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Electronic Code of Federal Regulations

e-CFR Data is current as of April 16, 2014

Title 17: Commodity and Securities Exchanges


PART 20—LARGE TRADER REPORTING FOR PHYSICAL COMMODITY SWAPS


Contents
§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).

Source: 76 FR 43862, July 22, 2011, unless otherwise noted.

§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 §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 §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 §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 §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 §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 based on the commodity that renders the account reportable; and

(iii) The first reporting day on which a consolidated account (described in §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 §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 §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.

§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 §20.11).

§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.

§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 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.

§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, in accordance with the form instructions and as specified in this section.

(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.

(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.

(4) Change updates. If any change causes the information filed by a clearing member or swap dealer on a Form 102 for a consolidated account to no longer be accurate, then such clearing member or swap dealer shall file an updated Form 102 with the Commission no later than 9 a.m. on the business day after such change occurs, or on such other date as directed by special call of the Commission, provided that, a clearing member or swap dealer may stop providing change updates for a Form 102 that it has submitted to the Commission for any consolidated account upon notifying the Commission or its designee that the account in question is no longer reportable as a consolidated account and has not been reportable as a consolidated account for the past six months. Unless otherwise specified by the Commission or its designee, the stated time is eastern time for information concerning markets located in that time zone, and central time for information concerning all other markets.

(5) Refresh updates. For Consolidated Accounts—Starting on a date specified by the Commission or its designee and at the end of each annual increment thereafter (or such other date specified by the Commission or its designee that is equal to or greater than six months), each clearing member or swap dealer shall resubmit every Form 102 that it has submitted to the Commission for each of its consolidated accounts, provided that, a clearing member or swap dealer may stop providing refresh updates for a Form 102 that it has submitted to the Commission for any consolidated account upon notifying the Commission or its designee that the account in question is no longer reportable as a consolidated account and has not been reportable as a consolidated account for the past six months.

(b) 40S filing. Every person subject to books or records under §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 §20.1.

[76 FR 43862, July 22, 2011, as amended at 78 FR 69265, Nov. 18, 2013]

§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 §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 §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.

§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.

§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 §20.5(a)(3) for issuing a special call for a 102S filing;

(2) In §20.5(b) for issuing a special call for a 40S filing;

(3) In §20.6(d) for issuing a special call;

(4) In §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 §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.

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

§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 §§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 §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.

§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 PriceDaily 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 PriceThe arithmetic average of the reference price during the pricing period.
Notional Quantity100,000 bbls/month.
Calculation PeriodOne month.
Fixed Price PayerCompany A.
Floating Price PayerCompany B.
Settlement TypeFinancial.
Swap TermSix full months from January 1 to June 30.
Floating AmountFloating Price * Notional Quantity.
Fixed AmountFixed 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

Dates swap in forceReferent futures monthFraction of daysCompany A
position (long)
Company B
position (short)
January 1—January 22February22/18173−73
January 23—February 22March31/181103−103
February 23—March 22April28/18193−93
March 23—April 22May31/181103−103
April 23—May 22June30/18199−99
May 23—June 22July31/181103−103
June 23—June 30thAugust8/18127−27
Total181/181601−601

Contracts rounded to the nearest integer.

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)

Dates swap in forceReferent futures monthFraction of daysCompany A
position
(long)
Company B
position
(short)
January 2—January 22February21/18070−70
January 23—February 22March31/180103−103
February 23—March 22April28/18093−93
March 23—April 22May31/180103−103
April 23—May 22June30/18099−99
May 23—June 22July31/180103−103
June 23—June 30thAugust8/18027−27
Total180/180597−597

Contracts rounded to the nearest integer.

Example 2—Fixed for Floating Corn Swap

Reference PriceDaily 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 PriceThe arithmetic average of the reference price during the pricing period.
Calculation PeriodOne month.
Notional Quantity1,000,000 bushels/month.
Fixed Price PayerCompany A.
Floating Price PayerCompany B.
Settlement TypeFinancial.
Swap TermSix full months from January 1 to June 30.
Floating AmountFloating Price * Notional Quantity.
Fixed AmountFixed 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

Dates swap in forceReferent futures monthFraction of daysCompany A
position
(long)
Company B
position
(short)
January 1-March 14March73/181483−483
March 15-May 14May61/181404−404
May 15-June 30July47/181311−311
Total181/1811,198−1,198

Contracts rounded to the nearest integer.

Example 3—Fixed for Floating NY RBOB (Platts) Calendar Swap Futures

Reference PricePlatts Oilgram next to expire contract Price Report for New York RBOB (Barge) through the NYMEX spot month.
Fixed Price$1.8894 per gallon.
Floating PriceFor 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 PeriodOne quarter.
Notional Quantity84 million gallons/quarter.
Fixed Price PayerCompany A.
Floating Price PayerCompany B.
Settlement TypeFinancial.
Swap TermSix full months from January 1 to June 30.
Floating AmountFloating Price * Notional Quantity.
Fixed AmountFixed 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

Dates swap in forceReferent futures monthFraction of daysCompany A
position
(long)
Company B
position
(short)
January 1-March 31April90/1811989−1989
April 1-June 30July91/1812011−2011
Total181/1814000−4000

Contracts rounded to the nearest integer.

Example 4—Calendar Spread Swap

Reference PriceThe 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 PriceThe arithmetic average of the reference price during the pricing period.
Calculation PeriodOne month.
Notional Quantity100,000 bbls/month.
Fixed Price PayerCompany A.
Floating Price PayerCompany B.
Settlement TypeFinancial.
Swap TermSix full months from January 1 to June 30.
Floating AmountFloating Price * Notional Quantity.
Fixed AmountFixed 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

Dates swap in forceFraction of daysApplicable
next to
expire
futures month
Company A
position
(long)
Company B
position
(short)
Applicable deferred futures monthCompany A
position
(short)
Company B
position
(long)
January 1—January 2222/181February73−73March−7373
January 23—February 2231/181March103−103April−103103
February 23—March 2228/181April93−93May−9393
March 23—April 2231/181May103−103June−103103
April 23—May 2230/181June99−99July−9999
May 23—June 2231/181July103−103August−103103
June 23—June 30th8/181August27−27September−2727
Total181/181601−601−601601

Contracts rounded to the nearest integer.

Example 5—Columbia Gulf, Mainline Midpoint (“Midpoint') Basis Swap

Reference PriceThe 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 PriceThe 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 PeriodMonthly.
Notional Quantity10,000 MMBtu/calendar day.
Fixed Price PayerCompany A.
Floating Price PayerCompany B.
Settlement typeFinancial.
Swap TermOne month from January 1 to January 31.
Floating AmountFloating Price * Notional Quantity * calendar days in the month.
Fixed AmountFixed 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

Dates swap in forceFraction
of days
Referent
futures
month
Company A
position in
Columbia
Gulf,
Mainline
Midpoint
(“Midpoint”)
natural gas
(long) MMBtu
Company A
Position in
NYMEX
(Henry Hub)
natural gas
futures
(short)
Company B
position in
Columbia
Gulf,
Mainline
Midpoint
(“Midpoint”)
natural gas
(short) MMBtu
Company B
position in
NYMEX
(Henry Hub)
natural gas
futures
(long)
January 1—January 2828/31February†††−28†††28
January 29—January 313/31March−33
Total31/31−3131

††† 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 StyleAmerican.
Option TypeCall.
Swaption Start DateJan 1 of the current year.
Swaption End DateJune 30 of the current year.
Strike Price$80.50/bbl.
Notional Quantity100,000 bbl/month.
Calculation PeriodOne month.
Reference PriceDaily 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 PriceThe arithmetic average of the reference price during the pricing period.
Settlement TypeFinancial.
Swap TermOne month from July 1 to July 31 of the current year.
Floating AmountFloating Price * Notional Quantity.
Fixed AmountFixed 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

Dates swap in forceReferent futures monthFraction of
days
Company A
position
(long)
Company B
position
(short)
July 1 -July 22August22/3170−70
July 23—July 31September9/3129−29
Total31/3199−99

Contracts rounded to the nearest integer.

Delta†† Adjusted Position and Futures Equivalent Position on January 1

DateAugustSeptember
DeltaPositionDeltaPosition
January 1.214.25

††Deltas should be calculated in an economically reasonable and analytically supportable basis.

Example 7—WTI Collar Swap

Swaption StyleAmerican.
Swaption Start DateJan 1 of the current year.
Swaption End DateJune 30 of the current year.
Call strike Price$70.00 per bbl.
Put strike price$90.00 per bbl.
Notional Quantity100,000 barrels per month.
Calculation PeriodOne month.
Reference PriceDaily 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 PriceThe arithmetic average of the reference price during the pricing period.
Settlement TypeFinancial.
Swap TermOne month from July 1 to July 31 of the current year.
Floating AmountFloating Price * Notional Quantity.
Fixed AmountFixed 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

Dates swap in forceReferent futures monthFraction
of days
Company A
position
Company B
position
CallPutCallPut
July 1-July 22August22/3170.9770.97−70.97−70.97
July 23-July 31September9/3129.0329.03−29.03−29.03
Total31/31100100−100−100

Company (A) Delta Adjusted Position on January 1

DateAugustSeptember
Long callShort putLong callShort put
DeltaPositionDeltaPositionDelta   DeltaPosition
January 1.749.3−21.720.3−8

Deltas should be calculated in an economically reasonable and analytically supportable basis.

Futures Equivalent Position on January 1

DateAugust††September††
LongShortLongShort
January 1700280

††Contracts rounded to the nearest integer.

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

Record Layout Examples for §20.3

The following example (in Tables 1, 2 and 3) covers reporting for a particular clearing organization. “Clearing Organization One” would report, for the 27th of September 2010, the following eleven unique data record submissions. Each data record submission represents a unique position, as indicated by §20.3, held by a clearing member of Clearing Organization One. Paragraph (a) of §20.3 broadly outlines the data elements that determine unique positions for reports on clearing member positions. Paragraphs (b) of §20.3 present all of the data elements that should be submitted in reference to a particular data record for a particular clearing member (in Table 1). Paragraph (c) identifies data elements that would comprise end of day record data on cleared products (in Tables 2 and 3). Therefore, paragraphs (b) and (c) of §20.3 present all of the data elements that should be submitted in reference to a particular data record.

Because CFTC designated Clearing Organization One (in this example) currently has two clearing members, “Clearing Member One” and “Clearing Member Two,” positions cleared for these two distinct clearing members would be subdivided.

In the following example it is assumed that the clearing member accounts are either proprietary or customer (but not both) and therefore data record submissions do not have to be delineated by these account types. However, if clearing members did have both proprietary and customer accounts, then a clearing organization would have to further subdivide these clearing member data records by these two account types.

Clearing Member One currently has five positions with multiple cleared product IDs and futures equivalent months/years, and therefore these positions also constitute separate data records.

Clearing Member Two currently has six positions with the following varying characteristics: Cleared product IDs; futures equivalent months/years; commodity reference prices; swaption positions that involve both puts and calls; and multiple strike prices. Accordingly, these positions must be reported in separate data records. An illustration of how these records would appear is included in Table 1 below. Clearing Organization One would also have to report the corresponding swaption position deltas, strike prices, expiration dates, and settlement prices and swap settlement prices. An illustration of these submissions is included in Tables 2 and 3 below.

Table 1—Data Records Reported Under Paragraphs (a) and (b) of §20.3

Data recordsCFTC clearing org IDClearing org clearing member IDClearing org cleared product IDReporting dayProprietary/
customer
account indicator
Futures equivalent month and yearCommodity reference price
Data record 1CCO_ID_1CM_ID_2CP_049/27/2010CNov-10NYMEX NY Harbor No.2.
Data record 2CCO_ID_1CM_ID_2CP_049/27/2010COct-10NYMEX NY Harbor No.2.
Data record 3CCO_ID_1CM_ID_2CP_029/27/2010CNov-10NYMEX Henry Hub.
Data record 4CCO_ID_1CM_ID_2CP_029/27/2010COct-10NYMEX Henry Hub.
Data record 5CCO_ID_1CM_ID_2CP_029/27/2010CNov-10NYMEX Henry Hub.
Data record 6CCO_ID_1CM_ID_2CP_029/27/2010COct-10NYMEX Henry Hub.
Data record 7CCO_ID_1CM_ID_1CP_039/27/2010PMar-11NYMEX Light Sweet.
Data record 8CCO_ID_1CM_ID_1CP_039/27/2010PFeb-11NYMEX Light Sweet.
Data record 9CCO_ID_1CM_ID_1CP_019/27/2010PMar-11NYMEX Light Sweet.
Data record 10CCO_ID_1CM_ID_1CP_019/27/2010PFeb-11NYMEX Light Sweet.
Data record 11CCO_ID_1CM_ID_1CP_019/27/2010PJan-11NYMEX Light Sweet.
NDRYesYesYesYesYesYesNo.
Data recordsLong swap positionShort swap positionPut/call indicatorSwaption expiration dateSwaption strike priceNon-delta adjusted long swaption positionNon-delta adjusted short swaption position
Data record 105000
Data record 202000
Data record 3C7/29/20115.5920000
Data record 4C7/29/20115.59180000
Data record 5P7/29/20115.5010030
Data record 6P7/29/20115.50900270
Data record 750000
Data record 850000
Data record 94291286
Data record 1022816843
Data record 1112903871
NDRNoNoYesYesYesNoNo.

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

Table 2—Example of Data Records Required Under §20.3(c) for Cleared Swaption Products

Data recordsCFTC clearing org IDClearing org cleared product IDReporting dayFutures equivalent month and yearCommodity reference priceSwaption expiration
date
Swaption strike pricePut/call indicatorDeltaSwaption daily settlement price
Data record 1CCO_ID_1CP_029/27/2010Nov-10NYMEX Henry Hub7/29/20115.59C.56.25
Data record 2CCO_ID_1CP_029/27/2010Oct-10NYMEX Henry Hub7/29/20115.59C.55.50
Data record 3CCO_ID_1CP_029/27/2010Nov-10NYMEX Henry Hub7/29/20115.50P.24.53
Data record 4CCO_ID_1CP_029/27/2010Oct-10NYMEX Henry Hub7/29/20115.50P.24.78

Table 3—Example of Data Records Required Under §20.3(c) for Cleared Swap Products

Data recordsCFTC clearing org IDClearing org cleared product IDReporting dayFutures equivalent month and yearCommodity reference priceSwap daily settlement price
Data record 1CCO_ID_1CP_049/27/2010Nov-10NYMEX NY Harbor No. 220.35
Data record 2CCO_ID_1CP_049/27/2010Oct-10NYMEX NY Harbor No. 210.50
Data record 3CCO_ID_1CP_039/27/2010Mar-11NYMEX Light Sweet15.00
Data record 4CCO_ID_1CP_039/27/2010Feb-11NYMEX Light Sweet21.00
Data record 5CCO_ID_1CP_019/27/2010Mar-11NYMEX Light Sweet17.50
Data record 6CCO_ID_1CP_019/27/2010Feb-11NYMEX Light Sweet21.65
Data record 7CCO_ID_1CP_019/27/2010Jan-11NYMEX Light Sweet12.50

First Record Layout Example for §20.4:

This first example shows the data records generated under §20.4 by a single reporting firm for report date September 27, 2011. Each data record represents a unique part of a reportable position in heating oil and natural gas by the reporting entity and its counterparties. Paragraph (b) of §20.4 outlines the data elements that determine unique positions.

In this example, the reporting entity clears with one clearing organization and therefore the data records do not have to be delineated by clearing organization (there is a reportable position stemming from an uncleared transaction included as well). However, if the reporting entity in this example used multiple clearing organizations, then it would have to further subdivide its data submissions by each clearing organization.

The reporting entity reports fifteen records; six principal positions and nine counterparty positions. The reported positions constitute separate data records because they vary by the following characteristics: swap counterparties; futures equivalent months/years; clearing organization cleared products; swaptions that were either cleared or uncleared; commodity reference prices; and whether the trade was entered into on or off execution facilities. An illustration of how these records would be reported is included in Table 4 below.

For the calculation of notional values, assume for simplicity that the price of heating oil, for all contract months and for both reference prices, is $3/gal. Similarly, assume that the price of natural gas for all contract months is $4.25/MMBtu.

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

Table 4—Example of Data Records Reported Under §20.4(c)

Data recordsCommission reporting entity IDPrincipal/counterparty position indicator102S Swap counterparty IDCounterparty nameReporting dayClearing org
cleared
product ID
Commodity codeFutures
equivalent month and year
Data record 1CRE_ID_1PRIN9/27/2011CPID_05HOJan-12
Data record 2CRE_ID_1COUNTCP_01Energy Firm 19/27/2011CPID_05HOJan-12
Data record 3CRE_ID_1COUNTCP_02Energy Firm 29/27/2011CPID_05HOJan-12
Data record 4CRE_ID_1PRIN9/27/2011CPID_04HOFeb-12
Data record 5CRE_ID_1COUNTCP_03Energy Firm 39/27/2011CPID_04HOFeb-12
Data record 6CRE_ID_1PRIN9/27/2011CPID_04HOMar-12
Data record 7CRE_ID_1COUNTCP_04ABC_Firm9/27/2011CPID_04HOMar-12
Data record 8CRE_ID_1PRIN9/27/2011CDIP_07NGMar-12
Data record 9CRE_ID_1COUNTCP_05XYZ_Firm9/27/2011CDIP_07NGMar-12
Data record 10CRE_ID_1COUNTCP_06WVU_Firm9/27/2011CDIP_07NGMar-12
Data record 11CRE_ID_1COUNTCP_01Energy_Firm_19/27/2011CDIP_07NGMar-12
Data record 12CRE_ID_1PRIN9/27/2011CDIP_07NGMar-12
Data record 13CRE_ID_1COUNTCP_07MNO_Firm9/27/2011CDIP_07NGMar-12
Data record 14CRE_ID_1PRIN9/27/2011UNCLNGJan-12
Data record 15CRE_ID_1COUNTCP_02Energy Firm 29/27/2011UNCLNGJan-12
NDR UnclearedYesYesYesNoYesN/ANoYes
NDR ClearedYesYesYesNoYesYesNoYes
Data recordsCleared/uncleared indicatorCFTC clearing org identifierCommodity reference priceExecution facilityLong swap positionShort swap position
Data record 1CCCO_ID_1Platts Oilgram Price Report for New York No. 2 (Barge)EX1200
Data record 2CCCO_ID_1Platts Oilgram Price Report for New York No. 2 (Barge)EX150
Data record 3CCCO_ID_1Platts Oilgram Price Report for New York No. 2 (Barge)EX1150
Data record 4CCCO_ID_1NYMEX NY Harbor No.2EX2350
Data record 5CCCO_ID_1NYMEX NY Harbor No.2EX2350
Data record 6CCCO_ID_1NYMEX NY Harbor No.2EX1100
Data record 7CCCO_ID_1NYMEX NY Harbor No.2EX1100
Data record 8CCCO_ID_1NYMEX Henry HubEX3200100
Data record 9CCCO_ID_1NYMEX Henry HubEX3125
Data record 10CCCO_ID_1NYMEX Henry HubEX375
Data record 11CCCO_ID_1NYMEX Henry HubEX3100
Data record 12CCCO_ID_1NYMEX Henry HubEX1
Data record 13CCCO_ID_1NYMEX Henry HubEX1
Data record 14UUNYMEX Henry HubNOEX
Data record 15UUNYMEX Henry HubNOEX
NDR UnclearedYesN/AYesYesNoNo
NDR ClearedYesYesNoYesNoNo
Data recordsPut/call
indicator
Swaption
expiration date
Swaption strike priceNon-delta adjusted long swaption positionNon-delta adjusted short swaption positionDelta
adjusted long swaption position
Delta
adjusted short swaption position
Long swap or swaption
notional value
position
Short swap or swaption
notional value
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 12C2/27/20124.0010080$3,400,000
Data record 13C2/27/20124.0010080$3,400,000
Data record 14C12/27/20114.2510095$4,037,500
Data record 15C12/27/20114.2510095$4,037,500
NDR UnclearedYesYesYesNoNoNoNoNoNo
NDR ClearedYesYesYesNoNoNoNoNoNo

Second Record Layout Example for §20.4:

In this second example, the data records generated by §20.4(c) are displayed for a hypothetical swap, as detailed in Example 1 of appendix A. In contrast to the above example, this second example of a §20.4(c) data record is simplistic in that it displays a situation where the position records arise from a single swap transaction, in one commodity, with a single counterparty.

For the sake of this example, assume the swap dealer gained long exposure from the swap, and that the swap was cleared. The price of crude is assumed to be $100/bbl for all contract months on January 1 and $95/bbl for all contract months on January 2. An illustration of the data records generated for January 1, 2011 and January 2, 2011 as a result of this hypothetical swap can be found in Tables 5 and 6, respectively.

Table 5—Example of Data Records Reported Under §20.4(c) for January 1, 2011 (Appx A, Example 1)

Data recordsCommission reporting entity IDPrincipal/counterparty position indicator102S swap counterparty IDCounterparty NameReporting dayClearing org
cleared
product ID
Commodity codeFutures equivalent month and year
Data record 1SD_1PRIN1/1/2011CPID_03CLFeb-11
Data record 2SD_1PRIN1/1/2011CPID_03CLMar-11
Data record 3SD_1PRIN1/1/2011CPID_03CLApr-11
Data record 4SD_1PRIN1/1/2011CPID_03CLMay-11
Data record 5SD_1PRIN1/1/2011CPID_03CLJun-11
Data record 6SD_1PRIN1/1/2011CPID_03CLJul-11
Data record 7SD_1PRIN1/1/2011CPID_03CLAug-11
Data record 8SD_1COUNTCP_01Energy_Firm_11/1/2011CPID_03CLFeb-11
Data record 9SD_1COUNTCP_01Energy_Firm_11/1/2011CPID_03CLMar-11
Data record 10SD_1COUNTCP_01Energy_Firm_11/1/2011CPID_03CLApr-11
Data record 11SD_1COUNTCP_01Energy_Firm_11/1/2011CPID_03CLMay-11
Data record 12SD_1COUNTCP_01Energy_Firm_11/1/2011CPID_03CLJun-11
Data record 13SD_1COUNTCP_01Energy_Firm_11/1/2011CPID_03CLJul-11
Data record 14SD_1COUNTCP_01Energy_Firm_11/1/2011CPID_03CLAug-11
Data recordsCleared/uncleared indicatorCFTC clearing org identifierCommodity reference priceExecution facilityLong
swap position
Short
swap position
Data record 1CCCO_ID_1NYMEX Light SweetEX173
Data record 2CCCO_ID_1NYMEX Light SweetEX1103
Data record 3CCCO_ID_1NYMEX Light SweetEX193
Data record 4CCCO_ID_1NYMEX Light SweetEX1103
Data record 5CCCO_ID_1NYMEX Light SweetEX199
Data record 6CCCO_ID_1NYMEX Light SweetEX1103
Data record 7CCCO_ID_1NYMEX Light SweetEX127
Data record 8CCCO_ID_1NYMEX Light SweetEX173
Data record 9CCCO_ID_1NYMEX Light SweetEX1103
Data record 10CCCO_ID_1NYMEX Light SweetEX193
Data record 11CCCO_ID_1NYMEX Light SweetEX1103
Data record 12CCCO_ID_1NYMEX Light SweetEX199
Data record 13CCCO_ID_1NYMEX Light SweetEX1103
Data record 14CCCO_ID_1NYMEX Light SweetEX127
Data recordsPut/call indicatorSwaption expiration dateSwaption strike priceNon-delta adjusted long swaption positionNon-delta adjusted short swaption positionDelta adjusted long swaption positionDelta adjusted long swaption positionLong swap or swaption notional value positionShort swap or swaption notional value position
Data record 1$7,300,000
Data record 2$10,300,000
Data record 3$9,300,000
Data record 4$10,300,000
Data record 5$9,900,000
Data record 6$10,300,000
Data record 7$2,700,000
Data record 8$7,300,000
Data record 9$10,300,000
Data record 10$9,300,000
Data record 11$10,300,000
Data record 12$9,900,000
Data record 13$10,300,000
Data record 14$2,700,000

Table 6—Example of Data Records Reported Under §20.4(c) for January 2, 2011 (Appx A, Example 1)

Data recordsCommission reporting entity IDPrincipal/counterparty position indicator102S Swap counterparty IDCounterparty nameReporting dayClearing org
cleared
product
ID
Commodity codeFutures equivalent month and year
Data record 1SD_1PRIN1/2/2011CPID_03CLFeb-11
Data record 2SD_1PRIN1/2/2011CPID_03CLMar-11
Data record 3SD_1PRIN1/2/2011CPID_03CLApr-11
Data record 4SD_1PRIN1/2/2011CPID_03CLMay-11
Data record 5SD_1PRIN1/2/2011CPID_03CLJun-11
Data record 6SD_1PRIN1/2/2011CPID_03CLJul-11
Data record 7SD_1PRIN1/2/2011CPID_03CLAug-11
Data record 8SD_1COUNTCounterparty_1Energy Firm1/2/2011CPID_03CLFeb-11
Data record 9SD_1COUNTCounterparty_1Energy Firm1/2/2011CPID_03CLMar-11
Data record 10SD_1COUNTCounterparty_1Energy Firm1/2/2011CPID_03CLApr-11
Data record 11SD_1COUNTCounterparty_1Energy Firm1/2/2011CPID_03CLMay-11
Data record 12SD_1COUNTCounterparty_1Energy Firm1/2/2011CPID_03CLJun-11
Data record 13SD_1COUNTCounterparty_1Energy Firm1/2/2011CPID_03CLJul-11
Data record 14SD_1COUNTCounterparty_1Energy Firm1/2/2011CPID_03CLAug-11
Data recordsCleared/uncleared indicatorCFTC clearing org identifierCommodity reference priceExecution facilityLong swap positionShort swap position
Data record 1CCCO_ID_1NYMEX Light SweetEX170
Data record 2CCCO_ID_1NYMEX Light SweetEX1103
Data record 3CCCO_ID_1NYMEX Light SweetEX193
Data record 4CCCO_ID_1NYMEX Light SweetEX1103
Data record 5CCCO_ID_1NYMEX Light SweetEX199
Data record 6CCCO_ID_1NYMEX Light SweetEX1103
Data record 7CCCO_ID_1NYMEX Light SweetEX127
Data record 8CCCO_ID_1NYMEX Light SweetEX170
Data record 9CCCO_ID_1NYMEX Light SweetEX1103
Data record 10CCCO_ID_1NYMEX Light SweetEX193
Data record 11CCCO_ID_1NYMEX Light SweetEX1103
Data record 12CCCO_ID_1NYMEX Light SweetEX199
Data record 13CCCO_ID_1NYMEX Light SweetEX1103
Data record 14CCCO_ID_1NYMEX Light SweetEX127
Data recordsPut/call indicatorSwaption expiration dateSwaption strike priceNon-delta adjusted long swaption positionNon-delta adjusted short swaption positionDelta adjusted long swaption positionDelta adjusted long swaption positionLong swap or swaption notional value positionShort swap or swaption notional value position
Data record 1$6,650,000
Data record 2$9,785,000
Data record 3$8,835,000
Data record 4$9,785,000
Data record 5$9,405,000
Data record 6$9,785,000
Data record 7$2,565,000
Data record 8$6,650,000
Data record 9$9,785,000
Data record 10$8,835,000
Data record 11$9,785,000
Data record 12$9,405,000
Data record 13$9,785,000
Data record 14$2,565,000


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