LARGE TRADER REPORTING FOR PHYSICAL COMMODITY SWAPS

• Citation: 17 CFR Part 20
• Sections: 13

§ 20.1 Definitions.

As used in, and solely for the purposes of, this part:

Business day means “business day” as that term is defined in § 1.3 of this chapter.

Cleared product means a paired swap or swaption that a clearing organization offers or accepts for clearing.

Clearing member means any person who is a member of, or enjoys the privilege of, clearing trades in its own name through a clearing organization.

Clearing organization means the person or organization that acts as a medium between clearing members for the purpose of clearing swaps or swaptions or effecting settlements of swaps or swaptions.

Closed swap or closed swaption means a swap or swaption that has been settled, exercised, closed out or terminated.

Commodity reference price means the price series (including derivatives contract and cash market prices or price indices) used by the parties to a swap or swaption to determine payments made, exchanged, or accrued under the terms of the contracts.

Counterparty means, from the perspective of one side to a contract, the person that is the direct legal counterparty corresponding to the other side of the contract.

Clearing member customer means any person for whom a reporting entity clears a swap or swaption position.

Futures equivalent means an economically equivalent amount of one or more futures contracts that represents a position or transaction in one or more paired swaps or swaptions consistent with the conversion guidelines in appendix A of this part.

Open swap or swaption means a swap or swaption that has not been closed.

Paired swap or paired swaption means an open swap or swaption that is:

(1) Directly or indirectly linked, including being partially or fully settled on, or priced at a differential to, the price of any commodity futures contract listed in § 20.2; or

(2) Directly or indirectly linked, including being partially or fully settled on, or priced at a differential to, the price of the same commodity for delivery at the same location or locations.

Person means any “person” as that term is defined in § 1.3 of this chapter.

Reportable account or consolidated account that is reportable means a consolidated account that includes a reportable position.

Reportable position means:

(1)(i) A position, in any one futures equivalent month, comprised of 50 or more futures equivalent paired swaps or swaptions based on the same commodity underlying a futures contract listed in § 20.2, grouped separately by swaps and swaptions, then grouped by gross long contracts on a futures equivalent basis or gross short contracts on a futures equivalent basis;

(ii) For a consolidated account (described in § 20.4(a)) that includes a reportable position as defined in paragraph (1)(i) of this definition, all other positions in that account that are based on the commodity that renders the account reportable; and

(iii) The first reporting day on which a consolidated account (described in § 20.4(a)) no longer includes a reportable position as described in paragraph (1)(i) of this definition (because on such day, the reporting entity's consolidated account shall continue to be considered and treated as if it in fact included reportable positions as described in paragraph (1)(i) of this definition); or

(2) At the discretion of a reporting entity, and as an alternative to paragraph (1) of this definition, so long as the same method is consistently applied to all consolidated accounts (as described in § 20.4(a)) of the reporting entity, all positions on a gross basis in a consolidated account that are based on the same commodity.

Reporting day means the period of time between a clearing organization or reporting entity's usual and customary last internal valuation of paired swaps or swaptions and the next such period, so long as the period of time is consistently observed on a daily basis and the Commission is notified, upon its request, of the manner by which such period is calculated and any subsequent changes thereto.

Reporting entity means:

(1) A clearing member; or

(2) A swap dealer in one or more paired swaps or swaptions as that term is defined in section 1a of the Act and any Commission definitional regulations adopted thereunder.

Swap means:

(1) Until the effective date of any definitional rulemaking regarding “swap” by the Commission under section 1a of the Act, an agreement (including terms and conditions incorporated by reference therein) which is a commodity swap (including any option to enter into such swap) within the meaning of “swap agreement” under § 35.1(b)(1) of this chapter, or a master agreement for a commodity swap together with all supplements thereto; or

(2) “Swap” as defined in section 1a of the Act and any Commission definitional regulations adopted thereunder, upon the effective date of such regulations.

Swaption means an option to enter into a swap or a swap that is an option.

§ 20.2 Covered contracts.

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

Covered Agricultural and Exempt Futures Contracts

Chicago Board of Trade (“CBOT”) Corn.

CBOT Ethanol.

CBOT Oats.

CBOT Rough Rice.

CBOT Soybean Meal.

CBOT Soybean Oil.

CBOT Soybeans.

CBOT Wheat.

Chicago Mercantile Exchange (“CME”) Butter.

CME Cheese.

CME Dry Whey.

CME Feeder Cattle.

CME Hardwood Pulp.

CME Lean Hogs.

CME Live Cattle.

CME Milk Class III.

CME Non Fat Dry Milk.

CME Random Length Lumber.

CME Softwood Pulp.

COMEX (“CMX”) Copper Grade #1.

CMX Gold.

CMX Silver.

ICE Futures U.S. (“ICUS”) Cocoa.

ICUS Coffee C.

ICUS Cotton No. 2.

ICUS Frozen Concentrated Orange Juice.

ICUS Sugar No. 11.

ICUS Sugar No. 16.

Kansas City Board of Trade (“KCBT”) Wheat.

Minneapolis Grain Exchange (“MGEX”) Wheat.

NYSELiffe (“NYL”) Gold, 100 Troy Oz.

NYL Silver, 5000 Troy Oz.

New York Mercantile Exchange (“NYMEX”) Cocoa.

NYMEX Brent Financial.

NYMEX Central Appalachian Coal.

NYMEX Coffee.

NYMEX Cotton.

NYMEX Crude Oil, Light Sweet.

NYMEX Gasoline Blendstock (RBOB).

NYMEX Hot Rolled Coil Steel.

NYMEX Natural Gas.

NYMEX No. 2 Heating Oil, New York Harbor.

NYMEX Palladium.

NYMEX Platinum.

NYMEX Sugar No. 11.

NYMEX Uranium.

Diversified Commodity Index (See § 20.11).

§ 20.3 Clearing organizations.

(a) Reporting data records. For each reporting day, with respect to paired swaps or swaptions, clearing organizations shall report to the Commission, separately for each clearing member's proprietary and clearing member customer account, unique groupings of the data elements in paragraph (b) of this section (to the extent that there are such corresponding elements), in a single data record, so that each reported record is distinguishable from every other reported record (because of differing data values, as opposed to the arrangement of the elements).

(b) Populating reported data records with data elements. Data records reported under paragraph (a) of this section shall include the following data elements:

(1) An identifier assigned by the Commission to the clearing organization;

(2) The identifier assigned by the clearing organization to the clearing member;

(3) The identifier assigned by the clearing organization for a cleared product;

(4) The reporting day;

(5) A proprietary or clearing member customer account indicator;

(6) The futures equivalent month;

(7) The commodity reference price;

(8) Gross long swap positions;

(9) Gross short swap positions;

(10) A swaption put or call side indicator;

(11) A swaption expiration date;

(12) A swaption strike price;

(13) Gross long non-delta-adjusted swaption positions; and

(14) Gross short non-delta-adjusted swaption positions.

(c) End of reporting day data. For all futures equivalent months, clearing organizations shall report end of reporting day settlement prices for each cleared product and deltas for every unique swaption put and call, expiration date, and strike price.

§ 20.4 Reporting entities.

(a) Consolidated accounts. Each reporting entity shall combine all paired swap and swaption positions:

(1) That are principal positions (swaps and swaptions to which the reporting entity is a direct legal counterparty), in a single consolidated account that it shall attribute to itself; and

(2) That are positions of the reporting entity's counterparty in a single consolidated account that it shall attribute to that specific counterparty.

(b) Reporting data records. Reporting entities shall report to the Commission, for each reporting day, and separately for each reportable position in a consolidated account described in paragraphs (a)(1) and (a)(2) of this section, unique groupings of the data elements in paragraph (c) of this section (to the extent that there are such corresponding elements), in a single data record, so that each reported record is distinguishable from every other reported record (because of differing data values, as opposed to the arrangement of the elements).

(c) Populating reported data records with data elements. Data records reported under paragraph (b) of this section shall include the following data elements:

(1) An identifier assigned by the Commission to the reporting entity;

(2) An identifier indicating that a principal or counterparty position is being reported;

(3) A 102S identifier assigned by the reporting entity to its counterparty;

(4) The name of the counterparty whose position is being reported;

(5) The reporting day;

(6) If cleared, the identifier for the cleared product assigned by the clearing organization;

(7) The commodity underlying the reportable positions;

(8) The futures equivalent month;

(9) A cleared or uncleared indicator;

(10) A clearing organization identifier;

(11) The commodity reference price;

(12) An execution facility indicator;

(13) Long paired swap positions;

(14) Short paired swap positions;

(15) A swaption put or call side indicator;

(16) A swaption expiration date;

(17) A swaption strike price;

(18) Long non-delta-adjusted paired swaption positions;

(19) Short non-delta-adjusted paired swaption positions;

(20) Long delta-adjusted paired swaption positions (using economically reasonable and analytically supported deltas);

(21) Short delta-adjusted paired swaption positions (using economically reasonable and analytically supported deltas);

(22) Long paired swap or swaption notional value; and

(23) Short paired swap or swaption notional value.

§ 20.5 Series S filings.

(a) 102S filing. (1) When a counterparty consolidated account first becomes reportable, the reporting entity shall submit a 102S filing, in accordance with the form instructions and as specified in this section.

(2) A reporting entity may submit a 102S filing only once for each counterparty, even if such persons at various times have multiple reportable positions in the same or different paired swaps or swaptions.

(3) Reporting entities shall submit a 102S filing within three days following the first day a consolidated account first becomes reportable or at such time as instructed by the Commission upon special call.

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

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

(b) 40S filing. Every person subject to books or records requirement under § 20.6 shall after a special call upon such person by the Commission file with the Commission a 40S filing at such time and place as directed in the call. A 40S filing shall consist of the submission of a Form 40, which shall be completed by such person as if any references to futures or option contracts were references to paired swaps or swaptions as defined in § 20.1.

§ 20.6 Maintenance of books and records.

(a) Every clearing organization shall keep all records of transactions in paired swaps or swaptions, and methods used to convert paired swaps or swaptions into futures equivalents, in accordance with the requirements of § 1.31 of this chapter.

(b) Every reporting entity shall keep all records of transactions in paired swaps or swaptions, and methods used to convert paired swaps or swaptions into futures equivalents, in accordance with the requirements of § 1.31 of this chapter.

(c) Every person with equal to or greater than 50 gross all-months-combined futures equivalent positions in paired swaps or swaptions on the same commodity shall:

(1) Keep books and records showing all records for transactions resulting in such positions, which may be kept and reproduced for Commission inspection in the record retention format that such person has developed in the normal course of its business operations; and

(2) Keep books and records showing transactions in the cash commodity underlying such positions or its products and byproducts, and all commercial activities that are hedged or which have risks that are mitigated by such positions, which may be kept in accordance with the recordkeeping schedule and reproduced for Commission inspection in the record retention format that such person has developed in the normal course of its business operations.

(d) All books and records required to be kept by paragraphs (a) through (c) of this section shall be furnished upon request to the Commission along with any pertinent information concerning such positions, transactions, or activities.

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

Unless otherwise instructed by the Commission, a clearing organization or reporting entity shall submit data records and any other information required under this part to the Commission as follows:

(a) Using the format, coding structure, and electronic data transmission procedures approved in writing by the Commission;

(b) For clearing organizations, not later than 9:00 a.m. eastern time on the next business day following the reporting day or at such other time as instructed by the Commission; and

(c) For clearing members and swap dealers, not later than 12:00 p.m. eastern time on the second (T+2) business day following the reporting day or at such other time as instructed by the Commission.

§ 20.8 Delegation of authority.

(a) The Commission hereby delegates, until it orders otherwise, to the Director of the Division of Enforcement, or such other employee or employees as the Director may designate, the authority in § 20.6(d) for issuing a special call.

(b) The Commission hereby delegates, until it orders otherwise, to the Director of the Division of Data, in consultation with the Director of the Division of Market Oversight or such other employee or employees as the Director may designate, the authority in § 20.10 for determining the described compliance schedules.

(c) The Commission hereby delegates, until it orders otherwise, to the Director of the Division of Data, in consultation with the Director of the Division of Market Oversight, or such other employee or employees as the Directors each may designate, the authority:

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

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

(d) The Commission hereby delegates, until it orders otherwise, to the Director of the Division of Data, or such other employee or employees as the Director may designate, the authority, in § 20.7, for providing instructions or determining the format, coding structure, and electronic data transmission procedures for submitting data records and any other information required under this part.

(e) The Directors of the Division of Enforcement, Division of Market Oversight, and the Division of Data may submit to the Commission for its consideration any matter which has been delegated in this section.

(f) Nothing in this section prohibits the Commission, at its election, from exercising the authority delegated in this section.

§ 20.9 Sunset provision.

(a) Except as otherwise provided in paragraph (b) of this section, the sections of this part shall become ineffective and unenforceable upon a Commission finding that, through the issuance of an order, operating swap data repositories are processing positional data and that such processing will enable the Commission to effectively surveil trading in paired swaps and swaptions and paired swap and swaption markets.

(b) The Commission may determine, in its discretion, to maintain the effectiveness and enforceability of any section of this part, or any requirement therein, in an order issued under paragraph (a) of this section, upon finding that such sections, or requirements therein, provide the Commission with positional data or data elements that materially improves the accuracy and surveillance utility of the positional data processed by swap data repositories.

§ 20.10 Compliance schedule.

(a) Clearinghouses, clearing members and persons with books and records obligations shall comply with the requirements of this part upon the effective date of this part.

(b) Swap dealers that are not clearing members shall comply with the requirements of this part upon the effective date of final regulations further defining the term swap dealer.

(c) The Commission may permit, for a period not to exceed six calendar months following the effective date specified in paragraph (a) of this section, the submission of reports pursuant to §§ 20.3 and 20.4 that differ in content, or are submitted in a form and manner which is other than prescribed by the provisions of this part, provided that the submitter is making a good faith attempt to comply with all of the provisions of this part.

(d) Unless determined otherwise by the Commission, paired swap and swaption position and market reports submitted under parts 15 through 19, or 21 of this chapter, or any order of the Commission, shall continue to be submitted under those parts or orders until swap dealers are required to comply with § 20.4.

(e) The Commission may extend the compliance date established in paragraph (b) of this section by an additional six calendar months based on resource limitations or lack of experience in reporting transactions to the Commission for a swap dealer that is not an affiliate of a bank holding company and:

(1) Is not registered with the Commission as a futures commission merchant and is not an affiliate of a futures commission merchant;

(2) Is not registered with the Securities and Exchange Commission as a broker or dealer and is not an affiliate of a broker or dealer; and

(3) Is not supervised by any Federal prudential regulator.

§ 20.11 Diversified commodity indices.

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

Appendix A 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

Dates swap in force

Referent futures month

Fraction of days

Company A position (long) †

Company B position (short) †

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

† Contracts rounded to the nearest integer.

Futures equivalent position on January 2

Total Notional Quantity = Remaining swap term * 100,000 bbls/month = 596,685 bbls

1,000 bbl = 1 futures contract

Therefore 596,685 bbls/1,000 bbls/contract = 597 futures equivalent contracts

Total number of days = 30 + 28 + 31 + 30 + 31 + 30 = 180

Futures Equivalent Position of Swap on January 2 (Example 1 Continued)

Dates swap in force

Referent futures month

Fraction of days

Company A position (long) †

Company B position (short) †

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

† 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

Dates swap in force

Referent futures month

Fraction of days

Company A position (long) †

Company B position (short) †

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

† 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.

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

Dates swap in force

Referent futures month

Fraction of days

Company A position (long) †

Company B position (short) †

January 1-March 31

April

90/181

1989

−1989

April 1-June 30

July

91/181

2011

−2011

Total

181/181

4000

−4000

† 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

Dates swap in force

Fraction of days

Applicable next to expire futures month

Company A position (long) †

Company B position (short) †

Applicable deferred futures month

Company A position (short) †

Company B position (long) †

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

Total

181/181

601

−601

−601

601

† Contracts rounded to the nearest integer.

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

Dates swap in force

Fraction of days

Referent futures month

Company A position in Columbia Gulf, Mainline Midpoint (“Midpoint”) natural gas (long) MMBtu

Company A Position in NYMEX (Henry Hub) natural gas futures (short)

Company B position in Columbia Gulf, Mainline Midpoint (“Midpoint”) natural gas (short) MMBtu

Company B position in NYMEX (Henry Hub) natural gas futures (long)

January 1—January 28

28/31

February

†††

−28

†††

28

January 29—January 31

3/31

March

−3

3

Total

31/31

−31

31

††† 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

Gross Position on January 1

Dates swap in force

Referent futures month

Fraction of days

Company A position (long) †

Company B position (short) †

July 1 -July 22

August

22/31

70

−70

July 23—July 31

September

9/31

29

−29

Total

31/31

99

−99

† Contracts rounded to the nearest integer.

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

Date

August

September

Delta

Position

Delta

Position

January 1

.2

14

.2

5

†† 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

Dates swap in force

Referent futures month

Fraction of days

Company A position

Company B position

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 † Adjusted Position on January 1

Date

August

September

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

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

Futures Equivalent Position on January 1

Date

August ††

September ††

Long

Short

Long

Short

January 1

70

0

28

0

†† Contracts rounded to the nearest integer.

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

Record Layout Examples for § 20.3

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

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

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

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

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

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

Data records

CFTC clearing org ID

Clearing org clearing member ID

Clearing org cleared product ID

Reporting day

Proprietary/ customer account indicator

Futures equivalent month and year

Commodity reference price

Data record 1

CCO__ID__1

CM__ID__2

CP__04

9/27/2010

C

Nov-10

NYMEX NY Harbor No.2.

Data record 2

CCO__ID__1

CM__ID__2

CP__04

9/27/2010

C

Oct-10

NYMEX NY Harbor No.2.

Data record 3

CCO__ID__1

CM__ID__2

CP__02

9/27/2010

C

Nov-10

NYMEX Henry Hub.

Data record 4

CCO__ID__1

CM__ID__2

CP__02

9/27/2010

C

Oct-10

NYMEX Henry Hub.

Data record 5

CCO__ID__1

CM__ID__2

CP__02

9/27/2010

C

Nov-10

NYMEX Henry Hub.

Data record 6

CCO__ID__1

CM__ID__2

CP__02

9/27/2010

C

Oct-10

NYMEX Henry Hub.

Data record 7

CCO__ID__1

CM__ID__1

CP__03

9/27/2010

P

Mar-11

NYMEX Light Sweet.

Data record 8

CCO__ID__1

CM__ID__1

CP__03

9/27/2010

P

Feb-11

NYMEX Light Sweet.

Data record 9

CCO__ID__1

CM__ID__1

CP__01

9/27/2010

P

Mar-11

NYMEX Light Sweet.

Data record 10

CCO__ID__1

CM__ID__1

CP__01

9/27/2010

P

Feb-11

NYMEX Light Sweet.

Data record 11

CCO__ID__1

CM__ID__1

CP__01

9/27/2010

P

Jan-11

NYMEX Light Sweet.

NDR

Yes

Yes

Yes

Yes

Yes

Yes

No.

Data records

Long swap position

Short swap position

Put/call indicator

Swaption expiration date

Swaption strike price

Non-delta adjusted long swaption position

Non-delta adjusted short swaption position

Data record 1

0

5000

Data record 2

0

2000

Data record 3

C

7/29/2011

5.59

2000

0

Data record 4

C

7/29/2011

5.59

18000

0

Data record 5

P

7/29/2011

5.50

100

30

Data record 6

P

7/29/2011

5.50

900

270

Data record 7

5000

0

Data record 8

5000

0

Data record 9

429

1286

Data record 10

2281

6843

Data record 11

1290

3871

NDR

No

No

Yes

Yes

Yes

No

No.

Note:

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

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

Data records

CFTC clearing org ID

Clearing org cleared product ID

Reporting day

Futures equivalent month and year

Commodity reference price

Swaption expiration date

Swaption strike price

Put/call indicator

Delta

Swaption daily settlement price

Data record 1

CCO__ID__1

CP__02

9/27/2010

Nov-10

NYMEX Henry Hub

7/29/2011

5.59

C

.5

6.25

Data record 2

CCO__ID__1

CP__02

9/27/2010

Oct-10

NYMEX Henry Hub

7/29/2011

5.59

C

.5

5.50

Data record 3

CCO__ID__1

CP__02

9/27/2010

Nov-10

NYMEX Henry Hub

7/29/2011

5.50

P

.2

4.53

Data record 4

CCO__ID__1

CP__02

9/27/2010

Oct-10

NYMEX Henry Hub

7/29/2011

5.50

P

.2

4.78

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

Data records

CFTC clearing org ID

Clearing org cleared product ID

Reporting day

Futures equivalent month and year

Commodity reference price

Swap daily settlement price

Data record 1

CCO__ID__1

CP__04

9/27/2010

Nov-10

NYMEX NY Harbor No. 2

20.35

Data record 2

CCO__ID__1

CP__04

9/27/2010

Oct-10

NYMEX NY Harbor No. 2

10.50

Data record 3

CCO__ID__1

CP__03

9/27/2010

Mar-11

NYMEX Light Sweet

15.00

Data record 4

CCO__ID__1

CP__03

9/27/2010

Feb-11

NYMEX Light Sweet

21.00

Data record 5

CCO__ID__1

CP__01

9/27/2010

Mar-11

NYMEX Light Sweet

17.50

Data record 6

CCO__ID__1

CP__01

9/27/2010

Feb-11

NYMEX Light Sweet

21.65

Data record 7

CCO__ID__1

CP__01

9/27/2010

Jan-11

NYMEX Light Sweet

12.50

First Record Layout Example for § 20.4:

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

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

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

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

Note:

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

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

Data records

Commission reporting entity ID

Principal/counterparty position indicator

102S Swap counterparty ID

Counterparty name

Reporting day

Clearing org cleared product ID

Commodity code

Futures equivalent month 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

Data records

Cleared/uncleared indicator

CFTC clearing org identifier

Commodity reference price

Execution facility

Long swap position

Short swap position

Data record 1

C

CCO__ID__1

Platts Oilgram Price Report for New York No. 2 (Barge)

EX1

200

Data record 2

C

CCO__ID__1

Platts Oilgram Price Report for New York No. 2 (Barge)

EX1

50

Data record 3

C

CCO__ID__1

Platts Oilgram Price Report for New York No. 2 (Barge)

EX1

150

Data record 4

C

CCO__ID__1

NYMEX NY Harbor No.2

EX2

350

Data record 5

C

CCO__ID__1

NYMEX NY Harbor No.2

EX2

350

Data record 6

C

CCO__ID__1

NYMEX NY Harbor No.2

EX1

100

Data record 7

C

CCO__ID__1

NYMEX NY Harbor No.2

EX1

100

Data record 8

C

CCO__ID__1

NYMEX Henry Hub

EX3

200

100

Data record 9

C

CCO__ID__1

NYMEX Henry Hub

EX3

125

Data record 10

C

CCO__ID__1

NYMEX Henry Hub

EX3

75

Data record 11

C

CCO__ID__1

NYMEX Henry Hub

EX3

100

Data record 12

C

CCO__ID__1

NYMEX Henry Hub

EX1

Data record 13

C

CCO__ID__1

NYMEX Henry Hub

EX1

Data record 14

U

U

NYMEX Henry Hub

NOEX

Data record 15

U

U

NYMEX Henry Hub

NOEX

NDR Uncleared

Yes

N/A

Yes

Yes

No

No

NDR Cleared

Yes

Yes

No

Yes

No

No

Data records

Put/call indicator

Swaption expiration date

Swaption strike price

Non-delta adjusted long swaption position

Non-delta adjusted short swaption position

Delta adjusted long swaption position

Delta adjusted short swaption position

Long swap or swaption notional value position

Short swap or swaption notional value position

Data record 1

$25,200,000

Data record 2

$6,300,000

Data record 3

$18,900,000

Data record 4

$44,100,000

Data record 5

$44,100,000

Data record 6

$12,600,000

Data record 7

$12,600,000

Data record 8

$8,500,000

$4,250,000

Data record 9

$5,312,500

Data record 10

$3,187,500

Data record 11

$4,250,000

Data record 12

C

2/27/2012

4.00

100

80

$3,400,000

Data record 13

C

2/27/2012

4.00

100

80

$3,400,000

Data record 14

C

12/27/2011

4.25

100

95

$4,037,500

Data record 15

C

12/27/2011

4.25

100

95

$4,037,500

NDR Uncleared

Yes

Yes

Yes

No

No

No

No

No

No

NDR Cleared

Yes

Yes

Yes

No

No

No

No

No

No

Second Record Layout Example for § 20.4:

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

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

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

Data records

Commission reporting entity ID

Principal/counterparty position indicator

102S swap counterparty ID

Counterparty Name

Reporting day

Clearing org cleared product ID

Commodity code

Futures equivalent month and year

Data record 1

SD__1

PRIN

1/1/2011

CPID__03

CL

Feb-11

Data record 2

SD__1

PRIN

1/1/2011

CPID__03

CL

Mar-11

Data record 3

SD__1

PRIN

1/1/2011

CPID__03

CL

Apr-11

Data record 4

SD__1

PRIN

1/1/2011

CPID__03

CL

May-11

Data record 5

SD__1

PRIN

1/1/2011

CPID__03

CL

Jun-11

Data record 6

SD__1

PRIN

1/1/2011

CPID__03

CL

Jul-11

Data record 7

SD__1

PRIN

1/1/2011

CPID__03

CL

Aug-11

Data record 8

SD__1

COUNT

CP__01

Firm____1

1/1/2011

CPID__03

CL

Feb-11

Data record 9

SD__1

COUNT

CP__01

Energy__Firm____1

1/1/2011

CPID__03

CL

Mar-11

Data record 10

SD__1

COUNT

CP__01

Energy__Firm____1

1/1/2011

CPID__03

CL

Apr-11

Data record 11

SD__1

COUNT

CP__01

Energy__Firm____1

1/1/2011

CPID__03

CL

May-11

Data record 12

SD__1

COUNT

CP__01

Energy__Firm____1

1/1/2011

CPID__03

CL

Jun-11

Data record 13

SD__1

COUNT

CP__01

Energy__Firm____1

1/1/2011

CPID__03

CL

Jul-11

Data record 14

SD__1

COUNT

CP__01

Energy__Firm____1

1/1/2011

CPID__03

CL

Aug-11

Data records

Cleared/uncleared indicator

CFTC clearing org identifier

Commodity reference price

Execution facility

Long swap position

Short swap 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

Data records

Put/call indicator

Swaption expiration date

Swaption strike price

Non-delta adjusted long swaption position

Non-delta adjusted short swaption position

Delta adjusted long swaption position

Delta adjusted long swaption position

Long swap or swaption notional value position

Short swap or swaption notional value position

Data record 1

$7,300,000

Data record 2

$10,300,000

Data record 3

$9,300,000

Data record 4

$10,300,000

Data record 5

$9,900,000

Data record 6

$10,300,000

Data record 7

$2,700,000

Data record 8

$7,300,000

Data record 9

$10,300,000

Data record 10

$9,300,000

Data record 11

$10,300,000

Data record 12

$9,900,000

Data record 13

$10,300,000

Data record 14

$2,700,000

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

Data records

Commission reporting entity ID

Principal/counterparty position indicator

102S Swap counterparty ID

Counterparty name

Reporting day

Clearing org cleared product ID

Commodity code

Futures equivalent month and year

Data record 1

SD__1

PRIN

1/2/2011

CPID__03

CL

Feb-11

Data record 2

SD__1

PRIN

1/2/2011

CPID__03

CL

Mar-11

Data record 3

SD__1

PRIN

1/2/2011

CPID__03

CL

Apr-11

Data record 4

SD__1

PRIN

1/2/2011

CPID__03

CL

May-11

Data record 5

SD__1

PRIN

1/2/2011

CPID__03

CL

Jun-11

Data record 6

SD__1

PRIN

1/2/2011

CPID__03

CL

Jul-11

Data record 7

SD__1

PRIN

1/2/2011

CPID__03

CL

Aug-11

Data record 8

SD__1

COUNT

Counterparty____1

Energy Firm

1/2/2011

CPID__03

CL

Feb-11

Data record 9

SD__1

COUNT

Counterparty____1

Energy Firm

1/2/2011

CPID__03

CL

Mar-11

Data record 10

SD__1

COUNT

Counterparty____1

Energy Firm

1/2/2011

CPID__03

CL

Apr-11

Data record 11

SD__1

COUNT

Counterparty____1

Energy Firm

1/2/2011

CPID__03

CL

May-11

Data record 12

SD__1

COUNT

Counterparty____1

Energy Firm

1/2/2011

CPID__03

CL

Jun-11

Data record 13

SD__1

COUNT

Counterparty____1

Energy Firm

1/2/2011

CPID__03

CL

Jul-11

Data record 14

SD__1

COUNT

Counterparty____1

Energy Firm

1/2/2011

CPID__03

CL

Aug-11

Data records

Cleared/uncleared indicator

CFTC clearing org identifier

Commodity reference price

Execution facility

Long swap position

Short swap position

Data record 1

C

CCO__ID__1

NYMEX Light Sweet

EX1

70

Data record 2

C

CCO__ID__1

NYMEX Light Sweet

EX1

103

Data record 3

C

CCO__ID__1

NYMEX Light Sweet

EX1

93

Data record 4

C

CCO__ID__1

NYMEX Light Sweet

EX1

103

Data record 5

C

CCO__ID__1

NYMEX Light Sweet

EX1

99

Data record 6

C

CCO__ID__1

NYMEX Light Sweet

EX1

103

Data record 7

C

CCO__ID__1

NYMEX Light Sweet

EX1

27

Data record 8

C

CCO__ID__1

NYMEX Light Sweet

EX1

70

Data record 9

C

CCO__ID__1

NYMEX Light Sweet

EX1

103

Data record 10

C

CCO__ID__1

NYMEX Light Sweet

EX1

93

Data record 11

C

CCO__ID__1

NYMEX Light Sweet

EX1

103

Data record 12

C

CCO__ID__1

NYMEX Light Sweet

EX1

99

Data record 13

C

CCO__ID__1

NYMEX Light Sweet

EX1

103

Data record 14

C

CCO__ID__1

NYMEX Light Sweet

EX1

27

Data records

Put/call indicator

Swaption expiration date

Swaption strike price

Non-delta adjusted long swaption position

Non-delta adjusted short swaption position

Delta adjusted long swaption position

Delta adjusted long swaption position

Long swap or swaption notional value position

Short swap or swaption notional value position

Data record 1

$6,650,000

Data record 2

$9,785,000

Data record 3

$8,835,000

Data record 4

$9,785,000

Data record 5

$9,405,000

Data record 6

$9,785,000

Data record 7

$2,565,000

Data record 8

$6,650,000

Data record 9

$9,785,000

Data record 10

$8,835,000

Data record 11

$9,785,000

Data record 12

$9,405,000

Data record 13

$9,785,000

Data record 14

$2,565,000