-11..............  NYMEX Light Sweet.
Data record 9....................  CCO--ID--1...........  CM--ID--1............  CP--01...............  9/27/2010............  P....................  Mar-11..............  NYMEX Light Sweet.
Data record 10...................  CCO--ID--1...........  CM--ID--1............  CP--01...............  9/27/2010............  P....................  Feb-11..............  NYMEX Light Sweet.
Data record 11...................  CCO--ID--1...........  CM--ID--1............  CP--01...............  9/27/2010............  P....................  Jan-11..............  NYMEX Light Sweet.
ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½--------------------------------------------------------------------------------------------------------------------------------------------------------------
NDR..............................  Yes..................  Yes..................  Yes..................  Yes..................  Yes..................  Yes.................  No.
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
           Data records              Long swap position    Short swap position     Put/call indicator    Swaption expiration   Swaption strike price   Non-delta adjusted    Non-delta adjusted
                                                                                                                 date                                     long swaption         short swaption
                                                                                                                                                             position              position
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1....................  0....................  5000
Data record 2....................  0....................  2000
Data record 3....................  .....................  .....................  C....................  7/29/2011............  5.59.................  2000................  0

[[Page 43871]]

 
Data record 4....................  .....................  .....................  C....................  7/29/2011............  5.59.................  18000...............  0
Data record 5....................  .....................  .....................  P....................  7/29/2011............  5.50.................  100.................  30
Data record 6....................  .....................  .....................  P....................  7/29/2011............  5.50.................  900.................  270
Data record 7....................  5000.................  0
Data record 8....................  5000.................  0
Data record 9....................  429..................  1286
Data record 10...................  2281.................  6843
Data record 11...................  1290.................  3871
NDR..............................  No...................  No...................  Yes..................  Yes..................  Yes..................  No..................  No.
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


    Note: The bottom row of Table 1 indicates whether data elements 
for which any difference in one of the elements constitutes a reason 
for a new data record (NDR).


                                                  Table 2--Example of Data Records Required Under Sec.   20.3(c) for Cleared Swaption Products
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                             Clearing
                                                               org                                                                        Swaption    Swaption                         Swaption
              Data records               CFTC clearing org   cleared   Reporting   Futures equivalent month   Commodity reference price  expiration    strike    Put/call    Delta       daily
                                                 ID          product      day              and year                                         date       price    indicator             settlement
                                                                ID                                                                                                                       price
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1..........................         CCO--ID--1     CP--02  9/27/2010  Nov-10....................  NYMEX Henry Hub..........   7/29/2011       5.59          C         .5        6.25
Data record 2..........................         CCO--ID--1     CP--02  9/27/2010  Oct-10....................  NYMEX Henry Hub..........   7/29/2011       5.59          C         .5        5.50
Data record 3..........................         CCO--ID--1     CP--02  9/27/2010  Nov-10....................  NYMEX Henry Hub..........   7/29/2011       5.50          P         .2        4.53
Data record 4..........................         CCO--ID--1     CP--02  9/27/2010  Oct-10....................  NYMEX Henry Hub..........   7/29/2011       5.50          P         .2        4.78
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


                                Table 3--Example of Data Records Required Under Sec.   20.3(c) for Cleared Swap Products
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                        Clearing org                                                                        Swap daily
             Data records               CFTC clearing      cleared      Reporting day  Futures equivalent month    Commodity reference      settlement
                                           org ID        product ID                            and year                   price                price
--------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1........................      CCO--ID--1          CP--04       9/27/2010  Nov-10..................  NYMEX NY Harbor No. 2..           20.35
Data record 2........................      CCO--ID--1          CP--04       9/27/2010  Oct-10..................  NYMEX NY Harbor No. 2..           10.50
Data record 3........................      CCO--ID--1          CP--03       9/27/2010  Mar-11..................  NYMEX Light Sweet......           15.00
Data record 4........................      CCO--ID--1          CP--03       9/27/2010  Feb-11..................  NYMEX Light Sweet......           21.00
Data record 5........................      CCO--ID--1          CP--01       9/27/2010  Mar-11..................  NYMEX Light Sweet......           17.50
Data record 6........................      CCO--ID--1          CP--01       9/27/2010  Feb-11..................  NYMEX Light Sweet......           21.65
Data record 7........................      CCO--ID--1          CP--01       9/27/2010  Jan-11..................  NYMEX Light Sweet......           12.50
--------------------------------------------------------------------------------------------------------------------------------------------------------

First Record Layout Example for Sec.  20.4:

    This first example shows the data records generated under Sec.  
20.4 by a single reporting firm for report date September 27, 2011. 
Each data record represents a unique part of a reportable position 
in heating oil and natural gas by the reporting entity and its 
counterparties. Paragraph (b) of Sec.  20.4 outlines the data 
elements that determine unique positions.
    In this example, the reporting entity clears with one clearing 
organization and therefore the data records do not have to be 
delineated by clearing organization (there is a reportable position 
stemming from an uncleared transaction included as well). However, 
if the reporting entity in this example used multiple clearing 
organizations, then it would have to further subdivide its data 
submissions by each clearing organization.
    The reporting entity reports fifteen records; six principal 
positions and nine counterparty positions. The reported positions 
constitute separate data records because they vary by the following 
characteristics: swap counterparties; futures equivalent months/
years; clearing organization cleared products; swaptions that were 
either cleared or uncleared; commodity reference prices; and whether 
the trade was entered into on or off execution facilities. An 
illustration of how these records would be reported is included in 
Table 4 below.
    For the calculation of notional values, assume for simplicity 
that the price of heating oil, for all contract months and for both 
reference prices, is $3/gal. Similarly, assume that the price of 
natural gas for all contract months is $4.25/MMBtu.

    Note: The bottom two rows in Table 4 indicate whether, for 
uncleared and cleared swaps and swaptions, data elements for which 
any difference in one of the elements constitutes a reason for a new 
data record (NDR).


[[Page 43872]]



                                                                 Table 4--Example of Data Records Reported Under Sec.   20.4(c)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                         Principal/
                                      Commission        counterparty        102S Swap                                                 Clearing org cleared                          Futures
          Data records             reporting entity       position       counterparty ID     Counterparty name       Reporting day          product ID        Commodity code    equivalent month
                                          ID             indicator                                                                                                                  and year
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1...................  CRE--ID--1.......  PRIN.............  .................  .....................  9/27/2011.........  CPID--05............  HO...............  Jan-12
Data record 2...................  CRE--ID--1.......  COUNT............  CP--01...........  Energy--Firm--1......  9/27/2011.........  CPID--05............  HO...............  Jan-12
Data record 3...................  CRE--ID--1.......  COUNT............  CP--02...........  Energy--Firm--2......  9/27/2011.........  CPID--05............  HO...............  Jan-12
Data record 4...................  CRE--ID--1.......  PRIN.............  .................  .....................  9/27/2011.........  CPID--04............  HO...............  Feb-12
Data record 5...................  CRE--ID--1.......  COUNT............  CP--03...........  Energy--Firm--3......  9/27/2011.........  CPID--04............  HO...............  Feb-12
Data record 6...................  CRE--ID--1.......  PRIN.............  .................  .....................  9/27/2011.........  CPID--04............  HO...............  Mar-12
Data record 7...................  CRE--ID--1.......  COUNT............  CP--04...........  ABC--Firm............  9/27/2011.........  CPID--04............  HO...............  Mar-12
Data record 8...................  CRE--ID--1.......  PRIN.............  .................  .....................  9/27/2011.........  CDIP--07............  NG...............  Mar-12
Data record 9...................  CRE--ID--1.......  COUNT............  CP--05...........  XYZ--Firm............  9/27/2011.........  CDIP--07............  NG...............  Mar-12
Data record 10..................  CRE--ID--1.......  COUNT............  CP--06...........  WVU--Firm............  9/27/2011.........  CDIP--07............  NG...............  Mar-12
Data record 11..................  CRE--ID--1.......  COUNT............  CP--01...........  Energy--Firm--1......  9/27/2011.........  CDIP--07............  NG...............  Mar-12
Data record 12..................  CRE--ID--1.......  PRIN.............  .................  .....................  9/27/2011.........  CDIP--07............  NG...............  Mar-12
Data record 13..................  CRE--ID--1.......  COUNT............  CP--07...........  MNO--Firm............  9/27/2011.........  CDIP--07............  NG...............  Mar-12
Data record 14..................  CRE--ID--1.......  PRIN.............  .................  .....................  9/27/2011.........  UNCL................  NG...............  Jan-12
Data record 15..................  CRE--ID--1.......  COUNT............  CP--02...........  Energy--Firm--2......  9/27/2011.........  UNCL................  NG...............  Jan-12
NDR Uncleared...................  Yes..............  Yes..............  Yes..............  No...................  Yes...............  N/A.................  No...............  Yes
NDR Cleared.....................  Yes..............  Yes..............  Yes..............  No...................  Yes...............  Yes.................  No...............  Yes
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


 
                                    Cleared/uncleared   CFTC clearing org   Commodity reference      Execution          Long swap          Short swap
           Data records                 indicator          identifier              price              facility           position           position
--------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1....................  C.................  CCO--ID--1........  Platts Oilgram Price  EX1..............  200                .................
                                                                            Report for New York
                                                                            No. 2 (Barge).
Data record 2....................  C.................  CCO--ID--1........  Platts Oilgram Price  EX1..............  .................  50
                                                                            Report for New York
                                                                            No. 2 (Barge).
Data record 3....................  C.................  CCO--ID--1........  Platts Oilgram Price  EX1..............  .................  150
                                                                            Report for New York
                                                                            No. 2 (Barge).
Data record 4....................  C.................  CCO--ID--1........  NYMEX NY Harbor No.2  EX2..............  350                .................
Data record 5....................  C.................  CCO--ID--1........  NYMEX NY Harbor No.2  EX2..............  .................  350
Data record 6....................  C.................  CCO--ID--1........  NYMEX NY Harbor No.2  EX1..............  100                .................
Data record 7....................  C.................  CCO--ID--1........  NYMEX NY Harbor No.2  EX1..............  .................  100
Data record 8....................  C.................  CCO--ID--1........  NYMEX Henry Hub.....  EX3..............  200                100
Data record 9....................  C.................  CCO--ID--1........  NYMEX Henry Hub.....  EX3..............  .................  125
Data record 10...................  C.................  CCO--ID--1........  NYMEX Henry Hub.....  EX3..............  .................  75
Data record 11...................  C.................  CCO--ID--1........  NYMEX Henry Hub.....  EX3..............  100                .................
Data record 12...................  C.................  CCO--ID--1........  NYMEX Henry Hub.....  EX1..............  .................  .................
Data record 13...................  C.................  CCO--ID--1........  NYMEX Henry Hub.....  EX1..............  .................  .................
Data record 14...................  U.................  U.................  NYMEX Henry Hub.....  NOEX.............  .................  .................
Data record 15...................  U.................  U.................  NYMEX Henry Hub.....  NOEX.............  .................  .................
NDR Uncleared....................  Yes...............  N/A...............  Yes.................  Yes..............  No                 No
NDR Cleared......................  Yes...............  Yes...............  No..................  Yes..............  No                 No
--------------------------------------------------------------------------------------------------------------------------------------------------------


 
                                                                                                                                             Delta
                                                                                           Non-delta        Non-delta         Delta         adjusted        Long swap or        Short swap or
          Data records                Put/call      Swaption expiration     Swaption     adjusted long    adjusted short  adjusted long      short       swaption notional    swaption  notional
                                      indicator             date          strike price      swaption         swaption        swaption       swaption       value position       value position
                                                                                            position         position        position       position
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1...................  ................  ...................  .............  ...............  ...............  .............  .............  $25,200,000          ...................
Data record 2...................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $6,300,000
Data record 3...................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $18,900,000
Data record 4...................  ................  ...................  .............  ...............  ...............  .............  .............  $44,100,000          ...................
Data record 5...................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $44,100,000
Data record 6...................  ................  ...................  .............  ...............  ...............  .............  .............  $12,600,000          ...................
Data record 7...................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $12,600,000
Data record 8...................  ................  ...................  .............  ...............  ...............  .............  .............  $8,500,000           $4,250,000
Data record 9...................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $5,312,500
Data record 10..................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $3,187,500
Data record 11..................  ................  ...................  .............  ...............  ...............  .............  .............  $4,250,000           ...................
Data record 12..................  C...............  2/27/2012..........  4.00.........  100............  ...............  80...........  .............  $3,400,000           ...................
Data record 13..................  C...............  2/27/2012..........  4.00.........  ...............  100............  .............  80...........  ...................  $3,400,000
Data record 14..................  C...............  12/27/2011.........  4.25.........  100............  ...............  95...........  .............  $4,037,500           ...................
Data record 15..................  C...............  12/27/2011.........  4.25.........  ...............  100............  .............  95...........  ...................  $4,037,500
NDR Uncleared...................  Yes.............  Yes................  Yes..........  No.............  No.............  No...........  No...........  No                   No
NDR Cleared.....................  Yes.............  Yes................  Yes..........  No.............  No.............  No...........  No...........  No                   No
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Second Record Layout Example for Sec.  20.4:

    In this second example, the data records generated by Sec.  
20.4(c) are displayed for a hypothetical swap, as detailed in 
Example 1 of Appendix A. In contrast to the above example, this 
second example of a Sec.  20.4(c) data record is simplistic in that 
it displays a situation where the position records arise from a 
single swap transaction, in one commodity, with a single 
counterparty.
    For the sake of this example, assume the swap dealer gained long 
exposure from the swap, and that the swap was cleared. The price of 
crude is assumed to be $100/bbl for all contract months on January 1 
and $95/bbl for all contract months on January 2. An illustration of 
the data records generated for January 1, 2011 and January 2, 2011 
as a result of this hypothetical swap can be found in Tables 5 and 
6, respectively.

[[Page 43873]]



                                             Table 5--Example of Data Records Reported Under Sec.   20.4(c) for January 1, 2011 (Appx A, Example 1)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                         Principal/
                                      Commission        counterparty        102S swap                                                 Clearing org cleared                          Futures
          Data records             reporting entity       position       counterparty ID     Counterparty Name       Reporting day          product ID        Commodity code    equivalent month
                                          ID             indicator                                                                                                                  and year
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1...................  SD--1............  PRIN.............  .................  .....................  1/1/2011..........  CPID--03............  CL...............  Feb-11
Data record 2...................  SD--1............  PRIN.............  .................  .....................  1/1/2011..........  CPID--03............  CL...............  Mar-11
Data record 3...................  SD--1............  PRIN.............  .................  .....................  1/1/2011..........  CPID--03............  CL...............  Apr-11
Data record 4...................  SD--1............  PRIN.............  .................  .....................  1/1/2011..........  CPID--03............  CL...............  May-11
Data record 5...................  SD--1............  PRIN.............  .................  .....................  1/1/2011..........  CPID--03............  CL...............  Jun-11
Data record 6...................  SD--1............  PRIN.............  .................  .....................  1/1/2011..........  CPID--03............  CL...............  Jul-11
Data record 7...................  SD--1............  PRIN.............  .................  .....................  1/1/2011..........  CPID--03............  CL...............  Aug-11
Data record 8...................  SD--1............  COUNT............  CP--01...........  Energy--Firm--1......  1/1/2011..........  CPID--03............  CL...............  Feb-11
Data record 9...................  SD--1............  COUNT............  CP--01...........  Energy--Firm--1......  1/1/2011..........  CPID--03............  CL...............  Mar-11
Data record 10..................  SD--1............  COUNT............  CP--01...........  Energy--Firm--1......  1/1/2011..........  CPID--03............  CL...............  Apr-11
Data record 11..................  SD--1............  COUNT............  CP--01...........  Energy--Firm--1......  1/1/2011..........  CPID--03............  CL...............  May-11
Data record 12..................  SD--1............  COUNT............  CP--01...........  Energy--Firm--1......  1/1/2011..........  CPID--03............  CL...............  Jun-11
Data record 13..................  SD--1............  COUNT............  CP--01...........  Energy--Firm--1......  1/1/2011..........  CPID--03............  CL...............  Jul-11
Data record 14..................  SD--1............  COUNT............  CP--01...........  Energy--Firm--1......  1/1/2011..........  CPID--03............  CL...............  Aug-11
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


 
                                    Cleared/uncleared   CFTC clearing org   Commodity reference      Execution          Long swap          Short swap
           Data records                 indicator          identifier              price              facility           position           position
--------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  73                 .................
Data record 2....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  103                .................
Data record 3....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  93                 .................
Data record 4....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  103                .................
Data record 5....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  99                 .................
Data record 6....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  103                .................
Data record 7....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  27                 .................
Data record 8....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  .................  73
Data record 9....................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  .................  103
Data record 10...................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  .................  93
Data record 11...................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  .................  103
Data record 12...................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  .................  99
Data record 13...................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  .................  103
Data record 14...................  C.................  CCO--ID--1........  NYMEX Light Sweet...  EX1..............  .................  27
--------------------------------------------------------------------------------------------------------------------------------------------------------


 
                                                                                           Non-delta        Non-delta         Delta          Delta
                                      Put/call      Swaption expiration     Swaption     adjusted long    adjusted short  adjusted long  adjusted long      Long swap or        Short swap or
          Data records                indicator             date          strike price      swaption         swaption        swaption       swaption     swaption notional    swaption notional
                                                                                            position         position        position       position       value position       value position
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1...................  ................  ...................  .............  ...............  ...............  .............  .............  $7,300,000.........  ...................
Data record 2...................  ................  ...................  .............  ...............  ...............  .............  .............  $10,300,000........  ...................
Data record 3...................  ................  ...................  .............  ...............  ...............  .............  .............  $9,300,000.........  ...................
Data record 4...................  ................  ...................  .............  ...............  ...............  .............  .............  $10,300,000........  ...................
Data record 5...................  ................  ...................  .............  ...............  ...............  .............  .............  $9,900,000.........  ...................
Data record 6...................  ................  ...................  .............  ...............  ...............  .............  .............  $10,300,000........  ...................
Data record 7...................  ................  ...................  .............  ...............  ...............  .............  .............  $2,700,000.........  ...................
Data record 8...................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $7,300,000
Data record 9...................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $10,300,000
Data record 10..................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $9,300,000
Data record 11..................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $10,300,000
Data record 12..................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $9,900,000
Data record 13..................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $10,300,000
Data record 14..................  ................  ...................  .............  ...............  ...............  .............  .............  ...................  $2,700,000
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


                                             Table 6--Example of Data Records Reported Under Sec.   20.4(c) for January 2, 2011 (Appx A, Example 1)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                         Principal/
                                      Commission        counterparty    102S Swap counterparty                                               Clearing org                            Futures
          Data records             reporting entity       position                ID              Counterparty name     Reporting day    cleared  product ID   Commodity code   equivalent month
                                          ID             indicator                                                                                                                  and year
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1...................  SD--1............  PRIN.............  ......................  ....................  1/2/2011.........  CPID--03...........  CL..............  Feb-11
Data record 2...................  SD--1............  PRIN.............  ......................  ....................  1/2/2011.........  CPID--03...........  CL..............  Mar-11
Data record 3...................  SD--1............  PRIN.............  ......................  ....................  1/2/2011.........  CPID--03...........  CL..............  Apr-11
Data record 4...................  SD--1............  PRIN.............  ......................  ....................  1/2/2011.........  CPID--03...........  CL..............  May-11
Data record 5...................  SD--1............  PRIN.............  ......................  ....................  1/2/2011.........  CPID--03...........  CL..............  Jun-11
Data record 6...................  SD--1............  PRIN.............  ......................  ....................  1/2/2011.........  CPID--03...........  CL..............  Jul-11
Data record 7...................  SD--1............  PRIN.............  ......................  ....................  1/2/2011.........  CPID--03...........  CL..............  Aug-11
Data record 8...................  SD--1............  COUNT............  Counterparty--1.......  Energy Firm.........  1/2/2011.........  CPID--03...........  CL..............  Feb-11
Data record 9...................  SD--1............  COUNT............  Counterparty--1.......  Energy Firm.........  1/2/2011.........  CPID--03...........  CL..............  Mar-11
Data record 10..................  SD--1............  COUNT............  Counterparty--1.......  Energy Firm.........  1/2/2011.........  CPID--03...........  CL..............  Apr-11
Data record 11..................  SD--1............  COUNT............  Counterparty--1.......  Energy Firm.........  1/2/2011.........  CPID--03...........  CL..............  May-11
Data record 12..................  SD--1............  COUNT............  Counterparty--1.......  Energy Firm.........  1/2/2011.........  CPID--03...........  CL..............  Jun-11
Data record 13..................  SD--1............  COUNT............  Counterparty--1.......  Energy Firm.........  1/2/2011.........  CPID--03...........  CL..............  Jul-11
Data record 14..................  SD--1............  COUNT............  Counterparty--1.......  Energy Firm.........  1/2/2011.........  CPID--03...........  CL..............  Aug-11
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


 
                                    Cleared/uncleared  CFTC clearing org  Commodity reference      Execution          Long swap
           Data records                 indicator          identifier            price              facility           position      Short swap position
--------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  70                 ...................

[[Page 43874]]

 
Data record 2....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  103                ...................
Data record 3....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  93                 ...................
Data record 4....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  103                ...................
Data record 5....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  99                 ...................
Data record 6....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  103                ...................
Data record 7....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  27                 ...................
Data record 8....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  .................  70
Data record 9....................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  .................  103
Data record 10...................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  .................  93
Data record 11...................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  .................  103
Data record 12...................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  .................  99
Data record 13...................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  .................  103
Data record 14...................  C.................  CCO--ID--1.......  NYMEX Light Sweet..  EX1..............  .................  27
--------------------------------------------------------------------------------------------------------------------------------------------------------


 
                                                                                             Non-delta         Non-delta                         Delta
                                      Put/call      Swaption expiration     Swaption       adjusted long    adjusted short   Delta adjusted  adjusted long     Long swap or      Short swap or
          Data records                indicator             date          strike price       swaption          swaption       long swaption     swaption    swaption notional  swaption notional
                                                                                             position          position         position        position      value position     value position
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Data record 1...................  ................  ...................  ..............  ................  ................  ..............  .............  $6,650,000         .................
Data record 2...................  ................  ...................  ..............  ................  ................  ..............  .............  $9,785,000         .................
Data record 3...................  ................  ...................  ..............  ................  ................  ..............  .............  $8,835,000         .................
Data record 4...................  ................  ...................  ..............  ................  ................  ..............  .............  $9,785,000         .................
Data record 5...................  ................  ...................  ..............  ................  ................  ..............  .............  $9,405,000         .................
Data record 6...................  ................  ...................  ..............  ................  ................  ..............  .............  $9,785,000         .................
Data record 7...................  ................  ...................  ..............  ................  ................  ..............  .............  $2,565,000         .................
Data record 8...................  ................  ...................  ..............  ................  ................  ..............  .............  .................  $6,650,000
Data record 9...................  ................  ...................  ..............  ................  ................  ..............  .............  .................  $9,785,000
Data record 10..................  ................  ...................  ..............  ................  ................  ..............  .............  .................  $8,835,000
Data record 11..................  ................  ...................  ..............  ................  ................  ..............  .............  .................  $9,785,000
Data record 12..................  ................  ...................  ..............  ................  ................  ..............  .............  .................  $9,405,000
Data record 13..................  ................  ...................  ..............  ................  ................  ..............  .............  .................  $9,785,000
Data record 14..................  ................  ...................  ..............  ................  ................  ..............  .............  .................  $2,565,000
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


    Issued by the Commission this 7th day of July, 2011 in 
Washington, DC.
David Stawick,
Secretary of the Commission.

Appendices to Large Trader Reporting for Physical Commodity Swaps--
Commission Voting Summary and Statements of Commissioners

    Note:  The following appendices will not appear in the Code of 
Federal Regulations.

Appendix 1--Commission Voting Summary

    On this matter, Chairman Gensler and Commissioners Dunn, 
Sommers, O'Malia and Chilton voted in the affirmative; no 
Commissioner voted in the negative.

Appendix 2--Statement of Chairman Gary Gensler

    I support the final rulemaking to establish large trader 
reporting for physical commodity swaps. This is a significant 
rulemaking that, for the first time, enables the CFTC to receive 
data from large traders in the commodity swaps markets.
    The American public has benefited for decades by the 
Commission's ability to gather large trader data in the futures 
market and use that data to police the markets. Today's large trader 
reporting rulemaking establishes that clearinghouses and swap 
dealers will have to report to the CFTC about the swaps activities 
of large traders in the physical swaps markets.
    Over time, as a result of the Dodd-Frank Act, the markets will 
benefit from swap data repositories. Today's rulemaking will enable 
the Commission to gather important swaps data until there are 
robust, well-regulated swap data repositories. This data will be 
useful for the Commission to monitor and police the markets, 
including establishing and enforcing position limits.

[FR Doc. 2011-18054 Filed 7-21-11; 8:45 am]
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