Form 404 CFTC Form 404 Position Limit Exemption Reporting Require

COMMODITY FUTURES TRADING COMMISSION FORM 404 POSITION LIMIT EXEMPTION REPORTING REQUIREMENTS IN CRUDE OIL, GASOLINE, HEATING OIL AND NATURAL GAS			CFTC CODE NO.		OMB No. xxxx-xxxx
			Report as of close of business (DATE)
NOTICE: Failure to file a report required by the Commodity Exchange Act and the regulations thereunder, or the filing of a false report, may be basis for administrative action under 7 U.S.C. Section 9, and may be punishable by fine or imprisonment, or both, under 7 U.S.C. Section 13, or 18 U.S.C. Section 1001. Public reporting burden for this collection of information is estimated to average __ minutes per response, including the time for reviewing instructions, searching existing data sources, gathering and maintaining the data needed, and completing and reviewing the collection of information. Send comments regarding this burden estimate or any other aspect of this collection of information, including suggestions for reducing this, to Agency Clearance Officer, Office of General Counsel, Commodity Futures Trading Commission, 1155 21st Street, NW, Washington, DC 20581; and to the Office of Information and Regulatory Affairs, Office of Management and Budget, Washington, DC 20503.
PART A: CONDITIONAL SPOT MONTH LIMIT REQUIREMENT: Report all quantities in thousands of barrels (1,000 bbl) or tens of thousands of million British thermal units (10,000 MMBtu) as indicated. Show products in terms of 1,000 bbl (or 42,000 gallons) or 10,000 MMBtu equivalents. Report positions that are priced based a referenced energy contract held during the most recent spot month.
DATE that these positions were held: _________________
	1) CASH POSITIONS IN CONTRACTS PRICED AT A DIFFERENTIAL, EITHER WHOLLY OR PARTIALLY, TO A REFRENCED ENERGY CONTRACT		2) POSITIONS IN CLEARED OR BILATERAL SWAP AGREEMENTS PRICED AT A DIFFERENTIAL TO A REFERENCED ENERGY CONTRACT		3) POSITIONS IN ANY OTHER PHYSICALLY OR FINANCIALLY SETTLED CONTRACTED RELATED TO THE TRADER'S POSITIONS PURSUANT TO THE CONDITIONAL SPOT MONTH LIMIT
REFERENCED ENERGY CONTRACT	(1) POSITION IF NET LONG	(2) POSITION IF NET SHORT	(1) POSITION IF NET LONG	(2) POSITION IF NET SHORT	(1) POSITION IF NET LONG	(2) POSITION IF NET SHORT
PETROLEUM	1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil
Gasoline
Heating Oil
NATURAL GAS	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas

PART B: BONA FIDE HEDGING REQUIREMENT: Report all quantities in thousands of barrels (1,000 bbl) or tens of thousands of million British thermal units (10,000 MMBtu) as indicated. Show products in terms of 1,000 bbl (or 42,000 gallons) or 10,000 MMBtu equivalents. Report this information for each day for which you avail yourself of an exemption for bona fide hedging.
DATE: ____________________________
REFERENCED ENERGY CONTRACT USED FOR HEDGING	CASH COMMODITY HEDGED IN FUTURES	LONG CASH			SHORT CASH
		(1) STOCKS OWNED	(2) FIXED-PRICE PURCHASE COMMITMENTS	(3) TOTAL LONG	(4) FIXED-PRICE SALES COMMITMENTS
PETROLEUM		1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil	Crude Oil
	Crude Oil Products (in 1,000 bbl equiv.)
	Other*
TOTAL
Gasoline	Gasoline
	Other*
TOTAL
Heating Oil	Heating Oil
	Other*
TOTAL
NATURAL GAS		10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas	Natural Gas
	Natural Gas Products (in 10,000 MMBtu equiv.)
	Other*
TOTAL
* Use "Other" to identify non-petroleum and non-natural gas commodities you are cross hedging. Show quantities in 1,000 bbl (or 42,000 gallons) or 10,000 MMBtu-equivalents of the commodity futures being used for hedging and complete the table below to show the quantities in terms of the actual commodity
OTHER: IF SOME OR ALL HEDGING ACTIVITY DOES NOT INVOLVE THE SAME UNITS OR COMMODITY AS THE REFRENCED ENERGY CONTRACTS LISTED ABOVE, PROVIDE CASH POSITIONS FOR CROSS HEDGES IN TERMS OF ACTUAL CASH COMMODITY BELOW
FUTURES MARKET USED FOR HEDGING	CASH COMMODITY (Specify Commodity or Product)	UNITS (Specify Tons, Gallons, Therms, Etc.)	LONG CASH		SHORT CASH
			STOCK OWNED (1)	FIXED-PRICE PURCHASE COMMITMENTS (2)	FIXED-PRICE SALE COMMITMENTS (3)
FOR UNSOLD ANTICIPATED COMMERCIAL SERVICES/OUTPUT (OR UNFILLED ANTICIPATED REQUIREMENTS), REPORT ANNUAL SALES (REQUIREMENTS) OF SUCH COMMODITY FOR THE THREE COMPLETE FISCAL YEARS PRECEEDING THE CURRENT FISCAL YEAR AND ANTICIPATED SERVICES/OUTPUT (REQUIREMENTS) FOR THE PERIOD HEDGED
Fiscal Year Begins in the month of _____________________________
Anticipated Hedging Period BEGINS on _____________________________
Anticipated Hedging Period ENDS on ______________________________
Unsold anticipated commercial services or output (Sales)
REFERENCED ENERGY CONTRACT USED FOR HEDGING	CASH COMMODITY HEDGED IN FUTURES	ANNUAL SALES FOR LAST THREE COMPLETE FISCAL YEARS			ANTICIPATED SALES FOR PERIOD HEDGED
		MOST RECENT FISCAL YEAR	2ND MOST RECENT FISCAL YEAR	3RD MOST RECENT FISCAL YEAR
PETROLEUM		1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil	Crude Oil
	Crude Oil Products (in 1,000 bbl equiv.)
	Other*
TOTAL
Gasoline	Gasoline
	Other*
TOTAL
Heating Oil	Heating Oil
	Other*
TOTAL
NATURAL GAS		10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas	Natural Gas
	Natural Gas Products (in 10,000 MMBtu equiv.)
	Other*
TOTAL

Unfilled anticipated requirements (Purchases)
REFERENCED ENERGY CONTRACT USED FOR HEDGING	CASH COMMODITY HEDGED IN FUTURES	ANNUAL REQUIREMENTS FOR LAST THREE COMPLETE FISCAL YEARS			ANTICIPATED REQUIREMENTS FOR PERIOD HEDGED
		MOST RECENT FISCAL YEAR	2ND MOST RECENT FISCAL YEAR	3RD MOST RECENT FISCAL YEAR
PETROLEUM		1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil	Crude Oil
	Crude Oil Products (in 1,000 bbl equiv.)
	Other*
TOTAL
Gasoline	Gasoline
	Other*
TOTAL
Heating Oil	Heating Oil
	Other*
TOTAL
NATURAL GAS		10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas	Natural Gas
	Natural Gas Products (in 10,000 MMBtu equiv.)
	Other*
TOTAL
* Use "Other" to identify non-petroleum and non-natural gas commodities you are cross hedging. Show quantities in 1,000 bbl (or 42,000 gallons) or 10,000 MMBtu-equivalents of the commodity futures being used for hedging and complete the table below to show the quantities in terms of the actual commodity

OTHER: IF SOME OR ALL HEDGING ACTIVITY RELATED TO UNSOLD SERVICES OR OUTPUT AND UNFILLED REQUIREMENTS DOES NOT INVOLVE THE SAME UNITS OR COMMODITY AS THE REFRENCED ENERGY CONTRACTS LISTED ABOVE, PROVIDE CASH POSITIONS FOR CROSS HEDGES IN TERMS OF ACTUALL CASH COMMODITY BELOW
Unsold anticipated commercial services or output (Sales)
FUTURES MARKET USED FOR HEDGING	CASH COMMODITY (Specify Commodity or Product)	UNITS (Specify Tons, Gallons, Therms, Etc.)	ANNUAL REQUIREMENTS FOR LAST THREE COMPLETE FISCAL YEARS			ANTICIPATED REQUIREMENTS FOR PERIOD HEDGED
			MOST RECENT FISCAL YEAR	2ND MOST RECENT FISCAL YEAR	3RD MOST RECENT FISCAL YEAR
Unfilled anticipated requirements (Purchases)
FUTURES MARKET USED FOR HEDGING	CASH COMMODITY (Specify Commodity or Product)	UNITS (Specify Tons, Gallons, Therms, Etc.)	ANNUAL REQUIREMENTS FOR LAST THREE COMPLETE FISCAL YEARS			ANTICIPATED REQUIREMENTS FOR PERIOD HEDGED
			MOST RECENT FISCAL YEAR	2ND MOST RECENT FISCAL YEAR	3RD MOST RECENT FISCAL YEAR

REPORT OWNERSHIP OF ANY SHARES OF AN INVESTMENT VEHICLE, INCLUDING, BUT NOT LIMITED TO, EXCHANGE-TRADED FUNDS, REGISTERED INVESTMENT COMPANIES, COMMODITY POOLS AND PRIVATE INVESTMENT COMPANIES, THAT HOLD OR OWN A REFERENCE ENERGY CONTRACT AND/OR THE COMMODITY THAT UNDERLIES A REFERENCED ENERGY CONTRACT AND ITS PRODUCTS.
NAME OF INVESTMENT VEHICLE	TYPE OF INVESTMENT VEHICLE		REFERENCED ENERGY CONTRACT HELD BY INVESTMENT VEHICLE		SHARES OWNED	FUTURES-EQUIVALENT POSITION

PART C: SWAP DEALER RISK MANAGEMENT REQUIREMENT: Report all quantities in thousands of barrels (1,000 bbl) or tens of thousands of million British thermal units (10,000 MMBtu) as indicated for each day in the month. Show products in terms of 1,000 bbl (or 42,000 gallons) or 10,000 MMBtu equivalents. Report positions in each referenced energy contract held in proprietary trading accounts and customer accounts separately. Also report a daily summary of swaps activity in the commodity underlying the referenced energy contract.
DATE that these Swap Positions were held on: ______________________________
REFERENCED ENERGY CONTRACT	PROPRIETARY ACCOUNT
	END OF DAY NET POSITION		DAILY ACTIVITY
	IF NET LONG	IF NET SHORT	GROSS PURCHASES	GROSS SALES
PETROLEUM	1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil
Gasoline
Heating Oil
NATURAL GAS	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas
REFERENCED ENERGY CONTRACT	CUSTOMER ACCOUNT
	END OF DAY NET POSITION		DAILY ACTIVITY
	IF NET LONG	IF NET SHORT	GROSS PURCHASES	GROSS SALES
PETROLEUM	1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil
Gasoline
Heating Oil
NATURAL GAS	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas
SUPPLEMENT TO PART C: If a larger position is established than was reported initially, report swap activity that explains the justification for the larger position. Report all quantities in thousands of barrels (1,000 bbl) or tens of thousands of million British thermal units (10,000 MMBtu) as indicated for the supplemental day(s) being reported. Show products in terms of 1,000 bbl (or 42,000 gallons) or 10,000 MMBtu equivalents. Report positions in each referenced energy contract held in proprietary trading accounts and customer accounts separately. Also report a daily summary of swaps activity in the commodity underlying the referenced energy contract.
DATE that these Swap Positions were held on: ______________________________
REFERENCED ENERGY CONTRACT	PROPRIETARY ACCOUNT
	END OF DAY NET POSITION		DAILY ACTIVITY
	IF NET LONG	IF NET SHORT	GROSS PURCHASES	GROSS SALES
PETROLEUM	1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil
Gasoline
Heating Oil
NATURAL GAS	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas
REFERENCED ENERGY CONTRACT	CUSTOMER ACCOUNT
	END OF DAY NET POSITION		DAILY ACTIVITY
	IF NET LONG	IF NET SHORT	GROSS PURCHASES	GROSS SALES
PETROLEUM	1,000 bbl	1,000 bbl	1,000 bbl	1,000 bbl
Crude Oil
Gasoline
Heating Oil
NATURAL GAS	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu	10,000 MMBtu
Natural Gas

PART D: CERTIFICATION OF RISK FACTOR OR DELTA COEFFICIENT ADJUSTED POSITION: Report information demonstrating that your total positions in the Referenced Energy Contract, including options positions, were compliant with the position limits of §151.2 after being adjusted by a contemporaneous risk factor or delta coefficient.
Contract Market Code(s):						Referenced Energy Contract:
Trading Date:						Position Limit Exceeded Using Prior Day's Risk Factor(Spot month, All months combined, Single month)
Futures Expiration Date(s):
Instructions: CFTC regulatory requirements are shown under column one (left hand side). Please provide your responses under column two (right hand side), and sign and date at the bottom of the form, confirming that all of the information provided in the certification is correct.
The attached "Addendum to Form 404 Part D" may be used for submitting an explanation of the risk factor or delta coefficient adjusted position. Other attachments may also be used to explain the position.
17 CFR Provisions							Update of Information & Confirmation of Compliance
§ 151.3 Exemptions for referenced energy contracts. (a) Positions that may exceed limits. The position limits set forth in §151.2 may be exceeded to the extent that such positions are: [...] (3) Subsequently demonstrated, in a report to be filed on the calendar day following the acquisition of such positions pursuant to part 20 of this chapter, to be below an applicable position limit once option contracts that are a part of a trader’s overall position are adjusted by a contemporaneous risk factor or delta coefficient for such options.							Trading Firm Name:
							Contact Person:
							Address:
							Phone Number:
							Email Address:
§ 20.03 Delta adjusted positions. (a) Information required. All persons with referenced energy contract positions in excess of the position limits of §151.2 of this chapter that acquire such positions in reliance on §151.3(a)(3) of this chapter shall submit to the Commission a Form 40 and provide the information required under §18.04 of this chapter.
(b) In addition, such persons shall provide the following on Part D of Form 404: (1) A certification that their positions, in whole or in part, are in excess of the applicable limits as a result of the application of a futures-equivalent calculation that adjusts option positions by the previous day's risk factor, or delta coefficient; and							Please identify whether the position limit violation was in whole or in part explained by the application of a contemporaneous risk factor or delta coefficient.
(2) Complete position data that demonstrates that the application of a contemporaneous risk factor, or delta coefficient, renders the trader compliant with the position limits of §151.2 of this chapter on an adjusted basis.							Please explain the position, including relevant futures contract positions and options position data. The explanation should include options positions data. This data would include options contract positions, risk factor or delta coefficient, and resulting futures-equivalent value of the options position that renders the position compliant. The explanation should also include assumptions used in the calculation of the contemporaneous risk factor or delta coefficient and the resulting contemporaneous position.
I hereby certify that by applying a contemporaneous risk factor or delta coefficient the position at issue renders the position at issue compliant with the position limits of §151.2 and that any information contained herein and in attached addendums is correct.
Signature:
Position:
Date:

ADDENDUM TO PART D: I: Please provide options position data for the relevant time period(s). Please use the "+" sign to indicate a futures-equivalent long position and the "-" sign to indicate a futures-equivalent short position. II: Please provide information that will be useful to the Commission in understanding the origin of the options position data requested in Part II. Information that will be particularly useful would relate to what might explain a material variation from other contemporaneous delta coefficients. Parts I and II: Please indicate with the note "See attached" where an attachment to this form is used to provide a response to the information requested or to provide information that may be relevant.

Contract Market Code:

Referenced Energy Contract:

Futures Exp. Date:

Trading Date:

I. Options Position Data

Time

Net Futures-Equivalent Position (Including Options

Net Futures Position (Excluding Options)

Calls

Puts

Long

Short

Long

Short

Strike Price

Contracts

Delta

Futures Equivalent

Strike Price

Contracts

Delta

Futures Equivalent

Strike Price

Contracts

Delta

Futures Equivalent

Strike Price

Contracts

Delta

Futures Equivalent

II. Discussion of Options Delta

INSTRUCTIONS FOR PREPARING AND FILING REPORTS ON CFTC FORM 404

(See Regulations Under the Commodity Exchange Act)

WHO SHOULD REPORT: All persons (individuals, partnerships, associations, corporations, or trusts) holding or controlling positions for future delivery who are applying to receive an exemption from federal energy speculative limits as defined in § 151.2 under one or more of the following conditions: 1) The conditional spot-month limit in § 151.1(a)(2); 2) Bona fide hedging positions as defined in § 151.3(a)(1); (3) Swap dealer risk management transactions as defined in § 151.3(a)(2); and (4) Overages mitigated by adjusting options positions by a contemporaneous risk factor or delta coefficient as defined by § 151.3(a)(3).

WHEN TO REPORT: Except as noted below, report monthly as of the close of business on the last Friday of the month. Reports must be received in the Commission’s New York office not later than the third business day following the Friday date of the report. To ensure receipt of the report by its due date, transmit the form in a machine readable format and/or submit the form electronically. Reports submitted pursuant to § 20.03 for delta adjusted positions must be submitted the day after the date on which the transactions being reported occurred. Supplemental reports for Swap Dealer Risk Management positions must be submitted on the day after the date on which the conditions for submitting a Supplement to Part C are met.

WHERE TO REPORT: The CFTC New York Office, unless otherwise specifically authorized by the commission or its designee.

WHAT TO REPORT: For each commodity futures contract in which you hold a position as specified above, you must report the following:

Part A. Conditional Spot-Month Limit Requirement: Report cash positions in contracts priced at a fixed price differential (including a zero differential), either wholly or partially, to the referenced energy contract or the contract’s underlying commodity; positions in cleared or bilateral swap agreements with a fixed price differential (including zero) to the referenced energy contract or the contract’s underlying commodity; and positions in any other physically or financially settled contract related to the trader’s positions pursuant to the conditional spot-month position limit. Report positions in petroleum products in units of thousands of barrels (1,000 bbl) and report positions in natural gas in units of ten thousand millions of British thermal units (10,000 MMBtu).

The only positions that are to be reported are those whose price is determined by the price of the referenced energy contract during the spot month period for the reported month. Report this information as of any settlement price determination day during which you avail yourself of the conditional spot month limit.

Part B. Bona Fide Hedging Requirement: Report the quantity of stocks owned of the commodity that underlies a referenced energy contract and its products and the quantity of fixed price purchase and sale commitments open in such commodity and its products. Report these quantities in petroleum products in units of thousands of barrels (1,000 bbl) and report positions in natural gas in units of ten thousand millions of British thermal units (10,000 MMBtu).

If you are ‘cross hedging,’ report the cash commodity hedged in either 1,000 bbl or 10,000 MMBtu units in the space labeled ‘Other’ under the ‘cash commodity used in futures hedging’ heading. Also, in the table titled “OTHER,” report the name of the cash commodity being hedged in the ‘other’ rows and the entire quantity of stocks owned and open purchase and sale commitments of the commodity you are cross hedging in terms of the actual commodity (for example, if you are purchases of crude oil that you internally measure in metric tons with crude oil futures, show your physical crude oil commitment in metric tons in the “OTHER” table, but convert to 1,000 bbl-equivalents elsewhere. Specify the futures market in which you are hedging in the “OTHER” table. On this monthly report, provide the information requested for each day that you avail yourself of an exemption for bona fide hedging.

For unsold anticipated commercial services or output (or unfilled purchase requirements) directly connected to producing, transporting, refining, merchandising, marketing, or processing a commodity underlying a referenced energy contract, report: Annual sales (or purchases) of such services or output (requirements) for the three complete fiscal years preceding the current fiscal year; and anticipated sales (purchases) of such services or output (requirements) for the period hedged. After an initial report of anticipated requirements, submit a supplemental report with updated information if your anticipated requirements change.

Additionally, report any shares of an investment vehicle, including, but not limited to, exchange-traded funds, registered investment companies, commodity pools and private investment companies, that hold or own a referenced energy contract or the commodity that underlies a referenced energy contract and its products. In addition, report the futures-equivalent position of these shares in units of the referenced energy contract. For example, if you own shares in an investment vehicle whose entire holdings are referenced energy contracts, the futures-equivalent position would be number of shares owned after converting the share size into the same units as the referenced energy contract. Report this information month with the required information for each day you avail yourself of an exemption for bona fide hedging.

Part C. Swap Dealer Risk Management Requirement: In this monthly report, for each day in the month report swap positions based upon the commodity underlying the referenced energy contracts that are held in proprietary and customer accounts, shown separately. Also, report a summary of daily activity in dealing and trading activity. This summary of daily activity should consist of the gross purchases and gross sales of swap positions and identify proprietary and customer accounts separately. Submit separate copies of the form for each date in the month.

If your risk management requirements increase during the month between filing of reports, file the Supplement to Part C and identify new information that explains the increased requirements. File this Supplement on the day after your requirements increase your risk management exemption needs. In the supplemental filing, provide enough days of information to identify the increased risk management needs.

Part D. Delta Coefficient Adjusted Position Requirement: Instructions on form. Submit this form if you seek an exemption to energy speculative limits on the basis that your apparent violation of the limits was mitigated due to your use of a contemporaneously adjusted risk factor or delta coefficient. Submit this report on the day after the trading day on which you are demonstrating your use of the contemporaneously adjusted risk factor or delta coefficient.