Source: https://www.law.cornell.edu/cfr/text/17/appendix-B_to_part_20
Timestamp: 2017-01-16 15:15:29
Document Index: 284284966

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17 CFR Appendix B to Part 20, Explanatory Guidance on Data Record Layouts | US Law | LII / Legal Information Institute
CFR › Title 17 › Chapter I › Part 20 › Appendix B_to_part_20 17 CFR Appendix B to Part 20, Explanatory Guidance on Data Record Layouts
Appendix B to Part 20 - Explanatory Guidance on Data Record Layouts
The following example (in Tables 1, 2 and 3) covers reporting for a particular clearing organization. “Clearing Organization One” would report, for the 27th of September 2010, the following eleven unique data record submissions. Each data record submission represents a unique position, as indicated by § 20.3, held by a clearing member of Clearing Organization One. Paragraph (a) of § 20.3 broadly outlines the data elements that determine unique positions for reports on clearing member positions. Paragraphs (b) of § 20.3 present all of the data elements that should be submitted in reference to a particular data record for a particular clearing member (in Table 1). Paragraph (c) identifies data elements that would comprise end of day record data on cleared products (in Tables 2 and 3). Therefore, paragraphs (b) and (c) of § 20.3 present all of the data elements that should be submitted in reference to a particular data record.
Because CFTC designated Clearing Organization One (in this example) currently has two clearing members, “Clearing Member One” and “Clearing Member Two,” positions cleared for these two distinct clearing members would be subdivided.
Table 1 - Data Records Reported Under Paragraphs (a) and (b) of § 20.3
NYMEX NY Harbor No.2.
Non-delta adjusted short swaption position Data record 1
0 Data record 4
0 Data record 5
30 Data record 6
270 Data record 7
Table 2 - Example of Data Records Required Under § 20.3(c) for Cleared Swaption Products
Swaption expiration
Table 3 - Example of Data Records Required Under § 20.3(c) for Cleared Swap Products
First Record Layout Example for § 20.4:
This first example shows the data records generated under § 20.4 by a single reporting firm for report date September 27, 2011. Each data record represents a unique part of a reportable position in heating oil and natural gas by the reporting entity and its counterparties. Paragraph (b) of § 20.4 outlines the data elements that determine unique positions.
In this example, the reporting entity clears with one clearing organization and therefore the data records do not have to be delineated by clearing organization (there is a reportable position stemming from an uncleared transaction included as well). However, if the reporting entity in this example used multiple clearing organizations, then it would have to further subdivide its data submissions by each clearing organization.
The reporting entity reports fifteen records; six principal positions and nine counterparty positions. The reported positions constitute separate data records because they vary by the following characteristics: swap counterparties; futures equivalent months/years; clearing organization cleared products; swaptions that were either cleared or uncleared; commodity reference prices; and whether the trade was entered into on or off execution facilities. An illustration of how these records would be reported is included in Table 4 below.
For the calculation of notional values, assume for simplicity that the price of heating oil, for all contract months and for both reference prices, is $3/gal. Similarly, assume that the price of natural gas for all contract months is $4.25/MMBtu.
Table 4 - Example of Data Records Reported Under § 20.4(c)
Principal/counterparty position indicator
102S Swap counterparty ID
Clearing org
equivalent month and year
CPID_05
Energy Firm 2
CPID_04
Energy Firm 3
ABC_Firm
CDIP_07
XYZ_Firm
WVU_Firm
Energy_Firm_1
Data record 13
CP_07
MNO_Firm
Data record 14
Data record 15
CFTC clearing org identifier
NYMEX NY Harbor No.2
adjusted long swaption position
adjusted short swaption position
Long swap or swaption
Short swap or swaption
Second Record Layout Example for § 20.4:
In this second example, the data records generated by § 20.4(c) are displayed for a hypothetical swap, as detailed in Example 1 of appendix A. In contrast to the above example, this second example of a § 20.4(c) data record is simplistic in that it displays a situation where the position records arise from a single swap transaction, in one commodity, with a single counterparty.
For the sake of this example, assume the swap dealer gained long exposure from the swap, and that the swap was cleared. The price of crude is assumed to be $100/bbl for all contract months on January 1 and $95/bbl for all contract months on January 2. An illustration of the data records generated for January 1, 2011 and January 2, 2011 as a result of this hypothetical swap can be found in Tables 5 and 6, respectively.
Table 5 - Example of Data Records Reported Under § 20.4(c) for January 1, 2011 (Appx A, Example 1)
CPID_03
Firm__1
Energy_Firm__1
Long swap or swaption notional value position
Short swap or swaption notional value position
Table 6 - Example of Data Records Reported Under § 20.4(c) for January 2, 2011 (Appx A, Example 1)
Counterparty__1
Title 17 published on 2015-12-04.No entries appear in the Federal Register after this date, for 17 CFR Part 20.