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existing regulations and to specifically
remove them if they were regarding
certain financial instruments. The
Commission has completed the required
review of its regulations and has
identified seven instances of references
to credit ratings, five of which were
regarding those financial instruments.
Today, we are proposing removing these
five references and reliance to credit
ratings. This rule addresses two of those
references in Regulation 1.49, which
limits the types of banks in which
futures commission merchants and
derivatives clearing organizations may
place customer funds, and 4.24, which
requires commodity pool operators to
disclose to their customers where they
are putting customer money. The other
actions we are taking today regarding
rule certifications in Part 40 and
investment of customer funds in
Regulation 1.25 and 30.7 will address
the remaining instances of credit
ratings.
[FR Doc. 2010–27555 Filed 11–1–10; 8:45 am]
BILLING CODE P

COMMODITY FUTURES TRADING
COMMISSION
17 CFR Parts 15 and 20
RIN 3038–AD17

Position Reports for Physical
Commodity Swaps
Commodity Futures Trading
Commission.
ACTION: Notice of proposed rulemaking.
AGENCY:

The Commodity Futures
Trading Commission (‘‘Commission’’ or
‘‘CFTC’’) is proposing reporting
regulations that are reasonably
necessary for implementing and
enforcing aggregate position limits for
certain physical commodity derivatives.
As a result of recent legislative reforms,
the Commission may adopt regulations
establishing aggregate position limits for
designated contract market (‘‘DCM’’)
physical commodity futures contracts
and swaps that are economically
equivalent to such contracts. The
Commission currently receives, and
uses for market surveillance purposes,
including position limit enforcement,
data on large positions in all physical
commodity futures and option contracts
traded on DCMs. However, there is no
analogous reporting structure in place
for economically equivalent swaps,
which until recently were largely
unregulated financial contracts. The
Commission’s proposal would require
position reports on economically
equivalent swaps from clearing

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SUMMARY:

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organizations, their members and swap
dealers. Notably, the proposed
regulations also include a sunset
provision. The sunset provision would
render the regulations ineffective upon
the Commission’s issuance of an order
finding that operating swap data
repositories (‘‘SDRs’’) are capable of
processing positional data in a manner
that would enable the Commission to
set and enforce aggregate position
limits.
DATES: Comments must be received on
or before December 2, 2010.
ADDRESSES: You may submit comments,
identified by RIN number, by any of the
following methods:
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow
instructions for submitting comments.
• Agency Web Site: http://
www.cftc.gov.
• E-mail: [email protected].
• Mail: David A. Stawick, Secretary of
the Commission, Commodity Futures
Trading Commission, Three Lafayette
Centre, 1155 21st Street, NW.,
Washington, DC 20581.
• Hand Delivery/Courier: Same as
mail above.
All comments must be submitted in
English, or if not, accompanied by an
English translation. Comments will be
posted as received to http://
www.cftc.gov. You should submit only
information that you wish to make
available publicly. If you wish the
Commission to consider information
that is exempt from disclosure under the
Freedom of Information Act, a petition
for confidential treatment of the exempt
information may be submitted according
to the procedure established in CFTC
regulation 145.9 (17 CFR 145.9). The
Commission reserves the right, but shall
have no obligation, to review, prescreen, filter, redact, refuse or remove
any or all of your submission from
http://www.cftc.gov that it may deem to
be inappropriate for publication, such as
obscene language. All submissions that
have been redacted or removed that
contain comments on the merits of the
rulemaking will be retained in the
public comment file and will be
considered as required under the
Administrative Procedure Act and other
applicable laws, and may be accessible
under the Freedom of Information Act.
FOR FURTHER INFORMATION CONTACT:
Stephen Sherrod, Acting Deputy
Director, Market Surveillance, (202)
418–5452, [email protected], or Bruce
Fekrat, Senior Special Counsel, Office of
the Director, (202) 418–5578,
[email protected], Division of Market
Oversight, Commodity Futures Trading
Commission, Three Lafayette Centre,

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1155 21st Street, NW., Washington, DC
20581.
SUPPLEMENTARY INFORMATION:
I. Economically Equivalent Swaps
A. Background
The Commodity Exchange Act (‘‘CEA
or Act’’) of 1936,1 as amended by Title
VII of the Dodd-Frank Wall Street
Reform and Consumer Protection Act of
2010 (‘‘Dodd-Frank Act’’),2 includes
provisions imposing clearing and trade
execution requirements on standardized
derivatives as well as comprehensive
recordkeeping and reporting
requirements that extend to all swaps, a
defined term in CEA section 1a(47).
New section 4a(a)(2) of the CEA, as
introduced by section 737 of the DoddFrank Act, charges the Commission with
promulgating regulations, as
appropriate, to limit the amount of
positions, other than bona fide hedge
positions, that may be held by any
person with respect to commodity
futures and option contracts in exempt
and agricultural commodities 3 traded
on or subject to the rules of a DCM
within 180 and 270 days, respectively,
of the legislation’s enactment on July 21,
2010. New section 4a(a)(6)(A) of the Act
requires Commission-set position limits
to apply aggregately across DCMs to
contracts that are based on the same
commodity. The exempt and
agricultural commodity futures and
option contracts for which the
Commission may consider position
limits are listed in proposed regulation
20.2 (‘‘20.2 listed futures contracts’’ or
‘‘20.2 contracts’’). The list in proposed
regulation 20.2, however, is nonexclusive and preliminary. Should the
Commission propose regulations to
establish position limits, it may decide
not to propose position limits for all of
the 20.2 listed futures contracts or,
alternatively, may decide to propose
17

U.S.C. 1 et seq.
Dodd-Frank Wall Street Reform and
Consumer Protection Act, Public Law 111–203, 124
Stat. 1376 (2010). The text of the Dodd-Frank Act
may be accessed at http://www.cftc.gov./
LawRegulation/OTCDERIVATIVES/index.htm.
3 Section 1a(20) of the Act defines the term
‘‘exempt commodity’’ to mean a commodity that is
not an excluded commodity or an agricultural
commodity. Section 1a(19) defines the term
‘‘excluded commodity’’ to mean, among other
things, an interest rate, exchange rate, currency,
credit risk or measure, debt or equity instrument,
measure of inflation, or other macroeconomic index
or measure. Although the term ‘‘agricultural
commodity’’ is not defined in the Act, CEA section
1a(9) enumerates a non-exclusive list of several
agricultural-based commodities. The Commission
will consider the issuance of a notice of rulemaking
proposing a definition for the term ‘‘agricultural
commodity’’ in October of 2010. Although broadly
defined, exempt commodity futures contracts are
often viewed as energy and metals products.
2 See

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position limits for futures contracts
other than the 20.2 contracts.
Similar to CEA section 4a(a)(2), new
section 4a(a)(5) of the Act charges the
Commission with establishing position
limits, including aggregate position
limits, as appropriate, for swaps that are
economically equivalent to DCM
contracts in exempt and agricultural
commodities with CFTC-set position
limits. The definition of the term
‘‘paired swaps and swaptions’’ in
proposed regulation 20.1 attempts to
recognize a readily identifiable and
partial set of swaps and swaptions (for
ease of reference, collectively ‘‘swaps’’)
that could potentially be considered as
economically equivalent to 20.2 listed
futures contracts.
As discussed in more detail below,
proposed regulation 20.1 defines paired
swaps, and hence economically
equivalent swaps, in two ways. First,
paired swaps are defined as swaps that
are directly or indirectly linked to the
price of one or more 20.2 listed futures
contract. Second, paired swaps are
defined as swaps that are based on the
price of the same commodity for
delivery at the same location(s) as that
of a 20.2 listed futures contract, or
another delivery location, with
substantially the same supply and
demand fundamentals as the delivery
location(s) referenced by a 20.2 listed
futures contract. The paired swap
definition’s second part therefore
proposes to include swaps that are
settled to a price series that is not based
on, but is nonetheless highly correlated
to, the price of a 20.2 listed futures
contract.
B. The Necessity of the Proposed
Regulations
New section 4a(a)(5) of the Act
provides that position limits for
economically equivalent swaps be
developed concurrently with position
limits established for DCM contracts in
exempt and agricultural commodities.
In order to have the ability to enforce
market-specific and aggregate position
limits for the relevant DCM contracts
and economically equivalent swaps, the
Commission would require positional
data for DCM contracts and
economically equivalent swaps. The
Commission currently obtains DCM
futures and option positional data under
parts 15 through 19 and 21 of its
regulations,4 which derive their
statutory authority in significant part
from sections 4a, 4g and 4i of the CEA.
In contrast, the Commission has limited
access to swaps positional data. In this
4 Commission regulations referred to herein are
found at 17 CFR chapter 1.

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regard, the Commission receives
positional data on swaps that are
significant price discovery contracts
(‘‘SPDCs’’) under part 36 of its
regulations. Such contracts are executed
through exempt commercial markets
and typically cleared. SPDCs, however,
do not encompass all economically
equivalent swaps (as defined by
proposed regulation 20.1 through the
term paired swaps). SPDC positional
data would therefore not supply
sufficient information to the
Commission to monitor all
economically equivalent swaps for
aggregate position limit violations,
should such limits be adopted.
Moreover, parts 15 through 19 and 21 of
the Commission’s regulations do not
apply to uncleared swaps that may be
SPDCs. To have consistency in
reporting, regulation 20.2(a) would
require SPDCs that are paired swaps to
be reported under proposed part 20
instead of parts 15 through 19 and 21 of
the Commission’s regulations (which
include position reporting regulations
for clearing organizations and futures
intermediaries that are analogous to
those proposed herein).
The Commission also receives
positional data for some swaps that are
cleared by certain clearing organizations
but not listed for trading (‘‘cleared-only
swaps’’).5 This positional data is
received from a limited number of
clearing organizations, and depending
on the contract and the clearing
organization, does not necessarily
provide disaggregated data on swaps
held by non-clearing member
counterparties. As with SPDCs, clearedonly swaps positional data would not
supply sufficient data to the
Commission to monitor for aggregate
position limit violations across DCM
contracts with CFTC-set position limits
and economically equivalent swaps. To
the extent that cleared-only swaps are
paired swaps, regulation 20.2(a) would
require reporting under proposed part
20 instead of parts 15 through 19 and 21
of the Commission’s regulations.
The Commission notes that the DoddFrank Act also provides for the
establishment of SDRs. Once established
and operationally able to receive swaps
data, SDRs would have the potential to
5 See, e.g., Order (1) Pursuant to Section 4(c) of
the Commodity Exchange Act, Permitting the
Chicago Mercantile Exchange to Clear Certain Overthe-Counter Agricultural Swaps and (2) Pursuant to
Section 4d of the Commodity Exchange Act,
Permitting Customer Positions in Such ClearedOnly Contracts and Associated Funds To Be
Commingled With Other Positions and Funds Held
in Customer Segregated Accounts, 74 FR 12316,
12320 (March 24, 2009) (requiring reporting under
parts 15, 16 and 17 of the Commission’s regulations
for cleared-only swaps).

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serve as the Commission’s primary
positional data source. The
Congressionally mandated deadline for
establishing position limits, however,
predates the deadline for Commission
regulations for SDR registration. Thus,
the position reports for physical
commodity swaps contemplated by
these proposed regulations would
function as a transitional tool until
SDRs are in operation and able to
provide the Commission with swap
positional data. If implemented in
whole or in part, the Commission may
determine to continue or discontinue
the proposed reporting system once
SDRs are operational.
CEA sections 4a and 8a(5), considered
in tandem, provide the statutory
authority for these proposed regulations.
The Commission cannot fully effectuate
the mandate of section 4a of the Act
without an operational data collection
system. In proposing these regulations,
the Commission relies on its CEA
section 8a(5) general rulemaking
authority. Section 8a(5) authorizes the
Commission ‘‘to make and promulgate
such rules and 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 this Act.’’ For the
reasons discussed above, the proposed
regulations, in the Commission’s
judgment, are reasonably necessary to
effectuate CEA section 4a as amended
by the Dodd-Frank Act.
II. The Proposed Regulations
A. Listed Futures Contracts
Section 4a(a)(2) of the Act provides
that the Commission shall set, as
appropriate, position limits for exempt
and agricultural DCM futures and
option contracts.6 The Act also provides
that the Commission shall establish
position limits, including aggregate
limits, as appropriate, for swaps that are
economically equivalent to futures
contracts (and options thereon or
options on commodities) with CFTC-set
position limits. Proposed regulation
20.2 lists a broad set of futures contracts
and options thereon which may be the
subject of CFTC-set position limits.
These 20.2 listed futures contracts can
be divided into two categories. The first
category contains futures contracts that
have high levels of open interest and
significant notional value (and certain
6 New section 4a(a)(2) by its terms also applies to
options on physicals. With respect to options on
physicals traded on DCMs, the current open interest
levels in such DCM contracts on the commodities
underlying the 20.2 listed futures contracts are
minimal.

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related contracts).7 The contracts in this
category are:

REFERENCE DCM CONTRACTS WITH
HIGH OPEN INTEREST AND NOTIONAL VALUE (INCLUDING CERTAIN
RELATED CONTRACTS)
Chicago Board of Trade (‘‘CBOT’’) Corn.
CBOT Rough Rice.
CBOT Soybeans.
CBOT Soybean Meal.
CBOT Soybean Oil.
CBOT Wheat.
Chicago Mercantile Exchange (‘‘CME’’) Feeder Cattle.
CME Live Cattle.
CME Milk Class III.
Comex (‘‘CMX’’) Copper Grade #1.
CMX Gold.
CMX Silver.
ICE Futures US (‘‘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 Coffee.
NYMEX Cotton.
NYMEX Crude Oil, Light Sweet (‘‘WTI’’).
NYMEX Gasoline Blendstock (RBOB).
NYMEX Natural Gas.
NYMEX No. 2 Heating Oil, New York Harbor.
NYMEX Palladium.
NYMEX Platinum.
NYMEX Sugar No. 11.

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The contracts in the second category,
listed below, do not have high levels of
open interest or represent significant
notional values. However, based on
feedback from inquiries posed to swap
market participants relating to the size
and level of activity in certain markets,
Commission staff recommended their
inclusion in proposed regulation 20.2.8
7 These contracts can function as anchors to many
other DCM contracts and therefore directly or
indirectly correspond to a substantial fraction of
open interest for listed physical commodity
derivatives. See, e.g., Federal Speculative Position
Limits for Referenced Energy Contracts and
Associated Regulations, 75 FR 4133, 4154 (January
26, 2010) (‘‘January 2010 proposed regulations for
major energy contracts’’) (showing the spoke
contracts linked to the physically delivered NYMEX
Crude Oil, Light Sweet futures contract).
8 Staff tasked with assisting the Commission in
developing the proposed regulations made this
recommendation after meeting with or speaking to
23 outside parties, representing commercial endusers, commercial merchants, commodity-based
swap trading arms of large financial institutions,
futures exchanges, swap data service providers, and
our sister financial regulators. See http://
www.cftc.gov/LawRegulation/

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Such contracts may serve as the pricing
basis of a significant number of swap
market transactions, thereby warranting
some measure of Commission scrutiny.

ADDITIONAL DCM REFERENCE
CONTRACTS
CBOT Ethanol.
CBOT Oats.
CME Butter.
CME Cheese.
CME Dry Whey.
CME Hardwood Pulp.
CME Lean Hogs.
CME Non Fat Dry Milk.
CME Random Length Lumber.
CME Softwood Pulp.
NYMEX Brent Financial.
NYMEX Central Appalachian Coal.
NYMEX Hot Rolled Coil Steel.
NYMEX Uranium.

B. Scope of Economically Equivalent
Swaps
The Commission, through the
definition of paired swap or paired
swaption (for ease of reference,
collectively ‘‘paired swaps’’) in proposed
regulation 20.1, defines a subset of
swaps that may qualify as economically
equivalent to the DCM contracts listed
in proposed regulation 20.2. Proposed
regulation 20.1 identifies paired swaps
(i.e., economically equivalent swaps) in
two paragraphs. The first paragraph of
proposed regulation 20.1 defines paired
swaps to include those that directly or
indirectly are linked to the price of a
20.2 listed futures contract. This
category includes swaps that are
partially or fully settled or priced at a
differential to a 20.2 listed futures
contract. The following list provides
examples of the types of swaps that are
intended to be covered under the first
paragraph of the proposed definition of
paired swap.
1. Directly linked to a listed
contract—A swap settled to the price of
the NYMEX Heating Oil Calendar Swap
Futures Contract is directly linked to a
20.2 listed DCM futures contract
because the floating price of the futures
contract is equal to the monthly average
settlement price 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 20.2
listed 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
DoddFrankAct/ExternalMeetings/
otc_meetings.html.

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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 CME Argus WTI Formula
Basis Calendar Month Swap Futures
Contract) is partially settled to a 20.2
listed futures contract.9 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
20.2 listed futures contract and would
be a paired swap under the first
paragraph of the proposed definition.10
4. Priced at a differential to a listed
contract—The ICE Henry Physical Basis
LD1 Contract is priced at a differential
to a 20.2 listed futures contract because
the settlement price is the final
settlement price for natural gas futures
(a listed 20.2 contract) as reported by
NYMEX for the specified month plus
the contract price.
The second paragraph of the proposed
definition of a paired swap 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 20.2 listed futures contract. As
opposed to paragraph one, the second
paragraph of the definition of paired
swap looks to a swap’s connection to
the commodity underlying a 20.2 listed
futures contract, and to the delivery
locations with a nexus to those delivery
locations specified in a 20.2 listed
contract, as opposed to the price of the
of the contract itself. Therefore, in
contrast to paragraph one, the linkage is
to the price of the underlying
commodity and its physical marketing
channels.
Under paragraph two, a paired swap
would include swaps that are based on
the same commodity11 as that of a 20.2
listed futures contract but deliverable at
locations that are different than a 20.2
listed futures contract’s delivery
locations, so long as such locations have
substantially the same supply and
demand fundamentals as that of a 20.2
9 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.
10 For a description of the ASCI methodology, see,
e.g., http://web04.us.argusmedia.com/
ArgusStaticContent//Meth/ASCI.pdf.
11 As provided in the Commission’s January 2010
proposed regulations for major energy contracts, a
commodity will be considered to be the same (for
the purposes of reporting under this regulation) if
such commodity has the same economic
characteristics with respect to grade and quality
specifications as those referenced by a 20.2 listed
futures contract.

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Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
listed futures contract reference delivery
location. The following list provides
examples of the types of swaps that are
reportable under the second paragraph
of the definition.
1. Same commodity with a delivery
point that shares substantially the same
supply and demand fundamentals—An
uncleared swap based on a NYMEX
Columbia Gulf, Mainline Natural Gas
Index Swap (Platts Gas Daily/Platts
IFERC) Futures Contract provides an
example of a futures contract which
references an underlying spot market
that is affected by substantially similar
supply and demand forces as the pricing
location to which the NYMEX Natural
Gas Futures Contract references. In this
case, the floating price of the NYMEX
Columbia Gulf, Mainline Natural Gas
Index Swap (Platts Gas Daily/Platts
IFERC) Futures Contract is equal to the
difference in the monthly average prices
for Mainline Midpoint (Midpoint) and
the Platts Inside FERC’s Gas Market
Report (Platts IFERC) Columbia Gulf
Transmission Co., Mainline Index. This
swap would be on based the same
commodity as that of a 20.2 listed
contract, but deliverable at a different
location. The different location,
however, shares substantially the same
supply and demand fundamentals as the
Henry Hub, which is the delivery
location for the NYMEX Natural Gas
contract. The swap’s delivery location is
in close proximity to the Henry Hub,
and there is tight arbitrage between the
two pricing hubs.
2. Same commodity at different
locations—The NYMEX Transco, Zone 6
Natural Gas Index Swap (Platts Gas
Daily/Platts IFERC) Futures Contract
provides an example of a futures
contract which references an underlying
spot market that is interconnected with
a spot market to which the NYMEX
Natural Gas Futures Contract references.
The floating price of the NYMEX
Transco, Zone 6 Natural Gas Index
Swap (Platts Gas Daily/Platts IFERC)
Futures is equal to the difference in the
monthly average prices for the Platts
Gas Daily Transco, Zone 6 N.Y.
Midpoint (Midpoint) and the Platts
Inside FERC’s Gas Market Report (Platts
IFERC) Transco Zone 6 Index (Index) for
the stipulated period within the contract
specifications. The index price
represents a natural gas spot market that
is physically linked, via the Transco
pipeline, to a spot market (Henry Hub)
which is referenced by a 20.2 listed
futures contract.

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C. Reporting Under the Proposed
Regulations
1. Reports by Clearing Organizations
Regulation 20.3 proposes to collect
paired swap reports from clearing
organizations. Clearing organizations are
defined in proposed regulation 20.1 as
persons or organizations that act as a
medium between clearing members for
the purpose of clearing swaps or
swaptions or effecting settlements of
swaps or swaptions. The intent of the
definition, which is modeled on the
definition used in Commission
regulation 15.00 (the definitional
section for the Commission’s large
trader reporting rules), is to apply the
reporting regulations only to entities
that perform clearing functions as
clearing intermediaries and
counterparties to each side of a swap for
the purpose of clearing the trade. The
proposed definition is intended to cover
entities that are commonly known as
clearing organizations, regardless of
their registration status with the
Commission. 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 proposed regulation 20.3,
clearing organizations, for paired swap
positions, would report the aggregate
proprietary and aggregate customer
accounts of each clearing member of
that clearing organization. Proposed
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
would be reported to the Commission as
futures equivalent positions in terms of
a swap’s related 20.2 listed futures
contract. Proposed Appendix A to this
part provides several examples of the
methods used for converting swap
positions into futures equivalent
positions. The proposed regulations
would ask 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 20.2 listed futures
contracts. Reporting in futures
equivalents would result in a measure of
equivalency between positions in paired
swaps and their related 20.2 listed
futures contracts, and it would allow for
the enforcement of aggregate position
limits across futures and swaps should
the Commission adopt such limits.
As required under paragraph (a) and
(b) of proposed regulation 20.3, each
clearing organization would submit to

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the Commission a data record that
identifies either gross long and gross
short futures equivalent positions if the
record corresponds to a paired swap
position, or gross long and gross short
futures equivalent positions on a nondelta-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 the overall set of
reported data elements that
communicates a unique (non-repetitive)
positional message to the Commission.
Clearing organizations would be
required to report a data record for each
clearing member for each reporting day,
which is defined in proposed 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 or
swaptions 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 proposed
regulation 20.3 would 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 proposed 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 would be
required to be broken down further by
expiration date, put or call indicator,
and strike price. Proposed Appendix B
to part 20 includes examples of data
records that would be required of
clearing organizations. The examples in
Appendix B are provided to facilitate
the public’s ability to comment on these
reports, and if adopted as part of a final
rulemaking, increase a clearing
organization’s familiarity with the type
of reporting the regulations would
require.

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In addition to reports for clearing
members, clearing organizations would,
pursuant to proposed regulation 20.3(c),
be required to provide to the
Commission, for each 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 would
provide the type of information that is
necessary to assign a weight to a trader’s
positions.

jlentini on DSKJ8SOYB1PROD with PROPOSALS

2. Reports by Reporting Entities
Proposed regulation 20.4 would
require reporting entities to report
proprietary positions in paired swaps
and their paired swap counterparty
positions. Proposed 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 may be made
through the issuance of Commission
regulations.
The definition of reporting entity is
intended to identify financial firms that
regularly make markets in swaps, as
well as divisions or subsidiaries of large
commercial swap market participants
that provide risk management services
to other commercial entities in the
normal course of their business
operations. Proposed regulation 20.4 is
intended to require reports from such
financial firms and not from commercial
end-users with swaps activities of
limited scope. By requiring reporting
from these large market participants,
proposed regulation 20.4 could provide
visibility into the majority of paired
swaps trading activity without
burdening commercial entities that may
have less experience with compliance
and reporting requirements stemming
from the regulation of financial
institutions.12 The Commission solicits
comment specifically on the proposed
definition of reporting entity and the
sufficiency of the market visibility
gained by requiring reports only from a
limited set of market participants.
Proposed regulation 20.4 would
require reporting entities to provide the
Commission with positional reports
only if the reporting entities hold
reportable paired swap positions.
Proposed regulation 20.1 defines a
reportable position as a position, in any
one futures equivalent month,
comprised of fifty or more futures
equivalent paired swaps or swaptions
based on the same commodity. This
12 The proposed definition of reporting entity
includes an exemption from the definition of
reporting entity for entities that are not commonly
known as swap dealers.

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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.13 The Commission
specifically requests comment on
whether this reporting level is
appropriate relative to the size of
positions held by paired swap
counterparties.
Once a reporting entity’s paired swaps
position meets or exceeds the fifty
futures equivalent paired swaps or
swaptions threshold, proposed
regulation 20.1 defines all other paired
swap positions held by the reporting
entity (in the commodity that initially
caused the reporting entity’s positions
to be deemed reportable) to be part of
the entity’s reportable position.14
Clearing members and other reporting
entities would follow the same
procedure for determining if their
proprietary positions or any
counterparty positions are reportable to
the Commission. As with clearing
member reports that would be provided
by clearing organizations to the
Commission under proposed regulation
20.3, proposed regulation 20.4 would
require paired swap positions to be
represented and reported in futures
equivalents. Without a common method
of accounting for positions in swaps and
futures, aggregate positions could
potentially not be enforceable, should
the Commission promulgate such limits.
To determine what to report under
proposed regulation 20.4, reporting
entities would separately consider
proprietary positions, counterparty
positions, and positions in controlled
accounts. For each actual swap or
swaption account that includes a paired
swap or swaption in which the
reporting entity is reportable, such
entities would be 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 nondelta-adjusted paired swaption
positions and long and short deltaadjusted swaption positions (if the
record pertains to swaptions positions).
For uncleared paired swaps, the
proposed regulations would require a
reporting entity to use economically
13 See http://www.cftc.gov/LawRegulation/
DoddFrankAct/ExternalMeetings/
otc_meetings.html.
14 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.

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reasonable and analytically supported
deltas.
As proposed under regulation 20.4,
this information would be grouped
separately by swap or swaption account
that is a part of a reportable account, 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 cleared swaption positions
under the proposed regulations would
be further grouped by put or call,
expiration date, and strike price.
Uncleared swaption positions, however,
would not be required to be grouped by
put or call, expiration date, and strike
price. The reports provided under
proposed regulation 20.4 would 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 the owner(s) of the
account, as well as the controller(s) of
the account. Proposed Appendix B to
this part includes several examples of
required records.
3. Series S Filings
Proposed regulation 20.5(a) would
require a 102S filing for the
identification of the direct owner or
controller of a ‘‘reportable account’’ by
the reporting entity holding or carrying
the account. The 102S filing would
consist of the ‘‘name, address, and
contact information of the direct owner
or controller of the reportable account’’
and a ‘‘brief description of the nature of
such person’s paired swaps and
swaptions’ market activity’’ (e.g.,
whether it is an omnibus account for
another broker or an individual
account). The reporting entity is
required to submit a 102S filing only
once for each person associated with a
reportable account.
Once an account holder or controller
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 would consist
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, the trader would be required to
complete the form as if the form covered

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information related to positions in
paired swaps and swaptions.15
The 102S filings and the 40S filing
together would allow the Commission to
identify the person(s) owning the
account or controlling its trading, the
person to contact regarding trading, the
nature of the account, whether the
reported 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. By
properly identifying and aggregating
accounts, Commission surveillance staff
would be able to assess a trader’s
compliance with speculative position
limits across futures and swaps markets,
should the Commission adopt such
limits.

jlentini on DSKJ8SOYB1PROD with PROPOSALS

4. Maintenance of Books and Records
Proposed regulation 20.6 would
impose recordkeeping requirements on
reporting clearing organizations,
reporting entities, and persons with
reportable swaps positions. Proposed
regulation 20.6(a) would require
clearing organizations to keep records of
transactions in paired swaps or
swaptions. Proposed regulation 20.6(b)
would require reporting entities and
persons with reportable positions to
maintain ‘‘books and records * * *
showing all records for transactions
concerning all reportable positions.’’ In
addition, reporting entities and persons
with reportable positions would be
required to keep books and records on
‘‘transactions in the cash commodity’’
and its products and byproducts, and
‘‘all commercial activities’’ that are
hedged in 20.2 listed futures contract,
‘‘or options thereon,’’ or paired swaps
and swaptions. These recordkeeping
requirements are very similar to those in
current regulation 18.05.
The recordkeeping duties imposed by
proposed regulation 20.6 are to be in
accordance with the requirements of
regulation 1.31. Most pertinently,
regulation 1.31(a)(1) requires that these
15 The

Commission plans to revise Form 40 in the
future so that the form would explicitly target
information on paired swaps and swaptions
positions as well as futures and options positions.

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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
would 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 would 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 proposed regulation 20.6 is not
anticipated to be high. 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
Proposed 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 would be to
provide notice on how the Commission
would determine the means by which
the part 20 reports are to be formatted
and submitted.
6. Delegation of Authority
Proposed regulation 20.8 delegates
certain of the Commission’s proposed
part 20 authority 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 (2) providing
instructions or determining the format,
coding structure, and electronic data
transmission procedures for submitting
data records and any other information
required under proposed part 20. The
purpose of this delegation provision 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
Proposed regulation 20.9 includes a
sunset provision. The sunset provision
would render the proposed regulations

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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
surveil paired swaps trading and paired
swap markets. Proposed regulation 20.9
also provides the Commission with the
authority to retain the effectiveness and
enforceability of any requirement 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 that such reporting is of
material value to conducting market
surveillance.
D. Solicitation of Comments
Pursuant to the Dodd-Frank Act, the
Commission will refine the definition of
swap dealer in CEA section 1a. The
Commission solicits comments on
whether it should delay the
implementation of proposed part 20 to
sixty days following a final Commission
rulemaking further defining the term
swap dealer. The Commission also
specifically requests comments on any
role self-regulatory organizations could
play in gathering positional data on
paired swaps. In addition, the
Commission solicits comments on
alternative approaches that may be
employed to gather positional data on
paired swaps.
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)
simply 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,

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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, as appropriate, on traders in
certain physical commodity futures and
swaps markets within 180 or 270 days
of the enactment of the Dodd-Frank Act,
for exempt and agricultural
commodities, respectively. As explained
in this release, the Commission lacks
the information it needs with respect to
paired swaps to be able to conduct
surveillance for limits that may be
established under CEA section 4a.
In developing these proposed
regulations, 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
regulations to conform to the market
structure for cleared and uncleared
paired swaps. The cost of proposed part
20 regulations would be borne by firms
that are clearing organizations reporting
under proposed regulation 20.3 and
clearing member reportable entities
reporting under proposed regulation
20.4. For such firms, the additional cost
to implement a reporting system is
expected to be minimal since the
Commission understands these firms
track their own and their counterparties’
positions for risk-management purposes.
Although the Commission has
proposed a reporting system for cleared
paired swaps that resembles the large
trader reporting system, the Commission
proposes 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 Commission has
proposed to require position reporting
from swap dealers. These firms are to
report their positions as well as those of
their counterparties, provided that they
are above the ‘‘reportable position’’ level.
These firms have the creditworthiness
to be able to negotiate a substantial
swaps portfolio in paired swaps across
many counterparties. As is the case for
clearing member reportable entities, it is

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likely that creating or purchasing an
information technology system that can
present such a firm’s net position
exposures on a daily basis would not be
an overly burdensome marginal
expense, since the Commission
understands swap dealers track their
exposures for risk management
purposes.
For counterparties that would be
subject to the recordkeeping
requirements of proposed regulation
20.6, it should be noted that these
requirements would 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 recordkeeping requirements
are imposed by Congress with respect to
all swaps in new section 4r(c)(2) of the
CEA. 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.

public from disruptive trading, price
manipulation, and the effects of market
congestion. Further, with the extension,
the Commission would be able to
expand its Commitments of Traders
report to include aggregate position data
on the paired swaps markets, and thus,
would provide the public, including
market participants, greater
transparency into the constitution of
markets covered by the proposed part.
This increased transparency may reduce
the informational asymmetries in the
paired swap markets and thereby
improve the efficiency of the market and
promote competition.
4. Conclusion
The Commission, after considering
the CEA section 15(a) factors, finds that
the expected incremental cost imposed
by proposed part 20 is outweighed by
the expected benefit. Accordingly, the
Commission has determined to propose
part 20. The Commission invites public
comment on its cost-benefit
considerations. Commenters are also are
invited to submit any data or other
information that they may have
quantifying or qualifying the costs and
benefits of proposed part 20.

B. Regulatory Flexibility Act
The Regulatory Flexibility Act
3. Benefits
(‘‘RFA’’) requires Federal agencies, in
proposing regulations, to consider the
As discussed above, implementing
impact of those regulations on ‘‘small
proposed part 20 would enable the
entities.’’ 16 The proposed regulations
Commission to monitor and enforce
detailed
in this release would affect
position limits, if established by the
organizations including registered
Commission, to diminish, eliminate, or
derivatives clearing organization
prevent excessive speculation; to deter
(‘‘DCOs’’), clearing members (many of
and prevent market manipulation;
whom would be registered with the
ensure sufficient market liquidity for
bona fide hedgers; and to ensure that the Commission already as futures
commission merchants (‘‘FCMs’’)), swap
price discovery function of the
dealers, and persons who have
underlying market is not disrupted. By
reportable paired swaps positions and
enabling the Commission to monitor
otherwise have not been reportable
compliance with position limits to
address these concerns, the Commission based on futures positions.
The Commission has previously
would be better able to protect the price
determined that DCOs 17 and FCMs 18
discovery process (CEA section
15(a)(2)(C)) and market participants and are not ‘‘small entities’’ for purposes of
the RFA. As noted above, a reportable
the public from the threats of excessive
paired swaps position would include 50
speculation and price manipulation
or more paired swaps positions in a
(CEA section 15(a)(2)(A)).
futures equivalent month. The
In addition to providing increased
Commission notes this threshold is
market transparency through the
reporting of paired swap positions to the higher than the minimum 25 contract
Commission, the Commission would be reporting levels in effect for futures
positions under regulation 15.03.
better able to first, protect market
participants and the public (CEA section Previously, the Commission had
determined that the reporting levels in
15(a)(2)(A)) and second, increase the
regulation 15.03 would not affect small
efficiency and competitiveness of the
markets (CEA section 15(a)(2)(B)). The
16 5 U.S.C. 601 et seq.
extension of the Commission’s
17 66 FR 45604, 45609 (August 29, 2001).
surveillance activities to these paired
18 Policy Statement and Establishment of
swap markets would help ensure the
Definitions of ‘‘Small Entities’’ for Purposes of the
integrity of these markets and thereby
Regulatory Flexibility Act, 47 FR 18618, 18619
(Apr. 30, 1982).
protect market participants and the

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Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
entities.19 The Commission does not
believe that entities who meet the
proposed larger quantitative threshold
would constitute small entities for RFA
purposes.
Accordingly, the Commission does
not expect the regulations, as proposed
herein, 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
proposed regulations would not have a
significant economic impact on a
substantial number of small entities.
The Commission invites the public to
comment on whether the entities
covered by these proposed regulations
should be considered small entities for
purposes of the RFA.

jlentini on DSKJ8SOYB1PROD with PROPOSALS

C. Paperwork Reduction Act
1. Overview
The Paperwork Reduction Act
(‘‘PRA’’) 20 imposes certain requirements
on Federal agencies in connection with
their conducting or sponsoring any
collection of information as defined by
the PRA. This proposed rulemaking
would result in new collection of
information requirements within the
meaning of the PRA. The Commission
therefore is submitting this proposal 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 title for this collection of
information is ‘‘Part 20—Position
Reports for Physical Commodity Swaps’’
(OMB control number 3038–NEW). If
adopted, responses to this collection of
information would be mandatory.
An agency may not conduct or
sponsor, and a person is not required to
respond to, a collection of information
unless it displays a currently valid
control number. OMB has not yet
assigned a control number to the new
collection for proposed part 20. The
requirements of new part 20 are not
currently covered by any existing OMB
control number.
The Commission is submitting this
proposal to OMB for review in
accordance with 44 U.S.C. 3507(d) and
5 CFR 1320.11.
As noted earlier, in section 737 of the
Dodd-Frank Act, Congress amended
section 4a of the CEA to require the
Commission to establish, as appropriate,
aggregate position limits for futures
contracts traded on a DCM and for
economically equivalent swaps.
Pursuant to new section 4a(a)(2)(B) of
the CEA, Congress mandated that the
19 Id. at 18620 (excluding large traders from the
definition of small entity).
20 44 U.S.C. 3501 et seq.

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Commission set these position limits
within 180 days of enactment of the
Dodd-Frank Act for exempt
commodities and 270 days for
agricultural commodities. In order to
enforce regulations establishing position
limits for economically equivalent
swaps, the Commission has determined
that it first needs to establish the
reporting regulations proposed herein.
Given the short timeframe in which the
Commission must determine whether to
set position limits under the DoddFrank Act, the Commission has
determined that it needs to adopt a
swaps reporting system on an expedited
basis to comply with the statutory
deadline contained in new section
4a(a)(2)(B) of the CEA.
2. Information Provided and
Recordkeeping Duties
As a result of the Dodd-Frank Act,
new part 20 proposes putting into place
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
proposed part 20. Upon OMB’s approval
and assignment of a new control
number specifically for the collection of
information and recordkeeping
requirements of proposed part 20, the
Commission intends to submit the
necessary documentation to OMB to
enable it to apply a new OMB control
number exclusively for part 20 reports.
Proposed part 20 would result in the
collection of information on ‘‘paired
swaps and swaptions’’ positions as
defined in proposed regulation 20.1.
Specifically, proposed part 20 provides
for three new kinds of reports:
1. Under proposed regulation 20.3,
swap ‘‘clearing organizations’’ would
provide daily reports of relevant
position and clearing data.
2. Under proposed regulation 20.4,
‘‘reporting entities’’ would produce
position reports on a daily basis on their
own and individual counterparty
accounts. Within this class of ‘‘reporting
entities,’’ there are two categories of
‘‘reporting entities:’’ (a) ‘‘clearing
members’’ and (b) ‘‘swap dealers’’ that
are not clearing members. The former
category, ‘‘clearing members,’’ would
include many firms that are currently

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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
proposed part 20 (clearing members and
non-clearing members combined).
3. Finally, under proposed regulation
20.5, all ‘‘reporting entities’’ would
submit identifying information to the
Commission on new reportable accounts
through a 102S filing.
In addition to creating these reporting
requirements, proposed regulation 20.6
would impose recordkeeping
requirements for (1) clearing
organizations, (2) reporting entities, and
(3) persons with ‘‘reportable positions’’
in the covered futures contract listed in
proposed regulation 20.2 or ‘‘paired
swaps or swaptions.’’ Proposed
regulation 20.6(a) would require
clearing organizations to maintain ‘‘all
records of transactions in paired swaps
or swaptions’’ on clearing organizations.
Proposed regulation 20.6(b) would
require reporting entities and ‘‘persons
with reportable positions’’ to maintain
for all commodities in which it holds a
reportable position ‘‘all records for
transactions * * * in the cash
commodity * * * [and] its products and
byproducts’’ and in ‘‘commercial
activities’’ underlying a hedge in a
covered futures contract or in paired
swaps or swaptions. These provisions
extend those recordkeeping
requirements currently applicable to
those traders holding reportable
positions in futures contracts, as
currently found in regulation 18.05, to
those traders holding reportable
positions in swaps.
The Commission estimates that the
recordkeeping requirements of proposed
regulation 20.6 would not be overly
burdensome. For the firms subject to the
reporting and recordkeeping
requirements of proposed regulation
20.6, it should be noted that these
requirements are not unlike the
recordkeeping requirements imposed by
Congress in the new CEA section
4r(c)(2) of the CEA 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
proposed 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 proposed regulation 20.6
recordkeeping requirements only
because of a reportable swaps position
(not because of a futures position above

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the reportable level) then the
requirements contained in the proposal
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 proposed part 20 would
create a total annual reporting and
recordkeeping hour burden of 79,503
hours across 705 firms. Based on a
weighted average wage rate of $74.36,21
this would 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 22 would amount
to a combined $32.7 million. 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.
Reporting burdens:
1. Proposed regulation 20.3 clearing
organization reports would account for
938 of these annual reporting and
recordkeeping hours. These hours
would be spread across 5 respondents.
Annualized capital/start-up, operating,
and maintenance costs for all affected
clearing organizations combined would
be approximately $100,000.23
2. Proposed regulation 20.4 reporting
entity reports would 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
21 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%).
22 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.
23 All of the capital cost estimates in these
estimates are based on a 5 year, straight-line
depreciation.

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entity reports would create an annual
reporting and recordkeeping burden of
25,000 hours spread across 100
respondents. Annualized capital/startup, operating, and maintenance costs for
all firms in this category combined
would be approximately $6 million.
b. Swap dealer non-clearing member
reporting entity reports would 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 would be approximately $8
million.
3. Proposed regulation 20.5 reporting
entity 102S submissions would 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 would be approximately
$1 million.
4. 40S submissions by persons with
reportable positions under proposed
regulation 20.5(b) in paired swaps
would create an annual reporting and
recordkeeping burden of 165 hours and
would affect 500 firms. Annualized
capital/start-up, operating, and
combined maintenance costs for all
firms providing 40S filings would be
approximately $4.5 million.
Recordkeeping burdens:
1. Proposed regulation 20.6(a)
recordkeeping duties for clearing
organizations would account for 100 of
these annual reporting and
recordkeeping hours. These hours
would be spread across 5 firms.
Annualized capital/start-up, operating,
and maintenance costs to meet the
recordkeeping requirements of proposed
regulation 20.6(a) would be
approximately $100,000 spread across
all affected clearing organizations.
2. Proposed regulation 20.6(b)
reporting entity recordkeeping duties
would 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 would create an
annual reporting and recordkeeping
burden of 2,000 hours spread across 100
respondents. Annualized capital/startup, operating, and maintenance costs for
all firms in this category of
recordkeeping reporting entities would
be approximately $2 million.
b. Swap dealer non-clearing member
reporting entity recordkeeping would
create an annual reporting and
recordkeeping burden of 2000 hours
spread across 100 respondents.

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Annualized capital/start-up, operating,
and maintenance costs for all firms in
this category of recordkeeping reporting
entities would be approximately $2
million.
3. Proposed regulation 20.6(b)
recordkeeping duties for persons with
reportable positions in swaps (these
firms were previously not reportable)
would 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 would be
approximately $11.5 million.
3. Confidentiality
The Commission would 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.’’ 24 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.
4. Comments on Information Collection
The Commission invites the public
and other Federal agencies to comment
on any aspect of the reporting and
recordkeeping burdens discussed above.
Pursuant to 44 U.S.C. 3506(c)(2)(B), the
Commission solicits comments in order
to: (i) Evaluate whether the proposed
collection of information is necessary
for the proper performance of the
functions of the Commission, including
whether the information would have
practical utility; (ii) evaluate the
accuracy of the Commission’s estimate
of the burden of the proposed collection
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 collection of information
on those who are to respond, including
through the use of automated collection
techniques or other forms of information
technology.
Comments may be submitted directly
to the Office of Information and
Regulatory Affairs, by fax at (202) 395–
6566 or by e-mail at
[email protected]. Please
provide the Commission with a copy of
submitted comments so that all
24 7

U.S.C. 12(a)(1).

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Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
comments can be summarized and
addressed in the final regulation
preamble. Refer to the Addresses section
of this notice of proposed rulemaking
for comment submission instructions to
the Commission. A copy of the
supporting statements for the
collections of information discussed
above may be obtained by visiting
RegInfo.gov. OMB is required to make a
decision concerning the collection of
information between 30 and 60 days
after publication of this release.
Consequently, a comment to OMB is
most assured of being fully effective if
received by OMB (and the Commission)
within 30 days after publication of this
notice of proposed rulemaking.
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 proposes to amend
17 CFR parts 15 and 20 as follows:
PART 15—REPORTS—GENERAL
PROVISIONS
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).

2. Revise the heading and
introductory text in § 15.00 to read as
follows:
§ 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:
*
*
*
*
*
3. Add part 20 to read as follows:

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PART 20—POSITION REPORTS FOR
PHYSICAL COMMODITY SWAPS
Sec.
20.1
20.2
20.3
20.4
20.5
20.6
20.7

Definitions.
Covered contracts.
Clearing organizations.
Reporting entities.
Series S filings.
Maintenance of books and records.
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.

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Appendix A to Part 20—Guidelines on
Futures Equivalancy
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).
§ 20.1

Definitions.

As used in, and solely for the
purposes of, this part:
Account controller means a person
that by power of attorney or otherwise
directs trading for an account.
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.
Controlled account means ‘‘controlled
account’’ as defined in § 1.3 of this
chapter.
Counterparty means, from the
perspective of one side to a contract, the
person that directly corresponds to the
other side of the contract.
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 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

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67267

price of the same commodity for
delivery at the same location, or
locations with substantially the same
supply and demand fundamentals, as
that of a commodity futures contract
listed in § 20.2.
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) A position, in any one futures
equivalent month, comprised of fifty 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;
(2) For a consolidated account
(described in § 20.4(a)) that includes a
reportable position as defined in
paragraph (1) of this definition, all other
positions in that account that are based
on the commodity that renders the
account reportable; and
(3) The first reporting day on which
a consolidated account (described in
§ 20.4(a)) no longer in fact includes a
reportable position as described in
paragraph (1) of this definition (because
on such day, the reporting entity’s
consolidated account shall be
considered and treated as if it in fact
included reportable positions as
described in paragraph (1) of this
definition.
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) Swap dealer as that term is defined
in section 1a of the Act and any
Commission definitional regulations
adopted thereunder, unless determined
otherwise by the Commission for the
purpose of excluding entities that are
not commonly known as swap dealers
from the reporting requirements of
§ 20.4.
Swap means (other than a swaption)
‘‘swap’’ as defined in section 1a of the
Act and any Commission definitional
regulations adopted thereunder.
Swaption means an option to enter
into a swap or a physical commodity

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option included in the definition of
‘‘swap’’ under section 1a of the Act and
any Commission definitional
regulations adopted thereunder.
Swap or swaption account means an
account for swaps or swaptions
maintained at a clearing organization or
reporting entity.
§ 20.2

Covered contracts.

(a) All paired swaps and swaptions,
unless specifically provided otherwise,
shall be reported pursuant to the
requirements and conditions of this part
and shall not be reported under parts 15
through 19, or 21 of this chapter.
(b) 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:

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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.

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COVERED AGRICULTURAL AND EXEMPT
FUTURES CONTRACTS—Continued
NYMEX Sugar No. 11.
NYMEX Uranium.
§ 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
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 customer account
indicator;
(6) The futures equivalent month;
(7) The commodity reference price;
(8) Long swap positions;
(9) Short swap positions;
(10) A swaption put or call side
indicator;
(11) A swaption expiration date;
(12) A swaption strike price;
(13) Long non-delta-adjusted
swaption positions; and
(14) 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 proprietary positions
(swaps and swaptions to which the
reporting entity is a counterparty), in a
single consolidated account that it shall
attribute to itself;
(2) That are positions directly owned
by a reporting entity’s counterparty, in

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a single consolidated account that it
shall attribute to that specific
counterparty; and
(3) That are positions under the
direction of an account controller, in a
single consolidated account that it shall
attribute to that specific account
controller.
(b) Reporting data records. Reporting
entities shall report to the Commission,
for each reporting day, and separately
for each consolidated account described
in paragraphs (a)(1) through (a)(3) of this
section that is reportable, 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 assigned by the
reporting entity to each swap or
swaption account;
(3) A 102S identifier assigned by the
reporting entity to the owner of such
accounts;
(4) A 102S identifier assigned by the
reporting entity to the controller of such
accounts;
(5) The name of each owner of such
accounts;
(6) The name of each controller of
such accounts;
(7) The reporting day;
(8) The identifier for the cleared
product assigned by the clearing
organization (cleared only);
(9) The commodity underlying the
reportable positions;
(10) The futures equivalent month;
(11) A cleared or uncleared indicator;
(12) A clearing organization identifier;
(13) The commodity reference price;
(14) A bi-lateral trade indicator;
(15) Long paired swap positions;
(16) Short paired swap positions;
(17) A swaption put or call side
indicator (cleared only);
(18) A swaption expiration date
(cleared only);
(19) A swaption strike price (cleared
only);
(20) Long non-delta-adjusted paired
swaption positions;
(21) Short non-delta-adjusted paired
swaption positions;
(22) Long delta-adjusted paired
swaption positions (non-cleared only,
using economically reasonable and
analytically supported deltas);

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Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
(23) Short delta-adjusted paired
swaption positions (non-cleared only,
using economically reasonable and
analytically supported deltas);
(24) Long paired swap or swaption
notional value (non-cleared only); and
(25) Short paired swap or swaption
notional value (non-cleared only).
§ 20.5

Series S filings.

(a) 102S filing.
(1) When a consolidated account first
becomes reportable, the reporting entity
holding or carrying the account shall
submit a 102S filing, which shall consist
of the name, address, and contact
information of the direct owner or
controller of the reportable account 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 person,
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 who holds
or controls a reportable position 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 in
accordance with the requirements of
§ 1.31 of this chapter.
(b) Every reporting entity or person
with reportable positions shall keep
books and records, in accordance with
the requirements of § 1.31 of this
chapter, showing all records for
transactions concerning all reportable
positions, including records for
transactions in the cash commodity in
which the reporting entity or other
person is reportable, its products and
byproducts, and all commercial
activities that a reporting entity or
person hedges by taking a position in
the contracts listed in § 20.2 or paired
swaps and swaptions.
§ 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; and
(b) Not later than 9 a.m. eastern time
on the next business day following the
reporting day or at such other time as
instructed by the Commission.
§ 20.8 Delegation of authority to the
Director of the Division of Market Oversight.

(a) The Commission hereby delegates,
until it orders otherwise, to the Director
of the Division of Market Oversight or
such other employee or employees as
the Director may designate from time to
time, the authority:
(1) In § 20.5(a)(3) for issuing a special
call for a 102S filing;
(2) In § 20.5(b) for issuing a special
call for a 40S filing;
(3) In § 20.7 for providing instructions
or determining the format, coding
structure, and electronic data
transmission procedures for submitting

67269

data records and any other information
required under this part.
(b) The Director of the Division of
Market Oversight may submit to the
Commission for its consideration any
matter which has been delegated in this
section.
(c) Nothing in this section prohibits
the Commission, at its election, from
exercising the authority delegated in
this section.
§ 20.9

Sunset provision.

(a) Except as otherwise provided in
paragraph (b) of this section, the
sections of this part shall become
ineffective and unenforceable upon a
Commission finding that, through the
issuance of an order, operating swap
data repositories are processing
positional data and that such processing
will enable the Commission to
effectively surveil trading in paired
swaps and swaptions and paired swap
and swaption markets.
(b) The Commission may determine,
in its discretion, to maintain the
effectiveness and enforceability of any
section of this part, or any requirement
therein, in an order issued under
paragraph (a) of this section, upon
finding that such sections, or
requirements therein, provide the
Commission with positional data or data
elements that materially improves the
accuracy and surveillance utility of the
positional data processed by swap data
repositories.
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

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Reference price ...................................................
Fixed Price ..........................................................
Floating Price ......................................................
Notional Quantity .................................................
Calculation Period ...............................................
Fixed Price Payer ................................................
Floating Price Payer ............................................
Settlement Type ..................................................
Swap Term ..........................................................
Floating Amount ..................................................
Fixed Amount ......................................................

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Daily official next to expire contract price for the NYMEX Light Sweet Crude Oil Futures Contract (‘‘WTI’’) in $/bbl through the NYMEX spot month.
$80.00 per barrel.
The arithmetic average of the reference price during the pricing period.
100,000 bbls/month.
One month.
Company A.
Company B.
Financial.
Six full months from January 1 to June 30.
Floating Price * Notional Quantity.
Fixed Price * Notional Quantity.

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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
position
(long) †

Fraction of days

Company B
position
(short) †

Dates swap in force

Referent futures month

January 1–January 22 ..................................................
January 23–February 22 ...............................................
February 23–March 22 ..................................................
March 23–April 22 .........................................................
April 23–May 22 ............................................................
May 23–June 22 ...........................................................
June 23–June 30th .......................................................

February ...............................
March ...................................
April ......................................
May ......................................
June .....................................
July .......................................
August ..................................

22/181
31/181
28/181
31/181
30/181
31/181
8/181

73
103
93
103
99
103
27

73
103
93
103
99
103
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]
Fraction of days

Company A
position
(long) †

Company B
position
(short) †

Dates swap in force

Referent futures month

January 2–January 22 ............................................
January 23–February 22 ........................................
February 23–March 22 ...........................................
March 23–April 22 ..................................................
April 23–May 22 .....................................................
May 23–June 22 .....................................................
June 23–June 30th .................................................

February ......................................
March ..........................................
April .............................................
May .............................................
June ............................................
July ..............................................
August .........................................

21/180
31/180
28/180
31/180
30/180
31/180
8/180

70
103
93
103
99
103
27

¥70
¥103
¥93
¥103
¥99
¥103
¥27

Total ................................................................

.....................................................

180/180

597

¥597

† Contracts rounded to the nearest integer.

EXAMPLE 2—FIXED FOR FLOATING CORN SWAP
Reference price ...................................................

jlentini on DSKJ8SOYB1PROD with PROPOSALS

Fixed Price ..........................................................
Floating Price ......................................................
Calculation Period ...............................................
Notional Quantity .................................................
Fixed Price Payer ................................................
Floating Price Payer ............................................
Settlement Type ..................................................
Swap Term ..........................................................
Floating Amount ..................................................
Fixed Amount ......................................................

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

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Jkt 223001

Daily official next to expire contract price for the CBOT Corn Futures Contract in $/bushel
through the CBOT spot month.
$5.00 per bushel per month.
The arithmetic average of the reference price during the pricing period.
One month.
1,000,000 bushels/month.
Company A.
Company B.
Financial.
Six full months from January 1 to June 30.
Floating Price * Notional Quantity.
Fixed Price * Notional Quantity.

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

PO 00000

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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

E:\FR\FM\02NOP1.SGM

02NOP1

Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules

67271

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1
Dates swap in force

Referent futures month

January 1–March 14 ..............................................
March 15–May 14 ..................................................
May 15–June 30 .....................................................

March ..........................................
May .............................................
July ..............................................

Total ................................................................

.....................................................

Company A position
(long)†

Company B position
(short)†

73/181
61/181
47/181

483
404
311

¥483
¥404
¥311

181/181

1,198

¥1,198

Fraction of days

† 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.
$1.8894 per gallon.
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.
One quarter.
84 million gallons/quarter.
Company A.
Company B.
Financial.
Six full months from January 1 to June 30.
Floating Price * Notional Quantity.
Fixed Price * Notional Quantity.

Fixed Price ..........................................................
Floating Price ......................................................
Calculation Period ...............................................
Notional Quantity .................................................
Fixed Price Payer ................................................
Floating Price Payer ............................................
Settlement Type ..................................................
Swap Term ..........................................................
Floating Amount ..................................................
Fixed Amount ......................................................

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

January 1–March 31 ..............................................
April 1–June 30 ......................................................

April .............................................
July ..............................................

Total ................................................................

.....................................................

Company A position
(long)†

Company B position
(short)†

90/181
91/181

1989
2011

¥1989
¥2011

181/181

4000

4000

Fraction of days

† Contracts rounded to the nearest integer.

EXAMPLE 4—CALENDAR SPREAD SWAP
Reference price ...................................................

jlentini on DSKJ8SOYB1PROD with PROPOSALS

Fixed Price ..........................................................
Floating Price ......................................................
Calculation Period ...............................................
Notional Quantity .................................................
Fixed Price Payer ................................................
Floating Price Payer ............................................
Settlement Type ..................................................
Swap Term ..........................................................
Floating Amount ..................................................
Fixed Amount ......................................................

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

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20:58 Nov 01, 2010

Jkt 223001

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.
$80 per barrel.
The arithmetic average of the reference price during the pricing period.
One month.
100,000 bbls/month.
Company A.
Company B.
Financial.
Six full months from January 1 to June 30.
Floating Price * Notional Quantity.
Fixed Price * Notional Quantity.

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

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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

E:\FR\FM\02NOP1.SGM

02NOP1

67272

Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1
Fraction of
days

Dates swap in force

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 ..............
January 23–February 22 ...........
February 23–March 22 .............
March 23–April 22 .....................
April 23–May 22 ........................
May 23–June 22 .......................
June 23–June 30th ...................

22/181
31/181
28/181
31/181
30/181
31/181
8/181

February .......
March ...........
April ..............
May ..............
June .............
July ...............
August ..........

73
103
93
103
99
103
27

¥73
¥103
¥93
¥103
¥99
¥103
¥27

March ...........
April ..............
May ..............
June .............
July ...............
August ..........
September ...

¥73
¥103
¥93
¥103
¥99
¥103
¥27

73
103
93
103
99
103
27

Total ...................................

181/181

......................

601

¥601

......................

¥601

601

† Contracts rounded to the nearest integer.

EXAMPLE 5—COLUMBIA GULF MAINLINE BASIS SWAP (PLATTS IFERC) FUTURES
Reference price ...................................................
Fixed Price ..........................................................
Floating Price ......................................................

Calculation Period ...............................................
Notional Quantity .................................................
Fixed Price Payer ................................................
Floating Price Payer ............................................
Settlement type ...................................................
Swap Term ..........................................................
Floating Amount ..................................................
Fixed Amount ......................................................

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.

The next issue of the Inside FERC’s Gas Market Report (‘‘Platts IFERC’’) Columbia Gulf
Transmission Co. Mainline Index (‘‘Index’’) and the next to expire NYMEX (Henry Hub) Natural Gas Futures contract final settlement price.
$0.05 per MMBtu per month.
The Floating Price for each contract month will be equal to the Platts Inside FERC’s Gas Market Report (‘‘Platts IFERC’’) Columbia Gulf Transmission Co. Mainline Index (‘‘Index’’) published in the table titled ‘‘Prices of Spot Gas Delivered to Pipelines’’ in the first regular issue
of the contract month minus the NYMEX (Henry Hub) Natural Gas Futures contract final
settlement price for the corresponding contract month.
Monthly.
10,000 MMBtu/calendar day.
Company A.
Company B.
Financial.
One month from January 1 to January 31.
Floating Price * Notional Quantity * calendar days in the month.
Fixed Price * Notional Quantity * calendar days in 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

Fraction of
days

Dates swap in force

Referent
futures
month

Company A
position in
Columbia
Gulf
Transmission
Co. mainline
natural gas
(long)
MMBtu

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

Company B
position in
Columbia
Gulf
Transmission
Co. mainline
natural gas
(short)
MMBtu

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

January 1–January 28 .........................................
January 29–January 31 .......................................

28/31
3/31

February .......
March ...........

†††
......................

¥28
¥3

†††
......................

28
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.

jlentini on DSKJ8SOYB1PROD with PROPOSALS

EXAMPLE 6—WTI SWAPTION (CALL)
Swaption Style ....................................................
Option Type .........................................................
Swaption Start Date ............................................
Swaption End Date .............................................
Strike Price ..........................................................
Notional Quantity .................................................
Calculation Period ...............................................

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20:58 Nov 01, 2010

Jkt 223001

American.
Call.
Jan 1 of the current year.
June 30 of the current year.
$80.50/bbl.
100,000 bbl/month.
One month.

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67273

Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
EXAMPLE 6—WTI SWAPTION (CALL)—Continued
Reference Price ...................................................

Daily official next to expire contract price for WTI NYMEX Crude Oil Futures Contract in $/bbl
through the NYMEX spot month.
$80.00 per barrel per month.
The arithmetic average of the reference price during the pricing period.
Financial.
One month from July 1 to July 31 of the current year.
Floating Price * Notional Quantity.
Fixed Price * Notional Quantity.

Fixed Price ..........................................................
Floating Price ......................................................
Settlement Type ..................................................
Swap Term ..........................................................
Floating Amount ..................................................
Fixed Amount ......................................................

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
(long)†

Fraction of days

Company B
position (short)†

Dates swap in force

Referent futures month

July 1–July 22 ........................................................
July 23—July 31 .....................................................

August .........................................
September ..................................

22/31
9/31

70
29

¥70
¥29

Total ................................................................

.....................................................

31/31

99

99

† Contracts rounded to the nearest integer.

DELTA †† ADJUSTED POSITION AND FUTURES EQUIVALENT POSITION ON JANUARY 1
August

September

Date
Delta

Position

January 1 .........................................................................................

.2

Delta
14

Position
.2

5

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

EXAMPLE 7—WTI COLLAR SWAP
Swaption Style ....................................................
Swaption Start Date ............................................
Swaption End Date .............................................
Call strike Price ...................................................
Put strike price ....................................................
Notional Quantity .................................................
Calculation Period ...............................................
Reference Price ...................................................
Fixed Price ..........................................................
Floating Price ......................................................
Settlement Type ..................................................
Swap Term ..........................................................
Floating Amount ..................................................
Fixed Amount ......................................................

jlentini on DSKJ8SOYB1PROD with PROPOSALS

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

American.
Jan 1 of the current year.
June 30 of the current year.
$70.00 per bbl.
$90.00 per bbl.
100,000 barrels per month.
One month.
Daily official next to expire contract price for WTI NYMEX Crude Oil in $/bbl through the
NYMEX spot month.
$80.00 per barrel.
The arithmetic average of the reference price during the pricing period.
Financial.
One month from July 1 to July 31 of the current year.
Floating Price * Notional Quantity.
Fixed Price * Notional Quantity.

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
July 1–July 22 .........................

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20:58 Nov 01, 2010

Referent futures
month

Fraction of
days

August ....................

Jkt 223001

PO 00000

Company A position
Call

22/31

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Put
70.97

Sfmt 4702

Company B position
Call
70.97

E:\FR\FM\02NOP1.SGM

02NOP1

¥70.97

Put
¥70.97

67274

Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
GROSS POSITION ON JANUARY 1—Continued
Referent futures
month

Dates swap in force

Company A position

Fraction of
days

Call

July 23–July 31 .......................

September ..............

9/31

Total .................................

.................................

31/31

Company B position

Put
29.03

Call
¥29.03

29.03

100

Put
¥29.03

¥100

100

¥100

COMPANY (A) DELTA† ADJUSTED POSITION ON JANUARY 1
August
Date

September

Long call
Delta

January 1 .........................................

Short put

Position
.7

Delta

49

Long call

Position

Delta

¥21

.3

Short put

Position
.7

Delta

20

Position
¥8

.3

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

FUTURES EQUIVALENT POSITION ON JANUARY 1
August ††

September ††

Date
Long
January 1 .........................................................................................

Short
70

Long
0

Short
28

0

†† Contracts rounded to the nearest integer.

Appendix B to Part 20—Explanatory
Guidance on Data Record Layouts
Record Layout Examples for § 20.3
The following example (in Tables 1, 2 and
3) covers reporting for a particular clearing
organization. ‘‘Clearing Organization One’’
would report, for the 27th of September 2010,
the following eleven unique data record
submissions. Each data record submission
represents a unique position, as indicated by
§ 20.3, held by a clearing member of Clearing
Organization One. Paragraph (a) of § 20.3
broadly outlines the data elements that
determine unique positions for reports on
clearing member positions. Paragraphs (b) of
§ 20.3 present all of the data elements that
should be submitted in reference to a
particular data record for a particular clearing
member (in Table 1). Paragraph (c) identifies
data elements that would comprise end of
day record data on cleared products (in
Tables 2 and 3). Therefore, paragraphs (b)
and (c) of § 20.3 present all of the data
elements that should be submitted in
reference to a particular data record.
Paragraphs (a) and (c) are reproduced below.

(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 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).
(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.
Because CFTC designated Clearing
Organization One (in this example) currently
has two clearing members, ‘‘Clearing
Members 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

jlentini on DSKJ8SOYB1PROD with PROPOSALS

Data records

Data
Data
Data
Data
Data
Data
Data

record
record
record
record
record
record
record

1
2
3
4
5
6
7

VerDate Mar<15>2010

...........................
...........................
...........................
...........................
...........................
...........................
...........................

20:58 Nov 01, 2010

CFTC
clearing
org ID
CCI_ID_1
CCO_ID_1
CCI_ID_1
CCO_ID_1
CCI_ID_1
CCO_ID_1
CCO_ID_1

Jkt 223001

Clearing
org
clearing
member ID

Clearing
org cleared
product ID

CM_ID_2
CM_ID_2
CM_ID_2
CM_ID_2
CM_ID_2
CM_ID_2
CM_ID_1

CP_04
CP_04
CP_02
CP_02
CP_02
CP_02
CP_03

PO 00000

..
..
..
..
..
..
..

Frm 00022

......
......
......
......
......
......
......

Fmt 4702

Reporting
day
9/27/2010
9/27/2010
9/27/2010
9/27/2010
9/27/2010
9/27/2010
9/27/2010

Sfmt 4702

Proprietary/
customer
account
indicator
C
C
C
C
C
C
P

.................
.................
.................
.................
.................
.................
..................

E:\FR\FM\02NOP1.SGM

Futures
equivalent
month and
year

Commodity reference price

Nov–10 ....
Oct–10 .....
Nov–10 ....
Oct–10 .....
Nov–10 ....
Oct–10 .....
Mar–11 ....

NYMEX
NYMEX
NYMEX
NYMEX
NYMEX
NYMEX
NYMEX

02NOP1

NY Harbor No. 2.
NY Harbor No. 2.
Henry Hub.
Henry Hub.
Henry Hub.
Henry Hub.
Light Sweet.

67275

Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
TABLE 1—DATA RECORDS REPORTED UNDER PARAGRAPHS (a) AND (b) OF § 20.3—Continued
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 8 ...........................
Data record 9 ...........................
Data record 10 .........................
Data record 11 .........................
NDR ..........................................

CCO_ID_1
CCO_ID_1
CCO_ID_1
CCO_ID_1
Yes ..........

CM_ID_1 ..
CM_ID_1 ..
CM_ID_1 ..
CM_ID_1 ..
Yes ..........

CP_03 ......
CP_01 ......
CP_01 ......
CP_01 ......
Yes ..........

9/27/2010
9/27/2010
9/27/2010
9/27/2010
Yes ..........

P ..................
P ..................
P ..................
P ..................
Yes ..............

Feb–11 ....
Mar–11 ....
Feb–11 ....
Jan–11 .....
Yes ..........

NYMEX
NYMEX
NYMEX
NYMEX
No.

Put/call
indicator

Swaption
expiration
date

Data records

Data record 1 ..........................
Data record 2 ..........................
Data record 3 ..........................
Data record 4 ..........................
Data record 5 ..........................
Data record 6 ..........................
Data record 7 ..........................
Data record 8 ..........................
Data record 9 ..........................
Data record 10 ........................
Data record 11 ........................
NDR ........................................

Long swap
position

Short swap
position

0
0

5000
2000

5000
5000
429
2281
1290
No

0
0
1286
6843
3871
No

Note: The bottom row of Table 1 indicates
whether data elements for which any

Non-delta
adjusted
long
swaption
position

Swaption
strike price

Light
Light
Light
Light

Sweet.
Sweet.
Sweet.
Sweet.

Non-delta adjusted short
swaption position

C
C
P
P

7/29/2011
7/29/2011
7/29/2011
7/29/2011

5.59
5.59
5.50
5.50

2000
18000
100
900

0
0
30
270

Yes

Yes

Yes

No

No

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

Data record 1 .....................

CCI_ID_1 ..

CP_02 ......

9/27/2010

Nov–10 .....

Data record 2 .....................

CCO_ID_1

CP_02 ......

9/27/2010

Oct–10 .....

Data record 3 .....................

CCI_ID_1 ..

CP_02 ......

9/27/2010

Nov–10 .....

Data record 4 .....................

CCO_ID_1

CP_02 ......

9/27/2010

Oct–10 .....

Swaption
daily settlement
price

Commodity reference price

Swaption
expiration
date

Swaption
strike
price

Put/call
indicator

Delta

NYMEX
Hub.
NYMEX
Hub.
NYMEX
Hub.
NYMEX
Hub.

Henry

7/29/2011

5.59 ........

C ............

.5 ............

6.25

Henry

7/29/2011

5.59 ........

C ............

.5 ............

5.50

Henry

7/29/2011

5.50 ........

P .............

.2 ............

4.53

Henry

7/29/2011

5.50 ........

P .............

.2 ............

4.78

TABLE 3—EXAMPLE OF DATA RECORDS REQUIRED UNDER § 20.3(c) FOR CLEARED SWAP PRODUCTS
CFTC clearing org ID

Data records

jlentini on DSKJ8SOYB1PROD with PROPOSALS

Data
Data
Data
Data
Data
Data
Data

record
record
record
record
record
record
record

1
2
3
4
5
6
7

.................................................
.................................................
.................................................
.................................................
.................................................
.................................................
.................................................

Record Layout Example for § 20.4
In this example, ‘‘Reporting Entity One’’
would report for the 27th of September 2010,
the following twelve unique data records
under § 20.4. Each data record represents a
unique part of a reportable position in the
same commodity held by Reporting Entity
One. Paragraph (b) of § 20.4 outlines the data

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CCI_ID_1 ......
CCO_ID_1 ....
CCO_ID_1 ....
CCO_ID_1 ....
CCO_ID_1 ....
CCO_ID_1 ....
CCO_ID_1 ....

Clearing org
cleared product ID
CP_04
CP_04
CP_03
CP_03
CP_01
CP_01
CP_01

Reporting day

..........
..........
..........
..........
..........
..........
..........

9/27/2010
9/27/2010
9/27/2010
9/27/2010
9/27/2010
9/27/2010
9/27/2010

elements that determine unique positions;
paragraph (b) is reproduced below.
(b) Reporting data records. Reporting
entities shall report to the Commission, for
each reporting day, and separately for each
consolidated account described in
paragraphs (a)(1) through (a)(3) of this
section that is reportable, unique groupings
of the data elements in paragraph (c) of this

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Futures
equivalent
month and
year
Nov–10
Oct–10
Mar–11
Feb–11
Mar–11
Feb–11
Jan–11

.........
.........
.........
.........
.........
.........
.........

Commodity
reference
price
C
C
P
P
P
P
P

..................
..................
...................
...................
...................
...................
...................

Swap daily
settlement
price
20.35
10.50
15.00
21.00
17.50
21.65
12.50

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).
In the following example it is assumed that
Reporting Entity One currently clears with
one clearing organization and therefore the

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67276

Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules

data records do not have to be delineated by
clearing organization. However, if Reporting
Entity One did use multiple clearing
organizations, then it would have to further
subdivide its data submissions by each
clearing organization.

Reporting Entity One currently has twelve
positions with the following varying
characteristics: account owners; account
controllers; 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. Accordingly, these
positions constitute separate data records. An
illustration of how these records would
appear is included in Table 4 below.

jlentini on DSKJ8SOYB1PROD with PROPOSALS

TABLE 4—EXAMPLE OF DATA RECORDS REPORTED UNDER § 20.4(C)
Data records

Commission
reporting
entity ID

Reporting
entity client
account
number

102S Owner
ID

102S
Controller ID

Account
owner name

Account
controller
name

Reporting day

Data record 1 .......................................
Data record 2 .......................................
Data record 3 .......................................
Data record 4 .......................................
Data record 5 .......................................
Data record 6 .......................................
Data record 7 .......................................
Data record 8 .......................................
Data record 9 .......................................
Data record 10 .....................................
Data record 11 .....................................
Data record 12 .....................................
NDR Uncleared ....................................
NDR Cleared ........................................

CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
CRE_ID_1 ..
Yes .............
Yes .............

ACCT_1 ......
ACCT_1 ......
ACCT_1 ......
ACCT_1 ......
ACCT_3 ......
ACCT_4 ......
ACCT_2 ......
ACCT_5 ......
ACCT_1 ......
ACCT_1 ......
ACCT_1 ......
ACCT_1 ......
Yes .............
Yes .............

CONTROL_1
CONTROL_1
CONTROL_1
CONTROL_1
CONTROL_2
CONTROL_2
CONTROL_1
CONTROL_1
CONTROL_1
CONTROL_1
CONTROL_1
CONTROL_1
No .................
No .................

OWNER_1 ..
OWNER_1 ..
OWNER_1 ..
OWNER_1 ..
OWNER_1 ..
OWNER_2 ..
OWNER_1 ..
OWNER_2 ..
OWNER_1 ..
OWNER_1 ..
OWNER_1 ..
OWNER_1 ..
No ..............
No ...............

XYZ Corp. ..
XYZ Corp. ..
XYZ Corp. ..
XYZ Corp. ..
XYZ Corp. ..
WVU Corp.
XYZ Corp. ..
WVU Corp.
XYZ Corp. ..
XYZ Corp. ..
XYZ Corp. ..
XYZ Corp. ..
No ...............
No ...............

ABC Corp. ..
ABC Corp. ..
ABC Corp. ..
ABC Corp. ..
FED Corp. ..
FED Corp. ..
ABC Corp. ..
ABC Corp. ..
ABC Corp. ..
ABC Corp. ..
ABC Corp. ..
ABC Corp. ..
No ...............
No ..............

9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
9/27/2010 .....
Yes ...............
Yes ...............

Data records

Commodity
code

Futures
equivalent
month and
year

Cleared/
uncleared
indicator

CFTC
clearing org
identifier

Data record 1 ............................

HO1 ..........

Feb-11 ........

C ...................

CCO_ID_1 ..

Data record 2 ............................

HO1 ..........

Jan-11 ........

C ...................

CCO_ID_1 ..

Data record 3 ............................
Data record 4 ............................
Data record 5 ............................
Data record 6 ............................
Data record 7 ............................
Data record 8 ............................
Data record 9 ............................
Data record 10 ..........................
Data record 11 ..........................
Data record 12 ..........................
NDR Uncleared ........................
NDR Cleared ............................

HO1 ..........
CL ............
CL ............
CL ............
CL ............
CL ............
NG ............
NG ............
NG ............
NG ............
No ............
No ............

Feb-11 ........
Jan-11 ........
Feb-11 ........
Feb-11 ........
Feb-11 ........
Feb-11 ........
Nov-10 ........
Oct-10 ........
Nov-10 ........
Oct-10 ........
Yes .............
Yes .............

C ...................
C ...................
C ...................
C ...................
C ...................
C ...................
U ...................
U ...................
C ...................
C ...................
Yes ...............
Yes ...............

CCO_ID_1 ..
CCO_ID_1 ..
CCO_ID_1 ..
CCO_ID_1 ..
CCO_ID_1 ..
CCO_ID_1 ..
U .................
U .................
CCO_ID_1 ..
CCO_ID_1 ..
No ..............
Yes .............

Clearing org
cleared
product ID
CP_04
CP_04
CP_04
CP_04
CP_03
CP_03
CP_03
CP_03

CP_01
CP_01
No
Yes

Commodity reference price

Execution
facility

Long
swap
position

Platts Oilgram Price Report for
New York No. 2 (Barge).
Platts Oilgram Price Report for
New York No. 2 (Barge).
NYMEX NY Harbor No. 2 ........
NYMEX NY Harbor No. 2 ........
NYMEX Light Sweet ................
NYMEX Light Sweet ................
NYMEX Light Sweet ................
NYMEX Light Sweet ................
NYMEX Henry Hub ..................
NYMEX Henry Hub ..................
NYMEX Henry Hub ..................
NYMEX Henry Hub ..................
Yes ...........................................
No .............................................

EX1 ..........

1989 .......

0

EX2 ..........

2011 .......

0

EX1 ..........
EX3 ..........
EX1 ..........
EX1 ..........
EX7 ..........
EX1 ..........
NOEX .......
NOEX .......
EX1 ..........
EX1 ..........
Yes ...........
Yes ...........

0 .............
0 .............
5000 .......
5000 .......
429 .........
1571 .......
................
................
................
................
No ..........
No ..........

5000
2000
0
0
1286
4714

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

Data record 1 .......................................
Data record 2 .......................................
Data record 3 .......................................
Data record 4 .......................................
Data record 5 .......................................
Data record 6 .......................................
Data record 7 .......................................
Data record 8 .......................................
Data record 9 .......................................
Data record 10 .....................................
Data record 11 .....................................
Data record 12 .....................................
NDR Uncleared ...................................
NDR Cleared .......................................

..................
..................
..................
..................
..................
..................
..................
..................
..................
..................
P ...............
P ...............
No ............
Yes ...........

.......................
.......................
.......................
.......................
.......................
.......................
.......................
.......................
.......................
.......................
7/29/2011 ......
7/29/2011 ......
Yes ................
Yes ................

................
................
................
................
................
................
................
................
................
................
5.55 ........
5.55 ........
No ..........
Yes .........

..................
..................
..................
..................
..................
..................
..................
..................
2000 .........
18000 .......
100 ...........
900 ...........
No ............
No ............

..................
..................
..................
..................
..................
..................
..................
..................
0 ...............
0 ...............
30 .............
270 ...........
No ............
No ............

................
................
................
................
................
................
................
................
1000 .......
9000 .......
20 ...........
180 .........
No ..........
No ..........

................
................
................
................
................
................
................
................
0 .............
0 .............
6 .............
54 ...........
No ..........
No ..........

........................
........................
........................
........................
........................
........................
........................
........................
111800000 .....
1006200000 ...
........................
........................
No ...................
No ...................

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).

VerDate Mar<15>2010

21:14 Nov 01, 2010

Jkt 223001

Issued by the Commission this 19th day of
October 2010 in Washington, DC.
David Stawick,
Secretary of the Commission.
Note: The following attachments will not
appear in the Code of Federal Regulations.

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Short
swap
position

No
No
Short
swap or
swaption
notional
value
position

0
0

No
No

Statement of Chairman Gary Gensler
Position Reports for Physical
Commodity Swaps
October 19, 2010
I support the proposed large trader
reporting rulemaking for physical
commodity swaps. The Commission
currently receives data on large

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Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules
positions in all physical commodity
futures traded on DCMs and uses it for
market surveillance purposes, including
position limit enforcement. With today’s
proposed rule, we would have an
analogous reporting system for swaps.
The proposal would require position
reports on economically equivalent
swaps from clearing organizations, their
members and swap dealers. This will
enable the CFTC to receive such data
until swap data repositories are in
operation and capable of fulfilling the
Commission’s need for this information.
Concurring Statement of Commissioner
Jill E. Sommers

jlentini on DSKJ8SOYB1PROD with PROPOSALS

Relating to the Commission’s Proposal
on Position Reports for Physical
Commodity Swaps and Swaptions
October 19, 2010
I support this proposal to receive
daily position reports for physical
commodity swaps and swaptions
because I believe it furthers our
continued effort to expand transparency
into swap markets and because I believe
it is critical that the Commission receive
this information as soon as possible. I
recognize that this proposal is a
precursor to the Commission moving
forward with a proposal on the
imposition of position limits. That said,
my vote in support of this proposal
today should not in any way be
interpreted as expressing support for
moving forward with the imposition of
position limits by the deadlines set forth
in Dodd-Frank.
In July and August 2009, the
Commission held three public hearings
to discuss imposition of position limits
in energy markets. Five months later, in
January 2010, the Commission issued a
proposed rule imposing position limits
in four enumerated energy contracts. I
had grave concerns about moving
forward with position limits on those
four contracts, and accordingly voted
against the proposal. My grave concerns
about moving forward with position
limits have not been eased, and in fact,
have only been heighted by certain
provisions of Dodd-Frank.
Section 737 of Dodd-Frank states that
the Commission shall by rule,
regulation, or order establish limits on
the amount of positions, as appropriate,
that may be held by any person. This
section requires the limits to be
aggregated across markets and related
products and to be imposed within 180
days for energy and metals contracts,
and 270 days for agricultural contracts.
In my view, no position limit is
appropriate if it is imposed without the
benefit of receiving and fully analyzing
complete data concerning the open

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20:58 Nov 01, 2010

Jkt 223001

interest in each market. Only then is the
Commission able to properly consider
the size of each market and calibrate a
limit that is appropriate for each market.
Currently, the Commission does not
have complete data and will not have
complete data until swap data
repositories are up and running and all
swap market data is reported to swap
data repositories or to the Commission.
I believe that, optimistically, the earliest
this reporting can happen will be by the
end of 2011. Again that is an optimistic
estimate.
Because of the 180 and 270 day
requirements in Dodd-Frank, as we sit
here today, the Commission is
tentatively planning a November 30
public meeting to vote on proposed
speculative position limits for exempt
and agricultural commodities. Mind
you, by November 30 the Commission
will not have garnered any data from the
proposed rule we are discussing today,
because it, or some modified version of
it, probably will not be effective in final
form by November 30. In addition, by
November 30, swap data repositories
will still be at least one year away from
operating. Even if the proposed rule we
are discussing today were effective by
November 30, it will not provide
complete information sufficient to
impose position limits.
Under these circumstances, when
considering the imposition of aggregate
position limits on exempt and
agricultural commodities, I believe the
Commission should find that imposing
such limits is not appropriate in the
absence of full and complete data and
analysis on the open interest in each
market. I believe it is a mistake to
interpret the arbitrary 180 day and 270
day deadlines as somehow trumping the
requirement that the Commission make
an appropriateness determination before
imposing any position limits.
This is an issue that I will be
following closely, and I look forward to
hearing the views of the public and
market participants on this issue.
[FR Doc. 2010–27538 Filed 11–1–10; 8:45 am]
BILLING CODE 6351–01–P

67277

The Commodity Futures
Trading Commission (Commission or
CFTC) is proposing rules to implement
new statutory provisions enacted by
Title VII of the Dodd-Frank Wall Street
Reform and Consumer Protection Act.
These proposed rules apply to the
review of swaps by the Commission to
determine whether the swaps are
required to be cleared.

SUMMARY:

Submit comments on or before
January 3, 2011.

DATES:

You may submit comments,
identified by RIN number, by any of the
following methods:
• Agency Web Site, via its Comments
Online process: http://
comments.cftc.gov. Follow the
instructions for submitting comments
through the Web site.
• Mail: David A. Stawick, Secretary of
the Commission, Commodity Futures
Trading Commission, Three Lafayette
Centre, 1155 21st Street, NW.,
Washington, DC 20581.
• Hand Delivery/Courier: Same as
mail above.
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
All comments must be submitted in
English, or if not, accompanied by an
English translation. Comments will be
posted as received to http://
www.cftc.gov. You should submit only
information that you wish to make
available publicly. If you wish the
Commission to consider information
that may be exempt from disclosure
under the Freedom of Information Act,
a petition for confidential treatment of
the exempt information may be
submitted according to the established
procedures in CFTC Regulation 145.9.1

ADDRESSES:

FOR FURTHER INFORMATION CONTACT:

Eileen A. Donovan, Special Counsel,
202–418–5096, [email protected],
Division of Clearing and Intermediary
Oversight, Commodity Futures Trading
Commission, Three Lafayette Centre,
1155 21st Street, NW., Washington, DC
20581.
SUPPLEMENTARY INFORMATION:

COMMODITY FUTURES TRADING
COMMISSION
17 CFR Parts 39 and 140
RIN 3038–AD00

Process for Review of Swaps for
Mandatory Clearing
Commodity Futures Trading
Commission.
ACTION: Notice of proposed rulemaking.
AGENCY:

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I. Background
On July 21, 2010, President Obama
signed the Dodd-Frank Wall Street
Reform and Consumer Protection Act
(Dodd-Frank Act).2 Title VII of the
1 Commission regulations referred to herein are
found at 17 CFR Ch. 1.
2 See Dodd-Frank Wall Street Reform and
Consumer Protection Act, Public Law 111–203, 124
Stat. 1376 (2010). The text of the Dodd-Frank Act
may be accessed at http://www.cftc.gov./
LawRegulation/OTCDERIVATIVES/index.htm.

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