67258 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 

1 7 U.S.C. 1 et seq. 

2See Dodd-Frank Wall Street Reform and 

Consumer Protection Act, Public Law 111–203, 124 

Stat. 1376 (2010). The text of the Dodd-Frank Act 

may be accessed at http://www.cftc.gov./ 

LawRegulation/OTCDERIVATIVES/index.htm. 

3Section 1a(20) of the Act defines the term 

‘‘exempt commodity’’ to mean a commodity that is 

not an excluded commodity or an agricultural 

commodity. Section 1a(19) defines the term 

‘‘excluded commodity’’ to mean, among other 

things, an interest rate, exchange rate, currency, 

credit risk or measure, debt or equity instrument, 

measure of inflation, or other macroeconomic index 

or measure. Although the term ‘‘agricultural 

commodity’’ is not defined in the Act, CEA section 

1a(9) enumerates a non-exclusive list of several 

agricultural-based commodities. The Commission 

will consider the issuance of a notice of rulemaking 

proposing a definition for the term ‘‘agricultural 

commodity’’ in October of 2010. Although broadly 

defined, exempt commodity futures contracts are 

often viewed as energy and metals products. 

existing regulations and to specifically 

remove them if they were regarding 

certain financial instruments. The 

Commission has completed the required 

review of its regulations and has 

identified seven instances of references 

to credit ratings, five of which were 

regarding those financial instruments. 

Today, we are proposing removing these 

five references and reliance to credit 

ratings. This rule addresses two of those 

references in Regulation 1.49, which 

limits the types of banks in which 

futures commission merchants and 

derivatives clearing organizations may 

place customer funds, and 4.24, which 

requires commodity pool operators to 

disclose to their customers where they 

are putting customer money. The other 

actions we are taking today regarding 

rule certifications in Part 40 and 

investment of customer funds in 

Regulation 1.25 and 30.7 will address 

the remaining instances of credit 

ratings. 

[FR Doc. 2010–27555 Filed 11–1–10; 8:45 am] 

BILLING CODE P 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Parts 15 and 20 

RIN 3038–AD17 

Position Reports for Physical 

Commodity Swaps 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Notice of proposed rulemaking. 

SUMMARY: The Commodity Futures 

Trading Commission (‘‘Commission’’ or 

‘‘CFTC’’) is proposing reporting 

regulations that are reasonably 

necessary for implementing and 

enforcing aggregate position limits for 

certain physical commodity derivatives. 

As a result of recent legislative reforms, 

the Commission may adopt regulations 

establishing aggregate position limits for 

designated contract market (‘‘DCM’’) 

physical commodity futures contracts 

and swaps that are economically 

equivalent to such contracts. The 

Commission currently receives, and 

uses for market surveillance purposes, 

including position limit enforcement, 

data on large positions in all physical 

commodity futures and option contracts 

traded on DCMs. However, there is no 

analogous reporting structure in place 

for economically equivalent swaps, 

which until recently were largely 

unregulated financial contracts. The 

Commission’s proposal would require 

position reports on economically 

equivalent swaps from clearing 

organizations, their members and swap 

dealers. Notably, the proposed 

regulations also include a sunset 

provision. The sunset provision would 

render the regulations ineffective upon 

the Commission’s issuance of an order 

finding that operating swap data 

repositories (‘‘SDRs’’) are capable of 

processing positional data in a manner 

that would enable the Commission to 

set and enforce aggregate position 

limits. 

DATES: Comments must be received on 

or before December 2, 2010. 

ADDRESSES: You may submit comments, 

identified by RIN number, by any of the 

following methods: 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow 

instructions for submitting comments. 

• Agency Web Site: http:// 

www.cftc.gov. 

• E-mail: Swaps.Reporting@cftc.gov. 

• Mail: David A. Stawick, Secretary of 

the Commission, Commodity Futures 

Trading Commission, Three Lafayette 

Centre, 1155 21st Street, NW., 

Washington, DC 20581. 

• Hand Delivery/Courier: Same as 

mail above. 

All comments must be submitted in 

English, or if not, accompanied by an 

English translation. Comments will be 

posted as received to http:// 

www.cftc.gov. You should submit only 

information that you wish to make 

available publicly. If you wish the 

Commission to consider information 

that is exempt from disclosure under the 

Freedom of Information Act, a petition 

for confidential treatment of the exempt 

information may be submitted according 

to the procedure established in CFTC 

regulation 145.9 (17 CFR 145.9). The 

Commission reserves the right, but shall 

have no obligation, to review, prescreen, filter, redact, refuse or remove 

any or all of your submission from 

http://www.cftc.gov that it may deem to 

be inappropriate for publication, such as 

obscene language. All submissions that 

have been redacted or removed that 

contain comments on the merits of the 

rulemaking will be retained in the 

public comment file and will be 

considered as required under the 

Administrative Procedure Act and other 

applicable laws, and may be accessible 

under the Freedom of Information Act. 

FOR FURTHER INFORMATION CONTACT: 

Stephen Sherrod, Acting Deputy 

Director, Market Surveillance, (202) 

418–5452, ssherrod@cftc.gov, or Bruce 

Fekrat, Senior Special Counsel, Office of 

the Director, (202) 418–5578, 

bfekrat@cftc.gov, Division of Market 

Oversight, Commodity Futures Trading 

Commission, Three Lafayette Centre, 

1155 21st Street, NW., Washington, DC 

20581. 

SUPPLEMENTARY INFORMATION: 

I. Economically Equivalent Swaps 

A. Background 

The Commodity Exchange Act (‘‘CEA 

or Act’’) of 1936,1 as amended by Title 

VII of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act of 

2010 (‘‘Dodd-Frank Act’’),2 includes 

provisions imposing clearing and trade 

execution requirements on standardized 

derivatives as well as comprehensive 

recordkeeping and reporting 

requirements that extend to all swaps, a 

defined term in CEA section 1a(47). 

New section 4a(a)(2) of the CEA, as 

introduced by section 737 of the DoddFrank Act, charges the Commission with 

promulgating regulations, as 

appropriate, to limit the amount of 

positions, other than bona fide hedge 

positions, that may be held by any 

person with respect to commodity 

futures and option contracts in exempt 

and agricultural commodities 3 traded 

on or subject to the rules of a DCM 

within 180 and 270 days, respectively, 

of the legislation’s enactment on July 21, 

2010. New section 4a(a)(6)(A) of the Act 

requires Commission-set position limits 

to apply aggregately across DCMs to 

contracts that are based on the same 

commodity. The exempt and 

agricultural commodity futures and 

option contracts for which the 

Commission may consider position 

limits are listed in proposed regulation 

20.2 (‘‘20.2 listed futures contracts’’ or 

‘‘20.2 contracts’’). The list in proposed 

regulation 20.2, however, is nonexclusive and preliminary. Should the 

Commission propose regulations to 

establish position limits, it may decide 

not to propose position limits for all of 

the 20.2 listed futures contracts or, 

alternatively, may decide to propose 


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4Commission regulations referred to herein are 

found at 17 CFR chapter 1. 

5See, e.g., Order (1) Pursuant to Section 4(c) of 

the Commodity Exchange Act, Permitting the 

Chicago Mercantile Exchange to Clear Certain Overthe-Counter Agricultural Swaps and (2) Pursuant to 

Section 4d of the Commodity Exchange Act, 

Permitting Customer Positions in Such ClearedOnly Contracts and Associated Funds To Be 

Commingled With Other Positions and Funds Held 

in Customer Segregated Accounts, 74 FR 12316, 

12320 (March 24, 2009) (requiring reporting under 

parts 15, 16 and 17 of the Commission’s regulations 

for cleared-only swaps). 

6New section 4a(a)(2) by its terms also applies to 

options on physicals. With respect to options on 

physicals traded on DCMs, the current open interest 

levels in such DCM contracts on the commodities 

underlying the 20.2 listed futures contracts are 

minimal. 

position limits for futures contracts 

other than the 20.2 contracts. 

Similar to CEA section 4a(a)(2), new 

section 4a(a)(5) of the Act charges the 

Commission with establishing position 

limits, including aggregate position 

limits, as appropriate, for swaps that are 

economically equivalent to DCM 

contracts in exempt and agricultural 

commodities with CFTC-set position 

limits. The definition of the term 

‘‘paired swaps and swaptions’’ in 

proposed regulation 20.1 attempts to 

recognize a readily identifiable and 

partial set of swaps and swaptions (for 

ease of reference, collectively ‘‘swaps’’) 

that could potentially be considered as 

economically equivalent to 20.2 listed 

futures contracts. 

As discussed in more detail below, 

proposed regulation 20.1 defines paired 

swaps, and hence economically 

equivalent swaps, in two ways. First, 

paired swaps are defined as swaps that 

are directly or indirectly linked to the 

price of one or more 20.2 listed futures 

contract. Second, paired swaps are 

defined as swaps that are based on the 

price of the same commodity for 

delivery at the same location(s) as that 

of a 20.2 listed futures contract, or 

another delivery location, with 

substantially the same supply and 

demand fundamentals as the delivery 

location(s) referenced by a 20.2 listed 

futures contract. The paired swap 

definition’s second part therefore 

proposes to include swaps that are 

settled to a price series that is not based 

on, but is nonetheless highly correlated 

to, the price of a 20.2 listed futures 

contract. 

B. The Necessity of the Proposed 

Regulations 

New section 4a(a)(5) of the Act 

provides that position limits for 

economically equivalent swaps be 

developed concurrently with position 

limits established for DCM contracts in 

exempt and agricultural commodities. 

In order to have the ability to enforce 

market-specific and aggregate position 

limits for the relevant DCM contracts 

and economically equivalent swaps, the 

Commission would require positional 

data for DCM contracts and 

economically equivalent swaps. The 

Commission currently obtains DCM 

futures and option positional data under 

parts 15 through 19 and 21 of its 

regulations,4 which derive their 

statutory authority in significant part 

from sections 4a, 4g and 4i of the CEA. 

In contrast, the Commission has limited 

access to swaps positional data. In this 

regard, the Commission receives 

positional data on swaps that are 

significant price discovery contracts 

(‘‘SPDCs’’) under part 36 of its 

regulations. Such contracts are executed 

through exempt commercial markets 

and typically cleared. SPDCs, however, 

do not encompass all economically 

equivalent swaps (as defined by 

proposed regulation 20.1 through the 

term paired swaps). SPDC positional 

data would therefore not supply 

sufficient information to the 

Commission to monitor all 

economically equivalent swaps for 

aggregate position limit violations, 

should such limits be adopted. 

Moreover, parts 15 through 19 and 21 of 

the Commission’s regulations do not 

apply to uncleared swaps that may be 

SPDCs. To have consistency in 

reporting, regulation 20.2(a) would 

require SPDCs that are paired swaps to 

be reported under proposed part 20 

instead of parts 15 through 19 and 21 of 

the Commission’s regulations (which 

include position reporting regulations 

for clearing organizations and futures 

intermediaries that are analogous to 

those proposed herein). 

The Commission also receives 

positional data for some swaps that are 

cleared by certain clearing organizations 

but not listed for trading (‘‘cleared-only 

swaps’’).5 This positional data is 

received from a limited number of 

clearing organizations, and depending 

on the contract and the clearing 

organization, does not necessarily 

provide disaggregated data on swaps 

held by non-clearing member 

counterparties. As with SPDCs, clearedonly swaps positional data would not 

supply sufficient data to the 

Commission to monitor for aggregate 

position limit violations across DCM 

contracts with CFTC-set position limits 

and economically equivalent swaps. To 

the extent that cleared-only swaps are 

paired swaps, regulation 20.2(a) would 

require reporting under proposed part 

20 instead of parts 15 through 19 and 21 

of the Commission’s regulations. 

The Commission notes that the DoddFrank Act also provides for the 

establishment of SDRs. Once established 

and operationally able to receive swaps 

data, SDRs would have the potential to 

serve as the Commission’s primary 

positional data source. The 

Congressionally mandated deadline for 

establishing position limits, however, 

predates the deadline for Commission 

regulations for SDR registration. Thus, 

the position reports for physical 

commodity swaps contemplated by 

these proposed regulations would 

function as a transitional tool until 

SDRs are in operation and able to 

provide the Commission with swap 

positional data. If implemented in 

whole or in part, the Commission may 

determine to continue or discontinue 

the proposed reporting system once 

SDRs are operational. 

CEA sections 4a and 8a(5), considered 

in tandem, provide the statutory 

authority for these proposed regulations. 

The Commission cannot fully effectuate 

the mandate of section 4a of the Act 

without an operational data collection 

system. In proposing these regulations, 

the Commission relies on its CEA 

section 8a(5) general rulemaking 

authority. Section 8a(5) authorizes the 

Commission ‘‘to make and promulgate 

such rules and regulations as, in the 

judgment of the Commission, are 

reasonably necessary to effectuate any of 

the provisions or to accomplish any of 

the purposes of this Act.’’ For the 

reasons discussed above, the proposed 

regulations, in the Commission’s 

judgment, are reasonably necessary to 

effectuate CEA section 4a as amended 

by the Dodd-Frank Act. 

II. The Proposed Regulations 

A. Listed Futures Contracts 

Section 4a(a)(2) of the Act provides 

that the Commission shall set, as 

appropriate, position limits for exempt 

and agricultural DCM futures and 

option contracts.6 The Act also provides 

that the Commission shall establish 

position limits, including aggregate 

limits, as appropriate, for swaps that are 

economically equivalent to futures 

contracts (and options thereon or 

options on commodities) with CFTC-set 

position limits. Proposed regulation 

20.2 lists a broad set of futures contracts 

and options thereon which may be the 

subject of CFTC-set position limits. 

These 20.2 listed futures contracts can 

be divided into two categories. The first 

category contains futures contracts that 

have high levels of open interest and 

significant notional value (and certain 


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7These contracts can function as anchors to many 

other DCM contracts and therefore directly or 

indirectly correspond to a substantial fraction of 

open interest for listed physical commodity 

derivatives. See, e.g., Federal Speculative Position 

Limits for Referenced Energy Contracts and 

Associated Regulations, 75 FR 4133, 4154 (January 

26, 2010) (‘‘January 2010 proposed regulations for 

major energy contracts’’) (showing the spoke 

contracts linked to the physically delivered NYMEX 

Crude Oil, Light Sweet futures contract). 

8Staff tasked with assisting the Commission in 

developing the proposed regulations made this 

recommendation after meeting with or speaking to 

23 outside parties, representing commercial endusers, commercial merchants, commodity-based 

swap trading arms of large financial institutions, 

futures exchanges, swap data service providers, and 

our sister financial regulators. See http://

www.cftc.gov/LawRegulation/ 

DoddFrankAct/ExternalMeetings/

otc_meetings.html. 

9The 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. 

10For a description of the ASCI methodology, see, 

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

ArgusStaticContent//Meth/ASCI.pdf. 

11As provided in the Commission’s January 2010 

proposed regulations for major energy contracts, a 

commodity will be considered to be the same (for 

the purposes of reporting under this regulation) if 

such commodity has the same economic 

characteristics with respect to grade and quality 

specifications as those referenced by a 20.2 listed 

futures contract. 

related contracts).7 The contracts in this 

category are: 

REFERENCE DCM CONTRACTS WITH

HIGH OPEN INTEREST AND NOTIONAL VALUE (INCLUDING CERTAIN

RELATED CONTRACTS) 

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

CBOT Rough Rice. 

CBOT Soybeans. 

CBOT Soybean Meal. 

CBOT Soybean Oil. 

CBOT Wheat. 

Chicago Mercantile Exchange (‘‘CME’’) Feeder Cattle. 

CME Live Cattle. 

CME Milk Class III. 

Comex (‘‘CMX’’) Copper Grade #1. 

CMX Gold. 

CMX Silver. 

ICE Futures US (‘‘ICUS’’) Cocoa. 

ICUS Coffee C. 

ICUS Cotton No. 2. 

ICUS Frozen Concentrated Orange Juice. 

ICUS Sugar No. 11. 

ICUS Sugar No. 16. 

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

Wheat. 

Minneapolis Grain Exchange (‘‘MGEX’’) 

Wheat. 

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

NYL Silver, 5000 Troy Oz. 

New York Mercantile Exchange (‘‘NYMEX’’) 

Cocoa. 

NYMEX Coffee. 

NYMEX Cotton. 

NYMEX Crude Oil, Light Sweet (‘‘WTI’’). 

NYMEX Gasoline Blendstock (RBOB). 

NYMEX Natural Gas. 

NYMEX No. 2 Heating Oil, New York Harbor. 

NYMEX Palladium. 

NYMEX Platinum. 

NYMEX Sugar No. 11. 

The contracts in the second category, 

listed below, do not have high levels of 

open interest or represent significant 

notional values. However, based on 

feedback from inquiries posed to swap 

market participants relating to the size 

and level of activity in certain markets, 

Commission staff recommended their 

inclusion in proposed regulation 20.2.8

Such contracts may serve as the pricing 

basis of a significant number of swap 

market transactions, thereby warranting 

some measure of Commission scrutiny. 

ADDITIONAL DCM REFERENCE

CONTRACTS

CBOT Ethanol. 

CBOT Oats. 

CME Butter. 

CME Cheese. 

CME Dry Whey. 

CME Hardwood Pulp. 

CME Lean Hogs. 

CME Non Fat Dry Milk. 

CME Random Length Lumber. 

CME Softwood Pulp. 

NYMEX Brent Financial. 

NYMEX Central Appalachian Coal. 

NYMEX Hot Rolled Coil Steel. 

NYMEX Uranium. 

B. Scope of Economically Equivalent 

Swaps 

The Commission, through the 

definition of paired swap or paired 

swaption (for ease of reference, 

collectively ‘‘paired swaps’’) in proposed 

regulation 20.1, defines a subset of 

swaps that may qualify as economically 

equivalent to the DCM contracts listed 

in proposed regulation 20.2. Proposed 

regulation 20.1 identifies paired swaps 

(i.e., economically equivalent swaps) in 

two paragraphs. The first paragraph of 

proposed regulation 20.1 defines paired 

swaps to include those that directly or 

indirectly are linked to the price of a 

20.2 listed futures contract. This 

category includes swaps that are 

partially or fully settled or priced at a 

differential to a 20.2 listed futures 

contract. The following list provides 

examples of the types of swaps that are 

intended to be covered under the first 

paragraph of the proposed definition of 

paired swap. 

1. Directly linked to a listed 

contract—A swap settled to the price of 

the NYMEX Heating Oil Calendar Swap 

Futures Contract is directly linked to a 

20.2 listed DCM futures contract 

because the floating price of the futures 

contract is equal to the monthly average 

settlement price of the first nearby 

contract month for the NYMEX New 

York Harbor No. 2 Heating Oil Futures 

Contract. 

2. Indirectly linked to a listed 

contract—The ICE WTI Average Price 

Option is indirectly linked to a 20.2 

listed futures contract because the 

floating price of the swap references the 

ICE WTI 1st Line Swap Contract which 

in turn is equal to the monthly average 

settlement price of the NYMEX Front 

Month WTI Crude Futures Contract. 

3. Partially settled to a listed 

contract—A swap settled to the Argus 

Sour Crude Index (‘‘ASCI’’) (which also 

underlies the CME Argus WTI Formula 

Basis Calendar Month Swap Futures 

Contract) is partially settled to a 20.2 

listed futures contract.9 Because the 

ASCI index uses both a physical cash 

market component and the NYMEX WTI 

Futures Contract to establish the level of 

the index, it would partially settle to a 

20.2 listed futures contract and would 

be a paired swap under the first 

paragraph of the proposed definition.10

4. Priced at a differential to a listed 

contract—The ICE Henry Physical Basis 

LD1 Contract is priced at a differential 

to a 20.2 listed futures contract because 

the settlement price is the final 

settlement price for natural gas futures 

(a listed 20.2 contract) as reported by 

NYMEX for the specified month plus 

the contract price. 

The second paragraph of the proposed 

definition of a paired swap includes 

swaps that directly or indirectly link to, 

including being partially or fully settled 

or priced at a differential to, the price 

of the same commodity for delivery at 

the same location or locations as that of 

a 20.2 listed futures contract. As 

opposed to paragraph one, the second 

paragraph of the definition of paired 

swap looks to a swap’s connection to 

the commodity underlying a 20.2 listed 

futures contract, and to the delivery 

locations with a nexus to those delivery 

locations specified in a 20.2 listed 

contract, as opposed to the price of the 

of the contract itself. Therefore, in 

contrast to paragraph one, the linkage is 

to the price of the underlying 

commodity and its physical marketing 

channels. 

Under paragraph two, a paired swap 

would include swaps that are based on 

the same commodity11 as that of a 20.2 

listed futures contract but deliverable at 

locations that are different than a 20.2 

listed futures contract’s delivery 

locations, so long as such locations have 

substantially the same supply and 

demand fundamentals as that of a 20.2 


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listed futures contract reference delivery 

location. The following list provides 

examples of the types of swaps that are 

reportable under the second paragraph 

of the definition. 

1. Same commodity with a delivery 

point that shares substantially the same 

supply and demand fundamentals—An 

uncleared swap based on a NYMEX 

Columbia Gulf, Mainline Natural Gas 

Index Swap (Platts Gas Daily/Platts 

IFERC) Futures Contract provides an 

example of a futures contract which 

references an underlying spot market 

that is affected by substantially similar 

supply and demand forces as the pricing 

location to which the NYMEX Natural 

Gas Futures Contract references. In this 

case, the floating price of the NYMEX 

Columbia Gulf, Mainline Natural Gas 

Index Swap (Platts Gas Daily/Platts 

IFERC) Futures Contract is equal to the 

difference in the monthly average prices 

for Mainline Midpoint (Midpoint) and 

the Platts Inside FERC’s Gas Market 

Report (Platts IFERC) Columbia Gulf 

Transmission Co., Mainline Index. This 

swap would be on based the same 

commodity as that of a 20.2 listed 

contract, but deliverable at a different 

location. The different location, 

however, shares substantially the same 

supply and demand fundamentals as the 

Henry Hub, which is the delivery 

location for the NYMEX Natural Gas 

contract. The swap’s delivery location is 

in close proximity to the Henry Hub, 

and there is tight arbitrage between the 

two pricing hubs. 

2. Same commodity at different 

locations—The NYMEX Transco, Zone 6 

Natural Gas Index Swap (Platts Gas 

Daily/Platts IFERC) Futures Contract 

provides an example of a futures 

contract which references an underlying 

spot market that is interconnected with 

a spot market to which the NYMEX 

Natural Gas Futures Contract references. 

The floating price of the NYMEX 

Transco, Zone 6 Natural Gas Index 

Swap (Platts Gas Daily/Platts IFERC) 

Futures is equal to the difference in the 

monthly average prices for the Platts 

Gas Daily Transco, Zone 6 N.Y. 

Midpoint (Midpoint) and the Platts 

Inside FERC’s Gas Market Report (Platts 

IFERC) Transco Zone 6 Index (Index) for 

the stipulated period within the contract 

specifications. The index price 

represents a natural gas spot market that 

is physically linked, via the Transco 

pipeline, to a spot market (Henry Hub) 

which is referenced by a 20.2 listed 

futures contract. 

C. Reporting Under the Proposed 

Regulations 

1. Reports by Clearing Organizations 

Regulation 20.3 proposes to collect 

paired swap reports from clearing 

organizations. Clearing organizations are 

defined in proposed regulation 20.1 as 

persons or organizations that act as a 

medium between clearing members for 

the purpose of clearing swaps or 

swaptions or effecting settlements of 

swaps or swaptions. The intent of the 

definition, which is modeled on the 

definition used in Commission 

regulation 15.00 (the definitional 

section for the Commission’s large 

trader reporting rules), is to apply the 

reporting regulations only to entities 

that perform clearing functions as 

clearing intermediaries and 

counterparties to each side of a swap for 

the purpose of clearing the trade. The 

proposed definition is intended to cover 

entities that are commonly known as 

clearing organizations, regardless of 

their registration status with the 

Commission. It is not meant to apply to 

financial institutions or parties to swaps 

that provide counterparties with 

financing, credit support, or hold 

collateral to facilitate or to ensure that 

payments are made under the terms of 

a paired swap. 

Pursuant to proposed regulation 20.3, 

clearing organizations, for paired swap 

positions, would report the aggregate 

proprietary and aggregate customer 

accounts of each clearing member of 

that clearing organization. Proposed 

regulation 20.1 defines clearing member 

as any person who is a member of, or 

enjoys the privilege of clearing trades in 

its own name through, a clearing 

organization. The paired swap positions 

would be reported to the Commission as 

futures equivalent positions in terms of 

a swap’s related 20.2 listed futures 

contract. Proposed Appendix A to this 

part provides several examples of the 

methods used for converting swap 

positions into futures equivalent 

positions. The proposed regulations 

would ask for reporting in futures 

equivalents because such conversions 

are made by entities that deal in swaps 

to effectively manage residual price 

risks by entering into 20.2 listed futures 

contracts. Reporting in futures 

equivalents would result in a measure of 

equivalency between positions in paired 

swaps and their related 20.2 listed 

futures contracts, and it would allow for 

the enforcement of aggregate position 

limits across futures and swaps should 

the Commission adopt such limits. 

As required under paragraph (a) and 

(b) of proposed regulation 20.3, each 

clearing organization would submit to 

the Commission a data record that 

identifies either gross long and gross 

short futures equivalent positions if the 

record corresponds to a paired swap 

position, or gross long and gross short 

futures equivalent positions on a nondelta-adjusted basis if the data record 

corresponds to a paired swaption 

position. A data record (for the purposes 

of this rulemaking) can be thought of as 

a grouped subset of the overall set of 

reported data elements that 

communicates a unique (non-repetitive) 

positional message to the Commission. 

Clearing organizations would be 

required to report a data record for each 

clearing member for each reporting day, 

which is defined in proposed regulation 

20.1 as the daily period of time between 

a clearing organization or reporting 

entity’s usual and customary last 

internal valuation of paired swaps or 

swaptions and the next such period. In 

order to provide clearing organizations 

with some flexibility in determining 

daily operational cycles that would 

coincide with their obligation to provide 

clearing member reports on a daily 

basis, the proposed definition would 

permit such cycles of time to vary for 

different clearing organizations, so long 

as the daily period of time is 

consistently observed and the 

Commission is notified, upon its 

request, of the manner by which a cycle 

is calculated. Data records would be 

reported electronically in a manner 

consistent with current Commission 

practice. 

The positional data elements in 

paragraphs (a) and (b) of proposed 

regulation 20.3 would require daily 

reports for each aggregated proprietary 

account and each aggregated customer 

account, by each cleared product, and 

by each futures equivalent month. Each 

data record would indicate the 

commodity reference price with which 

each cleared product is associated. As 

defined in proposed regulation 20.1, a 

commodity reference price is the price 

series used by the parties to a swap or 

swaption to determine payments made, 

exchanged, or accrued under the terms 

of that swap or swaption. In addition, 

data records for swaptions would be 

required to be broken down further by 

expiration date, put or call indicator, 

and strike price. Proposed Appendix B 

to part 20 includes examples of data 

records that would be required of 

clearing organizations. The examples in 

Appendix B are provided to facilitate 

the public’s ability to comment on these 

reports, and if adopted as part of a final 

rulemaking, increase a clearing 

organization’s familiarity with the type 

of reporting the regulations would 

require. 


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67262 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 

12The proposed definition of reporting entity 

includes an exemption from the definition of 

reporting entity for entities that are not commonly 

known as swap dealers. 

13See http://www.cftc.gov/LawRegulation/ 

DoddFrankAct/ExternalMeetings/ 

otc_meetings.html. 

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

swap positions are no longer above the threshold, 

the proposed definition of reportable position 

would also encompass positions in paired swaps 

held by the reporting entity on the first day after 

which the reporting entity’s paired swap positions 

are no longer reportable. 

In addition to reports for clearing 

members, clearing organizations would, 

pursuant to proposed regulation 20.3(c), 

be required to provide to the 

Commission, for each futures equivalent 

month, end of reporting day settlement 

prices for each cleared product and 

deltas for every unique swaption put 

and call, expiration date, and strike 

price. This second daily report would 

provide the type of information that is 

necessary to assign a weight to a trader’s 

positions. 

2. Reports by Reporting Entities 

Proposed regulation 20.4 would 

require reporting entities to report 

proprietary positions in paired swaps 

and their paired swap counterparty 

positions. Proposed regulation 20.1 

identifies a reporting entity as a clearing 

member or a swap dealer as defined in 

section 1a of the CEA and as subject to 

definitional changes that may be made 

through the issuance of Commission 

regulations. 

The definition of reporting entity is 

intended to identify financial firms that 

regularly make markets in swaps, as 

well as divisions or subsidiaries of large 

commercial swap market participants 

that provide risk management services 

to other commercial entities in the 

normal course of their business 

operations. Proposed regulation 20.4 is 

intended to require reports from such 

financial firms and not from commercial 

end-users with swaps activities of 

limited scope. By requiring reporting 

from these large market participants, 

proposed regulation 20.4 could provide 

visibility into the majority of paired 

swaps trading activity without 

burdening commercial entities that may 

have less experience with compliance 

and reporting requirements stemming 

from the regulation of financial 

institutions.12 The Commission solicits 

comment specifically on the proposed 

definition of reporting entity and the 

sufficiency of the market visibility 

gained by requiring reports only from a 

limited set of market participants. 

Proposed regulation 20.4 would 

require reporting entities to provide the 

Commission with positional reports 

only if the reporting entities hold 

reportable paired swap positions. 

Proposed regulation 20.1 defines a 

reportable position as a position, in any 

one futures equivalent month, 

comprised of fifty or more futures 

equivalent paired swaps or swaptions 

based on the same commodity. This 

proposed level is calibrated to capture 

data on a sufficiently large percentage of 

paired swap positions and was arrived 

at after consultation with multiple 

market participants.13 The Commission 

specifically requests comment on 

whether this reporting level is 

appropriate relative to the size of 

positions held by paired swap 

counterparties. 

Once a reporting entity’s paired swaps 

position meets or exceeds the fifty 

futures equivalent paired swaps or 

swaptions threshold, proposed 

regulation 20.1 defines all other paired 

swap positions held by the reporting 

entity (in the commodity that initially 

caused the reporting entity’s positions 

to be deemed reportable) to be part of 

the entity’s reportable position.14

Clearing members and other reporting 

entities would follow the same 

procedure for determining if their 

proprietary positions or any 

counterparty positions are reportable to 

the Commission. As with clearing 

member reports that would be provided 

by clearing organizations to the 

Commission under proposed regulation 

20.3, proposed regulation 20.4 would 

require paired swap positions to be 

represented and reported in futures 

equivalents. Without a common method 

of accounting for positions in swaps and 

futures, aggregate positions could 

potentially not be enforceable, should 

the Commission promulgate such limits. 

To determine what to report under 

proposed regulation 20.4, reporting 

entities would separately consider 

proprietary positions, counterparty 

positions, and positions in controlled 

accounts. For each actual swap or 

swaption account that includes a paired 

swap or swaption in which the 

reporting entity is reportable, such 

entities would be required to provide for 

each reporting day a data record that 

either identifies long and short paired 

swap positions (if the record pertains to 

swap positions) or long and short nondelta-adjusted paired swaption 

positions and long and short deltaadjusted swaption positions (if the 

record pertains to swaptions positions). 

For uncleared paired swaps, the 

proposed regulations would require a 

reporting entity to use economically 

reasonable and analytically supported 

deltas. 

As proposed under regulation 20.4, 

this information would be grouped 

separately by swap or swaption account 

that is a part of a reportable account, by 

futures equivalent month, by cleared or 

uncleared contracts, by commodity 

reference price, and by clearing 

organization, if the data record pertains 

to cleared swaps. Data records 

pertaining to cleared swaption positions 

under the proposed regulations would 

be further grouped by put or call, 

expiration date, and strike price. 

Uncleared swaption positions, however, 

would not be required to be grouped by 

put or call, expiration date, and strike 

price. The reports provided under 

proposed regulation 20.4 would also 

include identifiers for the commodity 

underlying the reportable position, the 

counterparties of the account and the 

102S filing identifier, as described in 

more detail below, assigned by the 

reporting entity to the owner(s) of the 

account, as well as the controller(s) of 

the account. Proposed Appendix B to 

this part includes several examples of 

required records. 

3. Series S Filings 

Proposed regulation 20.5(a) would 

require a 102S filing for the 

identification of the direct owner or 

controller of a ‘‘reportable account’’ by 

the reporting entity holding or carrying 

the account. The 102S filing would 

consist of the ‘‘name, address, and 

contact information of the direct owner 

or controller of the reportable account’’ 

and a ‘‘brief description of the nature of 

such person’s paired swaps and 

swaptions’ market activity’’ (e.g., 

whether it is an omnibus account for 

another broker or an individual 

account). The reporting entity is 

required to submit a 102S filing only 

once for each person associated with a 

reportable account. 

Once an account holder or controller 

is reportable, the Commission may 

contact the trader directly and require 

that the trader file a more detailed 

identification report, a 40S filing. The 

Commission would require a 40S filing 

if a trader has become reportable for the 

first time and is not known to the 

Commission. A 40S filing would consist 

of the submission of a CFTC Form 40 

‘‘Statement of Reporting Trader.’’ As the 

current version of Form 40 covers 

information on positions in futures and 

options, the trader would be required to 

complete the form as if the form covered 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
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15The Commission plans to revise Form 40 in the 

future so that the form would explicitly target 

information on paired swaps and swaptions 

positions as well as futures and options positions. 

information related to positions in 

paired swaps and swaptions.15

The 102S filings and the 40S filing 

together would allow the Commission to 

identify the person(s) owning the 

account or controlling its trading, the 

person to contact regarding trading, the 

nature of the account, whether the 

reported account is related—by 

financial interest or control—to another 

account, and the principal occupation 

or business of the account owner. The 

filings also would provide the 

Commission information on whether the 

account is being used for hedging cash 

market exposure. 

Commission staff would use the 

information in these two filings to 

determine if the reported account 

corresponds to a new trader or is an 

additional account of an existing trader. 

If the account is an additional one of an 

existing trader, it would then be 

aggregated with that of other related 

accounts currently being reported. By 

properly identifying and aggregating 

accounts, Commission surveillance staff 

would be able to assess a trader’s 

compliance with speculative position 

limits across futures and swaps markets, 

should the Commission adopt such 

limits. 

4. Maintenance of Books and Records 

Proposed regulation 20.6 would 

impose recordkeeping requirements on 

reporting clearing organizations, 

reporting entities, and persons with 

reportable swaps positions. Proposed 

regulation 20.6(a) would require 

clearing organizations to keep records of 

transactions in paired swaps or 

swaptions. Proposed regulation 20.6(b) 

would require reporting entities and 

persons with reportable positions to 

maintain ‘‘books and records * * * 

showing all records for transactions 

concerning all reportable positions.’’ In 

addition, reporting entities and persons 

with reportable positions would be 

required to keep books and records on 

‘‘transactions in the cash commodity’’ 

and its products and byproducts, and 

‘‘all commercial activities’’ that are 

hedged in 20.2 listed futures contract, 

‘‘or options thereon,’’ or paired swaps 

and swaptions. These recordkeeping 

requirements are very similar to those in 

current regulation 18.05. 

The recordkeeping duties imposed by 

proposed regulation 20.6 are to be in 

accordance with the requirements of 

regulation 1.31. Most pertinently, 

regulation 1.31(a)(1) requires that these 

transaction records be kept for five 

years, the first two of which they ‘‘shall 

be readily accessible.’’ Such books and 

records ‘‘shall be open to inspection by 

any representative of the Commission.’’ 

These recordkeeping requirements 

would allow the Commission to have 

ready access to records that would 

enable Commission staff to reconstruct 

the transaction history of reported 

positions. These requirements would 

ensure that data records submitted to 

the Commission could be audited. In 

addition, these records would enable 

Commission staff to better reconstruct 

trading activity that may have had a 

material impact on the price discovery 

process. 

The recordkeeping burden imposed 

by proposed regulation 20.6 is not 

anticipated to be high. These 

requirements are not unlike the 

recordkeeping requirements imposed by 

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

all swap market participants, and by the 

Commission on those entities with 

reportable futures accounts under the 

existing recordkeeping provision of 

regulation 18.05. 

5. Form and Manner of Reporting 

Proposed regulation 20.7(a) provides 

that the Commission would specify, in 

writing to persons required to report, 

the format, coding structure, and 

electronic data transmission procedures 

for these reports and submissions. The 

purpose of this provision would be to 

provide notice on how the Commission 

would determine the means by which 

the part 20 reports are to be formatted 

and submitted. 

6. Delegation of Authority 

Proposed regulation 20.8 delegates 

certain of the Commission’s proposed 

part 20 authority to the Director of the 

Division of Market Oversight and 

through the Director to other employee 

or employees as designated by the 

Director. The delegated authority 

extends to: (1) Issuing a special call for 

a 40S or 102S filing; and (2) providing 

instructions or determining the format, 

coding structure, and electronic data 

transmission procedures for submitting 

data records and any other information 

required under proposed part 20. The 

purpose of this delegation provision is 

to facilitate the ability of the 

Commission to respond to changing 

market and technological conditions for 

the purpose of ensuring timely and 

accurate data reporting. 

7. Sunset Provision 

Proposed regulation 20.9 includes a 

sunset provision. The sunset provision 

would render the proposed regulations 

ineffective and unenforceable upon the 

Commission’s finding (through the 

issuance of an order) that operating 

SDRs are capable of processing 

positional data in a manner that would 

enable the Commission to effectively 

surveil paired swaps trading and paired 

swap markets. Proposed regulation 20.9 

also provides the Commission with the 

authority to retain the effectiveness and 

enforceability of any requirement in part 

20, such as the reporting of deltas for 

uncleared paired swaps or the reporting 

of paired swap positions in futures 

equivalents, should the Commission 

determine that such reporting is of 

material value to conducting market 

surveillance. 

D. Solicitation of Comments 

Pursuant to the Dodd-Frank Act, the 

Commission will refine the definition of 

swap dealer in CEA section 1a. The 

Commission solicits comments on 

whether it should delay the 

implementation of proposed part 20 to 

sixty days following a final Commission 

rulemaking further defining the term 

swap dealer. The Commission also 

specifically requests comments on any 

role self-regulatory organizations could 

play in gathering positional data on 

paired swaps. In addition, the 

Commission solicits comments on 

alternative approaches that may be 

employed to gather positional data on 

paired swaps. 

III. Related Matters 

A. Cost-Benefit Analysis 

1. Introduction 

Section 15(a) of the Act requires that 

the Commission, before promulgating a 

regulation under the Act or issuing an 

order, consider the costs and benefits of 

its action. By its terms, CEA section 

15(a) does not require the Commission 

to quantify the costs and benefits of a 

new regulation or determine whether 

the benefits of the regulation outweigh 

its costs. Rather, CEA section 15(a) 

simply requires the Commission to 

‘‘consider the costs and benefits’’ of its 

action. 

CEA section 15(a) specifies that costs 

and benefits shall be evaluated in light 

of the following considerations: (1) 

Protection of market participants and 

the public; (2) efficiency, 

competitiveness, and financial integrity 

of futures markets; (3) price discovery; 

(4) sound risk management practices; 

and (5) other public interest 

considerations. Accordingly, the 

Commission could, in its discretion, 

give greater weight to any of the five 

considerations and could, in its 

discretion, determine that, 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
67264 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 

16 5 U.S.C. 601 et seq. 

17 66 FR 45604, 45609 (August 29, 2001). 

18Policy Statement and Establishment of 

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

Regulatory Flexibility Act, 47 FR 18618, 18619 

(Apr. 30, 1982). 

notwithstanding its costs, a particular 

regulation was necessary or appropriate 

to protect the public interest or to 

effectuate any of the provisions or to 

accomplish any of the purposes of the 

Act. 

2. Costs 

As mentioned above, under CEA 

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

been directed to establish position 

limits, as appropriate, on traders in 

certain physical commodity futures and 

swaps markets within 180 or 270 days 

of the enactment of the Dodd-Frank Act, 

for exempt and agricultural 

commodities, respectively. As explained 

in this release, the Commission lacks 

the information it needs with respect to 

paired swaps to be able to conduct 

surveillance for limits that may be 

established under CEA section 4a. 

In developing these proposed 

regulations, the Commission has aimed 

to minimize the cost and burden 

associated with reporting positional 

data to the Commission. As discussed 

above, the Commission has tailored the 

regulations to conform to the market 

structure for cleared and uncleared 

paired swaps. The cost of proposed part 

20 regulations would be borne by firms 

that are clearing organizations reporting 

under proposed regulation 20.3 and 

clearing member reportable entities 

reporting under proposed regulation 

20.4. For such firms, the additional cost 

to implement a reporting system is 

expected to be minimal since the 

Commission understands these firms 

track their own and their counterparties’ 

positions for risk-management purposes. 

Although the Commission has 

proposed a reporting system for cleared 

paired swaps that resembles the large 

trader reporting system, the Commission 

proposes a structurally different 

reporting system for uncleared paired 

swaps. The structure of the uncleared 

paired swaps market is not as 

centralized as the cleared paired swaps 

market: There is no central counterparty 

that corresponds to a clearing 

organization in the uncleared paired 

swaps market. The Commission believes 

that swap dealers may be counterparties 

to a significant portion of the market for 

uncleared paired swaps and swaptions. 

Accordingly, the Commission has 

proposed to require position reporting 

from swap dealers. These firms are to 

report their positions as well as those of 

their counterparties, provided that they 

are above the ‘‘reportable position’’ level. 

These firms have the creditworthiness 

to be able to negotiate a substantial 

swaps portfolio in paired swaps across 

many counterparties. As is the case for 

clearing member reportable entities, it is 

likely that creating or purchasing an 

information technology system that can 

present such a firm’s net position 

exposures on a daily basis would not be 

an overly burdensome marginal 

expense, since the Commission 

understands swap dealers track their 

exposures for risk management 

purposes. 

For counterparties that would be 

subject to the recordkeeping 

requirements of proposed regulation 

20.6, it should be noted that these 

requirements would place new burdens 

(in terms of reporting and retaining 

information on cash market 

transactions) only on persons that are 

reportable solely in paired swaps. This 

is because recordkeeping requirements 

are imposed by Congress with respect to 

all swaps in new section 4r(c)(2) of the 

CEA. Likewise, counterparties that hold 

reportable futures positions (in addition 

to reportable paired swaps positions) are 

currently subject to existing 

recordkeeping requirements under 

regulation 18.05. Thus, the Commission 

believes that these additional burdens, 

in marginal terms, are not expected to 

be overly burdensome, given that firms 

collect information on their commercial 

activities in the normal course of 

business operations. 

3. Benefits 

As discussed above, implementing 

proposed part 20 would 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 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)). 

In addition to providing increased 

market transparency through the 

reporting of paired swap positions to the 

Commission, the Commission would 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 would help ensure the 

integrity of these markets and thereby 

protect market participants and the 

public from disruptive trading, price 

manipulation, and the effects of market 

congestion. Further, with the extension, 

the Commission would be able to 

expand its Commitments of Traders 

report to include aggregate position data 

on the paired swaps markets, and thus, 

would provide the public, including 

market participants, greater 

transparency into the constitution of 

markets covered by the proposed part. 

This increased transparency may reduce 

the informational asymmetries in the 

paired swap markets and thereby 

improve the efficiency of the market and 

promote competition. 

4. Conclusion 

The Commission, after considering 

the CEA section 15(a) factors, finds that 

the expected incremental cost imposed 

by proposed part 20 is outweighed by 

the expected benefit. Accordingly, the 

Commission has determined to propose 

part 20. The Commission invites public 

comment on its cost-benefit 

considerations. Commenters are also are 

invited to submit any data or other 

information that they may have 

quantifying or qualifying the costs and 

benefits of proposed part 20. 

B. Regulatory Flexibility Act 

The Regulatory Flexibility Act 

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

proposing regulations, to consider the 

impact of those regulations on ‘‘small 

entities.’’ 16 The proposed regulations 

detailed in this release would affect 

organizations including registered 

derivatives clearing organization 

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

whom would be registered with the 

Commission already as futures 

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

dealers, and persons who have 

reportable paired swaps positions and 

otherwise have not been reportable 

based on futures positions. 

The Commission has previously 

determined that DCOs 17 and FCMs 18

are not ‘‘small entities’’ for purposes of 

the RFA. As noted above, a reportable 

paired swaps position would include 50 

or more paired swaps positions in a 

futures equivalent month. The 

Commission notes this threshold is 

higher than 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 would not affect small 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 67265 

19 Id. at 18620 (excluding large traders from the 

definition of small entity). 

20 44 U.S.C. 3501 et seq. 

entities.19 The Commission does not 

believe that entities who meet the 

proposed larger quantitative threshold 

would constitute small entities for RFA 

purposes. 

Accordingly, the Commission does 

not expect the regulations, as proposed 

herein, to have a significant impact on 

a substantial number of small entities. 

Therefore, the Chairman, on behalf of 

the Commission, hereby certifies, 

pursuant to 5 U.S.C. 605(b), that the 

proposed regulations would not have a 

significant economic impact on a 

substantial number of small entities. 

The Commission invites the public to 

comment on whether the entities 

covered by these proposed regulations 

should be considered small entities for 

purposes of the RFA. 

C. Paperwork Reduction Act 

1. Overview 

The Paperwork Reduction Act 

(‘‘PRA’’) 20 imposes certain requirements 

on Federal agencies in connection with 

their conducting or sponsoring any 

collection of information as defined by 

the PRA. This proposed rulemaking 

would result in new collection of 

information requirements within the 

meaning of the PRA. The Commission 

therefore is submitting this proposal to 

the Office of Management and Budget 

(‘‘OMB’’) for review in accordance with 

44 U.S.C. 3507(d) and 5 CFR 1320.11. 

The title for this collection of 

information is ‘‘Part 20—Position 

Reports for Physical Commodity Swaps’’ 

(OMB control number 3038–NEW). If 

adopted, responses to this collection of 

information would be mandatory. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

unless it displays a currently valid 

control number. OMB has not yet 

assigned a control number to the new 

collection for proposed part 20. The 

requirements of new part 20 are not 

currently covered by any existing OMB 

control number. 

The Commission is submitting this 

proposal to OMB for review in 

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

5 CFR 1320.11. 

As noted earlier, in section 737 of the 

Dodd-Frank Act, Congress amended 

section 4a of the CEA to require the 

Commission to establish, as appropriate, 

aggregate position limits for futures 

contracts traded on a DCM and for 

economically equivalent swaps. 

Pursuant to new section 4a(a)(2)(B) of 

the CEA, Congress mandated that the 

Commission set these position limits 

within 180 days of enactment of the 

Dodd-Frank Act for exempt 

commodities and 270 days for 

agricultural commodities. In order to 

enforce regulations establishing position 

limits for economically equivalent 

swaps, the Commission has determined 

that it first needs to establish the 

reporting regulations proposed herein. 

Given the short timeframe in which the 

Commission must determine whether to 

set position limits under the DoddFrank Act, the Commission has 

determined that it needs to adopt a 

swaps reporting system on an expedited 

basis to comply with the statutory 

deadline contained in new section 

4a(a)(2)(B) of the CEA. 

2. Information Provided and 

Recordkeeping Duties 

As a result of the Dodd-Frank Act, 

new part 20 proposes putting into place 

reporting requirements for ‘‘clearing 

organizations’’ and ‘‘reporting entities’’ 

and recordkeeping requirements for 

these firms in addition to firms that 

become reportable because of a 

reportable paired swap or swaption 

positions. Accordingly, the Commission 

is seeking a new and separate control 

number for reporting from ‘‘clearing 

organizations’’ and ‘‘reporting entities’’ 

(collectively ‘‘respondents’’) and 

recordkeeping for firms that become 

reportable because of a reportable paired 

swap or swaption position operating in 

compliance with the requirements of 

proposed part 20. Upon OMB’s approval 

and assignment of a new control 

number specifically for the collection of 

information and recordkeeping 

requirements of proposed part 20, the 

Commission intends to submit the 

necessary documentation to OMB to 

enable it to apply a new OMB control 

number exclusively for part 20 reports. 

Proposed part 20 would result in the 

collection of information on ‘‘paired 

swaps and swaptions’’ positions as 

defined in proposed regulation 20.1. 

Specifically, proposed part 20 provides 

for three new kinds of reports: 

1. Under proposed regulation 20.3, 

swap ‘‘clearing organizations’’ would 

provide daily reports of relevant 

position and clearing data. 

2. Under proposed regulation 20.4, 

‘‘reporting entities’’ would produce 

position reports on a daily basis on their 

own and individual counterparty 

accounts. Within this class of ‘‘reporting 

entities,’’ there are two categories of 

‘‘reporting entities:’’ (a) ‘‘clearing 

members’’ and (b) ‘‘swap dealers’’ that 

are not clearing members. The former 

category, ‘‘clearing members,’’ would 

include many firms that are currently 

registered as FCMs with the 

Commission. The Commission estimates 

that a total of 180 swap dealers transact 

in physical commodity swaps and 

thereby may be reporting entities under 

proposed part 20 (clearing members and 

non-clearing members combined). 

3. Finally, under proposed regulation 

20.5, all ‘‘reporting entities’’ would 

submit identifying information to the 

Commission on new reportable accounts 

through a 102S filing. 

In addition to creating these reporting 

requirements, proposed regulation 20.6 

would impose recordkeeping 

requirements for (1) clearing 

organizations, (2) reporting entities, and 

(3) persons with ‘‘reportable positions’’ 

in the covered futures contract listed in 

proposed regulation 20.2 or ‘‘paired 

swaps or swaptions.’’ Proposed 

regulation 20.6(a) would require 

clearing organizations to maintain ‘‘all 

records of transactions in paired swaps 

or swaptions’’ on clearing organizations. 

Proposed regulation 20.6(b) would 

require reporting entities and ‘‘persons 

with reportable positions’’ to maintain 

for all commodities in which it holds a 

reportable position ‘‘all records for 

transactions * * * in the cash 

commodity * * * [and] its products and 

byproducts’’ and in ‘‘commercial 

activities’’ underlying a hedge in a 

covered futures contract or in paired 

swaps or swaptions. These provisions 

extend those recordkeeping 

requirements currently applicable to 

those traders holding reportable 

positions in futures contracts, as 

currently found in regulation 18.05, to 

those traders holding reportable 

positions in swaps. 

The Commission estimates that the 

recordkeeping requirements of proposed 

regulation 20.6 would not be overly 

burdensome. For the firms subject to the 

reporting and recordkeeping 

requirements of proposed regulation 

20.6, it should be noted that these 

requirements are not unlike the 

recordkeeping requirements imposed by 

Congress in the new CEA section 

4r(c)(2) of the CEA and by existing 

recordkeeping regulation 18.05. If a firm 

subject to these recordkeeping 

requirements was previously reportable 

due to a futures position in the relevant 

commodity above the ‘‘reporting level’’ 

(see regulation 15.03), then the 

proposed regulation 20.6(b) 

recordkeeping burdens would not be 

new, as that firm would already be 

subject to these requirements under 

regulation 18.05. If a firm becomes 

subject to the proposed regulation 20.6 

recordkeeping requirements only 

because of a reportable swaps position 

(not because of a futures position above 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
67266 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 

21The 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%). 

22The 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. 

23All of the capital cost estimates in these 

estimates are based on a 5 year, straight-line 

depreciation. 24 7 U.S.C. 12(a)(1). 

the reportable level) then the 

requirements contained in the proposal 

add only the duty to keep records on 

‘‘all commercial activities that a 

reporting entity or person hedges’’ to the 

swaps-related recordkeeping duties 

imposed by CEA section 4r(c)(2). These 

additional burdens are not expected to 

be substantial, given that in the normal 

course of business firms would collect 

this information on their commercial 

activities. 

The Commission estimates that 

implementing proposed part 20 would 

create a total annual reporting and 

recordkeeping hour burden of 79,503 

hours across 705 firms. Based on a 

weighted average wage rate of $74.36,21

this would amount to an annualized 

labor cost of $5.9 million. In addition, 

the Commission estimates that total 

annualized capital/start-up, operating, 

and maintenance costs 22 would amount 

to a combined $32.7 million. This 

overall total reporting and 

recordkeeping hour burden is the sum 

of estimated burdens for the three 

reporting categories and the three 

recordkeeping categories mentioned 

above. 

Reporting burdens: 

1. Proposed regulation 20.3 clearing 

organization reports would account for 

938 of these annual reporting and 

recordkeeping hours. These hours 

would be spread across 5 respondents. 

Annualized capital/start-up, operating, 

and maintenance costs for all affected 

clearing organizations combined would 

be approximately $100,000.23

2. Proposed regulation 20.4 reporting 

entity reports would have two separate 

burden estimates based on the kind of 

reporting entity providing the report: 

a. Clearing member (80 clearing 

member/swap dealers plus 20 clearing 

member/non-swap dealers) reporting 

entity reports would create an annual 

reporting and recordkeeping burden of 

25,000 hours spread across 100 

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

all firms in this category combined 

would be approximately $6 million. 

b. Swap dealer non-clearing member 

reporting entity reports would create an 

annual reporting and recordkeeping 

burden of 37,500 hours spread across 

100 respondents. Annualized capital/ 

start-up, operating, and maintenance 

costs for all firms in this category 

combined would be approximately $8 

million. 

3. Proposed regulation 20.5 reporting 

entity 102S submissions would create 

an annual reporting and recordkeeping 

burden of 1,800 hours spread across 200 

firms. Annualized capital/start-up, 

operating, and maintenance costs for all 

reporting entities combined providing 

these reports would be approximately 

$1 million. 

4. 40S submissions by persons with 

reportable positions under proposed 

regulation 20.5(b) in paired swaps 

would create an annual reporting and 

recordkeeping burden of 165 hours and 

would affect 500 firms. Annualized 

capital/start-up, operating, and 

combined maintenance costs for all 

firms providing 40S filings would be 

approximately $4.5 million. 

Recordkeeping burdens: 

1. Proposed regulation 20.6(a) 

recordkeeping duties for clearing 

organizations would account for 100 of 

these annual reporting and 

recordkeeping hours. These hours 

would be spread across 5 firms. 

Annualized capital/start-up, operating, 

and maintenance costs to meet the 

recordkeeping requirements of proposed 

regulation 20.6(a) would be 

approximately $100,000 spread across 

all affected clearing organizations. 

2. Proposed regulation 20.6(b) 

reporting entity recordkeeping duties 

would have two separate burden 

estimates based on the kind of reporting 

entity providing the report: 

a. Clearing member (80 clearing 

member/swap dealers plus 20 clearing 

member/non-swap dealers) reporting 

entity recordkeeping would create an 

annual reporting and recordkeeping 

burden of 2,000 hours spread across 100 

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

all firms in this category of 

recordkeeping reporting entities would 

be approximately $2 million. 

b. Swap dealer non-clearing member 

reporting entity recordkeeping would 

create an annual reporting and 

recordkeeping burden of 2000 hours 

spread across 100 respondents. 

Annualized capital/start-up, operating, 

and maintenance costs for all firms in 

this category of recordkeeping reporting 

entities would be approximately $2 

million. 

3. Proposed regulation 20.6(b) 

recordkeeping duties for persons with 

reportable positions in swaps (these 

firms were previously not reportable) 

would create an annual reporting and 

recordkeeping burden of 10,000 hours 

spread across 500 firms. Annualized 

capital/start-up, operating, and 

maintenance costs for all traders in this 

category combined would be 

approximately $11.5 million. 

3. Confidentiality 

The Commission would protect 

proprietary information according to the 

Freedom of Information Act and 17 CFR 

part 145, ‘‘Commission Records and 

Information.’’ In addition, section 8(a)(1) 

of the Act strictly prohibits the 

Commission, unless specifically 

authorized by the Act, from making 

public ‘‘data and information that would 

separately disclose the business 

transactions or market positions of any 

person and trade secrets or names of 

customers.’’ 24 The Commission also is 

required to protect certain information 

contained in a government system of 

records according to the Privacy Act of 

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

4. Comments on Information Collection 

The Commission invites the public 

and other Federal agencies to comment 

on any aspect of the reporting and 

recordkeeping burdens discussed above. 

Pursuant to 44 U.S.C. 3506(c)(2)(B), the 

Commission solicits comments in order 

to: (i) Evaluate whether the proposed 

collection of information is necessary 

for the proper performance of the 

functions of the Commission, including 

whether the information would have 

practical utility; (ii) evaluate the 

accuracy of the Commission’s estimate 

of the burden of the proposed collection 

of information; (iii) determine whether 

there are ways to enhance the quality, 

utility, and clarity of the information to 

be collected; and (iv) minimize the 

burden of the collection of information 

on those who are to respond, including 

through the use of automated collection 

techniques or other forms of information 

technology. 

Comments may be submitted directly 

to the Office of Information and 

Regulatory Affairs, by fax at (202) 395– 

6566 or by e-mail at 

OIRAsubmissions@omb.eop.gov. Please 

provide the Commission with a copy of 

submitted comments so that all 


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comments can be summarized and 

addressed in the final regulation 

preamble. Refer to the Addresses section 

of this notice of proposed rulemaking 

for comment submission instructions to 

the Commission. A copy of the 

supporting statements for the 

collections of information discussed 

above may be obtained by visiting 

RegInfo.gov. OMB is required to make a 

decision concerning the collection of 

information between 30 and 60 days 

after publication of this release. 

Consequently, a comment to OMB is 

most assured of being fully effective if 

received by OMB (and the Commission) 

within 30 days after publication of this 

notice of proposed rulemaking. 

List of Subjects 

17 CFR Part 15 

Brokers, Commodity futures, 

Reporting and recordkeeping 

requirements. 

17 CFR Part 20 

Physical commodity swaps, Swap 

dealers, Reporting and recordkeeping 

requirements. 

For the reasons stated in the 

preamble, the Commodity Futures 

Trading Commission proposes to amend 

17 CFR parts 15 and 20 as follows: 

PART 15—REPORTS—GENERAL 

PROVISIONS 

1. The authority citation for part 15 is 

revised to read as follows: 

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

6k, 6m, 6n, 7, 7a, 9, 12a, 19, and 21, as 

amended by Title VII of the Dodd-Frank Wall 

Street Reform and Consumer Protection Act, 

Pub. L. 111–203, 124 Stat. 1376 (2010). 

2. Revise the heading and 

introductory text in § 15.00 to read as 

follows: 

§ 15.00 Definitions of terms used in parts 

15 to 19, and 21 of this chapter. 

As used in parts 15 to 19, and 21 of 

this chapter: 

* * * * * 

3. Add part 20 to read as follows: 

PART 20—POSITION REPORTS 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. 

Appendix A to Part 20—Guidelines on 

Futures Equivalancy 

Appendix B to Part 20—Explanatory 

Guidance on Data Record Layouts 

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

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

Dodd-Frank Wall Street Reform and 

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

124 Stat. 1376 (2010). 

§ 20.1 Definitions. 

As used in, and solely for the 

purposes of, this part: 

Account controller means a person 

that by power of attorney or otherwise 

directs trading for an account. 

Business day means ‘‘business day’’ as 

that term is defined in § 1.3 of this 

chapter. 

Cleared product means a paired swap 

or swaption that a clearing organization 

offers or accepts for clearing. 

Clearing member means any person 

who is a member of, or enjoys the 

privilege of, clearing trades in its own 

name through a clearing organization. 

Clearing organization means the 

person or organization that acts as a 

medium between clearing members for 

the purpose of clearing swaps or 

swaptions or effecting settlements of 

swaps or swaptions. 

Closed swap or closed swaption 

means a swap or swaption that has been 

settled, exercised, closed out, or 

terminated. 

Commodity reference price means the 

price series (including derivatives 

contract and cash market prices or price 

indices) used by the parties to a swap 

or swaption to determine payments 

made, exchanged, or accrued under the 

terms of the contracts. 

Controlled account means ‘‘controlled 

account’’ as defined in § 1.3 of this 

chapter. 

Counterparty means, from the 

perspective of one side to a contract, the 

person that directly corresponds to the 

other side of the contract. 

Futures equivalent means an 

economically equivalent amount of one 

or more futures contracts that represents 

a position or transaction in one or more 

paired swaps or swaptions consistent 

with the conversion guidelines in 

Appendix A of this part. 

Open swap or swaption means a swap 

or swaption that has not been closed. 

Paired swap or paired swaption 

means an open swap that is: 

(1) Directly or indirectly linked, 

including being partially or fully settled 

on, or priced at a differential to, the 

price of any commodity futures contract 

listed in § 20.2; or 

(2) Directly or indirectly linked, 

including being partially or fully settled 

on, or priced at a differential to, the 

price of the same commodity for 

delivery at the same location, or 

locations with substantially the same 

supply and demand fundamentals, as 

that of a commodity futures contract 

listed in § 20.2. 

Person means any ‘‘person’’ as that 

term is defined in § 1.3 of this chapter. 

Reportable account or consolidated 

account that is reportable means a 

consolidated account that includes a 

reportable position. 

Reportable position means: 

(1) A position, in any one futures 

equivalent month, comprised of fifty or 

more futures equivalent paired swaps or 

swaptions based on the same 

commodity underlying a futures 

contract listed in § 20.2, grouped 

separately by swaps and swaptions, 

then grouped by gross long contracts on 

a futures equivalent basis or gross short 

contracts on a futures equivalent basis; 

(2) For a consolidated account 

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

reportable position as defined in 

paragraph (1) of this definition, all other 

positions in that account that are based 

on the commodity that renders the 

account reportable; and 

(3) The first reporting day on which 

a consolidated account (described in 

§ 20.4(a)) no longer in fact includes a 

reportable position as described in 

paragraph (1) of this definition (because 

on such day, the reporting entity’s 

consolidated account shall be 

considered and treated as if it in fact 

included reportable positions as 

described in paragraph (1) of this 

definition. 

Reporting day means the period of 

time between a clearing organization or 

reporting entity’s usual and customary 

last internal valuation of paired swaps 

or swaptions and the next such period, 

so long as the period of time is 

consistently observed on a daily basis 

and the Commission is notified, upon 

its request, of the manner by which such 

period is calculated and any subsequent 

changes thereto. 

Reporting entity, means: 

(1) A clearing member; or 

(2) Swap dealer as that term is defined 

in section 1a of the Act and any 

Commission definitional regulations 

adopted thereunder, unless determined 

otherwise by the Commission for the 

purpose of excluding entities that are 

not commonly known as swap dealers 

from the reporting requirements of 

§ 20.4. 

Swap means (other than a swaption) 

‘‘swap’’ as defined in section 1a of the 

Act and any Commission definitional 

regulations adopted thereunder. 

Swaption means an option to enter 

into a swap or a physical commodity 


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option included in the definition of 

‘‘swap’’ under section 1a of the Act and 

any Commission definitional 

regulations adopted thereunder. 

Swap or swaption account means an 

account for swaps or swaptions 

maintained at a clearing organization or 

reporting entity. 

§ 20.2 Covered contracts. 

(a) All paired swaps and swaptions, 

unless specifically provided otherwise, 

shall be reported pursuant to the 

requirements and conditions of this part 

and shall not be reported under parts 15 

through 19, or 21 of this chapter. 

(b) The futures and option contracts 

listed by designated contract markets for 

the purpose of reports filed and 

information provided under this part are 

as follows: 

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. 

COVERED AGRICULTURAL AND EXEMPT

FUTURES CONTRACTS—Continued 

NYMEX Sugar No. 11. 

NYMEX Uranium. 

§ 20.3 Clearing organizations. 

(a) Reporting data records. For each 

reporting day, with respect to paired 

swaps or swaptions, clearing 

organizations shall report to the 

Commission, separately for each 

clearing member’s proprietary and 

customer account, unique groupings of 

the data elements in paragraph (b) of 

this section (to the extent that there are 

such corresponding elements), in a 

single data record, so that each reported 

record is distinguishable from every 

other reported record (because of 

differing data values, as opposed to the 

arrangement of the elements). 

(b) Populating reported data records 

with data elements. Data records 

reported under paragraph (a) of this 

section shall include the following data 

elements: 

(1) An identifier assigned by the 

Commission to the clearing 

organization; 

(2) The identifier assigned by the 

clearing organization to the clearing 

member; 

(3) The identifier assigned by the 

clearing organization for a cleared 

product; 

(4) The reporting day; 

(5) A proprietary or customer account 

indicator; 

(6) The futures equivalent month; 

(7) The commodity reference price; 

(8) Long swap positions; 

(9) Short swap positions; 

(10) A swaption put or call side 

indicator; 

(11) A swaption expiration date; 

(12) A swaption strike price; 

(13) Long non-delta-adjusted 

swaption positions; and 

(14) Short non-delta-adjusted 

swaption positions. 

(c) End of reporting day data. For all 

futures equivalent months, clearing 

organizations shall report end of 

reporting day settlement prices for each 

cleared product and deltas for every 

unique swaption put and call, 

expiration date, and strike price. 

§ 20.4 Reporting entities. 

(a) Consolidated accounts. Each 

reporting entity shall combine all paired 

swap and swaption positions: 

(1) That are proprietary positions 

(swaps and swaptions to which the 

reporting entity is a counterparty), in a 

single consolidated account that it shall 

attribute to itself; 

(2) That are positions directly owned 

by a reporting entity’s counterparty, in 

a single consolidated account that it 

shall attribute to that specific 

counterparty; and 

(3) That are positions under the 

direction of an account controller, in a 

single consolidated account that it shall 

attribute to that specific account 

controller. 

(b) Reporting data records. Reporting 

entities shall report to the Commission, 

for each reporting day, and separately 

for each consolidated account described 

in paragraphs (a)(1) through (a)(3) of this 

section that is reportable, unique 

groupings of the data elements in 

paragraph (c) of this section (to the 

extent that there are such corresponding 

elements), in a single data record, so 

that each reported record is 

distinguishable from every other 

reported record (because of differing 

data values, as opposed to the 

arrangement of the elements). 

(c) Populating reported data records 

with data elements. Data records 

reported under paragraph (b) of this 

section shall include the following data 

elements: 

(1) An identifier assigned by the 

Commission to the reporting entity; 

(2) An identifier assigned by the 

reporting entity to each swap or 

swaption account; 

(3) A 102S identifier assigned by the 

reporting entity to the owner of such 

accounts; 

(4) A 102S identifier assigned by the 

reporting entity to the controller of such 

accounts; 

(5) The name of each owner of such 

accounts; 

(6) The name of each controller of 

such accounts; 

(7) The reporting day; 

(8) The identifier for the cleared 

product assigned by the clearing 

organization (cleared only); 

(9) The commodity underlying the 

reportable positions; 

(10) The futures equivalent month; 

(11) A cleared or uncleared indicator; 

(12) A clearing organization identifier; 

(13) The commodity reference price; 

(14) A bi-lateral trade indicator; 

(15) Long paired swap positions; 

(16) Short paired swap positions; 

(17) A swaption put or call side 

indicator (cleared only); 

(18) A swaption expiration date 

(cleared only); 

(19) A swaption strike price (cleared 

only); 

(20) Long non-delta-adjusted paired 

swaption positions; 

(21) Short non-delta-adjusted paired 

swaption positions; 

(22) Long delta-adjusted paired 

swaption positions (non-cleared only, 

using economically reasonable and 

analytically supported deltas); 


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(23) Short delta-adjusted paired 

swaption positions (non-cleared only, 

using economically reasonable and 

analytically supported deltas); 

(24) Long paired swap or swaption 

notional value (non-cleared only); and 

(25) Short paired swap or swaption 

notional value (non-cleared only). 

§ 20.5 Series S filings. 

(a) 102S filing. 

(1) When a consolidated account first 

becomes reportable, the reporting entity 

holding or carrying the account shall 

submit a 102S filing, which shall consist 

of the name, address, and contact 

information of the direct owner or 

controller of the reportable account and 

a brief description of the nature of such 

person’s paired swaps and swaptions 

market activity. 

(2) A reporting entity may submit a 

102S filing only once for each person, 

even if such persons at various times 

have multiple reportable positions in 

the same or different paired swaps or 

swaptions; however, reporting entities 

must update a 102S filing if the 

information provided is no longer 

accurate. 

(3) Reporting entities shall submit a 

102S filing within three days following 

the first day a consolidated account first 

becomes reportable or at such time as 

instructed by the Commission upon 

special call. 

(b) 40S filing. Every person who holds 

or controls a reportable position shall 

after a special call upon such person by 

the Commission file with the 

Commission a 40S filing at such time 

and place as directed in the call. A 40S 

filing shall consist of the submission of 

a Form 40, which shall be completed by 

such person as if any references to 

futures or option contracts were 

references to paired swaps or swaptions 

as defined in § 20.1. 

§ 20.6 Maintenance of books and records. 

(a) Every clearing organization shall 

keep all records of transactions in 

paired swaps or swaptions in 

accordance with the requirements of 

§ 1.31 of this chapter. 

(b) Every reporting entity or person 

with reportable positions shall keep 

books and records, in accordance with 

the requirements of § 1.31 of this 

chapter, showing all records for 

transactions concerning all reportable 

positions, including records for 

transactions in the cash commodity in 

which the reporting entity or other 

person is reportable, its products and 

byproducts, and all commercial 

activities that a reporting entity or 

person hedges by taking a position in 

the contracts listed in § 20.2 or paired 

swaps and swaptions. 

§ 20.7 Form and manner of reporting and 

submitting information or filings. 

Unless otherwise instructed by the 

Commission, a clearing organization or 

reporting entity shall submit data 

records and any other information 

required under this part to the 

Commission as follows: 

(a) Using the format, coding structure, 

and electronic data transmission 

procedures approved in writing by the 

Commission; and 

(b) Not later than 9 a.m. eastern time 

on the next business day following the 

reporting day or at such other time as 

instructed by the Commission. 

§ 20.8 Delegation of authority to the 

Director of the Division of Market Oversight. 

(a) The Commission hereby delegates, 

until it orders otherwise, to the Director 

of the Division of Market Oversight or 

such other employee or employees as 

the Director may designate from time to 

time, the authority: 

(1) In § 20.5(a)(3) for issuing a special 

call for a 102S filing; 

(2) In § 20.5(b) for issuing a special 

call for a 40S filing; 

(3) In § 20.7 for providing instructions 

or determining the format, coding 

structure, and electronic data 

transmission procedures for submitting 

data records and any other information 

required under this part. 

(b) The Director of the Division of 

Market Oversight may submit to the 

Commission for its consideration any 

matter which has been delegated in this 

section. 

(c) Nothing in this section prohibits 

the Commission, at its election, from 

exercising the authority delegated in 

this section. 

§ 20.9 Sunset provision. 

(a) Except as otherwise provided in 

paragraph (b) of this section, the 

sections of this part shall become 

ineffective and unenforceable upon a 

Commission finding that, through the 

issuance of an order, operating swap 

data repositories are processing 

positional data and that such processing 

will enable the Commission to 

effectively surveil trading in paired 

swaps and swaptions and paired swap 

and swaption markets. 

(b) The Commission may determine, 

in its discretion, to maintain the 

effectiveness and enforceability of any 

section of this part, or any requirement 

therein, in an order issued under 

paragraph (a) of this section, upon 

finding that such sections, or 

requirements therein, provide the 

Commission with positional data or data 

elements that materially improves the 

accuracy and surveillance utility of the 

positional data processed by swap data 

repositories. 

Appendix A to Part 20—Guidelines on 

Futures Equivalency 

The following examples illustrate how 

swaps should be converted into futures 

equivalents. In general the total notional 

quantity for each swap should be 

apportioned to referent futures months based 

on the fraction of days remaining in the life 

of the swap during each referent futures 

month to the total duration of the swap, 

measured in days. The terms used in the 

examples are to be understood in a manner 

that is consistent with industry practice. 

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

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. 


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NYMEX WTI trading in the next to expire 

futures contract ceases on the third business 

day prior to the 25th of the calendar month 

preceding the contract month. For simplicity 

in this example, the last trading day in each 

WTI futures contract is shown as the 22nd of 

the month. 

Futures equivalent position on January 1 

Total Notional Quantity = 6 months * 

100,000 bbls/month = 600,000 bbls 

1,000 bbl = 1 futures contract 

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

600 futures equivalent contracts 

Total number of days in swap term = 31 + 

28 + 31 + 30 + 31 + 30 = 181 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Referent futures month Fraction of days 

Company A 

position 

(long) † 

Company B 

position 

(short) † 

January 1–January 22 .................................................. February ............................... 22/181 73 73 

January 23–February 22 ............................................... March ................................... 31/181 103 103 

February 23–March 22 .................................................. April ...................................... 28/181 93 93 

March 23–April 22 ......................................................... May ...................................... 31/181 103 103 

April 23–May 22 ............................................................ June ..................................... 30/181 99 99 

May 23–June 22 ........................................................... July ....................................... 31/181 103 103 

June 23–June 30th ....................................................... August .................................. 8/181 27 27 

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

† Contracts rounded to the nearest integer. 

Futures equivalent position on January 2 

Total Notional Quantity = Remaining swap 

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

bbls 

1,000 bbl = 1 futures contract 

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

597 futures equivalent contracts 

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

+ 31 + 30 = 180 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 2 

[Example 1 continued] 

Dates swap in force Referent futures month Fraction of days 

Company A 

position 

(long) † 

Company B 

position 

(short) † 

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

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

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

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

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

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

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

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

† Contracts rounded to the nearest integer. 

EXAMPLE 2—FIXED FOR FLOATING CORN SWAP

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

through the CBOT spot month. 

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

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

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

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

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

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

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

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

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

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

Last trading day in the nearby CBOT Corn 

futures contract is the business day preceding 

the 15th of the contract month. For simplicity 

in this example, the last trading day in each 

Corn futures contract is shown as the 14th of 

the month. Futures contract months for corn 

are March, May, July, September, and 

December. 

Futures equivalent position on January 1 

Total Notional Quantity = 6 contract months 

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

bushels 

5,000 bushels = 1 futures contract 

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

contract = 1,200 futures equivalent 

contracts 

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

= 181 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 67271 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Referent futures month Fraction of days 

Company A position 

(long)† 

Company B position 

(short)† 

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

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

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

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

† Contracts rounded to the nearest integer. 

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

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

NYMEX spot month. 

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

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

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

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

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

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

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

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

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

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

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

NYMEX NY RBOB (Platts) Calendar Swap 

Futures Contract month ends on the final 

business day of the contract month. For 

simplicity in this example, the last trading 

day in each futures contract is shown as the 

final day of the month. 

Futures equivalent position on January 1 

Total Notional Quantity = 2 quarters * 84 

million = 168 million gallons 

42,000 gallons = 1 futures contract 

Therefore 168 million/42,000 gallons/futures 

contract = 4,000 futures equivalent 

contracts 

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

+ 31 + 30 = 181 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Referent futures month Fraction of days 

Company A position 

(long)† 

Company B position 

(short)† 

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

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

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

† Contracts rounded to the nearest integer. 

EXAMPLE 4—CALENDAR SPREAD SWAP

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

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

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

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

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

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

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

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

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

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

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

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

NYMEX WTI trading in the next to expire 

futures contract ceases on the third business 

day prior to the 25th of the calendar month 

preceding the contract month. For simplicity 

in this example, the last trading day in each 

WTI futures contract is shown as the 22nd of 

the month. 

Futures equivalent position on January 1 

Total Notional Quantity = 6 months * 

100,000 bbls/month = 600,000 bbls 

1,000 bbl = 1 futures contract 

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

600 futures equivalent contracts 

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

+ 31 + 30 = 181 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
67272 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 

FUTURES EQUIVALENT POSITION OF SWAP ON JANUARY 1 

Dates swap in force Fraction of 

days 

Applicable 

next to expire 

futures month 

Company A 

position 

(long)† 

Company B 

position 

(short)† 

Applicable 

deferred futures month 

Company A 

position 

(short)† 

Company B 

Position 

(long)† 

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

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

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

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

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

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

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

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

† Contracts rounded to the nearest integer. 

EXAMPLE 5—COLUMBIA GULF MAINLINE BASIS SWAP (PLATTS IFERC) FUTURES

Reference price ................................................... The next issue of the Inside FERC’s Gas Market Report (‘‘Platts IFERC’’) Columbia Gulf 

Transmission Co. Mainline Index (‘‘Index’’) and the next to expire NYMEX (Henry Hub) Natural Gas Futures contract final settlement price. 

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

Floating Price ...................................................... The Floating Price for each contract month will be equal to the Platts Inside FERC’s Gas Market Report (‘‘Platts IFERC’’) Columbia Gulf Transmission Co. Mainline Index (‘‘Index’’) published in the table titled ‘‘Prices of Spot Gas Delivered to Pipelines’’ in the first regular issue 

of the contract month minus the NYMEX (Henry Hub) Natural Gas Futures contract final 

settlement price for the corresponding contract month. 

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 

Transmission 

Co. mainline 

natural gas 

(long) 

MMBtu 

Company A 

position in 

NYMEX 

(Henry 

Hub) natural 

gas futures 

(short) 

Company B 

position in 

Columbia 

Gulf 

Transmission 

Co. mainline 

natural gas 

(short) 

MMBtu 

Company B 

position in 

NYMEX 

(Henry 

Hub) natural 

gas futures 

(long) 

January 1–January 28 ......................................... 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. 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 67273 

EXAMPLE 6—WTI SWAPTION (CALL)—Continued 

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

through the NYMEX spot month. 

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

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

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

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

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

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

NYMEX WTI trading ceases on the third 

business day prior to the 25th of the calendar 

month preceding the delivery month. For 

simplicity in this example, the last trading 

day in each WTI futures contract is shown as 

the 22nd of the month. 

Futures equivalent position on January 1 

Total Notional Quantity = 1 month * 100,000 

bbls/month = 100,000 bbls 

1,000 bbl = 1 futures contract 

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

100 futures equivalent contracts 

Total number of days = 31 

GROSS POSITION ON JANUARY 1 

Dates swap in force Referent futures month Fraction of days 

Company A 

position 

(long)† 

Company B 

position (short)† 

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

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

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

† Contracts rounded to the nearest integer. 

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

Date 

August September 

Delta Position Delta Position 

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

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

EXAMPLE 7—WTI COLLAR SWAP

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

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

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

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

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

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

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

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

NYMEX spot month. 

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

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

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

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

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

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

NYMEX WTI trading ceases on the third 

business day prior to the 25th of the calendar 

month preceding the delivery month. For 

simplicity in this example, the last trading 

day in each WTI futures contract is shown as 

the 22nd of the month. 

Futures equivalent position on January 1 

Total Notional Quantity = 1 month * 100,000 

bbls/month = 100,000 bbls 

1,000 bbl = 1 futures contract 

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

100 futures equivalent contracts 

Total number of days = 31 

GROSS POSITION ON JANUARY 1 

Dates swap in force Referent futures 

month 

Fraction of 

days 

Company A position Company B position 

Call Put Call Put 

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


jlentini on DSKJ8SOYB1PROD with PROPOSALS
67274 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 

GROSS POSITION ON JANUARY 1—Continued 

Dates swap in force Referent futures 

month 

Fraction of 

days 

Company A position Company B position 

Call Put Call Put 

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 Position Delta Position 

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

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

FUTURES EQUIVALENT POSITION ON JANUARY 1 

Date 

August †† September †† 

Long Short Long Short 

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

†† Contracts rounded to the nearest integer. 

Appendix B to Part 20—Explanatory 

Guidance on Data Record Layouts 

Record Layout Examples for § 20.3 

The following example (in Tables 1, 2 and 

3) covers reporting for a particular clearing 

organization. ‘‘Clearing Organization One’’ 

would report, for the 27th of September 2010, 

the following eleven unique data record 

submissions. Each data record submission 

represents a unique position, as indicated by 

§ 20.3, held by a clearing member of Clearing 

Organization One. Paragraph (a) of § 20.3 

broadly outlines the data elements that 

determine unique positions for reports on 

clearing member positions. Paragraphs (b) of 

§ 20.3 present all of the data elements that 

should be submitted in reference to a 

particular data record for a particular clearing 

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

data elements that would comprise end of 

day record data on cleared products (in 

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

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

elements that should be submitted in 

reference to a particular data record. 

Paragraphs (a) and (c) are reproduced below. 

(a) Reporting data records. For each 

reporting day, with respect to paired swaps 

or swaptions, clearing organizations shall 

report to the Commission, separately for each 

clearing member’s proprietary and customer 

account, unique groupings of the data 

elements in paragraph (b) of this section (to 

the extent that there are such corresponding 

elements), in a single data record, so that 

each reported record is distinguishable from 

every other reported record (because of 

differing data values, as opposed to the 

arrangement of the elements). 

(c) End of reporting day data. For all 

futures equivalent months, clearing 

organizations shall report end of reporting 

day settlement prices for each cleared 

product and deltas for every unique swaption 

put and call, expiration date, and strike 

price. 

Because CFTC designated Clearing 

Organization One (in this example) currently 

has two clearing members, ‘‘Clearing 

Members One’’ and ‘‘Clearing Member Two.’’ 

positions cleared for these two distinct 

clearing members would be subdivided. 

In the following example it is assumed that 

the clearing member accounts are either 

proprietary or customer (but not both) and 

therefore data record submissions do not 

have to be delineated by these account types. 

However, if clearing members did have both 

proprietary and customer accounts, then a 

clearing organization would have to further 

subdivide these clearing member data 

records by these two account types. 

Clearing Member One currently has five 

positions with multiple cleared product IDs 

and futures equivalent months/years, and 

therefore these positions also constitute 

separate data records. 

Clearing Member Two currently has six 

positions with the following varying 

characteristics: Cleared product IDs; futures 

equivalent months/years; commodity 

reference prices; swaption positions that 

involve both puts and calls; and multiple 

strike prices. Accordingly, these positions 

must be reported in separate data records. An 

illustration of how these records would 

appear is included in Table 1 below. Clearing 

Organization One would also have to report 

the corresponding swaption position deltas, 

strike prices, expiration dates, and settlement 

prices and swap settlement prices. An 

illustration of these submissions is included 

in Tables 2 and 3 below. 

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

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 ........................... CCI_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 ........................... CCI_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 ........................... CCI_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. 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 67275 

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

Data records 

CFTC 

clearing 

org ID 

Clearing 

org 

clearing 

member ID 

Clearing 

org cleared 

product ID 

Reporting 

day 

Proprietary/ 

customer 

account 

indicator 

Futures 

equivalent 

month and 

year 

Commodity reference price 

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

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

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

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

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

Data records Long swap 

position 

Short swap 

position 

Put/call 

indicator 

Swaption 

expiration 

date 

Swaption 

strike price 

Non-delta 

adjusted 

long 

swaption 

position 

Non-delta adjusted short 

swaption position 

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

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

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

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

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

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

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

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

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

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

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

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

Note: The bottom row of Table 1 indicates 

whether data elements for which any 

difference in one of the elements constitutes 

a reason for a new data record (NDR). 

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

Data records 

CFTC 

clearing 

org ID 

Clearing 

org cleared 

product ID 

Reporting 

day 

Futures 

equivalent 

month and 

year 

Commodity reference price 

Swaption 

expiration 

date 

Swaption 

strike 

price 

Put/call 

indicator Delta 

Swaption 

daily settlement 

price 

Data record 1 ..................... CCI_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 ..................... CCI_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 ................................................. CCI_ID_1 ...... CP_04 .......... 9/27/2010 Nov–10 ......... C .................. 20.35 

Data record 2 ................................................. CCO_ID_1 .... CP_04 .......... 9/27/2010 Oct–10 ......... C .................. 10.50 

Data record 3 ................................................. CCO_ID_1 .... CP_03 .......... 9/27/2010 Mar–11 ......... P ................... 15.00 

Data record 4 ................................................. CCO_ID_1 .... CP_03 .......... 9/27/2010 Feb–11 ......... P ................... 21.00 

Data record 5 ................................................. CCO_ID_1 .... CP_01 .......... 9/27/2010 Mar–11 ......... P ................... 17.50 

Data record 6 ................................................. CCO_ID_1 .... CP_01 .......... 9/27/2010 Feb–11 ......... P ................... 21.65 

Data record 7 ................................................. CCO_ID_1 .... CP_01 .......... 9/27/2010 Jan–11 ......... P ................... 12.50 

Record Layout Example for § 20.4 

In this example, ‘‘Reporting Entity One’’ 

would report for the 27th of September 2010, 

the following twelve unique data records 

under § 20.4. Each data record represents a 

unique part of a reportable position in the 

same commodity held by Reporting Entity 

One. Paragraph (b) of § 20.4 outlines the data 

elements that determine unique positions; 

paragraph (b) is reproduced below. 

(b) Reporting data records. Reporting 

entities shall report to the Commission, for 

each reporting day, and separately for each 

consolidated account described in 

paragraphs (a)(1) through (a)(3) of this 

section that is reportable, unique groupings 

of the data elements in paragraph (c) of this 

section (to the extent that there are such 

corresponding elements), in a single data 

record, so that each reported record is 

distinguishable from every other reported 

record (because of differing data values, as 

opposed to the arrangement of the elements). 

In the following example it is assumed that 

Reporting Entity One currently clears with 

one clearing organization and therefore the 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
67276 Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 

data records do not have to be delineated by 

clearing organization. However, if Reporting 

Entity One did use multiple clearing 

organizations, then it would have to further 

subdivide its data submissions by each 

clearing organization. 

Reporting Entity One currently has twelve 

positions with the following varying 

characteristics: account owners; account 

controllers; futures equivalent months/years; 

clearing organization cleared products; 

swaptions that were either cleared or 

uncleared; commodity reference prices; and 

whether the trade was entered into on or off 

execution facilities. Accordingly, these 

positions constitute separate data records. An 

illustration of how these records would 

appear is included in Table 4 below. 

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

Data records 

Commission 

reporting 

entity ID 

Reporting 

entity client 

account 

number 

102S Owner 

ID 

102S 

Controller ID 

Account 

owner name 

Account 

controller 

name 

Reporting day 

Clearing org 

cleared 

product ID 

Data record 1 ....................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_04 

Data record 2 ....................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_04 

Data record 3 ....................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_04 

Data record 4 ....................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_04 

Data record 5 ....................................... CRE_ID_1 .. ACCT_3 ...... CONTROL_2 OWNER_1 .. XYZ Corp. .. FED Corp. .. 9/27/2010 ..... CP_03 

Data record 6 ....................................... CRE_ID_1 .. ACCT_4 ...... CONTROL_2 OWNER_2 .. WVU Corp. FED Corp. .. 9/27/2010 ..... CP_03 

Data record 7 ....................................... CRE_ID_1 .. ACCT_2 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_03 

Data record 8 ....................................... CRE_ID_1 .. ACCT_5 ...... CONTROL_1 OWNER_2 .. WVU Corp. ABC Corp. .. 9/27/2010 ..... CP_03 

Data record 9 ....................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 .....

Data record 10 ..................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 .....

Data record 11 ..................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_01 

Data record 12 ..................................... CRE_ID_1 .. ACCT_1 ...... CONTROL_1 OWNER_1 .. XYZ Corp. .. ABC Corp. .. 9/27/2010 ..... CP_01 

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

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

Data records Commodity 

code 

Futures 

equivalent 

month and 

year 

Cleared/ 

uncleared 

indicator 

CFTC 

clearing org 

identifier 

Commodity reference price Execution 

facility 

Long 

swap 

position 

Short 

swap 

position 

Data record 1 ............................ HO1 .......... Feb-11 ........ C ................... CCO_ID_1 .. Platts Oilgram Price Report for 

New York No. 2 (Barge).

EX1 .......... 1989 ....... 0 

Data record 2 ............................ HO1 .......... Jan-11 ........ C ................... CCO_ID_1 .. Platts Oilgram Price Report for 

New York No. 2 (Barge).

EX2 .......... 2011 ....... 0 

Data record 3 ............................ HO1 .......... Feb-11 ........ C ................... CCO_ID_1 .. NYMEX NY Harbor No. 2 ........ EX1 .......... 0 ............. 5000 

Data record 4 ............................ CL ............ Jan-11 ........ C ................... CCO_ID_1 .. NYMEX NY Harbor No. 2 ........ EX3 .......... 0 ............. 2000 

Data record 5 ............................ CL ............ Feb-11 ........ C ................... CCO_ID_1 .. NYMEX Light Sweet ................ EX1 .......... 5000 ....... 0 

Data record 6 ............................ CL ............ Feb-11 ........ C ................... CCO_ID_1 .. NYMEX Light Sweet ................ EX1 .......... 5000 ....... 0 

Data record 7 ............................ CL ............ Feb-11 ........ C ................... CCO_ID_1 .. NYMEX Light Sweet ................ EX7 .......... 429 ......... 1286 

Data record 8 ............................ CL ............ Feb-11 ........ C ................... CCO_ID_1 .. NYMEX Light Sweet ................ EX1 .......... 1571 ....... 4714 

Data record 9 ............................ NG ............ Nov-10 ........ U ................... U ................. NYMEX Henry Hub .................. NOEX ....... ................

Data record 10 .......................... NG ............ Oct-10 ........ U ................... U ................. NYMEX Henry Hub .................. NOEX ....... ................

Data record 11 .......................... NG ............ Nov-10 ........ C ................... CCO_ID_1 .. NYMEX Henry Hub .................. EX1 .......... ................

Data record 12 .......................... NG ............ Oct-10 ........ C ................... CCO_ID_1 .. NYMEX Henry Hub .................. EX1 .......... ................

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

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

Data records Put/call 

indicator 

Swaption 

expiration date 

Swaption 

strike 

price 

Non-delta 

adjusted 

long 

swaption 

position 

Non-delta 

adjusted 

short 

swaption 

position 

Delta 

adjusted 

long 

swaption 

position 

Delta 

adjusted 

short 

swaption 

position 

Long swap or 

swaption 

notional value 

position 

Short 

swap or 

swaption 

notional 

value 

position 

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

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

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

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

Data record 5 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................

Data record 6 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................

Data record 7 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................

Data record 8 ....................................... .................. ....................... ................ .................. .................. ................ ................ ........................

Data record 9 ....................................... .................. ....................... ................ 2000 ......... 0 ............... 1000 ....... 0 ............. 111800000 ..... 0 

Data record 10 ..................................... .................. ....................... ................ 18000 ....... 0 ............... 9000 ....... 0 ............. 1006200000 ... 0 

Data record 11 ..................................... P ............... 7/29/2011 ...... 5.55 ........ 100 ........... 30 ............. 20 ........... 6 ............. ........................

Data record 12 ..................................... P ............... 7/29/2011 ...... 5.55 ........ 900 ........... 270 ........... 180 ......... 54 ........... ........................

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

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

Note: The bottom two rows in Table 4 

indicate whether, for uncleared and cleared 

swaps and swaptions, data elements for 

which any difference in one of the elements 

constitutes a reason for a new data record 

(NDR). 

Issued by the Commission this 19th day of 

October 2010 in Washington, DC. 

David Stawick, 

Secretary of the Commission. 

Note: The following attachments will not 

appear in the Code of Federal Regulations. 

Statement of Chairman Gary Gensler 

Position Reports for Physical 

Commodity Swaps 

October 19, 2010 

I support the proposed large trader 

reporting rulemaking for physical 

commodity swaps. The Commission 

currently receives data on large 


jlentini on DSKJ8SOYB1PROD with PROPOSALS
Federal Register / Vol. 75, No. 211 / Tuesday, November 2, 2010 / Proposed Rules 67277 

1Commission regulations referred to herein are 

found at 17 CFR Ch. 1. 

2See Dodd-Frank Wall Street Reform and 

Consumer Protection Act, Public Law 111–203, 124 

Stat. 1376 (2010). The text of the Dodd-Frank Act 

may be accessed at http://www.cftc.gov./

LawRegulation/OTCDERIVATIVES/index.htm. 

positions in all physical commodity 

futures traded on DCMs and uses it for 

market surveillance purposes, including 

position limit enforcement. With today’s 

proposed rule, we would have an 

analogous reporting system for swaps. 

The proposal would require position 

reports on economically equivalent 

swaps from clearing organizations, their 

members and swap dealers. This will 

enable the CFTC to receive such data 

until swap data repositories are in 

operation and capable of fulfilling the 

Commission’s need for this information. 

Concurring Statement of Commissioner 

Jill E. Sommers 

Relating to the Commission’s Proposal 

on Position Reports for Physical 

Commodity Swaps and Swaptions 

October 19, 2010 

I support this proposal to receive 

daily position reports for physical 

commodity swaps and swaptions 

because I believe it furthers our 

continued effort to expand transparency 

into swap markets and because I believe 

it is critical that the Commission receive 

this information as soon as possible. I 

recognize that this proposal is a 

precursor to the Commission moving 

forward with a proposal on the 

imposition of position limits. That said, 

my vote in support of this proposal 

today should not in any way be 

interpreted as expressing support for 

moving forward with the imposition of 

position limits by the deadlines set forth 

in Dodd-Frank. 

In July and August 2009, the 

Commission held three public hearings 

to discuss imposition of position limits 

in energy markets. Five months later, in 

January 2010, the Commission issued a 

proposed rule imposing position limits 

in four enumerated energy contracts. I 

had grave concerns about moving 

forward with position limits on those 

four contracts, and accordingly voted 

against the proposal. My grave concerns 

about moving forward with position 

limits have not been eased, and in fact, 

have only been heighted by certain 

provisions of Dodd-Frank. 

Section 737 of Dodd-Frank states that 

the Commission shall by rule, 

regulation, or order establish limits on 

the amount of positions, as appropriate, 

that may be held by any person. This 

section requires the limits to be 

aggregated across markets and related 

products and to be imposed within 180 

days for energy and metals contracts, 

and 270 days for agricultural contracts. 

In my view, no position limit is 

appropriate if it is imposed without the 

benefit of receiving and fully analyzing 

complete data concerning the open 

interest in each market. Only then is the 

Commission able to properly consider 

the size of each market and calibrate a 

limit that is appropriate for each market. 

Currently, the Commission does not 

have complete data and will not have 

complete data until swap data 

repositories are up and running and all 

swap market data is reported to swap 

data repositories or to the Commission. 

I believe that, optimistically, the earliest 

this reporting can happen will be by the 

end of 2011. Again that is an optimistic 

estimate. 

Because of the 180 and 270 day 

requirements in Dodd-Frank, as we sit 

here today, the Commission is 

tentatively planning a November 30 

public meeting to vote on proposed 

speculative position limits for exempt 

and agricultural commodities. Mind 

you, by November 30 the Commission 

will not have garnered any data from the 

proposed rule we are discussing today, 

because it, or some modified version of 

it, probably will not be effective in final 

form by November 30. In addition, by 

November 30, swap data repositories 

will still be at least one year away from 

operating. Even if the proposed rule we 

are discussing today were effective by 

November 30, it will not provide 

complete information sufficient to 

impose position limits. 

Under these circumstances, when 

considering the imposition of aggregate 

position limits on exempt and 

agricultural commodities, I believe the 

Commission should find that imposing 

such limits is not appropriate in the 

absence of full and complete data and 

analysis on the open interest in each 

market. I believe it is a mistake to 

interpret the arbitrary 180 day and 270 

day deadlines as somehow trumping the 

requirement that the Commission make 

an appropriateness determination before 

imposing any position limits. 

This is an issue that I will be 

following closely, and I look forward to 

hearing the views of the public and 

market participants on this issue. 

[FR Doc. 2010–27538 Filed 11–1–10; 8:45 am] 

BILLING CODE 6351–01–P 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Parts 39 and 140 

RIN 3038–AD00 

Process for Review of Swaps for 

Mandatory Clearing 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Notice of proposed rulemaking. 

SUMMARY: The Commodity Futures 

Trading Commission (Commission or 

CFTC) is proposing rules to implement 

new statutory provisions enacted by 

Title VII of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act. 

These proposed rules apply to the 

review of swaps by the Commission to 

determine whether the swaps are 

required to be cleared. 

DATES: Submit comments on or before 

January 3, 2011. 

ADDRESSES: You may submit comments, 

identified by RIN number, by any of the 

following methods: 

• Agency Web Site, via its Comments 

Online process: http:// 

comments.cftc.gov. Follow the 

instructions for submitting comments 

through the Web site. 

• Mail: David A. Stawick, Secretary of 

the Commission, Commodity Futures 

Trading Commission, Three Lafayette 

Centre, 1155 21st Street, NW., 

Washington, DC 20581. 

• Hand Delivery/Courier: Same as 

mail above. 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow the 

instructions for submitting comments. 

All comments must be submitted in 

English, or if not, accompanied by an 

English translation. Comments will be 

posted as received to http:// 

www.cftc.gov. You should submit only 

information that you wish to make 

available publicly. If you wish the 

Commission to consider information 

that may be exempt from disclosure 

under the Freedom of Information Act, 

a petition for confidential treatment of 

the exempt information may be 

submitted according to the established 

procedures in CFTC Regulation 145.9.1

FOR FURTHER INFORMATION CONTACT: 

Eileen A. Donovan, Special Counsel, 

202–418–5096, edonovan@cftc.gov, 

Division of Clearing and Intermediary 

Oversight, Commodity Futures Trading 

Commission, Three Lafayette Centre, 

1155 21st Street, NW., Washington, DC 

20581. 

SUPPLEMENTARY INFORMATION: 

I. Background 

On July 21, 2010, President Obama 

signed the Dodd-Frank Wall Street 

Reform and Consumer Protection Act 

(Dodd-Frank Act).2 Title VII of the 


jlentini on DSKJ8SOYB1PROD with PROPOSALS