{"data":{"id":"us/17-cfr-appendix-a-to-part-20","jurisdiction":"us","citation":"17 CFR Appendix A to Part 20","heading":"Appendix A to Part 20—Guidelines on Futures Equivalency","body":"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.\nExample 1—Fixed for Floating WTI Crude Oil Swap Linked to a DCM Contract\nReference 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.\nFixed Price $80.00 per barrel.\nFloating Price The arithmetic average of the reference price during the pricing period.\nNotional Quantity 100,000 bbls/month.\nCalculation Period One month.\nFixed Price Payer Company A.\nFloating Price Payer Company B.\nSettlement Type Financial.\nSwap Term Six full months from January 1 to June 30.\nFloating Amount Floating Price * Notional Quantity.\nFixed Amount Fixed Price * Notional Quantity.\nNYMEX 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.\nFutures Equivalent Position on January 1\nTotal Notional Quantity = 6 months * 100,000 bbls/month = 600,000 bbls\n1,000 bbl = 1 futures contract\nTherefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent contracts\nTotal number of days in swap term = 31 + 28 + 31 + 30 + 31 + 30 = 181\nFutures Equivalent Position of Swap on January 1\nDates swap in force Referent futures month Fraction of days Company A position (long) † Company B position (short) †\nJanuary 1—January 22 February 22/181 73 −73\nJanuary 23—February 22 March 31/181 103 −103\nFebruary 23—March 22 April 28/181 93 −93\nMarch 23—April 22 May 31/181 103 −103\nApril 23—May 22 June 30/181 99 −99\nMay 23—June 22 July 31/181 103 −103\nJune 23—June 30th August 8/181 27 −27\nTotal 181/181 601 −601\n† Contracts rounded to the nearest integer.\nFutures equivalent position on January 2\nTotal Notional Quantity = Remaining swap term * 100,000 bbls/month = 596,685 bbls\n1,000 bbl = 1 futures contract\nTherefore 596,685 bbls/1,000 bbls/contract = 597 futures equivalent contracts\nTotal number of days = 30 + 28 + 31 + 30 + 31 + 30 = 180\nFutures Equivalent Position of Swap on January 2 (Example 1 Continued)\nDates swap in force Referent futures month Fraction of days Company A position (long) † Company B position (short) †\nJanuary 2—January 22 February 21/180 70 −70\nJanuary 23—February 22 March 31/180 103 −103\nFebruary 23—March 22 April 28/180 93 −93\nMarch 23—April 22 May 31/180 103 −103\nApril 23—May 22 June 30/180 99 −99\nMay 23—June 22 July 31/180 103 −103\nJune 23—June 30th August 8/180 27 −27\nTotal 180/180 597 −597\n† Contracts rounded to the nearest integer.\nExample 2—Fixed for Floating Corn Swap\nReference Price Daily official next to expire contract price for the CBOT Corn Futures Contract in $/bushel through the CBOT spot month.\nFixed Price $5.00 per bushel per month.\nFloating Price The arithmetic average of the reference price during the pricing period.\nCalculation Period One month.\nNotional Quantity 1,000,000 bushels/month.\nFixed Price Payer Company A.\nFloating Price Payer Company B.\nSettlement Type Financial.\nSwap Term Six full months from January 1 to June 30.\nFloating Amount Floating Price * Notional Quantity.\nFixed Amount Fixed Price * Notional Quantity.\nLast 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.\nFutures Equivalent Position on January 1\nTotal Notional Quantity = 6 contract months * 1,000,000 bushels/month = 6,000,000 bushels\n5,000 bushels = 1 futures contract\nTherefore 6,000,000 bushels/5,000 bushels/contract = 1,200 futures equivalent contracts\nTotal days = 31 + 28 + 31 + 30 + 31 + 30 = 181\nFutures Equivalent Position of Swap on January 1\nDates swap in force Referent futures month Fraction of days Company A position (long) † Company B position (short) †\nJanuary 1-March 14 March 73/181 483 −483\nMarch 15-May 14 May 61/181 404 −404\nMay 15-June 30 July 47/181 311 −311\nTotal 181/181 1,198 −1,198\n† Contracts rounded to the nearest integer.\nExample 3—Fixed for Floating NY RBOB (Platts) Calendar Swap Futures\nReference Price Platts Oilgram next to expire contract Price Report for New York RBOB (Barge) through the NYMEX spot month.\nFixed Price $1.8894 per gallon.\nFloating 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.\nCalculation Period One quarter.\nNotional Quantity 84 million gallons/quarter.\nFixed Price Payer Company A.\nFloating Price Payer Company B.\nSettlement Type Financial.\nSwap Term Six full months from January 1 to June 30.\nFloating Amount Floating Price * Notional Quantity.\nFixed Amount Fixed Price * Notional Quantity.\nNYMEX 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.\nFutures Equivalent Position on January 1\nTotal Notional Quantity = 2 quarters * 84 million = 168 million gallons\n42,000 gallons = 1 futures contract\nTherefore 168 million/42,000 gallons/futures contract = 4,000 futures equivalent contracts\nTotal number of days = 31 + 28 + 31 + 30 + 31 + 30 = 181\nFutures Equivalent Position of Swap on January 1\nDates swap in force Referent futures month Fraction of days Company A position (long) † Company B position (short) †\nJanuary 1-March 31 April 90/181 1989 −1989\nApril 1-June 30 July 91/181 2011 −2011\nTotal 181/181 4000 −4000\n† Contracts rounded to the nearest integer.\nExample 4—Calendar Spread Swap\nReference 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.\nFixed Price $80 per barrel.\nFloating Price The arithmetic average of the reference price during the pricing period.\nCalculation Period One month.\nNotional Quantity 100,000 bbls/month.\nFixed Price Payer Company A.\nFloating Price Payer Company B.\nSettlement Type Financial.\nSwap Term Six full months from January 1 to June 30.\nFloating Amount Floating Price * Notional Quantity.\nFixed Amount Fixed Price * Notional Quantity.\nNYMEX 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.\nFutures Equivalent Position on January 1\nTotal Notional Quantity = 6 months * 100,000 bbls/month = 600,000 bbls\n1,000 bbl = 1 futures contract\nTherefore 600,000 bbls/1,000 bbls/contract = 600 futures equivalent contracts\nTotal number of days = 31 + 28 + 31 + 30 + 31 + 30 = 181\nFutures Equivalent Position of Swap on January 1\nDates 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) †\nJanuary 1—January 22 22/181 February 73 −73 March −73 73\nJanuary 23—February 22 31/181 March 103 −103 April −103 103\nFebruary 23—March 22 28/181 April 93 −93 May −93 93\nMarch 23—April 22 31/181 May 103 −103 June −103 103\nApril 23—May 22 30/181 June 99 −99 July −99 99\nMay 23—June 22 31/181 July 103 −103 August −103 103\nJune 23—June 30th 8/181 August 27 −27 September −27 27\nTotal 181/181 601 −601 −601 601\n† Contracts rounded to the nearest integer.\nExample 5—Columbia Gulf, Mainline Midpoint (“Midpoint') Basis Swap\nReference Price The Platts Gas Daily Columbia Gulf, Mainline Midpoint (“Midpoint”) and the next to expire NYMEX (Henry Hub) Natural Gas Futures contract.\nFixed Price $0.05 per MMBtu.\nFloating Price The Floating Price will be equal to the arithmetic average of the daily value of the Platts Gas Daily Columbia Gulf, Mainline Midpoint (“Midpoint”) minus the NYMEX (Henry Hub) Natural Gas Futures contract daily settlement price.\nCalculation Period Monthly.\nNotional Quantity 10,000 MMBtu/calendar day.\nFixed Price Payer Company A.\nFloating Price Payer Company B.\nSettlement type Financial.\nSwap Term One month from January 1 to January 31.\nFloating Amount Floating Price * Notional Quantity * calendar days in the month.\nFixed Amount Fixed Price * Notional Quantity * calendar days in the month.\nNYMEX 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.\nFutures Equivalent Position on January 1\nTotal Notional Quantity for each leg = 1 month * 31 days/month * 10,000 MMBtu/day = 310,000 MMBtu\n10,000 MMBtu = 1 futures contract\nTherefore 310,000 MMBtu/10,000 MMBtu/contract = 31 futures equivalent contracts\nTotal number of days = 31\nFutures Equivalent Position of Swap on January 1\nDates swap in force Fraction of days Referent futures month Company A position in Columbia Gulf, Mainline Midpoint (“Midpoint”) natural gas (long) MMBtu Company A Position in NYMEX (Henry Hub) natural gas futures (short) Company B position in Columbia Gulf, Mainline Midpoint (“Midpoint”) natural gas (short) MMBtu Company B position in NYMEX (Henry Hub) natural gas futures (long)\nJanuary 1—January 28 28/31 February ††† −28 ††† 28\nJanuary 29—January 31 3/31 March −3 3\nTotal 31/31 −31 31\n††† 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.\nExample 6—WTI Swaption (Call)\nSwaption Style American.\nOption Type Call.\nSwaption Start Date Jan 1 of the current year.\nSwaption End Date June 30 of the current year.\nStrike Price $80.50/bbl.\nNotional Quantity 100,000 bbl/month.\nCalculation Period One month.\nReference Price Daily official next to expire contract price for WTI NYMEX Crude Oil Futures Contract in $/bbl through the NYMEX spot month.\nFixed Price $80.00 per barrel per month.\nFloating Price The arithmetic average of the reference price during the pricing period.\nSettlement Type Financial.\nSwap Term One month from July 1 to July 31 of the current year.\nFloating Amount Floating Price * Notional Quantity.\nFixed Amount Fixed Price * Notional Quantity.\nNYMEX 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.\nFutures Equivalent Position on January 1\nTotal Notional Quantity = 1 month * 100,000 bbls/month = 100,000 bbls\n1,000 bbl = 1 futures contract\nTherefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent contracts\nTotal number of days = 31\nGross Position on January 1\nDates swap in force Referent futures month Fraction of days Company A position (long) † Company B position (short) †\nJuly 1 -July 22 August 22/31 70 −70\nJuly 23—July 31 September 9/31 29 −29\nTotal 31/31 99 −99\n† Contracts rounded to the nearest integer.\nDelta†† Adjusted Position and Futures Equivalent Position on January 1\nDate August September\nDelta Position Delta Position\nJanuary 1 .2 14 .2 5\n†† Deltas should be calculated in an economically reasonable and analytically supportable basis.\nExample 7—WTI Collar Swap\nSwaption Style American.\nSwaption Start Date Jan 1 of the current year.\nSwaption End Date June 30 of the current year.\nCall strike Price $70.00 per bbl.\nPut strike price $90.00 per bbl.\nNotional Quantity 100,000 barrels per month.\nCalculation Period One month.\nReference Price Daily official next to expire contract price for WTI NYMEX Crude Oil in $/bbl through the NYMEX spot month.\nFixed Price $80.00 per barrel.\nFloating Price The arithmetic average of the reference price during the pricing period.\nSettlement Type Financial.\nSwap Term One month from July 1 to July 31 of the current year.\nFloating Amount Floating Price * Notional Quantity.\nFixed Amount Fixed Price * Notional Quantity.\nNYMEX 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.\nFutures Equivalent Position on January 1\nTotal Notional Quantity = 1 month * 100,000 bbls/month = 100,000 bbls\n1,000 bbl = 1 futures contract\nTherefore 100,000 bbls/1,000 bbls/contract = 100 futures equivalent contracts\nTotal number of days = 31\nGross Position on January 1\nDates swap in force Referent futures month Fraction of days Company A position Company B position\nCall Put Call Put\nJuly 1-July 22 August 22/31 70.97 70.97 −70.97 −70.97\nJuly 23-July 31 September 9/31 29.03 29.03 −29.03 −29.03\nTotal 31/31 100 100 −100 −100\nCompany (A) Delta† Adjusted Position on January 1\nDate August September\nLong call Short put Long call Short put\nDelta Position Delta Position Delta Delta Position\nJanuary 1 .7 49 .3 −21 .7 20 .3 −8\n† Deltas should be calculated in an economically reasonable and analytically supportable basis.\nFutures Equivalent Position on January 1\nDate August †† September ††\nLong Short Long Short\nJanuary 1 70 0 28 0\n†† Contracts rounded to the nearest integer.","path":["Title 17—Commodity and Securities Exchanges","CHAPTER I—COMMODITY FUTURES TRADING COMMISSION","PART 20—LARGE TRADER REPORTING FOR PHYSICAL COMMODITY SWAPS"],"source_url":"https://www.ecfr.gov/api/versioner/v1/full/2026-08-25/title-17.xml","current_through":"2026-08-25","vintage":"","retrieved_at":"2026-08-27T02:24:31Z","sha256":"0f3ba61241e5328676d57283f0776c549fd4d66a333a6b2a31d01cbf2a7bd78d","source_id":"us-cfr","stale":true,"prev":"us/17-cfr-20.11","next":"us/17-cfr-appendix-b-to-part-20"},"notice":"GroundRules: Original legal text. Not legal advice."}