Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43851 

1 75 FR 67258, November 2, 2010. Comments and 

ex parte communications list available at http:// 

comments.cftc.gov/PublicComments/ 

CommentList.aspx?id=889. 

2See 76 FR 4752, January 26, 2011. 

3Letter from Thomas W. Sexton, Senior Vice 

President and General Counsel, NFA, to David A. 

Stawick, Secretary, CFTC (December 2, 2010). 

in clear language the preemptive effect, 

if any, of new regulations. 

The PPPA provides that, generally, 

when a special packaging standard 

issued under the PPPA is in effect, ‘‘no 

State or political subdivision thereof 

shall have any authority either to 

establish or continue in effect, with 

respect to such household substance, 

any standard for special packaging (and 

any exemption therefrom and 

requirement related thereto) which is 

not identical to the [PPPA] standard.’’ 

15 U.S.C. 1476(a). A state or local 

standard may be excepted from this 

preemptive effect if: (1) the state or local 

standard provides a higher degree of 

protection from the risk of injury or 

illness than the PPPA standard; and (2) 

the state or political subdivision applies 

to the Commission for an exemption 

from the PPPA’s preemption clause and 

the Commission grants the exemption 

through a process specified at 16 CFR 

part 1061. 15 U.S.C. 1476(c)(1). In 

addition, the Federal government, or a 

state or local government, may establish 

and continue in effect a nonidentical 

special packaging requirement that 

provides a higher degree of protection 

than the PPPA requirement for a 

household substance for the Federal, 

state, or local government’s own use. 15 

U.S.C. 1476(b). 

Thus, with the exceptions noted 

above, the rule exempting powder 

formulations of Welchol® and Renvela®

from special packaging requirements 

preempts nonidentical state or local 

special packaging standards for the 

substances. 

List of Subjects in 16 CFR Part 1700 

Consumer protection, Drugs, Infants 

and children, Packaging and containers, 

Poison prevention, Toxic substances. 

For the reasons given above, the 

Commission amends 16 CFR part 1700 

as follows: 

PART 1700—[AMENDED] 

■ 1. The authority citation for part 1700 

continues to read as follows: 

Authority: 15 U.S.C. 1471–76. Secs. 

1700.1 and 1700.14 also issued under 15 

U.S.C. 2079(a). 

■ 2. Section 1700.14 is amended by 

adding paragraphs (a)(10)(xxii) and 

(xxiii) to read as follows: 

§ 1700.14 Substances requiring special 

packaging. 

(a) * * * 

(10) * * * 

(xxii) Colesevelam hydrochloride in 

powder form in packages containing not 

more than 3.75 grams of the drug. 

(xxiii) Sevelamer carbonate in powder 

form in packages containing not more 

than 2.4 grams of the drug. 

* * * * * 

Dated: July 18, 2011. 

Todd A. Stevenson, 

Secretary, Consumer Product Safety 

Commission. 

[FR Doc. 2011–18511 Filed 7–21–11; 8:45 am] 

BILLING CODE 6355–01–P 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Parts 15 and 20 

RIN 3038–AD17 

Large Trader Reporting for Physical 

Commodity Swaps 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Final rules. 

SUMMARY: The Commission is adopting 

reporting regulations (‘‘Reporting 

Rules’’) that require physical 

commodity swap and swaption (for ease 

of reference, collectively ‘‘swaps’’) 

reports. The new regulations require 

routine position reports from clearing 

organizations, clearing members and 

swap dealers and also apply to 

reportable swap trader positions. 

DATES: Effective Dates: This rulemaking 

shall become effective September 20, 

2011. 

FOR FURTHER INFORMATION CONTACT: 

Bruce Fekrat, Senior Special Counsel, 

Office of the Director, (202) 418–5578, 

bfekrat@cftc.gov, or Ali Hosseini, 

Attorney-Advisor, Office of the Director, 

(202) 418–6144, ahosseini@cftc.gov, 

Division of Market Oversight, 

Commodity Futures Trading 

Commission, Three Lafayette Centre, 

1155 21st Street, NW., Washington, DC 

20581. 

SUPPLEMENTARY INFORMATION: 

I. Background and Summary of 

Comments 

A. Background 

On November 2, 2010, the 

Commission proposed Reporting Rules 

that, in addition to establishing 

recordkeeping requirements, require 

routine swaps position reports from 

clearing organizations, clearing 

members and swap dealers and apply 

non-routine reporting requirements to 

large swaps traders.1 The Reporting 

Rules, as finalized and adopted herein, 

will allow the Commission to 

administer its regulatory responsibilities 

under the Commodity Exchange Act 

(‘‘CEA or Act’’) by implementing and 

conducting effective surveillance of 

economically equivalent physical 

commodity futures, options and swaps. 

The Reporting Rules will directly 

support the Commission’s transparency 

initiatives such as its dissemination of 

Commitments of Traders and Index 

Investment Data Reports and will allow 

the Commission to monitor compliance 

with the trading requirements of the 

Act.2

The Commission currently receives 

and uses for market surveillance and 

enforcement purposes, data on large 

positions in all physical commodity 

futures and option contracts traded on 

designated contract markets (‘‘DCMs’’). 

Without the Reporting Rules, there 

would be no analogous reporting system 

in place for economically equivalent 

swaps, which until recently were largely 

unregulated financial contracts. The 

Reporting Rules, as discussed below, are 

reasonably necessary for the effective 

surveillance of economically equivalent 

futures and swaps. 

B. Proposed Reporting Rules Summary 

of Comments 

The Commission received 

approximately 130 comment letters, and 

engaged in several ex parte 

communications, for the proposed 

Reporting Rules. The Commission has 

carefully reviewed and considered the 

submitted comments. Substantive 

comments pertinent to specific 

provisions in the rulemaking are 

summarized and discussed below and 

in other sections of this notice. 

The National Futures Association 

(‘‘NFA’’) submitted a comment 3

suggesting that its issuance of trader 

identifications should be a part of the 

position reporting process. Although 

beyond the scope of this rulemaking as 

proposed, the Commission may review 

the feasibility of adopting such an 

approach as a part of its ongoing 

updating and revision of other 

transaction and position reporting 

requirements. 

The Air Transport Association 

(‘‘ATA’’), Better Markets Inc. (‘‘Better 

Markets’’), the Petroleum Marketers 

Association of America (‘‘PMAA’’) and 

New England Fuel Institute (‘‘NEFI’’), 

and Robert Pollin and James Heintz of 

the Political Economy Research Institute 


emcdonald on DSK2BSOYB1PROD with RULES
43852 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

4Letter from David A. Berg, Vice President and 

General Counsel, ATA, to David A. Stawick, 

Secretary, CFTC (December 2, 2010); letter from 

Dennis M. Kelleher, President & CEO, and Wallace 

C. Turbeville, Derivatives Specialist, Better Markets 

Inc., to David A. Stawick, Secretary, CFTC 

(December 2, 2010); letter from Dan Gilligan, 

President, PMAA, and Shane Sweet, President & 

CEO, NEFI, to David A. Stawick, Secretary, CFTC 

(December 2, 2010); and letter from Robert Pollin, 

Professor of Economics and Co-Director, and James 

Heintz, Associate Research Professor and Associate 

Director, PERI, to David A. Stawick, Secretary, 

CFTC (December 2, 2010). 

5Letter from Bindicap Comster to David A. 

Stawick, Secretary, CFTC (December 2, 2010); letter 

from John M. Damgard, President, FIA, to David A. 

Stawick, Secretary, CFTC (December 2, 2010); and 

letter from R. Michael Sweeney Jr., David T. 

McIndoe, and Mark W. Menezes, Counsel for the 

Working Group, to David A. Stawick, Secretary, 

CFTC (December 2, 2010). 

6The Commission conducts its current special 

call pursuant to Commission regulation 18.05. 

Swap dealers and index traders that receive a 

special call file monthly reports with the 

Commission within five business days after the end 

of the month. 

7Section 754 of the Dodd-Frank Act provides 

that, unless otherwise provided, the provisions of 

subtitle A of Title VII ‘‘shall take effect on the later 

of 360 days after the date of the enactment of this 

subtitle or, to the extent a provision of this subtitle 

requires a rulemaking, not less than 60 days after 

publication of the final rule or regulation 

implementing such provisions of this subtitle.’’ 

CEA section 4a, as amended by Dodd-Frank section 

737, requires the Commission to establish position 

limits for exempt commodities within 180 days 

after the date of enactment, and position limits for 

agricultural commodities within 270 days after the 

date of enactment. The Commission is proceeding 

deliberatively to meet this Congressional mandate. 

As previously noted, on November 2, 2010, the 

Commission proposed these Reporting Rules, and 

on January 26, 2011, the Commission proposed 

position limits, including aggregate limits, for 28 

major physical commodity DCM contracts and 

economically equivalent swaps. 

8Letter from Russell Wasson, Director, Tax, 

Finance and Accounting Policy, National Rural 

Electric Cooperative Association, Susan N. Kelly, 

Senior Vice President of Policy Analysis and 

General Counsel, American Public Power 

Association, and Noreen Roche-Carter, Chair, Tax & 

Finance Task Force, Large Public Power Council, to 

David A. Stawick, Secretary, CFTC (December 2, 

2010). 

9Further Definition of ‘‘Swap Dealer,’’ ‘‘SecurityBased Swap Dealer,’’ ‘‘Major Swap Participant,’’ 

‘‘Major Security-Based Swap Participant’’ and 

‘‘Eligible Contract Participant,’’ 75 FR 80174, 

December 21, 2010. 

(‘‘PERI’’) indicated support for the 

proposed regulations.4 ATA supported 

the proposal as a practical solution to 

the Commission’s current lack of swaps 

position data. Better Markets stated its 

support for the use of futures 

equivalence and the assembly of data 

based on price relationships. PMAA and 

NEFI argued the regulations will 

provide for a solid foundation for 

position limits. 

Bindicap Comster, the Futures 

Industry Association (‘‘FIA’’) and a 

working group of commercial energy 

firms (‘‘Working Group’’), meanwhile, 

opposed the proposed regulations,5

arguing that an expanded special call 

reporting mechanism, similar to the 

special call that the Commission has 

issued to support its Index Investment 

Data and Commitments of Traders 

Reports, would be a better alternative to 

the proposed regulations while 

remaining consistent with the 

requirements of the Act.6 The 

Commission notes that its current 

special call for Index Investment Data 

Reports is a targeted collection of data. 

It gathers information related to specific 

products from a limited set of market 

participants. The special call was not 

intended to function as a tool for general 

market surveillance, including 

compliance with section 4a of the Act. 

In order to be able to gather data of the 

quality needed to conduct market 

surveillance the special call would have 

to undergo substantial modifications, 

such as requiring much more granular 

data by counterparty in a data stream on 

or close to a next-day basis, which in 

effect would convert it into the 

Reporting Rules. 

FIA and the Working Group also 

questioned whether the Commission has 

sufficient authority to adopt such 

regulations. FIA argued that the 

Commission’s authority is not clear 

because of the CEA section 2(h) 

reporting exemption for swaps on 

exempt commodities. The Working 

Group argued that the proposal is not 

required by the Dodd-Frank Act and 

that it is not necessary to comply with 

CEA section 4a(a)(1). The Commission 

has requisite statutory authority for the 

Reporting Rules based on CEA sections 

4a, 4t and 8a(5). Specifically, section 4a 

of the CEA, as amended by the DoddFrank Act, directs the Commission to 

establish position limits, as appropriate, 

for physical commodity swaps.7 Section 

737 of the Dodd-Frank Act, which 

amended section 4a to direct the 

Commission to impose these limits, 

became effective on the date of 

enactment of the Dodd-Frank Act—i.e., 

July 21, 2010. Section 8a(5) of the CEA 

authorizes the Commission to 

promulgate such regulations as, in the 

judgment of the Commission, are 

reasonably necessary to effectuate any of 

the provisions or to accomplish any of 

the purposes of the CEA. In the 

Commission’s judgment, the Reporting 

Rules are reasonably necessary to 

implement the statutory mandate in 

section 4a for the Commission to 

establish position limits, as appropriate, 

on an expedited basis. 

In addition, section 4t of the Act 

authorizes the Commission to establish 

a large trader reporting system for 

significant price discovery function 

swaps, of which economically 

equivalent swaps are a subset. Swaps 

position reports are a necessary 

component of an effective surveillance 

program. Accordingly, the Commission 

is adopting the subject swap reporting 

requirements pursuant to its authority 

in sections 4a and 4t of the CEA, as 

described above. 

With regard to the future 

establishment of swap data repositories 

(‘‘SDRs’’) and whether the Commission 

should wait for SDRs to provide swaps 

position data instead of adopting the 

regulations, ATA argued that the 

Commission should proceed with the 

regulations and not wait for SDRs to 

become operational. FIA and the 

Working Group, on the other hand, 

argued that the future role of SDRs 

makes adoption of the regulations 

unnecessary. The Commission has 

determined that the Reporting Rules are 

reasonably necessary for several 

reasons. It is likely that physical 

commodity SDRs will require the most 

time to become operational since, unlike 

for swaps in the interest rate, equity and 

credit default asset categories, there 

currently is no functional and accepted 

data repository for swaps in the energy, 

metal or agricultural commodity asset 

categories. In addition, even after SDRs 

have been established, because they are 

fundamentally transaction repositories, 

it may be a considerable time before 

SDRs are able to reliably convert 

transaction data into positional data. 

Thus, in view of the considerable time 

before physical commodity swap SDRs 

are likely to be operational and have the 

ability to convert transactions to 

positions, the Commission has 

determined to adopt the Reporting 

Rules. In order to address concerns 

raised about the possibility of redundant 

regulatory obligations, however, the 

Reporting Rules do include, in final 

regulation 20.9, a sunset provision. 

Better Markets, FIA and the Working 

Group, as well as a not-for-profit electric 

end-user coalition (‘‘Electric End User 

Coalition’’),8 argued that the proposed 

regulations should not be adopted by 

the Commission until regulations 

defining the terms ‘‘swap dealer’’ and 

‘‘swap’’ are adopted first. As further 

explained below, the Commission has 

determined to tie the compliance date of 

the regulations for swap dealers that are 

not clearing members to the effective 

date of the ‘‘swap dealer’’ definition 

final rulemaking.9 With regard to the 

‘‘swap’’ definition, the Commission has 

determined to utilize, on a transitional 

basis and until final definitional 

regulations become effective, a 

definition of ‘‘swap’’ that is based on the 


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Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43853 

reference to ‘‘commodity swap’’ within 

the definition of ‘‘swap agreement’’ in 

part 35 of the Commission’s regulations. 

Swap market participants have relied on 

the definition of ‘‘swap agreement’’ for 

exempting transactions from the CEA 

since 1993. As a result, market 

participants have an understanding of 

the general nature of the definition of 

commodity swap. The swaps that would 

be subject to the Reporting Rules would 

be the same under both definitions. 

With regard to the definition of 

‘‘reporting entity,’’ FIA and the Working 

Group argued that it is overly broad. 

Bindicap Comster argued that the 

definition is appropriate. In the 

Commission’s judgment, the Reporting 

Rules have been narrowly tailored to 

obtain the information reasonably 

necessary from clearing organizations, 

clearing members and swap dealers in 

order to implement and conduct an 

effective initial surveillance program for 

swaps. 

With regard to the proposed 

definition of ‘‘paired swaps,’’ the 

Working Group argued that it would not 

always appropriately capture the 

concept of economic equivalence 

because, for example, different delivery 

locations may have periods of high 

correlation followed by periods where 

such correlations break down. Better 

Markets argued that it was too narrow 

because it did not consider criteria such 

as market hedging practices, margin 

netting offered by clearing organizations 

or historical price correlation. The 

proposed regulations identified three 

categories of swaps that would be 

economically equivalent to DCM 

contracts and thereby subject to 

reporting under the proposed rules: (1) 

Swaps directly or indirectly linked to 

the price of a referenced DCM contract; 

(2) swaps directly or indirectly linked to 

the price of the same commodity for 

delivery at the same location as that of 

a referenced DCM contract; and (3) 

swaps based on the same commodity as 

that of a referenced DCM contract which 

are deliverable at different locations that 

nonetheless have the same supply and 

demand fundamentals as the referenced 

DCM contract’s delivery point. The first 

two categories of the definition of 

economically equivalent swaps are 

appropriately tailored and objectively 

defined, do not require case by case 

Commission analysis, and would 

provide sufficient data for the 

Commission to meet its responsibility 

under sections 4a and 4t of the Act. To 

further the objectives of clear 

applicability of the regulations and the 

submission of accurate reports, as well 

as to lower the burden on reporting 

entities by limiting the set of reportable 

swaps, the Commission has amended 

the definition to remove the third 

category. 

With regard to the reporting 

mechanics and data fields of the 

proposed regulations, Better Markets 

suggested additional reporting fields, 

arguing that reporting entities should be 

required to specify their role with 

respect to the execution of reported 

trades and that clearing organizations 

should be required to report net position 

information as well as gross positions 

and delta values. The Commission has 

determined that the data fields specified 

in the regulations will provide the 

Commission with sufficient data to 

begin its initial surveillance of the 

swaps markets for physical 

commodities, while minimizing the 

burden on reporting entities. Such 

identification data, including trader 

categorization, will be collected in 102S 

and 40S filings which include other 

trader identifying information and are 

submitted to the Commission much less 

frequently than positional data. The 

Commission can later broaden the scope 

of the reporting requirements or 

frequency of reporting identifying data 

if necessary based on its administrative 

experience. 

The final Reporting Rules do, 

however, harmonize the data fields 

required to be reported by swap dealers 

for cleared and non-cleared swaptions. 

As proposed, certain fields were 

required for cleared swaptions that were 

not required for non-cleared swaptions 

and vice-versa. Although certain data 

fields may be more relevant for cleared 

or non-cleared swaptions, the 

harmonization of required data fields 

will simplify the reporting of swaptions 

and thereby will likely decrease (and 

not increase) any burden associated 

with reporting swaptions under the 

Reporting Rules as finalized. 

FIA argued that reporting entities’ 

trade capture systems are not readily 

adaptable to the data fields specified in 

the proposed regulations. It also argued 

that data for cleared swaps should only 

be submitted by clearing members in 

order to prevent double counting. The 

reporting of cleared positions by swap 

dealers and clearing members was 

intentionally incorporated into the 

regulations. As with the collection of 

any data, there is a need to verify 

submitted information. 

FIA also argued that reporting 

entities, because certain counterparty 

data may not be available to them or 

organized as described by the Reporting 

Rules, should only be required to report 

their positions and the names of 

counterparties, not all the specified data 

related to consolidated accounts in the 

proposed regulations. 

The Commission has amended the 

proposed regulations, which initially 

required a reporting entity to identify 

information about the controller of a 

reportable account, to partially address 

this concern by requiring that data be 

provided by a clearing member’s or 

swap dealer’s direct legal counterparty. 

Data is no longer required to be 

provided by account controller. In 

addition, the final Reporting Rules do 

not require reporting by actual swap and 

swaption accounts. All of these 

amendments will serve to streamline the 

reporting process while preserving the 

Commission’s regulatory interests. 

With regard to the reporting threshold 

of futures equivalent contracts for 

economically equivalent swaps, Better 

Markets suggested that the threshold 

reporting level should be 25 contracts 

instead of the 50-contract threshold 

specified in the proposed regulations. 

Bindicap Comster stated that the 

threshold reporting level of 50 contracts 

is generally suitable while the FIA 

stated that the threshold reporting level 

for a particular swap should depend 

upon its liquidity. 

The Commission determined the 50- 

contract threshold for reporting based 

on industry inquiries regarding a 

reporting level that would make 95% of 

the economically equivalent swaps 

markets visible to the Commission. In 

order to streamline reporting and give 

reporting entities the option of avoiding 

a complex reporting level calculation, 

however, the final Reporting Rules 

allow reporting entities to deem a 

reporting level of one or more swaps to 

be a reportable position. Thus the final 

Reporting Rules allow reporting entities 

the option of not conducting any 

potentially complex or costly reporting 

threshold analysis prior to transmitting 

reports to the Commission. 

The Commission is aware that a 

reporting level of one contract could 

potentially expand the Reporting Rules’ 

books and records obligations to 

additional swap market participants. 

Therefore, final regulation 20.6 applies 

a books and records requirement to 

swap counterparties only if such 

persons’ swaps positions meet or exceed 

a simplified 50 futures contract 

equivalent reporting level. Also, final 

regulation 20.6 provides that persons 

with swaps positions meeting or 

exceeding the aforementioned threshold 

may keep and reproduce books and 

records for transactions resulting in 

such swaps positions in the record 

retention format that such person has 

developed in the normal course of 

business. Regulation 20.6 also provides 


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43854 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

10 17 CFR 35.1(b)(1). 

11This definition of ‘‘swap’’ is also intended to 

be generally consistent with how swaps are defined 

in the Commission’s Policy Statement Concerning 

Swap Transactions, 54 FR 30694, July 21, 1989. 

That is, a ‘‘swap’’ as used in this rulemaking refers 

to an agreement between two parties to exchange 

one or more cash flows measured by different rates 

or prices with payments calculated by reference to 

a principle base (notional amount). 

12For the purpose of reporting in futures 

equivalents, paired swaps and swaptions using 

commodity reference prices that are commonly 

known diversified indices with publicly available 

weightings may be reported as if such indices 

underlie a single futures contract with monthly 

expirations for each calendar month and year. 

that such persons may keep and 

reproduce books and records for, among 

other things, the cash commodity 

underlying such swaps positions in 

accordance with the record retention 

format developed in the normal course 

of business. 

In connection with the submission of 

swaps position data, FIA expressed 

concern about the confidential 

treatment of data submitted should the 

Commission determine to require the 

submission of data to third parties. This 

concern is not relevant as the 

regulations only involve the submission 

of position and identifying data to the 

Commission. The Commission will 

protect proprietary information 

according to the Freedom of Information 

Act and 17 CFR part 145, ‘‘Commission 

Records and Information.’’ In addition, 

section 8(a)(1) of the Act strictly 

prohibits the Commission, unless 

specifically authorized by the Act, from 

making public ‘‘data and information 

that would separately disclose the 

business transactions or market 

positions of any person and trade 

secrets or names of customers.’’ The 

Commission also is required to protect 

certain information contained in a 

government system of records according 

to the Privacy Act of 1974, 5 U.S.C. 

552a. 

FIA and the Working Group argued 

that the costs placed by the proposed 

regulations would be significant and 

that the Commission significantly 

underestimated the costs to clearing 

members and swap dealers. FIA stated 

that some of its members believe the 

costs to be very substantial and in some 

cases exceeding millions of dollars, 

while acknowledging that it is difficult 

to estimate costs with any precision. 

The Working Group stated that some of 

its members estimate the total 

compliance costs to range up to $80,000 

to $750,000 per year, inclusive of capital 

costs, and that the upfront costs could 

be as high as $1.5 million. The 

Commission has carefully considered 

the costs on market participants. In 

response, the Commission notes that the 

Reporting Rules are tailored to collect 

routine reports only from clearing 

organizations, clearing members, and 

swap dealers. Based on discussions with 

potential reporting entities, the 

Commission has determined that the 

costs that would be imposed by the 

regulations on reporting entities is 

reasonable given the trade capture and 

information technology resources of 

such entities and their familiarity with 

limiting and managing complex price 

risks. Clearing organizations and 

clearing members should have 

appropriate systems in place and 

currently likely provide or collect 

market and large trader reports. 

The compliance date for swap dealers 

that are not clearing members will be 

delayed until the Commission further 

defines the term swap dealer. In order 

to address concerns relating to the 

ability of reporting entities to comply 

with the requirements of part 20 by the 

compliance date set forth in final 

regulation 20.10(a), final regulation 

20.10(c) authorizes the Commission (or 

staff members delegated with such 

authority) to permit, for a period not to 

exceed six calendar months following 

the effective date of the Reporting Rules, 

the submission of reports that differ in 

content, form, or manner from that 

mandated in part 20, provided that there 

is a good faith attempt at compliance 

with part 20. 

In addition, in order to address the 

possibility of certain firms that may not 

be able to comply expediently with the 

requirements of part 20 should they fall 

within the definition of swap dealer, 

regulation 20.10(e) allows the 

Commission to defer compliance for 

such firms for a period not to exceed six 

calendar months following the effective 

date of final regulations further defining 

the term swap dealer. The Commission’s 

consideration of costs and burdens is 

discussed in more detail below. 

The Electric End User Coalition also 

argued that the recordkeeping burden 

imposed by the proposed regulations on 

commercial entities would be 

significant. In particular it argued that 

the recordkeeping requirements should 

not apply to end-users and that the 

Commission should defer to other 

regulators, specifically the Federal 

Energy Regulatory Commission 

(‘‘FERC’’), with regard to recordkeeping 

obligations. In the Commission’s 

judgment, the recordkeeping 

requirements for end-users with swaps 

positions that meet or exceed the 

relevant thresholds are consistent with 

requirements under current Commission 

regulation 18.05. As described above, 

final regulation 20.6 generally permits 

such end-users to keep and reproduce 

records of swaps positions, as well as 

the underlying cash commodities, in the 

record retention format that such 

entities have developed in the normal 

course of business. 

II. The Final Reporting Rules 

A. Covered Contracts 

With regard to the ‘‘swap’’ definition, 

the final part 20 regulations utilize a 

definition of ‘‘swap ’’ that is based on 

the reference to ‘‘commodity swaps’’ 

within the definition of ‘‘swap 

agreement’’ in part 35 of the 

Commission’s regulations.10 Swap 

market participants have relied on the 

definition of ‘‘swap agreement’’ for 

exempting transactions from the CEA 

since 1993. As a result, market 

participants have an understanding of 

the general nature of the definition of 

commodity swaps. The part 35 

definition will become effective on the 

effective date of this final rulemaking 

and will operate until the effective date 

of any swap definitional rulemaking by 

the Commission under section 1a of the 

CEA. Under both definitions, the 

category of the swaps that would be 

subject to the Reporting Rules remains 

the same.11 For further clarity, forwards 

as currently excluded from the CEA (i.e., 

prior to the effective date of the DoddFrank Act) are also outside the scope of 

the definition of ‘‘swap’’ as used in this 

reporting scheme. 

Regulation 20.2 lists the 46 DCMlisted futures contracts covered by the 

Reporting Rules (‘‘Covered Futures 

Contracts’’), as well as an additional line 

item for diversified commodity 

indices.12 The Commission, through the 

definition of paired swap or paired 

swaption (for ease of reference, 

collectively ‘‘paired swaps’’) in 

regulation 20.1, defines a subset of 

swaps as economically equivalent to the 

Covered Futures Contracts. The 

definition of paired swaps (i.e., 

economically equivalent swaps) 

identifies two distinct categories of 

instruments. 

First, the definition includes those 

paired swaps that are directly or 

indirectly linked to the price of a 

Covered Futures Contract. This category 

includes swaps that are partially or fully 

settled or priced at a differential to a 

Covered Futures Contract. The 

following are examples of these types of 

paired swaps: 

1. Directly linked to a listed contract—A 

swap settled to the price of the New York 

Mercantile Exchange (‘‘NYMEX’’) Heating Oil 

Calendar Swap Futures Contract is directly 

linked to a Covered Futures Contract because 

the floating price of the futures contract is 

equal to the monthly average settlement price 


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Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43855 

13The 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. 

14For a description of the ASCI methodology, see, 

e.g., http://web04.us.argusmedia.com/ 

ArgusStaticContent//Meth/ASCI.pdf. 

15A commodity is considered to be the same (for 

the purposes of reporting under these regulations) 

if such commodity has the same economic 

characteristics with respect to grade and quality 

specifications as those referenced by a Covered 

Futures Contract. 

of the first nearby contract month for the 

NYMEX New York Harbor No. 2 Heating Oil 

Futures Contract. 

2. Indirectly linked to a listed contract— 

The ICE WTI Average Price Option is 

indirectly linked to a Covered Futures 

Contract because the floating price of the 

swap references the ICE WTI 1st Line Swap 

Contract which in turn is equal to the 

monthly average settlement price of the 

NYMEX Front Month WTI Crude Futures 

Contract. 

3. Partially settled to a listed contract—A 

swap settled to the Argus Sour Crude Index 

(‘‘ASCI’’) (which also underlies the Chicago 

Mercantile Exchange (‘‘CME’’) Argus WTI 

Formula Basis Calendar Month Swap Futures 

Contract) is partially settled to a Covered 

Futures Contract.13 Because the ASCI index 

uses both a physical cash market component 

and the NYMEX WTI Futures Contract to 

establish the level of the index, it would 

partially settle to a Covered Futures Contract 

and would be a paired swap under the first 

paragraph of the definition.14

4. Priced at a differential to a listed 

contract—The ICE Henry Physical Basis LD1 

Contract is priced at a differential to a 

Covered Futures Contract because the 

settlement price is the final settlement price 

for natural gas futures (a Covered Futures 

Contract) as reported by NYMEX for the 

specified month plus the contract price. 

The second category of swaps 

captured by the paired swap definition 

includes swaps that directly or 

indirectly link to, including being 

partially or fully settled or priced at a 

differential to, the price of the same 

commodity for delivery at the same 

location or locations as that of a Covered 

Futures Contract. As opposed to the first 

category of paired swaps, the second 

category looks to a swap’s connection to 

the commodity underlying a Covered 

Futures Contract, and to the delivery 

locations specified in a Covered Futures 

Contract, as opposed to the price of the 

contract itself. Therefore, the linkage for 

contracts in this second category is to 

the price of the underlying commodity 

and its physical marketing channels. 

As proposed, a paired swap would 

have also included swaps that are based 

on the same commodity 15 as that of a 

Covered Futures Contract but 

deliverable at locations that are different 

than a Covered Futures Contract’s 

delivery locations, so long as such 

locations have substantially the same 

supply and demand fundamentals as 

that of a Covered Futures Contract 

reference delivery location. In response 

to comments, the Commission has 

determined not to include this proposed 

category in the final definition of paired 

swaps. The final definition thereby 

narrows the scope of the swaps that are 

subject to position reporting. 

B. Reporting Under the Final 

Regulations 

1. Clearing Organizations 

Regulation 20.3 requires paired swap 

reports from clearing organizations. 

Clearing organizations are defined in 

regulation 20.1 as persons or 

organizations that act as a medium 

between clearing members for the 

purpose of clearing swaps or effecting 

settlements of swaps or swaptions. The 

definition is adopted as proposed and is 

modeled after the definition used in 

current Commission regulation 15.00 

(the definitional section for the 

Commission’s large trader reporting 

rules) solely for the purposes of 

reporting under part 20. The definition 

is intended to cover entities that qualify 

as clearing organizations, regardless of 

their registration status with the 

Commission, should for example there 

exist a mutual recognition regime. It is 

not meant to apply to financial 

institutions or parties to swaps that 

provide counterparties with financing, 

credit support, or hold collateral to 

facilitate or to ensure that payments are 

made under the terms of a paired swap. 

Pursuant to regulation 20.3, clearing 

organizations, for paired swap positions, 

are required to report the aggregate 

proprietary and aggregate customer 

accounts of each clearing member of 

that clearing organization. Regulation 

20.1 defines clearing member as any 

person who is a member of, or enjoys 

the privilege of clearing trades in its 

own name through, a clearing 

organization. The paired swap positions 

must be reported to the Commission as 

futures equivalent positions in terms of 

a swap’s related Covered Futures 

Contract. Appendix A to this part 

provides several examples of the 

methods used for converting swap 

positions into futures equivalent 

positions. The regulations call for 

reporting in futures equivalents because 

such conversions are made by entities 

that deal in swaps to effectively manage 

residual price risks by entering into 

Covered Futures Contracts. Reporting in 

futures equivalents provides a measure 

of equivalency between positions in 

paired swaps and their related Covered 

Futures Contracts, which allows for 

more effective market surveillance and 

the monitoring of trading across futures 

and swaps. 

As required under paragraphs (a) and 

(b) of regulation 20.3, each clearing 

organization is required to submit to the 

Commission a data record that identifies 

either gross long and gross short futures 

equivalent positions if the data record 

corresponds to a paired swap position, 

or gross long and gross short futures 

equivalent positions on a non-deltaadjusted basis if the data record 

corresponds to a paired swaption 

position. A data record (for the purposes 

of this rulemaking) can be thought of as 

a grouped subset of data elements that 

communicates a unique (non-repetitive) 

positional message to the Commission. 

Clearing organizations are required to 

report a data record for each clearing 

member for each reporting day, which is 

defined in regulation 20.1 as the daily 

period of time between a clearing 

organization or reporting entity’s usual 

and customary last internal valuation of 

paired swaps and the next such period. 

In order to provide clearing 

organizations with some flexibility in 

determining daily operational cycles 

that would coincide with their 

obligation to provide clearing member 

reports on a daily basis, the proposed 

definition would permit such cycles of 

time to vary for different clearing 

organizations, so long as the daily 

period of time is consistently observed 

and the Commission is notified, upon 

its request, of the manner by which a 

cycle is calculated. Data records would 

be reported electronically in a manner 

consistent with current Commission 

practice. 

The positional data elements in 

paragraphs (a) and (b) of regulation 20.3 

require daily reports for each aggregated 

proprietary account and each aggregated 

customer account, by each cleared 

product, and by each futures equivalent 

month. Each data record would indicate 

the commodity reference price with 

which each cleared product is 

associated. As defined in regulation 

20.1, a commodity reference price is the 

price series used by the parties to a 

swap or swaption to determine 

payments made, exchanged, or accrued 

under the terms of that swap or 

swaption. In addition, data records for 

swaptions are required to be broken 

down further by expiration date, put or 

call indicator, and strike price. 

Appendix B to part 20 includes 

examples of data records that would be 

required of clearing organizations. 

In addition to reports for clearing 

members, clearing organizations are, 

pursuant to regulation 20.3(c), required 

to provide to the Commission, for each 


emcdonald on DSK2BSOYB1PROD with RULES
43856 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

16The Reporting Rules, as proposed, used the 

term proprietary to refer to principal positions in 

the context of reporting by clearing members and 

swap dealers. 

17The Reporting Rules render a swap dealer in 

any paired swap to be a reporting entity with the 

responsibility to provide data on all reportable 

positions, regardless of the specific types of paired 

swaps that render the entity a statutory swap dealer 

under the CEA. 

18See http://comments.cftc.gov/PublicComments/ 

CommentList.aspx?id=889. 

19 In order to verify that a reporting entity’s paired 

swap positions are no longer above the threshold, 

the proposed definition of reportable position 

would also encompass positions in paired swaps 

held by the reporting entity on the first day after 

which the reporting entity’s paired swap positions 

are no longer reportable. 

futures equivalent month, end of 

reporting day settlement prices for each 

cleared product and deltas for every 

unique swaption put and call, 

expiration date, and strike price. This 

second daily report will allow the 

Commission to assign an appropriate 

weight to unadjusted positions. 

2. Reporting Entities 

Regulation 20.4 requires reporting 

entities to report principal 16 and direct 

legal counterparty paired swap 

positions to the Commission when such 

positions become reportable. Reporting 

entities are required to follow the same 

procedure for determining if their 

principal or counterparty positions are 

reportable to the Commission. 

Regulation 20.1 identifies a reporting 

entity as a clearing member or a swap 

dealer as defined in section 1a of the 

CEA and as subject to definitional 

changes that will be made through 

Commission regulations further defining 

the term swap dealer. The compliance 

date of any provisions relating to swap 

dealers will be the effective date of a 

final swap dealer definition.17

Regulation 20.4 requires reporting 

entities to provide positional reports 

when reporting entities have principal 

and counterparty reportable paired 

swap positions. The final Reporting 

Rules amend regulation 20.1 to define a 

reportable position in two distinct ways. 

First, regulation 20.1, as proposed and 

finalized, defines a reportable position 

as a position, in any one futures 

equivalent month, comprised of 50 or 

more futures equivalent paired swaps or 

swaptions based on the same 

commodity. This proposed level is 

calibrated to capture data on a 

sufficiently large percentage of paired 

swap positions and was arrived at after 

consultation with multiple market 

participants.18 Once a paired swap 

position attributable to the reporting 

entity as principal or to its counterparty 

meets or exceeds the 50 futures 

equivalent contract threshold, all other 

paired swaps in the same commodity 

attributable to such trader becomes part 

of that trader’s reportable position.19

Alternatively the Reporting Rules, as 

amended and finalized, allow reporting 

entities to identify a reportable position 

as all positions on a gross basis in a 

consolidated account (as described in 

regulation 20.4(a)) that are based on the 

same commodity, so long as this 

approach is consistently applied to all 

consolidated accounts for reporting 

purposes. This amended definition of a 

reportable position allows reporting 

entities to forgo the 50-contract 

threshold calculation, which may be 

complex or costly, prior to submitting 

reports to the Commission. 

As with reports that are required to be 

provided by clearing organizations to 

the Commission under regulation 20.3, 

regulation 20.4 requires paired swap 

positions to be represented and reported 

in futures equivalents. A common 

method of accounting for positions in 

swaps and futures allows for more 

effective market surveillance. The data 

collected by the Reporting Rules could 

be used to determine aggregate open 

interest levels for economically 

equivalent derivatives. For example, 

such ‘‘size-of-the-market’’ calculations 

could in turn serve as a basis for 

computing non-spot-month position 

limits, should the Commission 

determine to adopt such limits. 

Under final regulation 20.11, for the 

purpose of reporting in futures 

equivalents, paired swaps and 

swaptions that are based on commonly 

known diversified indices with publicly 

available weightings must be reported as 

if such indices underlie a single futures 

contract with monthly expirations for 

each calendar month and year. Bespoke 

indices, however, must be decomposed 

into their futures equivalent 

components and reported along with a 

commodity reference price which 

allows the Commission to match such 

components to the bespoke index. The 

term commodity reference price is 

defined in regulation 20.1 as the price 

series (including derivatives contract 

and cash market prices or price indices) 

used by the parties to a swap or 

swaption to determine payments made, 

exchanged, or accrued under the terms 

of such contracts. 

To determine what to report under 

regulation 20.4, reporting entities are 

required to separately consider 

principal and counterparty positions on 

a gross basis. Reporting entities are 

required to provide for each reporting 

day a data record that either identifies 

long and short paired swap positions (if 

the record pertains to swap positions) or 

long and short non-delta-adjusted 

paired swaption positions and long and 

short delta-adjusted swaption positions 

(if the record pertains to swaptions 

positions). For uncleared paired swaps, 

the regulations require a reporting entity 

to use economically reasonable and 

analytically supported deltas. 

More specifically, regulation 20.4, as 

proposed and finalized, requires that 

this information be grouped separately 

by principal or counterparty positions, 

by futures equivalent month, by cleared 

or uncleared contracts, by commodity 

reference price, and by clearing 

organization if the data record pertains 

to cleared swaps. Data records 

pertaining to swaption positions under 

the final regulations are to be further 

grouped by put or call, expiration date, 

and strike price. The reports provided 

under regulation 20.4 are required to 

also include identifiers for the 

commodity underlying the reportable 

position, the counterparties of the 

account and the 102S filing identifier, as 

described in more detail below, 

assigned by the reporting entity to its 

counterparty. 

3. Series S Filings 

Regulation 20.5(a) requires a 102S 

filing for the identification of a reporting 

entity’s counterparty when such 

counterparty holds a reportable 

position. The 102S filing consists of the 

‘‘name, address, and contact 

information of the counterparty with the 

reportable account’’ and a ‘‘brief 

description of the nature of such 

person’s paired swaps and swaptions’ 

market activity.’’ The reporting entity is 

required to submit a 102S filing only 

once for each person associated with a 

reportable account unless prior filed 

information is no longer accurate. 

Once an account counterparty is 

reportable, the Commission may contact 

the trader directly and require that the 

trader file a more detailed identification 

report, a 40S filing. The Commission 

would require a 40S filing if a trader has 

become reportable for the first time and 

is not known to the Commission. A 40S 

filing consists of the submission of a 

CFTC Form 40 ‘‘Statement of Reporting 

Trader.’’ As the current version of Form 

40 covers information on positions in 

futures and options, traders would be 

required to complete the form as if the 

form covered information related to 

positions in paired swaps and 

swaptions. 

The 102S filing and the 40S filing 

together would allow the Commission to 

identify the person(s) owning or 

controlling the trading of a reportable 

account, the person to contact regarding 


emcdonald on DSK2BSOYB1PROD with RULES
Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43857 

20As section II.(B).(8) herein describes, the 

Commission anticipates consulting with clearing 

organizations and reporting entities before 

determining the format, coding structure, and 

electronic data transmission procedures referenced 

in final regulation 20.7. 21See 75 FR 80174, December 21, 2010. 

trading, the nature of the trading, 

whether the reportable account is 

related—by financial interest or 

control—to another account, and the 

principal occupation or business of the 

account owner. The filings also would 

provide the Commission information on 

whether the account is being used for 

hedging cash market exposure. 

Commission staff would use the 

information in these two filings to 

determine if the reported account 

corresponds to a new trader or is an 

additional account of an existing trader. 

If the account is an additional one of an 

existing trader, it would then be 

aggregated with that of other related 

accounts currently being reported. 

The Commission plans to update, 

streamline and make electronic its 

current Form 102 and Form 40 in the 

near term. The Commission intends for 

such revised forms to include sections 

specifically for swap and swaptions. 

When updated, regulation 20.5 will be 

amended to reflect these revisions and 

to require reports electronically through 

updated Forms 102 and 40. 

4. Maintenance of Books and Records 

Regulation 20.6 imposes 

recordkeeping requirements on clearing 

organizations, reporting entities, and 

persons with positions in paired swaps 

above a certain futures equivalent 

threshold. Regulations 20.6(a) and 

20.6(b) require clearing organizations 

and reporting entities, respectively, to 

keep records of transactions in paired 

swaps or swaptions as well as methods 

used to convert paired swaps or 

swaptions into futures equivalents. In 

addition, regulation 20.6(c) requires 

every person with greater than 50 allmonths-combined futures equivalent 

positions on a gross basis in paired 

swaps or swaptions on the same 

commodity to keep books and records 

for transactions resulting in such swaps 

positions and, among other things, the 

cash commodity underlying such 

positions. In general, such person may 

keep and reproduce such books and 

records in the record retention format 

that such person has developed in the 

normal course of business. Furthermore, 

in order to clarify the Commission’s 

authority to issue special calls for books 

and records, the Commission is 

including an explicit special call 

provision with respect to reportable 

positions in regulation 20.6(d). 

The recordkeeping duties imposed by 

regulations 20.6(a) and 20.6(b) are in 

accordance with the requirements of 

regulation 1.31. Regulation 1.31(a)(1) 

requires that these transaction records 

be kept for five years, the first two of 

which they ‘‘shall be readily 

accessible.’’ Such books and records 

‘‘shall be open to inspection by any 

representative of the Commission.’’ 

These recordkeeping requirements 

allow the Commission to have ready 

access to records that would enable 

Commission staff to reconstruct the 

transaction history of reported 

positions. These requirements would 

ensure that data records submitted to 

the Commission could be audited. In 

addition, these records enable 

Commission staff to better reconstruct 

trading activity that may have had a 

material impact on the price discovery 

process. 

The recordkeeping burden imposed 

by regulation 20.6 is not anticipated to 

be unduly significant. These 

requirements are not unlike the 

recordkeeping requirements imposed by 

Congress in new CEA section 4r(c)(2) on 

all swap market participants, and by the 

Commission on those entities with 

reportable futures accounts under the 

existing recordkeeping provision of 

regulation 18.05. 

5. Form and Manner of Reporting 

Regulation 20.7(a) provides that the 

Commission would specify, in writing 

to persons required to report, the format, 

coding structure, and electronic data 

transmission procedures for these 

reports and submissions. The purpose of 

this provision is to provide notice on 

how the Commission would determine 

the means by which the part 20 reports 

are to be formatted and submitted. The 

Commission notes that subsequent to 

the commencement of reporting, and 

from time to time thereafter, it will 

provide standardized codes for data 

elements such as commodity reference 

prices and require that submitted 

position reports use such standard 

codes instead of proprietary codes. Such 

information will be disseminated on the 

Commission’s Web site.20

6. Delegation of Authority 

Regulation 20.8, as proposed and 

finalized, delegates certain of the 

Commission’s part 20 authorities to the 

Director of the Division of Market 

Oversight and through the Director to 

other employee or employees as 

designated by the Director. The 

delegated authority extends to: (1) 

Issuing a special call for a 40S or 102S 

filing and books and records; (2) 

providing instructions or determining 

the format, coding structure, and 

electronic data transmission procedures 

for submitting data records and any 

other information required under this 

part; and (3) determining the 

compliance schedules described in 

regulation 20.10. The purpose of these 

delegations is to facilitate the ability of 

the Commission to respond to changing 

market and technological conditions for 

the purpose of ensuring timely and 

accurate data reporting. 

7. Sunset Provision 

Regulation 20.9, as proposed and 

finalized, includes a sunset provision 

that would render the Reporting Rules 

ineffective and unenforceable upon the 

Commission’s finding (through the 

issuance of an order) that operating 

SDRs are capable of processing 

positional data in a manner that would 

enable the Commission to effectively 

oversee and surveil paired swaps 

trading and paired swap markets. 

Regulation 20.9 also states that the 

Commission may retain the 

effectiveness and enforceability of any 

or all requirements in part 20, such as 

the reporting of deltas for uncleared 

paired swaps or the reporting of paired 

swap positions in futures equivalents, 

should the Commission determine 

through an order that such reporting is 

of material value to conducting market 

surveillance. 

8. Compliance Schedule 

Under regulation 20.10, the 

compliance date for reporting 

requirements for clearing organizations 

under regulation 20.3 and clearing 

members under regulation 20.4 is sixty 

days after the publication of this notice 

in the Federal Register. The compliance 

date with regulation 20.4 for swap 

dealers that are not clearing members is 

the effective date of final regulations 

defining the term swap dealer.21 All 

special call provisions must be 

complied with sixty days following the 

date of publication of this notice in the 

Federal Register. 

Regulation 20.10 also allows the 

Commission to permit for a period, not 

to exceed six calendar months following 

the effective date of this part, during 

which a clearing organization or 

reporting entity or trader may provide 

reports that differ in content or are 

submitted in a form and manner which 

is other than prescribed by the 

provisions of part 20, provided that the 

submitter coordinates with the 

Commission and is making a good faith 

attempt to comply with all of the 

provisions of part 20. Furthermore, 

upon the passage of the full compliance 


emcdonald on DSK2BSOYB1PROD with RULES
43858 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

schedule outlined above, all paired 

swaps and swaptions position and 

market reports that are currently 

reported under a Commission order or 

parts 15 through 19 and 21 of the 

Commission’s regulations must instead 

be reported exclusively under part 20. 

In order to address the possibility of 

certain firms that may not be able to 

comply expediently with the 

requirements of part 20 should they fall 

within the definition of swap dealer, 

regulation 20.10(e) allows the 

Commission to defer compliance for 

such firms for a period not to exceed six 

calendar months following the effective 

date of final regulations further defining 

the term swap dealer. 

A deferred compliance period of six 

months is appropriate to reduce 

potential compliance costs for such 

reporting entities because they may not 

have procedures in place for routine 

reporting of swaps data as they 

currently are not regulated as financial 

firms. The deferred compliance period 

would provide these affected entities 

with additional time to determine 

whether they need to make any 

arrangements to implement the 

reporting regime, and to make any such 

arrangements. Once the swap dealer 

definition is final, a party that is 

uncertain as to whether or not they are 

a swap dealer would not be foreclosed 

from asking CFTC staff or the 

Commission for additional relief under 

the CEA or Commission regulations. 

The Commission also notes that it 

expects to consult with clearing 

organizations and reporting entities 

with respect to the manner of reporting 

before determining the format, coding 

structure, and electronic data 

transmission procedures that must be 

used to transmit information to the 

Commission pursuant to regulation 

20.7. 

III. Related Matters 

A. Cost-Benefit Analysis 

1. Introduction 

Section 15(a) of the Act requires that 

the Commission, before promulgating a 

regulation under the Act or issuing an 

order, consider the costs and benefits of 

its action. By its terms, CEA section 

15(a) does not require the Commission 

to quantify the costs and benefits of a 

new regulation or determine whether 

the benefits of the regulation outweigh 

its costs. Rather, CEA section 15(a) 

requires the Commission to ‘‘consider 

the costs and benefits’’ of its action. 

CEA section 15(a) specifies that costs 

and benefits shall be evaluated in light 

of the following considerations: (1) 

Protection of market participants and 

the public; (2) efficiency, 

competitiveness, and financial integrity 

of futures markets; (3) price discovery; 

(4) sound risk management practices; 

and (5) other public interest 

considerations. Accordingly, the 

Commission could, in its discretion, 

give greater weight to any of the five 

considerations and could, in its 

discretion, determine that, 

notwithstanding its costs, a particular 

regulation was necessary or appropriate 

to protect the public interest or to 

effectuate any of the provisions or to 

accomplish any of the purposes of the 

Act. 

2. Costs 

As mentioned above, under CEA 

section 4a(a)(2), the Commission has 

been directed to establish position 

limits for exempt and agricultural 

commodities, as appropriate. Section 4t 

of the Act authorizes the Commission to 

establish a large trader reporting system 

for significant price discovery function 

swaps, of which economically 

equivalent swaps are a subset. As 

discussed in more detail above, swaps 

position reports are a necessary 

component of an effective surveillance 

program, including monitoring 

compliance with any limits that may be 

established by the Commission under 

section 4a of the Act. 

Through the public comment process, 

alternatives to the Reporting Rules were 

presented to and reviewed by the 

Commission. Some commenters 

indicated that their respective 

alternatives would provide the 

Commission with the data it needs and 

would be less burdensome than the 

Reporting Rules. Bindicap Comster, the 

FIA, and the Working Group opposed 

the proposed regulations, and suggested 

an expanded special call reporting 

mechanism would be a better 

alternative. The Commission’s current 

Index Investment Data Reports special 

call is a targeted collection of data. It 

gathers information related to specific 

products from a limited set of market 

participants. The special call was not 

intended to function as a tool for general 

market surveillance. In order to be able 

to gather positional data of the quality 

needed to conduct market surveillance, 

the special call would have to undergo 

substantial modifications which in 

effect would convert it into the 

Reporting Rules. In light of the broad 

areas of cost and benefit evaluation 

specified by CEA section 15(a), in 

particular section 15(a)(2)(B), the 

Commission has determined that the 

alternative presented by Bindicap 

Comster, FIA, and the Working Group is 

less viable than the Reporting Rules and 

would not reduce costs to persons 

subject to this part or provide additional 

benefits. 

With regard to the future 

establishment of SDRs and whether the 

Commission should wait for SDRs to 

provide swaps position data instead of 

adopting the regulations, ATA argued 

that the Commission should proceed 

with the regulations and not wait for 

SDRs to become operational. FIA and 

the Working Group, meanwhile, argued 

that the future role of SDRs makes 

adoption of the regulations unnecessary. 

The Commission has determined that 

the Reporting Rules are necessary for 

several reasons. It is likely that physical 

commodity SDRs will require the most 

time to become operational since, unlike 

for swaps in the interest rate, equity and 

credit default asset categories, there 

currently is no functional and accepted 

data repository for energy, metal and 

agricultural commodities. In addition, 

even after SDRs have been established, 

because they are fundamentally 

transaction repositories, it may be a 

considerable amount of time before 

SDRs are able to reliably convert 

transaction data into positional data. 

Thus, in view of the considerable time 

before physical commodity swap SDRs 

are likely to be operational and have the 

ability to convert transactions to 

positions, the Commission has 

determined to adopt the Reporting Rules 

instead of the proposed alternative, 

consistent with the objectives outlined 

in CEA section 15(a)(2). Without a 

comprehensive and operational market 

surveillance system in the near term, the 

Commission would not be able to 

administer the CEA as amended by the 

Dodd-Frank Act. 

The Electric End User Coalition also 

argued that the recordkeeping burden 

imposed by the proposed regulations 

would be significant. In particular it 

argued that the recordkeeping 

requirements should not apply to endusers and that the Commission should 

defer to other regulators, specifically 

FERC, with regard to recordkeeping 

obligations. In the Commission’s 

judgment, the recordkeeping 

requirements of the regulations are not 

unduly burdensome and are consistent 

with the recordkeeping requirements of 

current Commission regulations 1.31 

and 18.05. In addition, as the 

regulations have been narrowly tailored 

to collect routine data only from 

clearing organizations, clearing 

members and swap dealers, the 

Reporting Rules will not have a 

significant negative impact on a 

substantial number of end-users. The 

Commission has thus determined to 

proceed with the Reporting Rules. 


emcdonald on DSK2BSOYB1PROD with RULES
Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43859 

In developing the Reporting Rules, the 

Commission has aimed to minimize the 

cost and burden associated with 

reporting positional data to the 

Commission. As discussed above, the 

Commission has tailored the Reporting 

Rules to conform to the market structure 

for cleared and uncleared paired swaps. 

The cost of the part 20 regulations will 

be borne by firms that are clearing 

organizations reporting under regulation 

20.3 and reporting entities reporting 

under regulation 20.4. For such firms, 

the additional cost to implement a 

reporting system is expected to be 

reasonable since the Commission 

understands these firms track their 

counterparties’ positions for risk 

management purposes. 

Although the Reporting Rules 

establish a reporting system for cleared 

paired swaps that resembles the large 

trader reporting system, they establish a 

structurally different reporting system 

for uncleared paired swaps. The 

structure of the uncleared paired swaps 

market is not as centralized as the 

cleared paired swaps market: there is no 

central counterparty that corresponds to 

a clearing organization in the uncleared 

paired swaps market. The Commission 

believes that swap dealers may be 

counterparties to a significant portion of 

the market for uncleared paired swaps 

and swaptions. 

Accordingly, the Reporting Rules 

require position reporting from swap 

dealers. These firms are to report their 

reportable positions as well as those of 

their counterparties. As is the case for 

clearing member reporting entities, it is 

likely that creating or purchasing an 

information technology system that can 

present such a firm’s net position 

exposures on a daily basis will not be 

an overly burdensome marginal 

expense, since the Commission 

understands swap dealers track their 

exposures for risk management 

purposes. 

For counterparties that will be subject 

to the recordkeeping requirements of 

regulation 20.6, it should be noted that 

these requirements will place new 

burdens (in terms of reporting and 

retaining information on cash market 

transactions) only on persons that are 

reportable solely in paired swaps. This 

is because Congress, in new CEA section 

4r(c)(2), has extended recordkeeping 

requirements to all swaps irrespective of 

any reporting requirement. Likewise, 

counterparties that hold reportable 

futures positions (in addition to 

reportable paired swaps positions) are 

currently subject to existing 

recordkeeping requirements under 

regulation 18.05. Thus, the Commission 

believes that these additional burdens, 

in marginal terms, are not expected to 

be overly burdensome, given that firms 

collect information on their commercial 

activities in the normal course of 

business operations. The Commission 

also notes its adoption of regulation 

20.10, which staggers implementation of 

the Reporting Rules. The flexible 

implementation process should reduce 

compliance costs in general. 

As described in detail below, the 

Commission held several meetings with 

potential reporting entities and 

conducted analysis to estimate the 

reporting and recordkeeping burdens 

imposed by the Reporting Rules 

annually for the next five years. For 

clearing organizations, the reporting 

burden is estimated to be approximately 

950 hours and $100,000 spread across 5 

entities, or 190 hours and $20,000 per 

entity. The recordkeeping burden for 

clearing organizations is estimated to be 

100 hours and $100,000 spread across 5 

entities, or 20 hours and $20,000 per 

entity. Each clearing organization, then, 

is estimated to have a total annual 

burden of 207 hours and $40,000. 

For clearing members, the reporting 

burden is estimated to be 25,000 hours 

and $6,000,000 spread across 100 

entities (80 swap dealers and 20 nonswap dealers), or 250 hours and $60,000 

per entity. The recordkeeping burden 

for clearing members is estimated to be 

2,000 hours and $2,000,000 spread 

across 100 entities, or 20 hours and 

$20,000 per entity. In addition, clearing 

members have a burden in connection 

with 102S submissions. The burden for 

102S submissions is estimated to be 

1,800 hours and $1,000,000 spread 

across 200 entities (of which 100 are 

clearing members), or 9 hours and 

$5,000 per entity. Each clearing 

member, then, is estimated to have a 

total annual burden of 279 hours and 

$85,000. 

For non-clearing member swap 

dealers, the reporting burden is 

estimated to be 37,500 hours and 

$8,000,000 spread across 100 entities, or 

375 hours and $80,000 per entity. The 

recordkeeping burden for non-clearing 

member swap dealers is estimated to be 

2,000 hours and $2,000,000 spread 

across 100 entities, or 20 hours and 

$20,000 per entity. In addition, nonclearing member swap dealers have a 

burden in connection with 102S 

submissions. The burden for 102S 

submissions is estimated to be 1,800 

hours and $1,000,000 spread across 200 

entities (of which 100 are non-clearing 

member swap dealers), or 9 hours and 

$5,000 per entity. Each non-clearing 

member swap dealer, then, is estimated 

to have a total annual burden of 404 

hours and $105,000. 

For persons with reportable positions, 

the reporting burden in connection with 

40S submissions is estimated to be 165 

hours and $4,500,000 spread across 500 

entities, or .33 hours and $9,000 per 

entity. The recordkeeping burden for 

persons with reportable positions is 

estimated to be 10,000 hours and 

$11,500,000 spread across 500 entities, 

or 20 hours and $23,000 per entity. Each 

person with reportable positions, then, 

is estimated to have a total annual 

burden of 20.33 hours and $32,000. 

Two commenters to the proposing 

release, FIA and the Working Group, 

argued that the Commission 

underestimated the costs imposed by 

the Reporting Rules. FIA stated that 

some of its members believe the costs to 

be very substantial and in some cases 

exceeding millions of dollars. The 

Working Group stated that some of its 

members estimate the total compliance 

costs to range up to $80,000 to $750,000 

per year, inclusive of capital costs, and 

that the upfront costs could be as high 

as $1.5 million. In light of these 

comments, the Commission has 

carefully reviewed its analysis and 

estimates, and it has determined its 

estimates to be reasonable and 

satisfactory in accordance with CEA 

section 15(a)(2) for the purpose of costbenefit analysis of the Reporting Rules. 

3. Benefits 

In addition to providing increased 

market transparency through the 

reporting of paired swap positions to the 

Commission, the Commission will be 

better able to first, protect market 

participants and the public (CEA section 

15(a)(2)(A)) and second, increase the 

efficiency and competitiveness of the 

markets (CEA section 15(a)(2)(B)). The 

extension of the Commission’s 

surveillance activities to these paired 

swap markets will enhance the 

deterrence and detection of problematic 

activities and, thus, help ensure the 

integrity of these markets and protect 

market participants and the public from 

disruptive trading, price manipulation, 

and the effects of market congestion. 

Further, with this extension, the 

Commission will be able to expand its 

Commitments of Traders Reports, for 

example, to include aggregate position 

data on the paired swaps markets, and 

thus will provide the public, including 

market participants, greater 

transparency into the constitution of 

markets covered by part 20. This 

increased transparency may reduce the 

informational asymmetries in the paired 

swap markets and thereby improve the 

efficiency of the market and promote 

competition. 


emcdonald on DSK2BSOYB1PROD with RULES
43860 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

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

23 66 FR 45604, 45609, August 29, 2001. 

24Policy Statement and Establishment of 

Definitions of ‘‘Small Entities’’ for Purposes of the 

Regulatory Flexibility Act, 47 FR 18618, 18619, 

April 30, 1982. 

25 Id. at 18620 (excluding large traders from the 

definition of small entity). 

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

As discussed above, implementing 

part 20 will enable the Commission to 

monitor and enforce position limits, if 

established by the Commission, to 

diminish, eliminate, or prevent 

excessive speculation; to deter and 

prevent market manipulation; ensure 

sufficient market liquidity for bona fide 

hedgers; and to ensure that the price 

discovery function of the underlying 

market is not disrupted. By enabling the 

Commission to monitor compliance 

with position limits, if established by 

the Commission, to address these 

concerns, the Commission would be 

better able to protect the price discovery 

process (CEA section 15(a)(2)(C)) and 

market participants and the public from 

the threats of excessive speculation and 

price manipulation (CEA section 

15(a)(2)(A)). 

4. Conclusion 

The Commission, after considering 

the CEA section 15(a) factors, finds that 

the Reporting Rules are reasonably 

necessary and appropriate to protect the 

public interest and effectuate and 

accomplish purposes and goals of the 

CEA. The Commission also finds that 

the expected incremental cost imposed 

by part 20 is outweighed by the 

expected benefit. Accordingly, the 

Commission has determined to adopt 

the Reporting Rules. 

B. Regulatory Flexibility Act 

The Regulatory Flexibility Act 

(‘‘RFA’’) requires Federal agencies, in 

proposing regulations, to consider the 

impact of those regulations on ‘‘small 

entities.’’ 22 In response to the Reporting 

Rules, the Electric End User Coalition 

argued that the recordkeeping burden 

imposed by the proposed regulations 

would be significant. In particular it 

argued that the recordkeeping 

requirements should not apply to endusers and that the Commission should 

defer to other regulators, specifically 

FERC, with regard to recordkeeping 

obligations. In the Commission’s 

judgment, the recordkeeping 

requirements of the regulations are 

consistent with the recordkeeping 

requirements of current Commission 

regulations 1.31 and 18.05. In addition, 

as the regulations have been narrowly 

tailored to collect routine data only from 

clearing organizations, clearing 

members and swap dealers, the 

Commission has determined that the 

Commission does not expect the 

Reporting Rules to have a significant 

impact on a substantial number of small 

entities. The Commission has thus 

determined to proceed with the 

Reporting Rules. 

The Reporting Rules will affect 

organizations including registered 

derivatives clearing organization 

(‘‘DCOs’’), clearing members (many of 

whom are registered with the 

Commission already as futures 

commission merchants (‘‘FCMs’’)), swap 

dealers, and persons who have books 

and records obligations under regulation 

20.6. 

The Commission has previously 

determined that DCOs 23 and FCMs 24

are not ‘‘small entities’’ for purposes of 

the RFA. As noted above, a person with 

non-discretionary reporting or books 

and records obligations under final 

regulations 20.3, 20.4 and 20.6 will 

either be a clearing organization, 

clearing member, swap dealer, or a 

person with at least 50 or more gross 

paired swaps positions in the same 

commodity on a futures equivalent and 

all-months-combined basis. The 

Commission notes this threshold is 

comparable to the minimum 25-contract 

reporting levels in effect for futures 

positions under regulation 15.03. 

Previously, the Commission had 

determined that the reporting levels in 

regulation 15.03, which determine 

which positions are reportable, would 

not affect small entities.25 The 

Commission does not believe that 

entities who meet the Reporting Rules’ 

non-discretionary quantitative threshold 

will constitute small entities for RFA 

purposes. 

Accordingly, the Commission does 

not expect the Reporting Rules to have 

a significant impact on a substantial 

number of small entities. Therefore, the 

Chairman, on behalf of the Commission, 

hereby certifies, pursuant to 5 U.S.C. 

605(b), that the Reporting Rules will not 

have a significant economic impact on 

a substantial number of small entities. 

C. Paperwork Reduction Act 

1. Overview 

The Paperwork Reduction Act 

(‘‘PRA’’) 26 imposes certain 

requirements on Federal agencies in 

connection with their conducting or 

sponsoring any collection of 

information as defined by the PRA. The 

Reporting Rules will result in new 

collection of information requirements 

within the meaning of the PRA. The 

Commission submitted the proposing 

release to the Office of Management and 

Budget (‘‘OMB’’) for review in 

accordance with 44 U.S.C. 3507(d) and 

5 CFR 1320.11. The Commission 

requested that OMB approve, and assign 

a new control number for, the 

collections of information covered by 

the proposing release. The information 

collection burdens created by the 

Commission’s proposed rules, which 

were discussed in detail in the 

proposing release, are identical to the 

collective information collection 

burdens of the final rules. 

The Commission invited the public 

and other Federal agencies to comment 

on any aspect of the information 

collection requirements discussed 

above. Pursuant to 44 U.S.C. 

3506(c)(2)(B), the Commission solicited 

comments in order to: (i) Evaluate 

whether the proposed collections of 

information were necessary for the 

proper performance of the functions of 

the Commission, including whether the 

information will have practical utility; 

(ii) evaluate the accuracy of the 

Commission’s estimates of the burden of 

the proposed collections of information; 

(iii) determine whether there are ways 

to enhance the quality, utility and 

clarity of the information to be 

collected; and (iv) minimize the burden 

of the collections of information on 

those who are to respond, including 

through the use of automated collection 

techniques or other forms of information 

technology. 

The Commission received two 

comments on the burden estimates and 

information collection requirements 

contained in its proposing release. FIA 

and the Working Group argued that the 

costs placed by the proposed regulations 

would be significant and that the 

Commission significantly 

underestimated the costs to clearing 

members and swap dealers. FIA stated 

that some of its members believe the 

costs to be very substantial and in some 

cases exceeding millions of dollars, 

while acknowledging that it is difficult 

to estimate costs with any precision. 

The Working Group stated that some of 

its members estimate the total 

compliance costs to range up to $80,000 

to $750,000 per year, inclusive of capital 

costs, and that the upfront costs could 

be as high as $1.5 million. The 

Commission has carefully considered 

the costs on market participants. Some 

comments regarding significant industry 

burdens assumed that a substantial 

number of end-users would be swept up 

into the definition of swap dealer. In 

response, the Commission notes that the 

Reporting Rules are tailored to collect 

routine reports only from clearing 


emcdonald on DSK2BSOYB1PROD with RULES
Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43861 

27The 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%). 

28The 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. 

29All of the capital cost estimates in these 

estimates are based on a five-year, straight-line 

depreciation. 

organizations, clearing members, and 

swap dealers. In addition, based on 

numerous meetings with potential 

reporting entities, the Commission has 

determined that the costs that would be 

imposed by the proposed regulations on 

reporting entities is reasonable given the 

trade capture and information 

technology resources of such entities. 

The title for this collection of 

information is ‘‘Part 20—Large Trader 

Reporting for Physical Commodity 

Swaps.’’ OMB has approved assigned 

OMB control number 3038–[_] to this 

collection of information. 

2. Information Provided and 

Recordkeeping Duties 

Part 20 establishes reporting 

requirements for clearing organizations 

and reporting entities and 

recordkeeping requirements for these 

firms in addition to firms that become 

reportable because of a reportable paired 

swap or swaption positions. 

Accordingly, the Commission is seeking 

a new and separate control number for 

reporting from clearing organizations 

and reporting entities (collectively 

‘‘respondents’’) and recordkeeping for 

firms that become reportable because of 

a reportable paired swap or swaption 

position operating in compliance with 

the requirements of part 20. 

Part 20 will result in the collection of 

information on ‘‘paired swaps and 

swaptions’’ positions as defined in 

regulation 20.1. Specifically, part 20 

provides for three new kinds of reports: 

1. Under regulation 20.3, swap 

clearing organizations will provide daily 

reports of relevant position and clearing 

data. 

2. Under regulation 20.4, reporting 

entities will produce daily position 

reports on a second-day basis on their 

own and individual counterparty 

accounts. There are two categories of 

reporting entities: (a) Clearing members 

and (b) swap dealers that are not 

clearing members. The former category, 

clearing members, will include many 

firms that are currently registered as 

FCMs with the Commission. The 

Commission estimates that a total of 180 

swap dealers transact in physical 

commodity swaps and thereby may be 

reporting entities under part 20 (clearing 

members and non-clearing members 

combined). 

3. Finally, under regulation 20.5, all 

reporting entities will submit 

identifying information to the 

Commission on new reportable accounts 

through a 102S filing. 

In addition to creating these reporting 

requirements, regulation 20.6 imposes 

recordkeeping requirements for (1) 

clearing organizations, (2) reporting 

entities, and (3) persons with paired 

swaps positions as specified in 

regulation 20.6(c). The Commission 

estimates that the recordkeeping 

requirements of regulation 20.6 will not 

be overly burdensome. For the firms 

subject to the reporting and 

recordkeeping requirements of 

regulation 20.6, it should be noted that 

these requirements are not unlike the 

recordkeeping requirements imposed by 

Congress in new CEA section 4r(c)(2) 

and by existing recordkeeping 

regulation 18.05. If a firm subject to 

these recordkeeping requirements was 

previously reportable due to a futures 

position in the relevant commodity 

above the ‘‘reporting level’’ (see 

regulation 15.03), then the regulation 

20.6(b) recordkeeping burdens would 

not be new, as that firm would already 

be subject to these requirements under 

regulation 18.05. If a firm becomes 

subject to the regulation 20.6 

recordkeeping requirements only 

because of a reportable paired swaps 

position (and not because of a futures 

position above the reportable level), 

then the requirements contained in the 

Reporting Rules add only the duty to 

keep records on all commercial 

activities that a reporting entity or 

person hedges to the swaps-related 

recordkeeping duties imposed by CEA 

section 4r(c)(2). These additional 

burdens are not expected to be 

substantial, given that in the normal 

course of business firms would collect 

this information on their commercial 

activities. 

The Commission estimates that 

implementing part 20 will create a total 

annual reporting and recordkeeping 

hour burden of 79,503 hours across 705 

firms. Based on a weighted average 

wage rate of $74.36,27 this will amount 

to an annualized labor cost of $5.9 

million. In addition, the Commission 

estimates that total annualized capital/ 

start-up, operating, and maintenance 

costs 28 will amount to a combined 

$35.2 million (a typographical error in 

the proposed Reporting Rules indicated 

a $32.7 cost). This overall total reporting 

and recordkeeping hour burden is the 

sum of estimated burdens for the three 

reporting categories and the three 

recordkeeping categories mentioned 

above. 

Reporting burdens: 

1. Regulation 20.3 clearing 

organization reports will account for 

938 of these annual reporting and 

recordkeeping hours. These hours will 

be spread across 5 respondents. 

Annualized capital/start-up, operating, 

and maintenance costs for all affected 

clearing organizations combined will be 

approximately $100,000.29

2. Regulation 20.4 reporting entity 

reports will have two separate burden 

estimates based on the kind of reporting 

entity providing the report: 

a. Clearing member (80 clearing 

member/swap dealers plus 20 clearing 

member/non-swap dealers) reporting 

entity reports will create an annual 

reporting and recordkeeping burden of 

25,000 hours spread across 100 

respondents. Annualized capital/startup, operating, and maintenance costs for 

all firms in this category combined will 

be approximately $6 million. 

b. Swap dealer non-clearing member 

reporting entity reports will create an 

annual reporting and recordkeeping 

burden of 37,500 hours spread across 

100 respondents. Annualized capital/ 

start-up, operating, and maintenance 

costs for all firms in this category 

combined will be approximately $8 

million. 

3. Regulation 20.5 reporting entity 

102S submissions will create an annual 

reporting and recordkeeping burden of 

1,800 hours spread across 200 firms. 

Annualized capital/start-up, operating, 

and maintenance costs for all reporting 

entities combined providing these 

reports will be approximately $1 

million. 

4. 40S submissions by persons with 

reportable positions under regulation 

20.5(b) in paired swaps will create an 

annual reporting and recordkeeping 

burden of 165 hours and will affect 500 

firms. Annualized capital/start-up, 

operating, and combined maintenance 

costs for all firms providing 40S filings 

will be approximately $4.5 million. 

Recordkeeping burdens: 

1. Regulation 20.6(a) recordkeeping 

duties for clearing organizations will 

account for 100 of these annual 


emcdonald on DSK2BSOYB1PROD with RULES
43862 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

30 7 U.S.C. 12(a)(1). 

reporting and recordkeeping hours. 

These hours will be spread across 5 

firms. Annualized capital/start-up, 

operating, and maintenance costs to 

meet the recordkeeping requirements of 

regulation 20.6(a) will be approximately 

$100,000. 

2. Regulation 20.6(b) reporting entity 

recordkeeping duties will have two 

separate burden estimates based on the 

kind of reporting entity providing the 

report: 

a. Clearing member (80 clearing 

member/swap dealers plus 20 clearing 

member/non-swap dealers) reporting 

entity recordkeeping will create an 

annual reporting and recordkeeping 

burden of 2,000 hours spread across 100 

respondents. Annualized capital/startup, operating, and maintenance costs for 

all firms in this category of 

recordkeeping reporting entities will be 

approximately $2 million. 

b. Swap dealer non-clearing member 

reporting entity recordkeeping will 

create an annual reporting and 

recordkeeping burden of 2,000 hours 

spread across 100 respondents. 

Annualized capital/start-up, operating, 

and maintenance costs for all firms in 

this category of recordkeeping reporting 

entities will be approximately $2 

million. 

3. Regulation 20.6(c) recordkeeping 

duties for persons with paired swaps 

positions will create an annual reporting 

and recordkeeping burden of 10,000 

hours spread across 500 firms. 

Annualized capital/start-up, operating, 

and maintenance costs for all traders in 

this category combined will be 

approximately $11.5 million. 

3. Confidentiality 

The Commission will protect 

proprietary information according to the 

Freedom of Information Act and 17 CFR 

part 145, ‘‘Commission Records and 

Information.’’ In addition, section 

8(a)(1) of the Act strictly prohibits the 

Commission, unless specifically 

authorized by the Act, from making 

public ‘‘data and information that 

would separately disclose the business 

transactions or market positions of any 

person and trade secrets or names of 

customers.’’ 30 The Commission also is 

required to protect certain information 

contained in a government system of 

records according to the Privacy Act of 

1974, 5 U.S.C. 552a. 

List of Subjects 

17 CFR Part 15 

Brokers, Commodity futures, 

Reporting and recordkeeping 

requirements. 

17 CFR Part 20 

Physical commodity swaps, Swap 

dealers, Reporting and recordkeeping 

requirements. 

For the reasons stated in the 

preamble, the Commodity Futures 

Trading Commission amends 17 CFR 

chapter I as follows: 

PART 15—REPORTS—GENERAL 

PROVISIONS 

■ 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: 

PART 20—LARGE TRADER 

REPORTING FOR PHYSICAL 

COMMODITY SWAPS 

Sec. 

20.1 Definitions. 

20.2 Covered contracts. 

20.3 Clearing organizations. 

20.4 Reporting entities. 

20.5 Series S filings. 

20.6 Maintenance of books and records. 

20.7 Form and manner of reporting and 

submitting information or filings. 

20.8 Delegation of authority to the Director 

of the Division of Market Oversight. 

20.9 Sunset provision. 

20.10 Compliance schedule. 

20.11 Diversified commodity indices. 

Appendix A to Part 20—Guidelines on 

Futures Equivalency 

Appendix B to Part 20—Explanatory 

Guidance on Data Record Layouts 

Authority: 7 U.S.C. 1a, 2, 5, 6, 6a, 6c, 6f, 

6g, 6t, 12a, 19, as amended by Title VII of the 

Dodd-Frank Wall Street Reform and 

Consumer Protection Act, Pub. L. 111–203, 

124 Stat. 1376 (2010). 

§ 20.1 Definitions. 

As used in, and solely for the 

purposes of, this part: 

Business day means ‘‘business day’’ 

as that term is defined in § 1.3 of this 

chapter. 

Cleared product means a paired swap 

or swaption that a clearing organization 

offers or accepts for clearing. 

Clearing member means any person 

who is a member of, or enjoys the 

privilege of, clearing trades in its own 

name through a clearing organization. 

Clearing organization means the 

person or organization that acts as a 

medium between clearing members for 

the purpose of clearing swaps or 

swaptions or effecting settlements of 

swaps or swaptions. 

Closed swap or closed swaption 

means a swap or swaption that has been 

settled, exercised, closed out or 

terminated. 

Commodity reference price means the 

price series (including derivatives 

contract and cash market prices or price 

indices) used by the parties to a swap 

or swaption to determine payments 

made, exchanged, or accrued under the 

terms of the contracts. 

Counterparty means, from the 

perspective of one side to a contract, the 

person that is the direct legal 

counterparty corresponding to the other 

side of the contract. 

Clearing member customer means any 

person for whom a reporting entity 

clears a swap or swaption position. 

Futures equivalent means an 

economically equivalent amount of one 

or more futures contracts that represents 

a position or transaction in one or more 

paired swaps or swaptions consistent 

with the conversion guidelines in 

Appendix A of this part. 

Open swap or swaption means a swap 

or swaption that has not been closed. 

Paired swap or paired swaption 

means an open swap or swaption that is: 

(1) Directly or indirectly linked, 

including being partially or fully settled 

on, or priced at a differential to, the 

price of any commodity futures contract 

listed in § 20.2; or 

(2) Directly or indirectly linked, 

including being partially or fully settled 

on, or priced at a differential to, the 

price of the same commodity for 

delivery at the same location or 

locations. 

Person means any ‘‘person’’ as that 

term is defined in § 1.3 of this chapter. 

Reportable account or consolidated 

account that is reportable means a 

consolidated account that includes a 

reportable position. 

Reportable position means: 

(1)(i) A position, in any one futures 

equivalent month, comprised of 50 or 

more futures equivalent paired swaps or 

swaptions based on the same 

commodity underlying a futures 

contract listed in § 20.2, grouped 

separately by swaps and swaptions, 

then grouped by gross long contracts on 

a futures equivalent basis or gross short 

contracts on a futures equivalent basis; 

(ii) For a consolidated account 

(described in § 20.4(a)) that includes a 

reportable position as defined in 

paragraph (1)(i) of this definition, all 

other positions in that account that are 


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Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43863 

based on the commodity that renders 

the account reportable; and 

(iii) The first reporting day on which 

a consolidated account (described in 

§ 20.4(a)) no longer includes a 

reportable position as described in 

paragraph (1)(i) of this definition 

(because on such day, the reporting 

entity’s consolidated account shall 

continue to be considered and treated as 

if it in fact included reportable positions 

as described in paragraph (1)(i) of this 

definition); or 

(2) At the discretion of a reporting 

entity, and as an alternative to 

paragraph (1) of this definition, so long 

as the same method is consistently 

applied to all consolidated accounts (as 

described in § 20.4(a)) of the reporting 

entity, all positions on a gross basis in 

a consolidated account that are based on 

the same commodity. 

Reporting day means the period of 

time between a clearing organization or 

reporting entity’s usual and customary 

last internal valuation of paired swaps 

or swaptions and the next such period, 

so long as the period of time is 

consistently observed on a daily basis 

and the Commission is notified, upon 

its request, of the manner by which such 

period is calculated and any subsequent 

changes thereto. 

Reporting entity means: 

(1) A clearing member; or 

(2) A swap dealer in one or more 

paired swaps or swaptions as that term 

is defined in section 1a of the Act and 

any Commission definitional 

regulations adopted thereunder. 

Swap means: 

(1) Until the effective date of any 

definitional rulemaking regarding 

‘‘swap’’ by the Commission under 

section 1a of the Act, an agreement 

(including terms and conditions 

incorporated by reference therein) 

which is a commodity swap (including 

any option to enter into such swap) 

within the meaning of ‘‘swap 

agreement’’ under § 35.1(b)(1) of this 

chapter, or a master agreement for a 

commodity swap together with all 

supplements thereto; or 

(2) ‘‘Swap’’ as defined in section 1a of 

the Act and any Commission 

definitional regulations adopted 

thereunder, upon the effective date of 

such regulations. 

Swaption means an option to enter 

into a swap or a swap that is an option. 

§ 20.2 Covered contracts. 

The futures and option contracts 

listed by designated contract markets for 

the purpose of reports filed and 

information provided under this part are 

as follows: 

COVERED AGRICULTURAL AND EXEMPT

FUTURES CONTRACTS

Chicago Board of Trade (‘‘CBOT’’) Corn. 

CBOT Ethanol. 

CBOT Oats. 

CBOT Rough Rice. 

CBOT Soybean Meal. 

CBOT Soybean Oil. 

CBOT Soybeans. 

CBOT Wheat. 

Chicago Mercantile Exchange (‘‘CME’’) Butter. 

CME Cheese. 

CME Dry Whey. 

CME Feeder Cattle. 

CME Hardwood Pulp. 

CME Lean Hogs. 

CME Live Cattle. 

CME Milk Class III. 

CME Non Fat Dry Milk. 

CME Random Length Lumber. 

CME Softwood Pulp. 

COMEX (‘‘CMX’’) Copper Grade #1. 

CMX Gold. 

CMX Silver. 

ICE Futures U.S. (‘‘ICUS’’) Cocoa. 

ICUS Coffee C. 

ICUS Cotton No. 2. 

ICUS Frozen Concentrated Orange Juice. 

ICUS Sugar No. 11. 

ICUS Sugar No. 16. 

Kansas City Board of Trade (‘‘KCBT’’) 

Wheat. 

Minneapolis Grain Exchange (‘‘MGEX’’) 

Wheat. 

NYSELiffe (‘‘NYL’’) Gold, 100 Troy Oz. 

NYL Silver, 5000 Troy Oz. 

New York Mercantile Exchange (‘‘NYMEX’’) 

Cocoa. 

NYMEX Brent Financial. 

NYMEX Central Appalachian Coal. 

NYMEX Coffee. 

NYMEX Cotton. 

NYMEX Crude Oil, Light Sweet. 

NYMEX Gasoline Blendstock (RBOB). 

NYMEX Hot Rolled Coil Steel. 

NYMEX Natural Gas. 

NYMEX No. 2 Heating Oil, New York Harbor. 

NYMEX Palladium. 

NYMEX Platinum. 

NYMEX Sugar No. 11. 

NYMEX Uranium. 

Diversified Commodity Index (See § 20.11). 

§ 20.3 Clearing organizations. 

(a) Reporting data records. For each 

reporting day, with respect to paired 

swaps or swaptions, clearing 

organizations shall report to the 

Commission, separately for each 

clearing member’s proprietary and 

clearing member customer account, 

unique groupings of the data elements 

in paragraph (b) of this section (to the 

extent that there are such corresponding 

elements), in a single data record, so 

that each reported record is 

distinguishable from every other 

reported record (because of differing 

data values, as opposed to the 

arrangement of the elements). 

(b) Populating reported data records 

with data elements. Data records 

reported under paragraph (a) of this 

section shall include the following data 

elements: 

(1) An identifier assigned by the 

Commission to the clearing 

organization; 

(2) The identifier assigned by the 

clearing organization to the clearing 

member; 

(3) The identifier assigned by the 

clearing organization for a cleared 

product; 

(4) The reporting day; 

(5) A proprietary or clearing member 

customer account indicator; 

(6) The futures equivalent month; 

(7) The commodity reference price; 

(8) Gross long swap positions; 

(9) Gross short swap positions; 

(10) A swaption put or call side 

indicator; 

(11) A swaption expiration date; 

(12) A swaption strike price; 

(13) Gross long non-delta-adjusted 

swaption positions; and 

(14) Gross short non-delta-adjusted 

swaption positions. 

(c) End of reporting day data. For all 

futures equivalent months, clearing 

organizations shall report end of 

reporting day settlement prices for each 

cleared product and deltas for every 

unique swaption put and call, 

expiration date, and strike price. 

§ 20.4 Reporting entities. 

(a) Consolidated accounts. Each 

reporting entity shall combine all paired 

swap and swaption positions: 

(1) That are principal positions 

(swaps and swaptions to which the 

reporting entity is a direct legal 

counterparty), in a single consolidated 

account that it shall attribute to itself; 

and 

(2) That are positions of the reporting 

entity’s counterparty in a single 

consolidated account that it shall 

attribute to that specific counterparty. 

(b) Reporting data records. Reporting 

entities shall report to the Commission, 

for each reporting day, and separately 

for each reportable position in a 

consolidated account described in 

paragraphs (a)(1) and (a)(2) of this 

section, unique groupings of the data 

elements in paragraph (c) of this section 

(to the extent that there are such 

corresponding elements), in a single 

data record, so that each reported record 

is distinguishable from every other 

reported record (because of differing 

data values, as opposed to the 

arrangement of the elements). 

(c) Populating reported data records 

with data elements. Data records 

reported under paragraph (b) of this 


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43864 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

section shall include the following data 

elements: 

(1) An identifier assigned by the 

Commission to the reporting entity; 

(2) An identifier indicating that a 

principal or counterparty position is 

being reported; 

(3) A 102S identifier assigned by the 

reporting entity to its counterparty; 

(4) The name of the counterparty 

whose position is being reported; 

(5) The reporting day; 

(6) If cleared, the identifier for the 

cleared product assigned by the clearing 

organization; 

(7) The commodity underlying the 

reportable positions; 

(8) The futures equivalent month; 

(9) A cleared or uncleared indicator; 

(10) A clearing organization identifier; 

(11) The commodity reference price; 

(12) An execution facility indicator; 

(13) Long paired swap positions; 

(14) Short paired swap positions; 

(15) A swaption put or call side 

indicator; 

(16) A swaption expiration date; 

(17) A swaption strike price; 

(18) Long non-delta-adjusted paired 

swaption positions; 

(19) Short non-delta-adjusted paired 

swaption positions; 

(20) Long delta-adjusted paired 

swaption positions (using economically 

reasonable and analytically supported 

deltas); 

(21) Short delta-adjusted paired 

swaption positions (using economically 

reasonable and analytically supported 

deltas); 

(22) Long paired swap or swaption 

notional value; and 

(23) Short paired swap or swaption 

notional value. 

§ 20.5 Series S filings. 

(a) 102S filing. 

(1) When a counterparty consolidated 

account first becomes reportable, the 

reporting entity shall submit a 102S 

filing, which shall consist of the name, 

address, and contact information of the 

counterparty and a brief description of 

the nature of such person’s paired 

swaps and swaptions market activity. 

(2) A reporting entity may submit a 

102S filing only once for each 

counterparty, even if such persons at 

various times have multiple reportable 

positions in the same or different paired 

swaps or swaptions; however, reporting 

entities must update a 102S filing if the 

information provided is no longer 

accurate. 

(3) Reporting entities shall submit a 

102S filing within three days following 

the first day a consolidated account first 

becomes reportable or at such time as 

instructed by the Commission upon 

special call. 

(b) 40S filing. Every person subject to 

books or records under § 20.6 shall after 

a special call upon such person by the 

Commission file with the Commission a 

40S filing at such time and place as 

directed in the call. A 40S filing shall 

consist of the submission of a Form 40, 

which shall be completed by such 

person as if any references to futures or 

option contracts were references to 

paired swaps or swaptions as defined in 

§ 20.1. 

§ 20.6 Maintenance of books and records. 

(a) Every clearing organization shall 

keep all records of transactions in 

paired swaps or swaptions, and 

methods used to convert paired swaps 

or swaptions into futures equivalents, in 

accordance with the requirements of 

§ 1.31 of this chapter. 

(b) Every reporting entity shall keep 

all records of transactions in paired 

swaps or swaptions, and methods used 

to convert paired swaps or swaptions 

into futures equivalents, in accordance 

with the requirements of § 1.31 of this 

chapter. 

(c) Every person with equal to or 

greater than 50 gross all-monthscombined futures equivalent positions 

in paired swaps or swaptions on the 

same commodity shall: 

(1) Keep books and records showing 

all records for transactions resulting in 

such positions, which may be kept and 

reproduced for Commission inspection 

in the record retention format that such 

person has developed in the normal 

course of its business operations; and 

(2) Keep books and records showing 

transactions in the cash commodity 

underlying such positions or its 

products and byproducts, and all 

commercial activities that are hedged or 

which have risks that are mitigated by 

such positions, which may be kept in 

accordance with the recordkeeping 

schedule and reproduced for 

Commission inspection in the record 

retention format that such person has 

developed in the normal course of its 

business operations. 

(d) All books and records required to 

be kept by paragraphs (a) through (c) of 

this section shall be furnished upon 

request to the Commission along with 

any pertinent information concerning 

such positions, transactions, or 

activities. 

§ 20.7 Form and manner of reporting and 

submitting information or filings. 

Unless otherwise instructed by the 

Commission, a clearing organization or 

reporting entity shall submit data 

records and any other information 

required under this part to the 

Commission as follows: 

(a) Using the format, coding structure, 

and electronic data transmission 

procedures approved in writing by the 

Commission; 

(b) For clearing organizations, not 

later than 9:00 a.m. eastern time on the 

next business day following the 

reporting day or at such other time as 

instructed by the Commission; and 

(c) For clearing members and swap 

dealers, not later than 12:00 p.m. eastern 

time on the second (T+2) business day 

following the reporting day or at such 

other time as instructed by the 

Commission. 

§ 20.8 Delegation of authority 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 § 20.6(d) for issuing a special 

call; 

(4) In § 20.7 for providing instructions 

or determining the format, coding 

structure, and electronic data 

transmission procedures for submitting 

data records and any other information 

required under this part; and 

(5) In § 20.10 for determining the 

described compliance schedules. 

(b) The Director of the Division of 

Market Oversight may submit to the 

Commission for its consideration any 

matter which has been delegated in this 

section. 

(c) Nothing in this section prohibits 

the Commission, at its election, from 

exercising the authority delegated in 

this section. 

§ 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 


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Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43865 

Commission with positional data or data 

elements that materially improves the 

accuracy and surveillance utility of the 

positional data processed by swap data 

repositories. 

§ 20.10 Compliance schedule. 

(a) Clearinghouses, clearing members 

and persons with books and records 

obligations shall comply with the 

requirements of this part upon the 

effective date of this part. 

(b) Swap dealers that are not clearing 

members shall comply with the 

requirements of this part upon the 

effective date of final regulations further 

defining the term swap dealer. 

(c) The Commission may permit, for 

a period not to exceed six calendar 

months following the effective date 

specified in paragraph (a) of this 

section, the submission of reports 

pursuant to §§ 20.3 and 20.4 that differ 

in content, or are submitted in a form 

and manner which is other than 

prescribed by the provisions of this part, 

provided that the submitter is making a 

good faith attempt to comply with all of 

the provisions of this part. 

(d) Unless determined otherwise by 

the Commission, paired swap and 

swaption position and market reports 

submitted under parts 15 through 19, or 

21 of this chapter, or any order of the 

Commission, shall continue to be 

submitted under those parts or orders 

until swap dealers are required to 

comply with § 20.4. 

(e) The Commission may extend the 

compliance date established in 

paragraph (b) of this section by an 

additional six calendar months based on 

resource limitations or lack of 

experience in reporting transactions to 

the Commission for a swap dealer that 

is not an affiliate of a bank holding 

company and: 

(1) Is not registered with the 

Commission as a futures commission 

merchant and is not an affiliate of a 

futures commission merchant; 

(2) Is not registered with the 

Securities and Exchange Commission as 

a broker or dealer and is not an affiliate 

of a broker or dealer; and 

(3) Is not supervised by any Federal 

prudential regulator. 

§ 20.11 Diversified commodity indices. 

For the purpose of reporting in futures 

equivalents, paired swaps and 

swaptions using commodity reference 

prices that are commonly known 

diversified indices with publicly 

available weightings may be reported as 

if such indices underlie a single futures 

contract with monthly expirations for 

each calendar month and year. 

Appendix A to Part 20—Guidelines on 

Futures Equivalency 

The following examples illustrate how 

swaps should be converted into futures 

equivalents. In general the total notional 

quantity for each swap should be 

apportioned to referent futures months based 

on the fraction of days remaining in the life 

of the swap during each referent futures 

month to the total duration of the swap, 

measured in days. The terms used in the 

examples are to be understood in a manner 

that is consistent with industry practice. 

EXAMPLE 1—FIXED FOR FLOATING WTI CRUDE OIL SWAP LINKED TO A DCM CONTRACT

Reference Price ................................................... Daily official next to expire contract price for the NYMEX Light Sweet Crude Oil Futures Contract (‘‘WTI’’) in $/bbl through the NYMEX spot month. 

Fixed Price .......................................................... $80.00 per barrel. 

Floating Price ...................................................... The arithmetic average of the reference price during the pricing period. 

Notional Quantity ................................................. 100,000 bbls/month. 

Calculation Period ............................................... One month. 

Fixed Price Payer ................................................ Company A. 

Floating Price Payer ............................................ Company B. 

Settlement Type .................................................. Financial. 

Swap Term .......................................................... Six full months from January 1 to June 30. 

Floating Amount .................................................. Floating Price * Notional Quantity. 

Fixed Amount ...................................................... Fixed Price * Notional Quantity. 

NYMEX WTI trading in the next to expire 

futures contract ceases on the third business 

day prior to the 25th of the calendar month 

preceding the contract month. For simplicity 

in this example, the last trading day in each 

WTI futures contract is shown as the 22nd of 

the month. 

Futures Equivalent Position on January 1 

Total Notional Quantity = 6 months * 

100,000 bbls/month = 600,000 bbls 

1,000 bbl = 1 futures contract 

Therefore 600,000 bbls/1,000 bbls/contract = 

600 futures equivalent contracts 

Total number of days in swap term = 31 + 

28 + 31 + 30 + 31 + 30 = 181 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Referent futures month Fraction of 

days 

Company A 

position 

(long) †

Company B 

position 

(short) †

January 1—January 22 ................................................................... February ..................................... 22/181 73 ¥73 

January 23—February 22 ............................................................... March ......................................... 31/181 103 ¥103 

February 23—March 22 .................................................................. April ............................................ 28/181 93 ¥93 

March 23—April 22 ......................................................................... May ............................................. 31/181 103 ¥103 

April 23—May 22 ............................................................................ June ............................................ 30/181 99 ¥99 

May 23—June 22 ............................................................................ July ............................................. 31/181 103 ¥103 

June 23—June 30th ........................................................................ August ........................................ 8/181 27 ¥27 

Total ......................................................................................... ..................................................... 181/181 601 ¥601 

† Contracts rounded to the nearest integer. 


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Futures equivalent position on January 2 

Total Notional Quantity = Remaining swap 

term * 100,000 bbls/month = 596,685 

bbls 

1,000 bbl = 1 futures contract 

Therefore 596,685 bbls/1,000 bbls/contract = 

597 futures equivalent contracts 

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

+ 31 + 30 = 180 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 2 (EXAMPLE 1 CONTINUED) 

Dates swap in force Referent futures month Fraction of 

days 

Company A 

position 

(long) †

Company B 

position 

(short) †

January 2—January 22 ................................................................... February ..................................... 21/180 70 ¥70 

January 23—February 22 ............................................................... March ......................................... 31/180 103 ¥103 

February 23—March 22 .................................................................. April ............................................ 28/180 93 ¥93 

March 23—April 22 ......................................................................... May ............................................. 31/180 103 ¥103 

April 23—May 22 ............................................................................ June ............................................ 30/180 99 ¥99 

May 23—June 22 ............................................................................ July ............................................. 31/180 103 ¥103 

June 23—June 30th ........................................................................ August ........................................ 8/180 27 ¥27 

Total ......................................................................................... ..................................................... 180/180 597 ¥597 

† Contracts rounded to the nearest integer. 

EXAMPLE 2—FIXED FOR FLOATING CORN SWAP

Reference Price ................................................... Daily official next to expire contract price for the CBOT Corn Futures Contract in $/bushel 

through the CBOT spot month. 

Fixed Price .......................................................... $5.00 per bushel per month. 

Floating Price ...................................................... The arithmetic average of the reference price during the pricing period. 

Calculation Period ............................................... One month. 

Notional Quantity ................................................. 1,000,000 bushels/month. 

Fixed Price Payer ................................................ Company A. 

Floating Price Payer ............................................ Company B. 

Settlement Type .................................................. Financial. 

Swap Term .......................................................... Six full months from January 1 to June 30. 

Floating Amount .................................................. Floating Price * Notional Quantity. 

Fixed Amount ...................................................... Fixed Price * Notional Quantity. 

Last trading day in the nearby CBOT Corn 

futures contract is the business day preceding 

the 15th of the contract month. For simplicity 

in this example, the last trading day in each 

Corn futures contract is shown as the 14th of 

the month. Futures contract months for corn 

are March, May, July, September, and 

December. 

Futures Equivalent Position on January 1 

Total Notional Quantity = 6 contract months 

* 1,000,000 bushels/month = 6,000,000 

bushels 

5,000 bushels = 1 futures contract 

Therefore 6,000,000 bushels/5,000 bushels/ 

contract = 1,200 futures equivalent 

contracts 

Total days = 31 + 28 + 31 + 30 + 31 + 30 

= 181 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Referent futures month Fraction of days 

Company A 

position 

(long) †

Company B 

position 

(short) †

January 1–March 14 ................................................... March ............................... 73/181 483 ¥483 

March 15–May 14 ....................................................... May .................................. 61/181 404 ¥404 

May 15–June 30 ......................................................... July ................................... 47/181 311 ¥311 

Total ..................................................................... .......................................... 181/181 1,198 ¥1,198 

† Contracts rounded to the nearest integer. 

EXAMPLE 3—FIXED FOR FLOATING NY RBOB (PLATTS) CALENDAR SWAP FUTURES

Reference Price ................................................... Platts Oilgram next to expire contract Price Report for New York RBOB (Barge) through the 

NYMEX spot month. 

Fixed Price .......................................................... $1.8894 per gallon. 

Floating Price ...................................................... For each contract month, the floating price is equal to the arithmetic average of the high and 

low quotations from Platts Oilgram Price Report for New York RBOB (Barge) for each business day that it is determined during the contract month. 

Calculation Period ............................................... One quarter. 

Notional Quantity ................................................. 84 million gallons/quarter. 

Fixed Price Payer ................................................ Company A. 

Floating Price Payer ............................................ Company B. 

Settlement Type .................................................. Financial. 

Swap Term .......................................................... Six full months from January 1 to June 30. 


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Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43867 

EXAMPLE 3—FIXED FOR FLOATING NY RBOB (PLATTS) CALENDAR SWAP FUTURES—Continued 

Floating Amount .................................................. Floating Price * Notional Quantity. 

Fixed Amount ...................................................... Fixed Price * Notional Quantity. 

NYMEX NY RBOB (Platts) Calendar Swap 

Futures Contract month ends on the final 

business day of the contract month. For 

simplicity in this example, the last trading 

day in each futures contract is shown as the 

final day of the month. 

Futures Equivalent Position on January 1 

Total Notional Quantity = 2 quarters * 84 

million = 168 million gallons 

42,000 gallons = 1 futures contract 

Therefore 168 million/42,000 gallons/futures 

contract = 4,000 futures equivalent 

contracts 

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

+ 31 + 30 = 181 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Referent futures month Fraction of days 

Company A 

position 

(long) †

Company B 

position 

(short) †

January 1–March 31 ................................................... April .................................. 90/181 1989 ¥1989 

April 1–June 30 ........................................................... July ................................... 91/181 2011 ¥2011 

Total ..................................................................... .......................................... 181/181 4000 ¥4000 

† Contracts rounded to the nearest integer. 

EXAMPLE 4—CALENDAR SPREAD SWAP

Reference Price ................................................... The difference between the next to expire contract price for the NYMEX WTI Futures contract 

and the deferred contract price for the NYMEX WTI Futures contract. 

Fixed Price .......................................................... $80 per barrel. 

Floating Price ...................................................... The arithmetic average of the reference price during the pricing period. 

Calculation Period ............................................... One month. 

Notional Quantity ................................................. 100,000 bbls/month. 

Fixed Price Payer ................................................ Company A. 

Floating Price Payer ............................................ Company B. 

Settlement Type .................................................. Financial. 

Swap Term .......................................................... Six full months from January 1 to June 30. 

Floating Amount .................................................. Floating Price * Notional Quantity. 

Fixed Amount ...................................................... Fixed Price * Notional Quantity. 

NYMEX WTI trading in the next to expire 

futures contract ceases on the third business 

day prior to the 25th of the calendar month 

preceding the contract month. For simplicity 

in this example, the last trading day in each 

WTI futures contract is shown as the 22nd of 

the month. 

Futures Equivalent Position on January 1 

Total Notional Quantity = 6 months * 

100,000 bbls/month = 600,000 bbls 

1,000 bbl = 1 futures contract 

Therefore 600,000 bbls/1,000 bbls/contract = 

600 futures equivalent contracts 

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

+ 31 + 30 = 181 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Fraction of 

days 

Applicable 

next to 

expire 

futures 

month 

Company A 

position 

(long)†

Company B 

position 

(short)†

Applicable 

deferred futures month 

Company A 

position 

(short)†

Company B 

position 

(long)†

January 1—January 22 .... 22/181 February ...... 73 ¥73 March .......... ¥73 73 

January 23—February 22 31/181 March .......... 103 ¥103 April ............. ¥103 103 

February 23—March 22 .... 28/181 April ............. 93 ¥93 May ............. ¥93 93 

March 23—April 22 ........... 31/181 May ............. 103 ¥103 June ............ ¥103 103 

April 23—May 22 .............. 30/181 June ............ 99 ¥99 July .............. ¥99 99 

May 23—June 22 ............. 31/181 July .............. 103 ¥103 August ......... ¥103 103 

June 23—June 30th ......... 8/181 August ......... 27 ¥27 September .. ¥27 27 

Total ........................... 181/181 ..................... 601 ¥601 ..................... ¥601 601 

† Contracts rounded to the nearest integer. 


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43868 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

EXAMPLE 5—COLUMBIA GULF, MAINLINE MIDPOINT (‘‘MIDPOINT’) BASIS SWAP

Reference Price ................................................... The Platts Gas Daily Columbia Gulf, Mainline Midpoint (‘‘Midpoint’’) and the next to expire 

NYMEX (Henry Hub) Natural Gas Futures contract. 

Fixed Price .......................................................... $0.05 per MMBtu. 

Floating Price ...................................................... The Floating Price will be equal to the arithmetic average of the daily value of the Platts Gas 

Daily Columbia Gulf, Mainline Midpoint (‘‘Midpoint’’) minus the NYMEX (Henry Hub) Natural 

Gas Futures contract daily settlement price. 

Calculation Period ............................................... Monthly. 

Notional Quantity ................................................. 10,000 MMBtu/calendar day. 

Fixed Price Payer ................................................ Company A. 

Floating Price Payer ............................................ Company B. 

Settlement type ................................................... Financial. 

Swap Term .......................................................... One month from January 1 to January 31. 

Floating Amount .................................................. Floating Price * Notional Quantity * calendar days in the month. 

Fixed Amount ...................................................... Fixed Price * Notional Quantity * calendar days in the month.

NYMEX Henry Hub Natural Gas Futures 

Contract trading ceases three business days 

prior to the first day of the delivery month. 

For simplicity in this example, the last 

trading day in the futures contract is shown 

as the 28th of the month. 

Futures Equivalent Position on January 1 

Total Notional Quantity for each leg = 1 

month * 31 days/month * 10,000 

MMBtu/day = 310,000 MMBtu 

10,000 MMBtu = 1 futures contract 

Therefore 310,000 MMBtu/10,000 MMBtu/ 

contract = 31 futures equivalent 

contracts 

Total number of days = 31 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Fraction 

of days 

Referent 

futures 

month 

Company A 

position in 

Columbia 

Gulf, 

Mainline 

Midpoint 

(‘‘Midpoint’’) 

natural gas 

(long) MMBtu 

Company A 

Position in 

NYMEX 

(Henry Hub) 

natural gas 

futures 

(short) 

Company B 

position in 

Columbia 

Gulf, 

Mainline 

Midpoint 

(‘‘Midpoint’’) 

natural gas 

(short) MMBtu 

Company B 

position in 

NYMEX 

(Henry Hub) 

natural gas 

futures 

(long) 

January 1—January 28 .............................. 28/31 February ...... ††† ¥28 ††† 28 

January 29—January 31 ............................ 3/31 March .......... ........................ ¥3 ........................ 3 

Total .................................................... 31/31 ..................... ........................ ¥31 ........................ 31 

††† Note: Because there is no underlying position taken in a basis contract, for reporting purposes, only enter the futures equivalent contract 

quantities into the corresponding futures. 

EXAMPLE 6—WTI SWAPTION (CALL) 

Swaption Style .................................................... American. 

Option Type ......................................................... Call. 

Swaption Start Date ............................................ Jan 1 of the current year. 

Swaption End Date ............................................. June 30 of the current year. 

Strike Price .......................................................... $80.50/bbl. 

Notional Quantity ................................................. 100,000 bbl/month. 

Calculation Period ............................................... One month. 

Reference Price ................................................... Daily official next to expire contract price for WTI NYMEX Crude Oil Futures Contract in $/bbl 

through the NYMEX spot month. 

Fixed Price .......................................................... $80.00 per barrel per month. 

Floating Price ...................................................... The arithmetic average of the reference price during the pricing period. 

Settlement Type .................................................. Financial. 

Swap Term .......................................................... One month from July 1 to July 31 of the current year. 

Floating Amount .................................................. Floating Price * Notional Quantity. 

Fixed Amount ...................................................... Fixed Price * Notional Quantity. 

NYMEX WTI trading ceases on the third 

business day prior to the 25th of the calendar 

month preceding the delivery month. For 

simplicity in this example, the last trading 

day in each WTI futures contract is shown as 

the 22nd of the month. 

Futures Equivalent Position on January 1 

Total Notional Quantity = 1 month*100,000 

bbls/month=100,000 bbls 

1,000 bbl = 1 futures contract 

Therefore 100,000 bbls/1,000 bbls/contract = 

100 futures equivalent contracts 

Total number of days = 31 


emcdonald on DSK2BSOYB1PROD with RULES
Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43869 

GROSS POSITION ON JANUARY 1 

Dates swap in force Referent futures month Fraction of 

days 

Company A 

position 

(long)†

Company B 

position 

(short)†

July 1 –July 22 ................................................................................ August ........................................ 22/31 70 ¥70 

July 23—July 31 ............................................................................. September .................................. 9/31 29 ¥29 

Total ......................................................................................... ..................................................... 31/31 99 ¥99 

† Contracts rounded to the nearest integer. 

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

Date 

August September 

Delta Position Delta Position 

January 1 .................................................................... .2 ...................................... 14 .2 5 

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

EXAMPLE 7—WTI COLLAR SWAP

Swaption Style .................................................... American. 

Swaption Start Date ............................................ Jan 1 of the current year. 

Swaption End Date ............................................. June 30 of the current year. 

Call strike Price ................................................... $70.00 per bbl. 

Put strike price .................................................... $90.00 per bbl. 

Notional Quantity ................................................. 100,000 barrels per month. 

Calculation Period ............................................... One month. 

Reference Price ................................................... Daily official next to expire contract price for WTI NYMEX Crude Oil in $/bbl through the 

NYMEX spot month. 

Fixed Price .......................................................... $80.00 per barrel. 

Floating Price ...................................................... The arithmetic average of the reference price during the pricing period. 

Settlement Type .................................................. Financial. 

Swap Term .......................................................... One month from July 1 to July 31 of the current year. 

Floating Amount .................................................. Floating Price * Notional Quantity. 

Fixed Amount ...................................................... Fixed Price * Notional Quantity. 

NYMEX WTI trading ceases on the third 

business day prior to the 25th of the calendar 

month preceding the delivery month. For 

simplicity in this example, the last trading 

day in each WTI futures contract is shown as 

the 22nd of the month. 

Futures Equivalent Position on January 1 

Total Notional Quantity = 1 month * 100,000 

bbls/month = 100,000 bbls 

1,000 bbl = 1 futures contract 

Therefore 100,000 bbls/1,000 bbls/contract = 

100 futures equivalent contracts 

Total number of days = 31 

GROSS POSITION ON JANUARY 1 

Dates swap in force Referent futures month 

Fraction 

of days 

Company A 

position 

Company B 

position 

Call Put Call Put 

July 1–July 22 ........................ August ........... 22/31 70 .97 70 .97 ¥70 .97 ¥70 .97 

July 23–July 31 ...................... September ..... 9/31 29 .03 29 .03 ¥29 .03 ¥29 .03 

Total ................................ ........................ 31/31 100 100 ¥100 ¥100 

COMPANY (A) DELTA† ADJUSTED POSITION ON JANUARY 1 

Date 

August September 

Long call Short put Long call Short put 

Delta Position Delta Position Delta Delta Position 

January 1 ......................... .7 49 .3 ¥21 .7 20 .3 ¥8 

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


emcdonald on DSK2BSOYB1PROD with RULES
43870 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

FUTURES EQUIVALENT POSITION ON JANUARY 1 

Date 

August†† September††

Long Short Long Short 

January 1 ................................................................................. 70 0 28 0 

†† Contracts rounded to the nearest integer. 

Appendix B to Part 20—Explanatory 

Guidance on Data Record Layouts 

Record Layout Examples for § 20.3 

The following example (in Tables 1, 2 and 

3) covers reporting for a particular clearing 

organization. ‘‘Clearing Organization One’’ 

would report, for the 27th of September 2010, 

the following eleven unique data record 

submissions. Each data record submission 

represents a unique position, as indicated by 

§ 20.3, held by a clearing member of Clearing 

Organization One. Paragraph (a) of § 20.3 

broadly outlines the data elements that 

determine unique positions for reports on 

clearing member positions. Paragraphs (b) of 

§ 20.3 present all of the data elements that 

should be submitted in reference to a 

particular data record for a particular clearing 

member (in Table 1). Paragraph (c) identifies 

data elements that would comprise end of 

day record data on cleared products (in 

Tables 2 and 3). Therefore, paragraphs (b) 

and (c) of § 20.3 present all of the data 

elements that should be submitted in 

reference to a particular data record. 

Because CFTC designated Clearing 

Organization One (in this example) currently 

has two clearing members, ‘‘Clearing Member 

One’’ and ‘‘Clearing Member Two,’’ positions 

cleared for these two distinct clearing 

members would be subdivided. 

In the following example it is assumed that 

the clearing member accounts are either 

proprietary or customer (but not both) and 

therefore data record submissions do not 

have to be delineated by these account types. 

However, if clearing members did have both 

proprietary and customer accounts, then a 

clearing organization would have to further 

subdivide these clearing member data 

records by these two account types. 

Clearing Member One currently has five 

positions with multiple cleared product IDs 

and futures equivalent months/years, and 

therefore these positions also constitute 

separate data records. 

Clearing Member Two currently has six 

positions with the following varying 

characteristics: Cleared product IDs; futures 

equivalent months/years; commodity 

reference prices; swaption positions that 

involve both puts and calls; and multiple 

strike prices. Accordingly, these positions 

must be reported in separate data records. An 

illustration of how these records would 

appear is included in Table 1 below. Clearing 

Organization One would also have to report 

the corresponding swaption position deltas, 

strike prices, expiration dates, and settlement 

prices and swap settlement prices. An 

illustration of these submissions is included 

in Tables 2 and 3 below. 

TABLE 1—DATA RECORDS REPORTED UNDER PARAGRAPHS (a) AND (b) OF § 20.3 

Data records CFTC clearing org ID 

Clearing org 

clearing 

member ID 

Clearing org 

cleared product ID Reporting day 

Proprietary/ 

customer 

account indicator 

Futures 

equivalent 

month and 

year 

Commodity 

reference 

price 

Data record 1 .......................... CCO_ID_1 .... CM_ID_2 ...... CP_04 .......... 9/27/2010 ..... C .................. Nov-10 ......... NYMEX NY 

Harbor 

No.2. 

Data record 2 .......................... CCO_ID_1 .... CM_ID_2 ...... CP_04 .......... 9/27/2010 ..... C .................. Oct-10 .......... NYMEX NY 

Harbor 

No.2. 

Data record 3 .......................... CCO_ID_1 .... CM_ID_2 ...... CP_02 .......... 9/27/2010 ..... C .................. Nov-10 ......... NYMEX 

Henry Hub. 

Data record 4 .......................... CCO_ID_1 .... CM_ID_2 ...... CP_02 .......... 9/27/2010 ..... C .................. Oct-10 .......... NYMEX 

Henry Hub. 

Data record 5 .......................... CCO_ID_1 .... CM_ID_2 ...... CP_02 .......... 9/27/2010 ..... C .................. Nov-10 ......... NYMEX 

Henry Hub. 

Data record 6 .......................... CCO_ID_1 .... CM_ID_2 ...... CP_02 .......... 9/27/2010 ..... C .................. Oct-10 .......... NYMEX 

Henry Hub. 

Data record 7 .......................... CCO_ID_1 .... CM_ID_1 ...... CP_03 .......... 9/27/2010 ..... P ................... Mar-11 .......... NYMEX Light 

Sweet. 

Data record 8 .......................... CCO_ID_1 .... CM_ID_1 ...... CP_03 .......... 9/27/2010 ..... P ................... Feb-11 .......... NYMEX Light 

Sweet. 

Data record 9 .......................... CCO_ID_1 .... CM_ID_1 ...... CP_01 .......... 9/27/2010 ..... P ................... Mar-11 .......... NYMEX Light 

Sweet. 

Data record 10 ........................ CCO_ID_1 .... CM_ID_1 ...... CP_01 .......... 9/27/2010 ..... P ................... Feb-11 .......... NYMEX Light 

Sweet. 

Data record 11 ........................ CCO_ID_1 .... CM_ID_1 ...... CP_01 .......... 9/27/2010 ..... P ................... Jan-11 .......... NYMEX Light 

Sweet. 

NDR ........................................ Yes ............... Yes ............... Yes ............... Yes ............... Yes ............... Yes ............... No. 

Data records Long swap 

position 

Short swap 

position 

Put/call 

indicator 

Swaption 

expiration 

date 

Swaption 

strike price 

Non-delta 

adjusted long 

swaption 

position 

Non-delta 

adjusted 

short 

swaption 

position 

Data record 1 .......................... 0 ................... 5000 

Data record 2 .......................... 0 ................... 2000 

Data record 3 .......................... ...................... ...................... C .................. 7/29/2011 ..... 5.59 .............. 2000 ............. 0 


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Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43871 

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 4 .......................... ...................... ...................... C .................. 7/29/2011 ..... 5.59 .............. 18000 ........... 0 

Data record 5 .......................... ...................... ...................... P ................... 7/29/2011 ..... 5.50 .............. 100 ............... 30 

Data record 6 .......................... ...................... ...................... P ................... 7/29/2011 ..... 5.50 .............. 900 ............... 270 

Data record 7 .......................... 5000 ............. 0 

Data record 8 .......................... 5000 ............. 0 

Data record 9 .......................... 429 ............... 1286 

Data record 10 ........................ 2281 ............. 6843 

Data record 11 ........................ 1290 ............. 3871 

NDR ........................................ No ................ No ................ Yes ............... Yes ............... Yes ............... No ................ No. 

Note: The bottom row of Table 1 indicates 

whether data elements for which any 

difference in one of the elements constitutes 

a reason for a new data record (NDR). 

TABLE 2—EXAMPLE OF DATA RECORDS REQUIRED UNDER § 20.3(C) FOR CLEARED SWAPTION PRODUCTS

Data records CFTC clearing org 

ID 

Clearing 

org 

cleared 

product 

ID 

Reporting 

day 

Futures equivalent month and 

year 

Commodity reference price 

Swaption 

expiration 

date 

Swaption 

strike 

price 

Put/call 

indicator Delta 

Swaption 

daily settlement 

price 

Data record 1 ..... CCO_ID_1 CP_02 9/27/2010 Nov-10 ............... NYMEX Henry 

Hub.

7/29/2011 5.59 C .5 6.25 

Data record 2 ..... CCO_ID_1 CP_02 9/27/2010 Oct-10 ................ NYMEX Henry 

Hub.

7/29/2011 5.59 C .5 5.50 

Data record 3 ..... CCO_ID_1 CP_02 9/27/2010 Nov-10 ............... NYMEX Henry 

Hub.

7/29/2011 5.50 P .2 4.53 

Data record 4 ..... CCO_ID_1 CP_02 9/27/2010 Oct-10 ................ NYMEX Henry 

Hub.

7/29/2011 5.50 P .2 4.78 

TABLE 3—EXAMPLE OF DATA RECORDS REQUIRED UNDER § 20.3(C) FOR CLEARED SWAP PRODUCTS

Data records CFTC clearing 

org ID 

Clearing org 

cleared product ID Reporting day 

Futures 

equivalent 

month and 

year 

Commodity reference price 

Swap daily 

settlement 

price 

Data record 1 ....................... CCO_ID_1 CP_04 9/27/2010 Nov-10 ......... NYMEX NY Harbor No. 2 ... 20.35 

Data record 2 ....................... CCO_ID_1 CP_04 9/27/2010 Oct-10 .......... NYMEX NY Harbor No. 2 ... 10.50 

Data record 3 ....................... CCO_ID_1 CP_03 9/27/2010 Mar-11 .......... NYMEX Light Sweet ........... 15.00 

Data record 4 ....................... CCO_ID_1 CP_03 9/27/2010 Feb-11 .......... NYMEX Light Sweet ........... 21.00 

Data record 5 ....................... CCO_ID_1 CP_01 9/27/2010 Mar-11 .......... NYMEX Light Sweet ........... 17.50 

Data record 6 ....................... CCO_ID_1 CP_01 9/27/2010 Feb-11 .......... NYMEX Light Sweet ........... 21.65 

Data record 7 ....................... CCO_ID_1 CP_01 9/27/2010 Jan-11 .......... NYMEX Light Sweet ........... 12.50 

First Record Layout Example for § 20.4: 

This first example shows the data records 

generated under § 20.4 by a single reporting 

firm for report date September 27, 2011. Each 

data record represents a unique part of a 

reportable position in heating oil and natural 

gas by the reporting entity and its 

counterparties. Paragraph (b) of § 20.4 

outlines the data elements that determine 

unique positions. 

In this example, the reporting entity clears 

with one clearing organization and therefore 

the data records do not have to be delineated 

by clearing organization (there is a reportable 

position stemming from an uncleared 

transaction included as well). However, if the 

reporting entity in this example used 

multiple clearing organizations, then it 

would have to further subdivide its data 

submissions by each clearing organization. 

The reporting entity reports fifteen records; 

six principal positions and nine counterparty 

positions. The reported positions constitute 

separate data records because they vary by 

the following characteristics: swap 

counterparties; futures equivalent months/ 

years; clearing organization cleared products; 

swaptions that were either cleared or 

uncleared; commodity reference prices; and 

whether the trade was entered into on or off 

execution facilities. An illustration of how 

these records would be reported is included 

in Table 4 below. 

For the calculation of notional values, 

assume for simplicity that the price of 

heating oil, for all contract months and for 

both reference prices, is $3/gal. Similarly, 

assume that the price of natural gas for all 

contract months is $4.25/MMBtu. 

Note: The bottom two rows in Table 4 

indicate whether, for uncleared and cleared 

swaps and swaptions, data elements for 

which any difference in one of the elements 

constitutes a reason for a new data record 

(NDR). 


emcdonald on DSK2BSOYB1PROD with RULES
43872 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

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

Data records 

Commission 

reporting entity ID 

Principal/ 

counterparty 

position indicator 

102S Swap 

counterparty 

ID 

Counterparty name Reporting day 

Clearing org 

cleared 

product ID 

Commodity 

code 

Futures 

equivalent 

month and 

year 

Data record 1 ................................... CRE_ID_1 .. PRIN ........... .................... .......................... 9/27/2011 ..... CPID_05 ......... HO .............. Jan-12 

Data record 2 ................................... CRE_ID_1 .. COUNT ...... CP_01 ........ Energy_Firm_1 9/27/2011 ..... CPID_05 ......... HO .............. Jan-12 

Data record 3 ................................... CRE_ID_1 .. COUNT ...... CP_02 ........ Energy_Firm_2 9/27/2011 ..... CPID_05 ......... HO .............. Jan-12 

Data record 4 ................................... CRE_ID_1 .. PRIN ........... .................... .......................... 9/27/2011 ..... CPID_04 ......... HO .............. Feb-12 

Data record 5 ................................... CRE_ID_1 .. COUNT ...... CP_03 ........ Energy_Firm_3 9/27/2011 ..... CPID_04 ......... HO .............. Feb-12 

Data record 6 ................................... CRE_ID_1 .. PRIN ........... .................... .......................... 9/27/2011 ..... CPID_04 ......... HO .............. Mar-12 

Data record 7 ................................... CRE_ID_1 .. COUNT ...... CP_04 ........ ABC_Firm ......... 9/27/2011 ..... CPID_04 ......... HO .............. Mar-12 

Data record 8 ................................... CRE_ID_1 .. PRIN ........... .................... .......................... 9/27/2011 ..... CDIP_07 ......... NG .............. Mar-12 

Data record 9 ................................... CRE_ID_1 .. COUNT ...... CP_05 ........ XYZ_Firm ......... 9/27/2011 ..... CDIP_07 ......... NG .............. Mar-12 

Data record 10 ................................. CRE_ID_1 .. COUNT ...... CP_06 ........ WVU_Firm ........ 9/27/2011 ..... CDIP_07 ......... NG .............. Mar-12 

Data record 11 ................................. CRE_ID_1 .. COUNT ...... CP_01 ........ Energy_Firm_1 9/27/2011 ..... CDIP_07 ......... NG .............. Mar-12 

Data record 12 ................................. CRE_ID_1 .. PRIN ........... .................... .......................... 9/27/2011 ..... CDIP_07 ......... NG .............. Mar-12 

Data record 13 ................................. CRE_ID_1 .. COUNT ...... CP_07 ........ MNO_Firm ........ 9/27/2011 ..... CDIP_07 ......... NG .............. Mar-12 

Data record 14 ................................. CRE_ID_1 .. PRIN ........... .................... .......................... 9/27/2011 ..... UNCL ............. NG .............. Jan-12 

Data record 15 ................................. CRE_ID_1 .. COUNT ...... CP_02 ........ Energy_Firm_2 9/27/2011 ..... UNCL ............. NG .............. Jan-12 

NDR Uncleared ................................ Yes ............. Yes ............. Yes ............. No ..................... Yes ............... N/A ................. No ............... Yes 

NDR Cleared .................................... Yes ............. Yes ............. Yes ............. No ..................... Yes ............... Yes ................. No ............... Yes 

Data records 

Cleared/ 

uncleared 

indicator 

CFTC clearing org identifier 

Commodity reference price Execution 

facility 

Long swap 

position 

Short swap 

position 

Data record 1 ............................................... C ................. CCO_ID_1 .. Platts Oilgram Price Report for New York 

No. 2 (Barge).

EX1 ............ 200 

Data record 2 ............................................... C ................. CCO_ID_1 .. Platts Oilgram Price Report for New York 

No. 2 (Barge).

EX1 ............ 50 

Data record 3 ............................................... C ................. CCO_ID_1 .. Platts Oilgram Price Report for New York 

No. 2 (Barge).

EX1 ............ 150 

Data record 4 ............................................... C ................. CCO_ID_1 .. NYMEX NY Harbor No.2 ............................. EX2 ............ 350 

Data record 5 ............................................... C ................. CCO_ID_1 .. NYMEX NY Harbor No.2 ............................. EX2 ............ 350 

Data record 6 ............................................... C ................. CCO_ID_1 .. NYMEX NY Harbor No.2 ............................. EX1 ............ 100 

Data record 7 ............................................... C ................. CCO_ID_1 .. NYMEX NY Harbor No.2 ............................. EX1 ............ 100 

Data record 8 ............................................... C ................. CCO_ID_1 .. NYMEX Henry Hub ...................................... EX3 ............ 200 100 

Data record 9 ............................................... C ................. CCO_ID_1 .. NYMEX Henry Hub ...................................... EX3 ............ 125 

Data record 10 ............................................. C ................. CCO_ID_1 .. NYMEX Henry Hub ...................................... EX3 ............ 75 

Data record 11 ............................................. C ................. CCO_ID_1 .. NYMEX Henry Hub ...................................... EX3 ............ 100 

Data record 12 ............................................. C ................. CCO_ID_1 .. NYMEX Henry Hub ...................................... EX1 ............

Data record 13 ............................................. C ................. CCO_ID_1 .. NYMEX Henry Hub ...................................... EX1 ............

Data record 14 ............................................. U ................. U ................. NYMEX Henry Hub ...................................... NOEX .........

Data record 15 ............................................. U ................. U ................. NYMEX Henry Hub ...................................... NOEX .........

NDR Uncleared ............................................ Yes ............. N/A ............. Yes ............................................................... Yes ............. No No 

NDR Cleared ................................................ Yes ............. Yes ............. No ................................................................ Yes ............. No No 

Data records Put/call 

indicator 

Swaption 

expiration date 

Swaption 

strike 

price 

Non-delta 

adjusted 

long 

swaption 

position 

Non-delta 

adjusted 

short 

swaption 

position 

Delta 

adjusted 

long 

swaption 

position 

Delta 

adjusted 

short 

swaption 

position 

Long swap or 

swaption 

notional value 

position 

Short swap or 

swaption 

otional value 

position 

Data record 1 .............................. .................. ....................... ................ .................. .................. ................ ................ $25,200,000 

Data record 2 .............................. .................. ....................... ................ .................. .................. ................ ................ $6,300,000 

Data record 3 .............................. .................. ....................... ................ .................. .................. ................ ................ $18,900,000 

Data record 4 .............................. .................. ....................... ................ .................. .................. ................ ................ $44,100,000 

Data record 5 .............................. .................. ....................... ................ .................. .................. ................ ................ $44,100,000 

Data record 6 .............................. .................. ....................... ................ .................. .................. ................ ................ $12,600,000 

Data record 7 .............................. .................. ....................... ................ .................. .................. ................ ................ $12,600,000 

Data record 8 .............................. .................. ....................... ................ .................. .................. ................ ................ $8,500,000 $4,250,000 

Data record 9 .............................. .................. ....................... ................ .................. .................. ................ ................ $5,312,500 

Data record 10 ............................ .................. ....................... ................ .................. .................. ................ ................ $3,187,500 

Data record 11 ............................ .................. ....................... ................ .................. .................. ................ ................ $4,250,000 

Data record 12 ............................ C .............. 2/27/2012 ...... 4.00 ........ 100 ........... .................. 80 ........... ................ $3,400,000 

Data record 13 ............................ C .............. 2/27/2012 ...... 4.00 ........ .................. 100 ........... ................ 80 ........... $3,400,000 

Data record 14 ............................ C .............. 12/27/2011 .... 4.25 ........ 100 ........... .................. 95 ........... ................ $4,037,500 

Data record 15 ............................ C .............. 12/27/2011 .... 4.25 ........ .................. 100 ........... ................ 95 ........... $4,037,500 

NDR Uncleared ........................... Yes ........... Yes ................ Yes ......... No ............ No ............ No .......... No .......... No No 

NDR Cleared ............................... Yes ........... Yes ................ Yes ......... No ............ No ............ No .......... No .......... No No 

Second Record Layout Example for § 20.4: 

In this second example, the data records 

generated by § 20.4(c) are displayed for a 

hypothetical swap, as detailed in Example 1 

of Appendix A. In contrast to the above 

example, this second example of a § 20.4(c) 

data record is simplistic in that it displays a 

situation where the position records arise 

from a single swap transaction, in one 

commodity, with a single counterparty. 

For the sake of this example, assume the 

swap dealer gained long exposure from the 

swap, and that the swap was cleared. The 

price of crude is assumed to be $100/bbl for 

all contract months on January 1 and $95/bbl 

for all contract months on January 2. An 

illustration of the data records generated for 

January 1, 2011 and January 2, 2011 as a 

result of this hypothetical swap can be found 

in Tables 5 and 6, respectively. 


emcdonald on DSK2BSOYB1PROD with RULES
Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 43873 

TABLE 5—EXAMPLE OF DATA RECORDS REPORTED UNDER § 20.4(c) FOR JANUARY 1, 2011 (APPX A, EXAMPLE 1) 

Data records 

Commission 

reporting entity ID 

Principal/ 

counterparty 

position indicator 

102S swap 

counterparty 

ID 

Counterparty 

Name Reporting day 

Clearing org 

cleared 

product ID 

Commodity 

code 

Futures 

equivalent 

month and 

year 

Data record 1 ................................... SD_1 .......... PRIN ........... .................... .......................... 1/1/2011 ....... CPID_03 ......... CL .............. Feb-11 

Data record 2 ................................... SD_1 .......... PRIN ........... .................... .......................... 1/1/2011 ....... CPID_03 ......... CL .............. Mar-11 

Data record 3 ................................... SD_1 .......... PRIN ........... .................... .......................... 1/1/2011 ....... CPID_03 ......... CL .............. Apr-11 

Data record 4 ................................... SD_1 .......... PRIN ........... .................... .......................... 1/1/2011 ....... CPID_03 ......... CL .............. May-11 

Data record 5 ................................... SD_1 .......... PRIN ........... .................... .......................... 1/1/2011 ....... CPID_03 ......... CL .............. Jun-11 

Data record 6 ................................... SD_1 .......... PRIN ........... .................... .......................... 1/1/2011 ....... CPID_03 ......... CL .............. Jul-11 

Data record 7 ................................... SD_1 .......... PRIN ........... .................... .......................... 1/1/2011 ....... CPID_03 ......... CL .............. Aug-11 

Data record 8 ................................... SD_1 .......... COUNT ...... CP_01 ........ Energy_Firm_1 1/1/2011 ....... CPID_03 ......... CL ............... Feb-11 

Data record 9 ................................... SD_1 .......... COUNT ...... CP_01 ........ Energy_Firm_1 1/1/2011 ....... CPID_03 ......... CL ............... Mar-11 

Data record 10 ................................. SD_1 .......... COUNT ...... CP_01 ........ Energy_Firm_1 1/1/2011 ....... CPID_03 ......... CL .............. Apr-11 

Data record 11 ................................. SD_1 .......... COUNT ...... CP_01 ........ Energy_Firm_1 1/1/2011 ....... CPID_03 ......... CL .............. May-11 

Data record 12 ................................. SD_1 .......... COUNT ...... CP_01 ........ Energy_Firm_1 1/1/2011 ....... CPID_03 ......... CL .............. Jun-11 

Data record 13 ................................. SD_1 .......... COUNT ...... CP_01 ........ Energy_Firm_1 1/1/2011 ....... CPID_03 ......... CL .............. Jul-11 

Data record 14 ................................. SD_1 .......... COUNT ...... CP_01 ........ Energy_Firm_1 1/1/2011 ....... CPID_03 ......... CL .............. Aug-11 

Data records 

Cleared/ 

uncleared 

indicator 

CFTC clearing org identifier 

Commodity reference price Execution 

facility 

Long 

swap position 

Short 

swap position 

Data record 1 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 73 

Data record 2 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 103 

Data record 3 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 93 

Data record 4 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 103 

Data record 5 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 99 

Data record 6 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 103 

Data record 7 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 27 

Data record 8 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 73 

Data record 9 ....................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 103 

Data record 10 ..................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 93 

Data record 11 ..................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 103 

Data record 12 ..................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 99 

Data record 13 ..................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 103 

Data record 14 ..................................................... C ................. CCO_ID_1 .. NYMEX Light Sweet ............................ EX1 ............ 27 

Data records Put/call indicator 

Swaption expiration date 

Swaption 

strike 

price 

Non-delta 

adjusted 

long 

swaption 

position 

Non-delta 

adjusted 

short 

swaption 

position 

Delta adjusted 

long 

swaption 

position 

Delta adjusted 

long 

swaption 

position 

Long swap or 

swaption notional value position 

Short swap or 

swaption notional value position 

Data record 1 .............................. .................. ....................... ................ .................. .................. ................ ................ $7,300,000 .....

Data record 2 .............................. .................. ....................... ................ .................. .................. ................ ................ $10,300,000 ...

Data record 3 .............................. .................. ....................... ................ .................. .................. ................ ................ $9,300,000 .....

Data record 4 .............................. .................. ....................... ................ .................. .................. ................ ................ $10,300,000 ...

Data record 5 .............................. .................. ....................... ................ .................. .................. ................ ................ $9,900,000 .....

Data record 6 .............................. .................. ....................... ................ .................. .................. ................ ................ $10,300,000 ...

Data record 7 .............................. .................. ....................... ................ .................. .................. ................ ................ $2,700,000 .....

Data record 8 .............................. .................. ....................... ................ .................. .................. ................ ................ ........................ $7,300,000 

Data record 9 .............................. .................. ....................... ................ .................. .................. ................ ................ ........................ $10,300,000 

Data record 10 ............................ .................. ....................... ................ .................. .................. ................ ................ ........................ $9,300,000 

Data record 11 ............................ .................. ....................... ................ .................. .................. ................ ................ ........................ $10,300,000 

Data record 12 ............................ .................. ....................... ................ .................. .................. ................ ................ ........................ $9,900,000 

Data record 13 ............................ .................. ....................... ................ .................. .................. ................ ................ ........................ $10,300,000 

Data record 14 ............................ .................. ....................... ................ .................. .................. ................ ................ ........................ $2,700,000 

TABLE 6—EXAMPLE OF DATA RECORDS REPORTED UNDER § 20.4(C) FOR JANUARY 2, 2011 (APPX A, EXAMPLE 1) 

Data records 

Commission 

reporting entity ID 

Principal/ 

counterparty 

position indicator 

102S Swap 

counterparty ID 

Counterparty name Reporting day 

Clearing org 

cleared 

product 

ID 

Commodity 

code 

Futures 

equivalent 

month and 

year 

Data record 1 ........................... SD_1 .......... PRIN ........... ............................. .......................... 1/2/2011 ....... CPID_03 ......... CL .............. Feb-11 

Data record 2 ........................... SD_1 .......... PRIN ........... ............................. .......................... 1/2/2011 ....... CPID_03 ......... CL .............. Mar-11 

Data record 3 ........................... SD_1 .......... PRIN ........... ............................. .......................... 1/2/2011 ....... CPID_03 ......... CL .............. Apr-11 

Data record 4 ........................... SD_1 .......... PRIN ........... ............................. .......................... 1/2/2011 ....... CPID_03 ......... CL .............. May-11 

Data record 5 ........................... SD_1 .......... PRIN ........... ............................. .......................... 1/2/2011 ....... CPID_03 ......... CL .............. Jun-11 

Data record 6 ........................... SD_1 .......... PRIN ........... ............................. .......................... 1/2/2011 ....... CPID_03 ......... CL .............. Jul-11 

Data record 7 ........................... SD_1 .......... PRIN ........... ............................. .......................... 1/2/2011 ....... CPID_03 ......... CL .............. Aug-11 

Data record 8 ........................... SD_1 .......... COUNT ...... Counterparty_1 ... Energy Firm ..... 1/2/2011 ....... CPID_03 ......... CL ............... Feb-11 

Data record 9 ........................... SD_1 .......... COUNT ...... Counterparty_1 ... Energy Firm ..... 1/2/2011 ....... CPID_03 ......... CL ............... Mar-11 

Data record 10 ......................... SD_1 .......... COUNT ...... Counterparty_1 ... Energy Firm ..... 1/2/2011 ....... CPID_03 ......... CL .............. Apr-11 

Data record 11 ......................... SD_1 .......... COUNT ...... Counterparty_1 ... Energy Firm ..... 1/2/2011 ....... CPID_03 ......... CL .............. May-11 

Data record 12 ......................... SD_1 .......... COUNT ...... Counterparty_1 ... Energy Firm ..... 1/2/2011 ....... CPID_03 ......... CL .............. Jun-11 

Data record 13 ......................... SD_1 .......... COUNT ...... Counterparty_1 ... Energy Firm ..... 1/2/2011 ....... CPID_03 ......... CL .............. Jul-11 

Data record 14 ......................... SD_1 .......... COUNT ...... Counterparty_1 ... Energy Firm ..... 1/2/2011 ....... CPID_03 ......... CL .............. Aug-11 

Data records 

Cleared/ 

uncleared 

indicator 

CFTC clearing org identifier 

Commodity reference price Execution 

facility 

Long swap 

position 

Short swap 

position 

Data record 1 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 70 


emcdonald on DSK2BSOYB1PROD with RULES
43874 Federal Register / Vol. 76, No. 141 / Friday, July 22, 2011 / Rules and Regulations 

Data records 

Cleared/ 

uncleared 

indicator 

CFTC clearing org identifier 

Commodity reference price Execution 

facility 

Long swap 

position 

Short swap 

position 

Data record 2 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 103 

Data record 3 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 93 

Data record 4 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 103 

Data record 5 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 99 

Data record 6 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 103 

Data record 7 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 27 

Data record 8 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 70 

Data record 9 ............................................. C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 103 

Data record 10 ........................................... C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 93 

Data record 11 ........................................... C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 103 

Data record 12 ........................................... C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 99 

Data record 13 ........................................... C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 103 

Data record 14 ........................................... C ................. CCO_ID_1 .. NYMEX Light Sweet .................................. EX1 ............ 27 

Data records Put/call indicator 

Swaption expiration date 

Swaption 

strike 

price 

Non-delta 

adjusted 

long 

swaption 

position 

Non-delta 

adjusted 

short 

swaption 

position 

Delta adjusted 

long 

swaption 

position 

Delta adjusted 

long 

swaption 

position 

Long swap or 

swaption notional value 

position 

Short swap or 

swaption notional value 

position 

Data record 1 .................................. .................. ....................... ................ .................. .................. ................ ................ $6,650,000 

Data record 2 .................................. .................. ....................... ................ .................. .................. ................ ................ $9,785,000 

Data record 3 .................................. .................. ....................... ................ .................. .................. ................ ................ $8,835,000 

Data record 4 .................................. .................. ....................... ................ .................. .................. ................ ................ $9,785,000 

Data record 5 .................................. .................. ....................... ................ .................. .................. ................ ................ $9,405,000 

Data record 6 .................................. .................. ....................... ................ .................. .................. ................ ................ $9,785,000 

Data record 7 .................................. .................. ....................... ................ .................. .................. ................ ................ $2,565,000 

Data record 8 .................................. .................. ....................... ................ .................. .................. ................ ................ $6,650,000 

Data record 9 .................................. .................. ....................... ................ .................. .................. ................ ................ $9,785,000 

Data record 10 ................................ .................. ....................... ................ .................. .................. ................ ................ $8,835,000 

Data record 11 ................................ .................. ....................... ................ .................. .................. ................ ................ $9,785,000 

Data record 12 ................................ .................. ....................... ................ .................. .................. ................ ................ $9,405,000 

Data record 13 ................................ .................. ....................... ................ .................. .................. ................ ................ $9,785,000 

Data record 14 ................................ .................. ....................... ................ .................. .................. ................ ................ $2,565,000 

Issued by the Commission this 7th day of 

July, 2011 in Washington, DC. 

David Stawick, 

Secretary of the Commission. 

Appendices to Large Trader Reporting 

for Physical Commodity Swaps— 

Commission Voting Summary and 

Statements of Commissioners 

Note: The following appendices will not 

appear in the Code of Federal Regulations. 

Appendix 1—Commission Voting 

Summary 

On this matter, Chairman Gensler and 

Commissioners Dunn, Sommers, O’Malia and 

Chilton voted in the affirmative; no 

Commissioner voted in the negative. 

Appendix 2—Statement of Chairman 

Gary Gensler 

I support the final rulemaking to establish 

large trader reporting for physical commodity 

swaps. This is a significant rulemaking that, 

for the first time, enables the CFTC to receive 

data from large traders in the commodity 

swaps markets. 

The American public has benefited for 

decades by the Commission’s ability to gather 

large trader data in the futures market and 

use that data to police the markets. Today’s 

large trader reporting rulemaking establishes 

that clearinghouses and swap dealers will 

have to report to the CFTC about the swaps 

activities of large traders in the physical 

swaps markets. 

Over time, as a result of the Dodd-Frank 

Act, the markets will benefit from swap data 

repositories. Today’s rulemaking will enable 

the Commission to gather important swaps 

data until there are robust, well-regulated 

swap data repositories. This data will be 

useful for the Commission to monitor and 

police the markets, including establishing 

and enforcing position limits. 

[FR Doc. 2011–18054 Filed 7–21–11; 8:45 am] 

BILLING CODE P 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Part 160 

RIN 3038–AD13 

Privacy of Consumer Financial 

Information; Conforming Amendments 

Under Dodd-Frank Act 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Final rule. 

SUMMARY: The Commodity Futures 

Trading Commission (‘‘Commission’’ or 

‘‘CFTC’’) is amending its rules 

implementing new statutory provisions 

enacted by titles VII and X of the DoddFrank Wall Street Reform and Consumer 

Protection Act (the ‘‘Dodd-Frank Act’’). 

Section 1093 of the Dodd-Frank Act 

provides for certain amendments to title 

V of the Gramm-Leach-Bliley Act (the 

‘‘GLB Act’’). The GLB Act sets forth 

certain protections for the privacy of 

consumer financial information and was 

amended by the Dodd-Frank Act to 

affirm the Commission’s jurisdiction in 

this area. The Commission’s 

amendments to its regulations, inter 

alia, broaden the scope of part 160 to 

cover two new entities created by title 

VII of the Dodd-Frank Act: swap dealers 

and major swap participants. 

DATES: Effective date: September 20, 

2011. 

Compliance dates: Futures 

commission merchants, commodity 

pool operators, commodity trading 

advisors, introducing brokers, and retail 

foreign exchange dealers shall be in 

compliance with these rules not later 

than November 21, 2011. Swap dealers 

and major swap participants shall be in 

compliance with these rules not later 

than 60 days after the effective date of 

the final entities definition rulemaking, 

which the Commission will publish in 

the Federal Register at a future date. 

FOR FURTHER INFORMATION CONTACT: Carl 

E. Kennedy, Counsel, Office of General 

Counsel, (202) 418–6625, e-mail: 

c_kennedy@cftc.gov, Commodity 

Futures Trading Commission, Three 

Lafayette Centre, 1155 21st Street, NW., 

Washington, DC 20581. 

SUPPLEMENTARY INFORMATION: 

I. Background 

Section 5g(b) of the CEA provides the 

Commission with the authority to 


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