{"data":{"id":"us/17-cfr-appendix-b-to-part-20","jurisdiction":"us","citation":"17 CFR Appendix B to Part 20","heading":"Appendix B to Part 20—Explanatory Guidance on Data Record Layouts","body":"Record Layout Examples for § 20.3\nThe 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.\nBecause 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.\nIn 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.\nClearing 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.\nClearing 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.\nTable 1—Data Records Reported Under Paragraphs (a) and (b) of § 20.3\nData 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\nData record 1 CCO__ID__1 CM__ID__2 CP__04 9/27/2010 C Nov-10 NYMEX NY Harbor No.2.\nData record 2 CCO__ID__1 CM__ID__2 CP__04 9/27/2010 C Oct-10 NYMEX NY Harbor No.2.\nData record 3 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Nov-10 NYMEX Henry Hub.\nData record 4 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Oct-10 NYMEX Henry Hub.\nData record 5 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Nov-10 NYMEX Henry Hub.\nData record 6 CCO__ID__1 CM__ID__2 CP__02 9/27/2010 C Oct-10 NYMEX Henry Hub.\nData record 7 CCO__ID__1 CM__ID__1 CP__03 9/27/2010 P Mar-11 NYMEX Light Sweet.\nData record 8 CCO__ID__1 CM__ID__1 CP__03 9/27/2010 P Feb-11 NYMEX Light Sweet.\nData record 9 CCO__ID__1 CM__ID__1 CP__01 9/27/2010 P Mar-11 NYMEX Light Sweet.\nData record 10 CCO__ID__1 CM__ID__1 CP__01 9/27/2010 P Feb-11 NYMEX Light Sweet.\nData record 11 CCO__ID__1 CM__ID__1 CP__01 9/27/2010 P Jan-11 NYMEX Light Sweet.\nNDR Yes Yes Yes Yes Yes Yes No.\nData 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\nData record 1 0 5000\nData record 2 0 2000\nData record 3 C 7/29/2011 5.59 2000 0\nData record 4 C 7/29/2011 5.59 18000 0\nData record 5 P 7/29/2011 5.50 100 30\nData record 6 P 7/29/2011 5.50 900 270\nData record 7 5000 0\nData record 8 5000 0\nData record 9 429 1286\nData record 10 2281 6843\nData record 11 1290 3871\nNDR No No Yes Yes Yes No No.\nNote:\nThe 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).\nTable 2—Example of Data Records Required Under § 20.3(c) for Cleared Swaption Products\nData 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\nData record 1 CCO__ID__1 CP__02 9/27/2010 Nov-10 NYMEX Henry Hub 7/29/2011 5.59 C .5 6.25\nData record 2 CCO__ID__1 CP__02 9/27/2010 Oct-10 NYMEX Henry Hub 7/29/2011 5.59 C .5 5.50\nData record 3 CCO__ID__1 CP__02 9/27/2010 Nov-10 NYMEX Henry Hub 7/29/2011 5.50 P .2 4.53\nData record 4 CCO__ID__1 CP__02 9/27/2010 Oct-10 NYMEX Henry Hub 7/29/2011 5.50 P .2 4.78\nTable 3—Example of Data Records Required Under § 20.3(c) for Cleared Swap Products\nData records CFTC clearing org ID Clearing org cleared product ID Reporting day Futures equivalent month and year Commodity reference price Swap daily settlement price\nData record 1 CCO__ID__1 CP__04 9/27/2010 Nov-10 NYMEX NY Harbor No. 2 20.35\nData record 2 CCO__ID__1 CP__04 9/27/2010 Oct-10 NYMEX NY Harbor No. 2 10.50\nData record 3 CCO__ID__1 CP__03 9/27/2010 Mar-11 NYMEX Light Sweet 15.00\nData record 4 CCO__ID__1 CP__03 9/27/2010 Feb-11 NYMEX Light Sweet 21.00\nData record 5 CCO__ID__1 CP__01 9/27/2010 Mar-11 NYMEX Light Sweet 17.50\nData record 6 CCO__ID__1 CP__01 9/27/2010 Feb-11 NYMEX Light Sweet 21.65\nData record 7 CCO__ID__1 CP__01 9/27/2010 Jan-11 NYMEX Light Sweet 12.50\nFirst Record Layout Example for § 20.4:\nThis 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.\nIn 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.\nThe 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.\nFor 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.\nNote:\nThe 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).\nTable 4—Example of Data Records Reported Under § 20.4(c)\nData 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\nData record 1 CRE__ID__1 PRIN 9/27/2011 CPID__05 HO Jan-12\nData record 2 CRE__ID__1 COUNT CP__01 Energy Firm 1 9/27/2011 CPID__05 HO Jan-12\nData record 3 CRE__ID__1 COUNT CP__02 Energy Firm 2 9/27/2011 CPID__05 HO Jan-12\nData record 4 CRE__ID__1 PRIN 9/27/2011 CPID__04 HO Feb-12\nData record 5 CRE__ID__1 COUNT CP__03 Energy Firm 3 9/27/2011 CPID__04 HO Feb-12\nData record 6 CRE__ID__1 PRIN 9/27/2011 CPID__04 HO Mar-12\nData record 7 CRE__ID__1 COUNT CP__04 ABC__Firm 9/27/2011 CPID__04 HO Mar-12\nData record 8 CRE__ID__1 PRIN 9/27/2011 CDIP__07 NG Mar-12\nData record 9 CRE__ID__1 COUNT CP__05 XYZ__Firm 9/27/2011 CDIP__07 NG Mar-12\nData record 10 CRE__ID__1 COUNT CP__06 WVU__Firm 9/27/2011 CDIP__07 NG Mar-12\nData record 11 CRE__ID__1 COUNT CP__01 Energy__Firm__1 9/27/2011 CDIP__07 NG Mar-12\nData record 12 CRE__ID__1 PRIN 9/27/2011 CDIP__07 NG Mar-12\nData record 13 CRE__ID__1 COUNT CP__07 MNO__Firm 9/27/2011 CDIP__07 NG Mar-12\nData record 14 CRE__ID__1 PRIN 9/27/2011 UNCL NG Jan-12\nData record 15 CRE__ID__1 COUNT CP__02 Energy Firm 2 9/27/2011 UNCL NG Jan-12\nNDR Uncleared Yes Yes Yes No Yes N/A No Yes\nNDR Cleared Yes Yes Yes No Yes Yes No Yes\nData records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position\nData record 1 C CCO__ID__1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 200\nData record 2 C CCO__ID__1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 50\nData record 3 C CCO__ID__1 Platts Oilgram Price Report for New York No. 2 (Barge) EX1 150\nData record 4 C CCO__ID__1 NYMEX NY Harbor No.2 EX2 350\nData record 5 C CCO__ID__1 NYMEX NY Harbor No.2 EX2 350\nData record 6 C CCO__ID__1 NYMEX NY Harbor No.2 EX1 100\nData record 7 C CCO__ID__1 NYMEX NY Harbor No.2 EX1 100\nData record 8 C CCO__ID__1 NYMEX Henry Hub EX3 200 100\nData record 9 C CCO__ID__1 NYMEX Henry Hub EX3 125\nData record 10 C CCO__ID__1 NYMEX Henry Hub EX3 75\nData record 11 C CCO__ID__1 NYMEX Henry Hub EX3 100\nData record 12 C CCO__ID__1 NYMEX Henry Hub EX1\nData record 13 C CCO__ID__1 NYMEX Henry Hub EX1\nData record 14 U U NYMEX Henry Hub NOEX\nData record 15 U U NYMEX Henry Hub NOEX\nNDR Uncleared Yes N/A Yes Yes No No\nNDR Cleared Yes Yes No Yes No No\nData 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\nData record 1 $25,200,000\nData record 2 $6,300,000\nData record 3 $18,900,000\nData record 4 $44,100,000\nData record 5 $44,100,000\nData record 6 $12,600,000\nData record 7 $12,600,000\nData record 8 $8,500,000 $4,250,000\nData record 9 $5,312,500\nData record 10 $3,187,500\nData record 11 $4,250,000\nData record 12 C 2/27/2012 4.00 100 80 $3,400,000\nData record 13 C 2/27/2012 4.00 100 80 $3,400,000\nData record 14 C 12/27/2011 4.25 100 95 $4,037,500\nData record 15 C 12/27/2011 4.25 100 95 $4,037,500\nNDR Uncleared Yes Yes Yes No No No No No No\nNDR Cleared Yes Yes Yes No No No No No No\nSecond Record Layout Example for § 20.4:\nIn 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.\nFor 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.\nTable 5—Example of Data Records Reported Under § 20.4(c) for January 1, 2011 (Appx A, Example 1)\nData 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\nData record 1 SD__1 PRIN 1/1/2011 CPID__03 CL Feb-11\nData record 2 SD__1 PRIN 1/1/2011 CPID__03 CL Mar-11\nData record 3 SD__1 PRIN 1/1/2011 CPID__03 CL Apr-11\nData record 4 SD__1 PRIN 1/1/2011 CPID__03 CL May-11\nData record 5 SD__1 PRIN 1/1/2011 CPID__03 CL Jun-11\nData record 6 SD__1 PRIN 1/1/2011 CPID__03 CL Jul-11\nData record 7 SD__1 PRIN 1/1/2011 CPID__03 CL Aug-11\nData record 8 SD__1 COUNT CP__01 Firm____1 1/1/2011 CPID__03 CL Feb-11\nData record 9 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Mar-11\nData record 10 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Apr-11\nData record 11 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL May-11\nData record 12 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Jun-11\nData record 13 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Jul-11\nData record 14 SD__1 COUNT CP__01 Energy__Firm____1 1/1/2011 CPID__03 CL Aug-11\nData records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position\nData record 1 C CCO__ID__1 NYMEX Light Sweet EX1 73\nData record 2 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 3 C CCO__ID__1 NYMEX Light Sweet EX1 93\nData record 4 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 5 C CCO__ID__1 NYMEX Light Sweet EX1 99\nData record 6 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 7 C CCO__ID__1 NYMEX Light Sweet EX1 27\nData record 8 C CCO__ID__1 NYMEX Light Sweet EX1 73\nData record 9 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 10 C CCO__ID__1 NYMEX Light Sweet EX1 93\nData record 11 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 12 C CCO__ID__1 NYMEX Light Sweet EX1 99\nData record 13 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 14 C CCO__ID__1 NYMEX Light Sweet EX1 27\nData 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\nData record 1 $7,300,000\nData record 2 $10,300,000\nData record 3 $9,300,000\nData record 4 $10,300,000\nData record 5 $9,900,000\nData record 6 $10,300,000\nData record 7 $2,700,000\nData record 8 $7,300,000\nData record 9 $10,300,000\nData record 10 $9,300,000\nData record 11 $10,300,000\nData record 12 $9,900,000\nData record 13 $10,300,000\nData record 14 $2,700,000\nTable 6—Example of Data Records Reported Under § 20.4(c) for January 2, 2011 (Appx A, Example 1)\nData 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\nData record 1 SD__1 PRIN 1/2/2011 CPID__03 CL Feb-11\nData record 2 SD__1 PRIN 1/2/2011 CPID__03 CL Mar-11\nData record 3 SD__1 PRIN 1/2/2011 CPID__03 CL Apr-11\nData record 4 SD__1 PRIN 1/2/2011 CPID__03 CL May-11\nData record 5 SD__1 PRIN 1/2/2011 CPID__03 CL Jun-11\nData record 6 SD__1 PRIN 1/2/2011 CPID__03 CL Jul-11\nData record 7 SD__1 PRIN 1/2/2011 CPID__03 CL Aug-11\nData record 8 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Feb-11\nData record 9 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Mar-11\nData record 10 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Apr-11\nData record 11 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL May-11\nData record 12 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Jun-11\nData record 13 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Jul-11\nData record 14 SD__1 COUNT Counterparty____1 Energy Firm 1/2/2011 CPID__03 CL Aug-11\nData records Cleared/uncleared indicator CFTC clearing org identifier Commodity reference price Execution facility Long swap position Short swap position\nData record 1 C CCO__ID__1 NYMEX Light Sweet EX1 70\nData record 2 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 3 C CCO__ID__1 NYMEX Light Sweet EX1 93\nData record 4 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 5 C CCO__ID__1 NYMEX Light Sweet EX1 99\nData record 6 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 7 C CCO__ID__1 NYMEX Light Sweet EX1 27\nData record 8 C CCO__ID__1 NYMEX Light Sweet EX1 70\nData record 9 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 10 C CCO__ID__1 NYMEX Light Sweet EX1 93\nData record 11 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 12 C CCO__ID__1 NYMEX Light Sweet EX1 99\nData record 13 C CCO__ID__1 NYMEX Light Sweet EX1 103\nData record 14 C CCO__ID__1 NYMEX Light Sweet EX1 27\nData 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\nData record 1 $6,650,000\nData record 2 $9,785,000\nData record 3 $8,835,000\nData record 4 $9,785,000\nData record 5 $9,405,000\nData record 6 $9,785,000\nData record 7 $2,565,000\nData record 8 $6,650,000\nData record 9 $9,785,000\nData record 10 $8,835,000\nData record 11 $9,785,000\nData record 12 $9,405,000\nData record 13 $9,785,000\nData record 14 $2,565,000","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":"c3fac7ad1641d7dce884c1c993cf1c9e52bb3f133e9de69e6a4abac1d80b00e7","source_id":"us-cfr","stale":true,"prev":"us/17-cfr-appendix-a-to-part-20","next":"us/17-cfr-21.00"},"notice":"GroundRules: Original legal text. Not legal advice."}