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17 CFR Part 20, Appendix A to Part 20 - Guidelines on Futures Equivalency | LII / Legal Information Institute
CFR › Title 17 › Chapter I › Part 20 › Appendix A 17 CFR Part 20, Appendix A to Part 20 - Guidelines on Futures Equivalency
There is 1 rule appearing in the Federal Register for 17 CFR 20. View below or at eCFR (GPOAccess)
Pt. 20, App. A
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
Daily official next to expire contract price for the NYMEX Light Sweet Crude Oil Futures Contract (“WTI”) in $/bbl through the NYMEX spot month.
$80.00 per barrel.
The arithmetic average of the reference price during the pricing period.
100,000 bbls/month.
Fixed Price Payer
Floating Price Payer
Six full months from January 1 to June 30.
Floating Amount
Floating Price * Notional Quantity.
Fixed Price * Notional Quantity.
NYMEX WTI trading in the next to expire futures contract ceases on the third business day prior to the 25th of the calendar month preceding the contract month. For simplicity in this example, the last trading day in each WTI futures contract is shown as the 22nd of the month.
Futures Equivalent Position on January 1
Total Notional Quantity = 6 months * 100,000 bbls/month = 600,000 bbls
1,000 bbl = 1 futures contract
Therefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent contracts
Total number of days in swap term = 31 28 31 30 31 30 = 181
Futures Equivalent Position of Swap on January 1
Dates swap in force
Referent futures month
Fraction of days
Company A position (long) †
Company B position (short) †
† Contracts rounded to the nearest integer.
January 1—January 22
January 23—February 22
February 23—March 22
March 23—April 22
April 23—May 22
May 23—June 22
June 23—June 30th
Futures equivalent position on January 2
Total Notional Quantity = Remaining swap term * 100,000 bbls/month = 596,685 bbls
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)
January 2—January 22
−597
Example 2—Fixed for Floating Corn Swap
Daily official next to expire contract price for the CBOT Corn Futures Contract in $/bushel through the CBOT spot month.
$5.00 per bushel per month.
1,000,000 bushels/month.
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.
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
January 1-March 14
March 15-May 14
May 15-June 30
Example 3—Fixed for Floating NY RBOB (Platts) Calendar Swap Futures
Platts Oilgram next to expire contract Price Report for New York RBOB (Barge) through the NYMEX spot month.
$1.8894 per gallon.
For each contract month, the floating price is equal to the arithmetic average of the high and low quotations from Platts Oilgram Price Report for New York RBOB (Barge) for each business day that it is determined during the contract month.
84 million gallons/quarter.
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.
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
January 1-March 31
−2011
Example 4—Calendar Spread Swap
The difference between the next to expire contract price for the NYMEX WTI Futures contract and the deferred contract price for the NYMEX WTI Futures contract.
$80 per barrel.
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)†
Example 5—Columbia Gulf, Mainline Midpoint (“Midpoint') Basis Swap
The Platts Gas Daily Columbia Gulf, Mainline Midpoint (“Midpoint”) and the next to expire NYMEX (Henry Hub) Natural Gas Futures contract.
$0.05 per MMBtu.
The Floating Price will be equal to the arithmetic average of the daily value of the Platts Gas Daily Columbia Gulf, Mainline Midpoint (“Midpoint”) minus the NYMEX (Henry Hub) Natural Gas Futures contract daily settlement price.
10,000 MMBtu/calendar day.
One month from January 1 to January 31.
Floating Price * Notional Quantity * calendar days in the month.
Fixed Price * Notional Quantity * calendar days in the month.
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.
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
Company A position in Columbia Gulf, ainline Midpoint (“Midpoint”) natural gas (long) MMBtu
Company A Position in NYMEX (Henry Hub) natural gas futures (short)
Company B position in Columbia Gulf, Mainline Midpoint (“Midpoint”) natural gas (short) MMBtu
Company B position in NYMEX (Henry Hub) natural gas futures (long)
††† 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.
January 1—January 28
January 29—January 31
Example 6—WTI Swaption (Call)
Swaption Style
Swaption Start Date
Jan 1 of the current year.
Swaption End Date
June 30 of the current year.
$80.50/bbl.
100,000 bbl/month.
Daily official next to expire contract price for WTI NYMEX Crude Oil Futures Contract in $/bbl through the NYMEX spot month.
$80.00 per barrel per month.
One month from July 1 to July 31 of the current year.
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.
Total Notional Quantity = 1 month*100,000 bbls/month=100,000 bbls
Therefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent contracts
Gross Position on January 1
July 1 -July 22
July 23—July 31
Delta†† Adjusted Position and Futures Equivalent Position on January 1
†† Deltas should be calculated in an economically reasonable and analytically supportable basis.
Example 7—WTI Collar Swap
$70.00 per bbl.
Put strike price
$90.00 per bbl.
100,000 barrels per month.
Daily official next to expire contract price for WTI NYMEX Crude Oil in $/bbl through the NYMEX spot month.
Total Notional Quantity = 1 month * 100,000 bbls/month = 100,000 bbls
Company A position
Company B position
July 1-July 22
−70.97
−29.03
Company (A) Delta† Adjusted Position on January 1
† Deltas should be calculated in an economically reasonable and analytically supportable basis.
August††
September††
†† Contracts rounded to the nearest integer.
Title 17 published on 2013-04-01The following are only the Rules published in the Federal Register after the published date of Title 17.For a complete list of all Rules, Proposed Rules, and Notices view the Rulemaking tab.2013-11-18; vol. 78 # 222 - Monday, November 18, 201378 FR 69178 - Ownership and Control Reports, Forms 102/102S, 40/40S, and 71
typeregulations.gov FR Doc.2013-26789 RIN3038-AD31 COMMODITY FUTURES TRADING COMMISSION Final rule. Effective date: February 18, 2014. Compliance date: The compliance date will be delayed by an additional 180 days, with the result that the compliance date of these final rules will be August 15, 2014. 17 CFR Parts 15, 17, 18, and 20 SummaryThe Commodity Futures Trading Commission (“Commission” or “CFTC”) is adopting new rules and related forms to enhance its identification of futures and swap market participants. These final rules will leverage the Commission&apos;s current position and transaction reporting programs by requiring the electronic submission of trader identification and market participant data on amended Forms 102 and 40, and on new Form 71. The new and amended forms require the reporting of certain trading accounts active on reporting markets that are designated contract markets or swap execution facilities. Among other information, the forms collect ownership and control information with respect to both position-based special accounts and trading accounts that meet specified volume-based reporting levels.
Title 17 published on 2013-04-01The following are ALL rules, proposed rules, and notices (chronologically) published in the Federal Register relating to 17 CFR 20 after this date.2013-11-18; vol. 78 # 222 - Monday, November 18, 201378 FR 69178 - Ownership and Control Reports, Forms 102/102S, 40/40S, and 71