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Title 17Chapter IPart 20 → Appendix


Title 17: Commodity and Securities Exchanges
PART 20—LARGE TRADER REPORTING FOR PHYSICAL COMMODITY SWAPS


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_01Firm__ 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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