2011-18054

Federal Register, Volume 76 Issue 141 (Friday, July 22, 2011)[Federal Register Volume 76, Number 141 (Friday, July 22, 2011)]

[Rules and Regulations]

[Pages 43851-43874]

From the Federal Register Online via the Government Printing 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.

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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\

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\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.

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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.

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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.

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

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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).

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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.

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

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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.

����������������������������������--------------------------------------------------------------------------------------------------------------------------------------------------------------

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]

BILLING CODE P

Last Updated: July 22, 2011