17 CFR Part 20, Appendix B to Part 20 - Explanatory Guidance on Data Record Layouts

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Appendix B to Part 20—Explanatory Guidance on Data Record Layouts
Record Layout Examples for § 20.3
The following example (in Tables 1, 2 and 3) covers reporting for a particular clearing organization. “Clearing Organization One” would report, for the 27th of September 2010, the following eleven unique data record submissions. Each data record submission represents a unique position, as indicated by § 20.3, held by a clearing member of Clearing Organization One. Paragraph (a) of § 20.3 broadly outlines the data elements that determine unique positions for reports on clearing member positions. Paragraphs (b) of § 20.3 present all of the data elements that should be submitted in reference to a particular data record for a particular clearing member (in Table 1). Paragraph (c) identifies data elements that would comprise end of day record data on cleared products (in Tables 2 and 3). Therefore, paragraphs (b) and (c) of § 20.3 present all of the data elements that should be submitted in reference to a particular data record.
Because CFTC designated Clearing Organization One (in this example) currently has two clearing members, “Clearing Member One” and “Clearing Member Two,” positions cleared for these two distinct clearing members would be subdivided.
In the following example it is assumed that the clearing member accounts are either proprietary or customer (but not both) and therefore data record submissions do not have to be delineated by these account types. However, if clearing members did have both proprietary and customer accounts, then a clearing organization would have to further subdivide these clearing member data records by these two account types.
Clearing Member One currently has five positions with multiple cleared product IDs and futures equivalent months/years, and therefore these positions also constitute separate data records.
Clearing Member Two currently has six positions with the following varying characteristics: Cleared product IDs; futures equivalent months/years; commodity reference prices; swaption positions that involve both puts and calls; and multiple strike prices. Accordingly, these positions must be reported in separate data records. An illustration of how these records would appear is included in Table 1 below. Clearing Organization One would also have to report the corresponding swaption position deltas, strike prices, expiration dates, and settlement prices and swap settlement prices. An illustration of these submissions is included in Tables 2 and 3 below.
Table 1—Data Records Reported Under Paragraphs (a) and (b) of § 20.3
Data records CFTC clearing org ID Clearing org clearing member ID Clearing org cleared product ID Reporting day Proprietary/customer account indicator Futures equivalent month and year Commodity reference price
Data record 1 CCO_ID_1 CM_ID_2 CP_04 9/27/2010 C Nov-10 NYMEX NY Harbor No.2.
Data record 2 CCO_ID_1 CM_ID_2 CP_04 9/27/2010 C Oct-10 NYMEX NY Harbor No.2.
Data record 3 CCO_ID_1 CM_ID_2 CP_02 9/27/2010 C Nov-10 NYMEX Henry Hub.
Data record 4 CCO_ID_1 CM_ID_2 CP_02 9/27/2010 C Oct-10 NYMEX Henry Hub.
Data record 5 CCO_ID_1 CM_ID_2 CP_02 9/27/2010 C Nov-10 NYMEX Henry Hub.
Data record 6 CCO_ID_1 CM_ID_2 CP_02 9/27/2010 C Oct-10 NYMEX Henry Hub.
Data record 7 CCO_ID_1 CM_ID_1 CP_03 9/27/2010 P Mar-11 NYMEX Light Sweet.
Data record 8 CCO_ID_1 CM_ID_1 CP_03 9/27/2010 P Feb-11 NYMEX Light Sweet.
Data record 9 CCO_ID_1 CM_ID_1 CP_01 9/27/2010 P Mar-11 NYMEX Light Sweet.
Data record 10 CCO_ID_1 CM_ID_1 CP_01 9/27/2010 P Feb-11 NYMEX Light Sweet.
Data record 11 CCO_ID_1 CM_ID_1 CP_01 9/27/2010 P Jan-11 NYMEX Light Sweet.
NDR Yes Yes Yes Yes Yes Yes No.
Data records Long swap position Short swap position Put/call indicator Swaption expiration date Swaption strike price Non-delta adjusted long swaption position Non-delta adjusted short swaption position
Data record 1 0 5000
Data record 2 0 2000
Data record 3 C 7/29/2011 5.59 2000 0
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 expirationdate Swaption strike price Put/call indicator Delta Swaption daily settlement price
Data record 1 CCO_ID_1 CP_02 9/27/2010 Nov-10 NYMEX Henry Hub 7/29/2011 5.59 C .5 6.25
Data record 2 CCO_ID_1 CP_02 9/27/2010 Oct-10 NYMEX Henry Hub 7/29/2011 5.59 C .5 5.50
Data record 3 CCO_ID_1 CP_02 9/27/2010 Nov-10 NYMEX Henry Hub 7/29/2011 5.50 P .2 4.53
Data record 4 CCO_ID_1 CP_02 9/27/2010 Oct-10 NYMEX Henry Hub 7/29/2011 5.50 P .2 4.78
Table 3—Example of Data Records Required Under § 20.3(c) for Cleared Swap Products
Data records CFTC clearing org ID Clearing org cleared product ID Reporting day Futures equivalent month and year Commodity reference price Swap daily settlement price
Data record 1 CCO_ID_1 CP_04 9/27/2010 Nov-10 NYMEX NY Harbor No. 2 20.35
Data record 2 CCO_ID_1 CP_04 9/27/2010 Oct-10 NYMEX NY Harbor No. 2 10.50
Data record 3 CCO_ID_1 CP_03 9/27/2010 Mar-11 NYMEX Light Sweet 15.00
Data record 4 CCO_ID_1 CP_03 9/27/2010 Feb-11 NYMEX Light Sweet 21.00
Data record 5 CCO_ID_1 CP_01 9/27/2010 Mar-11 NYMEX Light Sweet 17.50
Data record 6 CCO_ID_1 CP_01 9/27/2010 Feb-11 NYMEX Light Sweet 21.65
Data record 7 CCO_ID_1 CP_01 9/27/2010 Jan-11 NYMEX Light Sweet 12.50
First Record Layout Example for § 20.4:
This first example shows the data records generated under § 20.4 by a single reporting firm for report date September 27, 2011. Each data record represents a unique part of a reportable position in heating oil and natural gas by the reporting entity and its counterparties. Paragraph (b) of § 20.4 outlines the data elements that determine unique positions.
In this example, the reporting entity clears with one clearing organization and therefore the data records do not have to be delineated by clearing organization (there is a reportable position stemming from an uncleared transaction included as well). However, if the reporting entity in this example used multiple clearing organizations, then it would have to further subdivide its data submissions by each clearing organization.
The reporting entity reports fifteen records; six principal positions and nine counterparty positions. The reported positions constitute separate data records because they vary by the following characteristics: swap counterparties; futures equivalent months/years; clearing organization cleared products; swaptions that were either cleared or uncleared; commodity reference prices; and whether the trade was entered into on or off execution facilities. An illustration of how these records would be reported is included in Table 4 below.
For the calculation of notional values, assume for simplicity that the price of heating oil, for all contract months and for both reference prices, is $3/gal. Similarly, assume that the price of natural gas for all contract months is $4.25/MMBtu.
Note:
The bottom two rows in Table 4 indicate whether, for uncleared and cleared swaps and swaptions, data elements for which any difference in one of the elements constitutes a reason for a new data record (NDR).
Table 4—Example of Data Records Reported Under § 20.4(c)
Data records Commission reporting entity ID Principal/counterparty position indicator 102S Swap counterparty ID Counterparty name Reporting day Clearing org cleared product ID Commodity code Futures equivalent month and year
Data record 1 CRE_ID_1 PRIN 9/27/2011 CPID_05 HO Jan-12
Data record 2 CRE_ID_1 COUNT CP_01 Energy Firm 1 9/27/2011 CPID_05 HO Jan-12
Data record 3 CRE_ID_1 COUNT CP_02 Energy Firm 2 9/27/2011 CPID_05 HO Jan-12
Data record 4 CRE_ID_1 PRIN 9/27/2011 CPID_04 HO Feb-12
Data record 5 CRE_ID_1 COUNT CP_03 Energy Firm 3 9/27/2011 CPID_04 HO Feb-12
Data record 6 CRE_ID_1 PRIN 9/27/2011 CPID_04 HO Mar-12
Data record 7 CRE_ID_1 COUNT CP_04 ABC_Firm 9/27/2011 CPID_04 HO Mar-12
Data record 8 CRE_ID_1 PRIN 9/27/2011 CDIP_07 NG Mar-12
Data record 9 CRE_ID_1 COUNT CP_05 XYZ_Firm 9/27/2011 CDIP_07 NG Mar-12
Data record 10 CRE_ID_1 COUNT CP_06 WVU_Firm 9/27/2011 CDIP_07 NG Mar-12
Data record 11 CRE_ID_1 COUNT CP_01 Energy_Firm_1 9/27/2011 CDIP_07 NG Mar-12
Data record 12 CRE_ID_1 PRIN 9/27/2011 CDIP_07 NG Mar-12
Data record 13 CRE_ID_1 COUNT CP_07 MNO_Firm 9/27/2011 CDIP_07 NG Mar-12
Data record 14 CRE_ID_1 PRIN 9/27/2011 UNCL NG Jan-12
Data record 15 CRE_ID_1 COUNT CP_02 Energy Firm 2 9/27/2011 UNCL NG Jan-12
NDR Uncleared Yes Yes Yes No Yes N/A No Yes
NDR Cleared Yes Yes Yes No Yes Yes No Yes
Data records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position
Data record 1 C CCO_ID_1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 200
Data record 2 C CCO_ID_1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 50
Data record 3 C CCO_ID_1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 150
Data record 4 C CCO_ID_1 NYMEX NY Harbor No.2 EX2 350
Data record 5 C CCO_ID_1 NYMEX NY Harbor No.2 EX2 350
Data record 6 C CCO_ID_1 NYMEX NY Harbor No.2 EX1 100
Data record 7 C CCO_ID_1 NYMEX NY Harbor No.2 EX1 100
Data record 8 C CCO_ID_1 NYMEX Henry Hub EX3 200 100
Data record 9 C CCO_ID_1 NYMEX Henry Hub EX3 125
Data record 10 C CCO_ID_1 NYMEX Henry Hub EX3 75
Data record 11 C CCO_ID_1 NYMEX Henry Hub EX3 100
Data record 12 C CCO_ID_1 NYMEX Henry Hub EX1
Data record 13 C CCO_ID_1 NYMEX Henry Hub EX1
Data record 14 U U NYMEX Henry Hub NOEX
Data record 15 U U NYMEX Henry Hub NOEX
NDR Uncleared Yes N/A Yes Yes No No
NDR Cleared Yes Yes No Yes No No
Data records Put/call indicator Swaption expiration date Swaption strike price Non-delta adjusted long swaption position Non-delta adjusted short swaption position Delta adjusted long swaption position Delta adjusted short swaption position Long swap or swaption notional value position Short swap or swaption notional value position
Data record 1 $25,200,000
Data record 2 $6,300,000
Data record 3 $18,900,000
Data record 4 $44,100,000
Data record 5 $44,100,000
Data record 6 $12,600,000
Data record 7 $12,600,000
Data record 8 $8,500,000 $4,250,000
Data record 9 $5,312,500
Data record 10 $3,187,500
Data record 11 $4,250,000
Data record 12 C 2/27/2012 4.00 100 80 $3,400,000
Data record 13 C 2/27/2012 4.00 100 80 $3,400,000
Data record 14 C 12/27/2011 4.25 100 95 $4,037,500
Data record 15 C 12/27/2011 4.25 100 95 $4,037,500
NDR Uncleared Yes Yes Yes No No No No No No
NDR Cleared Yes Yes Yes No No No No No No
Second Record Layout Example for § 20.4:
In this second example, the data records generated by § 20.4(c) are displayed for a hypothetical swap, as detailed in Example 1 of appendix A. In contrast to the above example, this second example of a § 20.4(c) data record is simplistic in that it displays a situation where the position records arise from a single swap transaction, in one commodity, with a single counterparty.
For the sake of this example, assume the swap dealer gained long exposure from the swap, and that the swap was cleared. The price of crude is assumed to be $100/bbl for all contract months on January 1 and $95/bbl for all contract months on January 2. An illustration of the data records generated for January 1, 2011 and January 2, 2011 as a result of this hypothetical swap can be found in Tables 5 and 6, respectively.
Table 5—Example of Data Records Reported Under § 20.4 (c) for January 1, 2011 (Appx A, Example 1)
Data records Commission reporting entity ID Principal/counterparty position indicator 102S swap counterparty ID Counterparty Name Reporting day Clearing org cleared product ID Commodity code Futures equivalent month and year
Data record 1 SD_1 PRIN 1/1/2011 CPID_03 CL Feb-11
Data record 2 SD_1 PRIN 1/1/2011 CPID_03 CL Mar-11
Data record 3 SD_1 PRIN 1/1/2011 CPID_03 CL Apr-11
Data record 4 SD_1 PRIN 1/1/2011 CPID_03 CL May-11
Data record 5 SD_1 PRIN 1/1/2011 CPID_03 CL Jun-11
Data record 6 SD_1 PRIN 1/1/2011 CPID_03 CL Jul-11
Data record 7 SD_1 PRIN 1/1/2011 CPID_03 CL Aug-11
Data record 8 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Feb-11
Data record 9 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Mar-11
Data record 10 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Apr-11
Data record 11 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL May-11
Data record 12 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Jun-11
Data record 13 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Jul-11
Data record 14 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Aug-11
Table 5—Example of Data Records Reported Under § 20.4 (c) for January 1, 2011 (Appx A, Example 1)
Data records Commission reporting entity ID Principal/counterparty position indicator 102S swap counterparty ID Counterparty Name Reporting day Clearing org cleared product ID Commodity code Futures equivalent month and year
Data record 1 SD_1 PRIN 1/1/2011 CPID_03 CL Feb-11
Data record 2 SD_1 PRIN 1/1/2011 CPID_03 CL Mar-11
Data record 3 SD_1 PRIN 1/1/2011 CPID_03 CL Apr-11
Data record 4 SD_1 PRIN 1/1/2011 CPID_03 CL May-11
Data record 5 SD_1 PRIN 1/1/2011 CPID_03 CL Jun-11
Data record 6 SD_1 PRIN 1/1/2011 CPID_03 CL Jul-11
Data record 7 SD_1 PRIN 1/1/2011 CPID_03 CL Aug-11
Data record 8 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Feb-11
Data record 9 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Mar-11
Data record 10 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Apr-11
Data record 11 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL May-11
Data record 12 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Jun-11
Data record 13 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Jul-11
Data record 14 SD_1 COUNT CP_01 Energy_Firm_1 1/1/2011 CPID_03 CL Aug-11
Data records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position
Data record 1 C CCO_ID_1 NYMEX Light Sweet EX1 73
Data record 2 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 3 C CCO_ID_1 NYMEX Light Sweet EX1 93
Data record 4 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 5 C CCO_ID_1 NYMEX Light Sweet EX1 99
Data record 6 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 7 C CCO_ID_1 NYMEX Light Sweet EX1 27
Data record 8 C CCO_ID_1 NYMEX Light Sweet EX1 73
Data record 9 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 10 C CCO_ID_1 NYMEX Light Sweet EX1 93
Data record 11 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 12 C CCO_ID_1 NYMEX Light Sweet EX1 99
Data record 13 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 14 C CCO_ID_1 NYMEX Light Sweet EX1 27
Table 6—Example of Data Records Reported Under § 20.4(c) for January 2, 2011 (Appx A, Example 1)
Data records Commission reporting entity ID Principal/counterparty position indicator 102S Swap counterparty ID Counterparty name Reporting day Clearing org cleared product ID Commodity code Futures equivalent month and year
Data record 1 SD_1 PRIN 1/2/2011 CPID_03 CL Feb-11
Data record 2 SD_1 PRIN 1/2/2011 CPID_03 CL Mar-11
Data record 3 SD_1 PRIN 1/2/2011 CPID_03 CL Apr-11
Data record 4 SD_1 PRIN 1/2/2011 CPID_03 CL May-11
Data record 5 SD_1 PRIN 1/2/2011 CPID_03 CL Jun-11
Data record 6 SD_1 PRIN 1/2/2011 CPID_03 CL Jul-11
Data record 7 SD_1 PRIN 1/2/2011 CPID_03 CL Aug-11
Data record 8 SD_1 COUNT Counterparty_1 Energy Firm 1/2/2011 CPID_03 CL Feb-11
Data record 9 SD_1 COUNT Counterparty_1 Energy Firm 1/2/2011 CPID_03 CL Mar-11
Data record 10 SD_1 COUNT Counterparty_1 Energy Firm 1/2/2011 CPID_03 CL Apr-11
Data record 11 SD_1 COUNT Counterparty_1 Energy Firm 1/2/2011 CPID_03 CL May-11
Data record 12 SD_1 COUNT Counterparty_1 Energy Firm 1/2/2011 CPID_03 CL Jun-11
Data record 13 SD_1 COUNT Counterparty_1 Energy Firm 1/2/2011 CPID_03 CL Jul-11
Data record 14 SD_1 COUNT Counterparty_1 Energy Firm 1/2/2011 CPID_03 CL Aug-11
Data records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position
Data record 1 C CCO_ID_1 NYMEX Light Sweet EX1 70
Data record 2 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 3 C CCO_ID_1 NYMEX Light Sweet EX1 93
Data record 4 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 5 C CCO_ID_1 NYMEX Light Sweet EX1 99
Data record 6 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 7 C CCO_ID_1 NYMEX Light Sweet EX1 27
Data record 8 C CCO_ID_1 NYMEX Light Sweet EX1 70
Data record 9 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 10 C CCO_ID_1 NYMEX Light Sweet EX1 93
Data record 11 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 12 C CCO_ID_1 NYMEX Light Sweet EX1 99
Data record 13 C CCO_ID_1 NYMEX Light Sweet EX1 103
Data record 14 C CCO_ID_1 NYMEX Light Sweet EX1 27
Data records Put/call indicator Swaption expiration date Swaption strike price Non-delta adjusted long swaption position Non-delta adjusted short swaption position Delta adjusted long swaption position Delta adjusted long swaption position Long swap or swaption notional value position Short swap or swaption notional value position
Data record 1 $6,650,000
Data record 2 $9,785,000
Data record 3 $8,835,000
Data record 4 $9,785,000
Data record 5 $9,405,000
Data record 6 $9,785,000
Data record 7 $2,565,000
Data record 8 $6,650,000
Data record 9 $9,785,000
Data record 10 $8,835,000
Data record 11 $9,785,000
Data record 12 $9,405,000
Data record 13 $9,785,000
Data record 14 $2,565,000

Title 17 published on 2013-04-01

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For a complete list of all Rules, Proposed Rules, and Notices view the Rulemaking tab.

  • 2013-11-18; vol. 78 # 222 - Monday, November 18, 2013
    1. 78 FR 69178 - Ownership and Control Reports, Forms 102/102S, 40/40S, and 71
      GPO FDSys XML | Text
      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

Title 17 published on 2013-04-01

The 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, 2013
    1. 78 FR 69178 - Ownership and Control Reports, Forms 102/102S, 40/40S, and 71
      GPO FDSys XML | Text
      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