Oct 27, 2011 - Part 20 Reporting Rules published in Federal Register. ...... A swap with a ten-year duration that prices
U.S. COMMODITY FUTURES TRADING COMMISSION
Division of Market Oversight
Large Trader Reporting for Physical Commodity Swaps: Division of Market Oversight Guidebook for Part 20 Reports
AS OF 11/17/2011 ALL PRIOR VERSIONS ARE OBSOLETE
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Table of Contents: I. Overview II. Part 20 encoding="utf-8"?> 111 SD1 CFTC 2011-09-02T06:10:00Z Principal 2011-09 Counterparty false Counterparty HEATING OIL-NEW YORK (BARGE)-PLATTS U.S. NYMEX HO Other 2011-09 150.0000 ShortSwapPosition 19530000 ShortNotionalPosition false Principal HEATING OIL-NEW YORK-NYMEX NYMEX HO Other 2011-11 350.0000 LongSwapPosition 44100000 LongNotionalPosition Counterparty false Counterparty HEATING OIL-NEW YORK-NYMEX NYMEX HO Other 2011-10 350.0000 ShortSwapPosition 45570000 ShortNotionalPosition Counterparty false Counterparty HEATING OIL-NEW YORK-NYMEX NYMEX HO Other 2011-12 350.0000 ShortSwapPosition 42630000 ShortNotionalPosition
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Counterparty ClearingBroker true Counterparty CPID_04 HEATING OIL-NEW YORK (BARGE)-PLATTS U.S. NYMEX HO Other 2011-09 100.0000 ShortSwapPosition 12600000 ShortNotionalPosition false Principal NATURAL GAS-HENRY HUB-NYMEX NYMEX NG Other 2011-12 125.0000 LongSwapPosition 5550000 LongNotionalPosition
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Counterparty false Counterparty NATURAL GAS-HENRY HUB-NYMEX NYMEX NG Other 2011-12 125.0000 ShortSwapPosition 5550000 ShortNotionalPosition Counterparty false Counterparty
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NATURAL GAS-HENRY HUB-NYMEX NYMEX NG Other 2011-11 100.0000 LongSwapPosition 4500000 LongNotionalPosition
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Counterparty false Counterparty NATURAL GAS-HENRY HUB-NYMEX NYMEX NG Other 2011-11 Call 2011-09-14 4.5 StrikePrice MMBTU 100.0000 NonDeltaAdjustedLongSwaptionPosition 90.0000 DeltaAdjustedLongSwaptionPosition 4500000 LongtNotionalPosition Principal ClearingBroker ExecutingBroker true Principal CPID_08 SOYBEANS-CBOT CBT S Other 2011-11 200.0000 ShortSwapPosition 14500000 ShortNotionalPosition Counterparty ClearingBroker ExecutingBroker true Counterparty CPID_08 SOYBEANS-CBOT CBT S Other 2011-09 46.6667 LongSwapPosition 3266900 LongNotionalPosition Counterparty ClearingBroker ExecutingBroker true Counterparty CPID_08 SOYBEANS-CBOT CBT S
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2012-01 53.3333 LongSwapPosition 3999750 LongNotionalPosition Counterparty false Counterparty NATURAL GAS-LOUISIANNA (HENRY HUB)-GAS DAILY NYMEX NG Other 2011-09 100.0000 LongSwapPosition 4500000
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LongNotionalPosition CP_O1 Energy Firm 1 CP_O3 Energy Firm 3 CCO_ID_O1 ABC Clearing CP_O6 WVU Firm CP_O8 CM1 EX2 EX2
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AppendixF: FpML Schema Example – encoding="utf-8"?> 112 SD1 CFTC 2011-09-03T06:10:00Z false Principal HEATING OIL-NEW YORK (BARGE)-PLATTS U.S. NYMEX HO Other 2011-09 200.0000 LongSwapPosition 26040000 LongNotionalPosition Counterparty false Counterparty HEATING OIL-NEW YORK (BARGE)-PLATTS U.S. NYMEX HO Other 2011-09 150.0000 ShortSwapPosition 19530000 ShortNotionalPosition false Principal HEATING OIL-NEW YORK-NYMEX NYMEX HO Other 2011-11 350.0000 LongSwapPosition 44100000 LongNotionalPosition Counterparty false Counterparty HEATING OIL-NEW YORK-NYMEX NYMEX HO Other 2011-10 350.0000 ShortSwapPosition 45570000 ShortNotionalPosition
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Counterparty false Counterparty HEATING OIL-NEW YORK-NYMEX NYMEX HO Other 2011-12 350.0000 ShortSwapPosition 42630000 ShortNotionalPosition Counterparty
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ClearingOrganization true Counterparty CPID_04 HEATING OIL-NEW YORK (BARGE)-PLATTS U.S. NYMEX HO Other 2011-09 100.0000 LongSwapPosition 12600000 LongNotionalPosition
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false Principal NATURAL GAS-HENRY HUB-NYMEX NYMEX NG Other 2011-12 125.0000 LongSwapPosition 5550000 LongNotionalPosition Counterparty false Counterparty
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NATURAL GAS-HENRY HUB-NYMEX NYMEX NG Other 2011-12 125.0000 ShortSwapPosition 5550000 ShortNotionalPosition Counterparty false Counterparty NATURAL GAS-HENRY HUB-NYMEX NYMEX NG
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Other 2011-11 100.0000 LongSwapPosition 4500000 LongNotionalPosition Counterparty false Counterparty Standard
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NATURAL GAS-HENRY HUB-NYMEX NYMEX NG Other 2011-11 Call 2011-09-14 4.5 StrikePrice MMBTU 100.0000 NonDeltaAdjustedLongSwaptionPosition 90.0000 DeltaAdjustedLongSwaptionPosition 4500000 LongtNotionalPosition ClearingOrganization ExecutionFacility true Principal CPID_08 SOYBEANS-CBOT CBT S Other 2011-11 200.0000 ShortSwapPosition 14500000 ShortNotionalPosition Counterparty ClearingOrganization ExecutionFacility true Counterparty CPID_08 SOYBEANS-CBOT CBT S Other 2011-09 43.3333 LongSwapPosition 3266900 LongNotionalPosition Counterparty ClearingOrganization ExecutionFacility true Counterparty CPID_08 SOYBEANS-CBOT CBT S Other 2012-01 53.3333 LongSwapPosition 3999750 LongNotionalPosition
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CP_O1 Energy Firm 1 CP_O3 Energy Firm 3 CCO_ID_O1 ABC Clearing CP_O6 WVU Firm CP_O8 CM1 EX2 EX2
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Appendix G: FpML Schema Example – encoding="utf-8"?> CM1 CFTC 2011-09-02T06:10:00Z 2010-09-01 17:00:00-05:00 USD ClearingService ExecutionFacility Agent SOYBEANS-CBOT CBT S
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2011-09 ClearingService ExecutionFacility true Agent CPID_08 SOYBEANS-CBOT CBT S Other 2011-11 200.0000 LongSwapPosition 200.0000 ShortSwapPosition 14500000
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LongNotionalPosition 14500000 ShortNotionalPosition Customer ClearingService
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ExecutionFacility true Customer CPID_08 SOYBEANS-CBOT CBT S Other 2011-09 46.6667 ShortSwapPosition 3266900 ShortNotionalPosition Customer ClearingService ExecutionFacility true Customer CPID_08 SOYBEANS-CBOT CBT S Other 2012-01 53.3333 ShortSwapPosition 3999750 ShortNotionalPosition Customer ClearingService ExecutionFacility true Customer CPID_08 SOYBEANS-CBOT CBT S Other 2011-11 200.0000 LongSwapPosition 14500000 LongNotionalPosition ClearingService ExecutionFacility true Agent CPID_08 SOYBEANS-CBOT CBT S Other 2011-09
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43.3333 LongSwapPosition 43.3333 ShortSwapPosition 3033100 LongNotionalPosition 3033100 ShortNotionalPosition ClearingService ExecutionFacility true Agent CPID_08 SOYBEANS-CBOT CBT S Other 2012-01 53.3333 LongSwapPosition 53.3333 ShortSwapPosition 3999750 LongNotionalPosition 3999750 ShortNotionalPosition Customer ClearingService ExecutionFacility true Customer CPID_08 SOYBEANS-CBOT CBT S Other 2011-11 200.0000 ShortSwapPosition 14500000 ShortNotionalPosition Customer ClearingService ExecutionFacility true Customer CPID_08 SOYBEANS-CBOT CBT S
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Other 2011-09 43.3333 LongSwapPosition 3033100 LongNotionalPosition Customer
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ClearingService ExecutionFacility true Customer CPID_08 SOYBEANS-CBOT CBT S Other 2012-01 53.3333 LongSwapPosition 3999750 LongNotionalPosition CP_10 CP_10 SD1 CP_AB 114 false Principal GOLD-COMEX CMX GC Other 2012-12 579.3743 ShortSwapPosition 100000000 ShortNotionalPosition false Principal EURODOLLARS-CME OTHER Other 2012-12 100000000 LongSwapPosition USD 100000000 LongNotionalPosition Counterparty false Counterparty GOLD-COMEX CMX GC Other 2012-12 579.3743 LongSwapPosition 100000000 LongNotionalPosition Counterparty false Counterparty EURODOLLARS-CME OTHER Other 2012-12 100000000 ShortSwapPosition USD 100000000 ShortNotionalPosition CP_33 EF2 2010-09-01 17:00:10-05:00 USD ExecutionFacility ClearingOrganization true Agent Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-02 Call 2012-01-27 4.50 StrikePrice MMBTU 25 LongSwapPosition 20 LongDeltaAdjustedSwaptionPosition
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900000 LongNotionalPosition ExecutionFacility
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ClearingOrganization true Agent Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-04 Call 2012-03-28 4.50 StrikePrice MMBTU 25 LongSwapPosition 20 LongDeltaAdjustedSwaptionPosition 900000 LongNotionalPosition ExecutionFacility ClearingOrganization true Agent Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-06 Call 2012-05-29 4.50 StrikePrice MMBTU 25 LongSwapPosition
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20 LongDeltaAdjustedSwaptionPosition 900000 LongNotionalPosition
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ExecutionFacility ClearingOrganization true Agent Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-08 Call 2012-07-27 4.50 StrikePrice MMBTU 25 LongSwapPosition 10 LongDeltaAdjustedSwaptionPosition 425000 LongNotionalPosition ExecutionFacility ClearingOrganization true Agent Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-10 Call 2012-09-26 4.50
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StrikePrice MMBTU 25 LongSwapPosition 10 LongDeltaAdjustedSwaptionPosition 425000 LongNotionalPosition ExecutionFacility ClearingOrganization true Agent Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-12 Call 2012-11-28 4.50 StrikePrice MMBTU 25 LongSwapPosition 10 LongDeltaAdjustedSwaptionPosition 425000 LongNotionalPosition Customer ExecutionFacility ClearingOrganization true Customer
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Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-02 Call 2012-01-27 4.50 StrikePrice MMBTU 25 ShortSwapPosition 20 ShortDeltaAdjustedSwaptionPosition 900000 ShortNotionalPosition Customer ExecutionFacility ClearingOrganization true Customer Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-04 Call 2012-03-28 4.50 StrikePrice MMBTU
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25 ShortSwapPosition 20 ShortDeltaAdjustedSwaptionPosition 900000 ShortNotionalPosition Customer ExecutionFacility ClearingOrganization true Customer Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-06 Call 2012-05-29 4.50 StrikePrice MMBTU 25 ShortSwapPosition 20 ShortDeltaAdjustedSwaptionPosition 900000 ShortNotionalPosition Customer ExecutionFacility
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ClearingOrganization true Customer Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-08 Call 2012-07-27 4.50 StrikePrice MMBTU 25 ShortSwapPosition 10 ShortDeltaAdjustedSwaptionPosition 425000 ShortNotionalPosition Customer ExecutionFacility ClearingOrganization true Customer Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-10
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Call 2012-09-26 4.50 StrikePrice MMBTU 25 ShortSwapPosition 10 ShortDeltaAdjustedSwaptionPosition 425000 ShortNotionalPosition Customer ExecutionFacility ClearingOrganization true Customer Standard QHH NYMEX NG NATURAL GAS-NYMEX Other 2012-12 Call 2012-11-28 4.50 StrikePrice MMBTU 25 ShortSwapPosition 10 ShortDeltaAdjustedSwaptionPosition
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425000 ShortNotionalPosition EF1 Energy Firm 1 SEF2 SEF2
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Appendix J: FpML Schema Example – encoding="utf-8"?> 115 SD3 CFTC 2011-09-02T06:10:00Z false Principal HEATING OIL-NEW YORK (BARGE)-PLATTS U.S. NYMEX HO IndexOrBasket 2011-09 2011-09-15 10.0000 ShortSwapPosition 1302000 ShortNotionalPosition Counterparty false Counterparty HEATING OIL-NEW YORK (BARGE)-PLATTS U.S. NYMEX HO IndexOrBasket 2011-09 2011-09-15 10.0000 LongSwapPosition 1302000 LongNotionalPosition CP_10 SD3 CP_13 AIRLINE1
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Appendix K: FpML Schema Example – encoding="utf-8"?> 116 CM1 CFTC 2011-08-18T06:10:00Z ClearingService ExecutionFacility true Agent HXS NATURAL GAS-NYMEX NYMEX NG TwoComponentLocationalBasis 2011-10 2011-09-28 10.0000 ShortSwapPosition
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350000 ShortNotionalPosition Customer ClearingService ExecutionFacility true Customer HXS
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NATURAL GAS-NYMEX NYMEX NG TwoComponentLocationalBasis 2011-10 2011-08-17 10.0000 LongSwapPosition 350000 LongNotionalPosition
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CM_00 CM1 ICE ICE 2010-09-20 17:00:10-05:00 USD
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ClearingService false Counterparty DJUBENTR DiversifiedCommodityIndex IndexOrBasket 2011-09 230267.8373 LongSwapPosition USD 230267.8373 LongNotionalPosition false Principal HEATING OIL-NEW YORK-NYMEX NYMEX HO
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IndexOrBasket 2011-11 0.2937 ShortSwapPosition 43181.6993 ShortNotionalPosition false Principal OIL-WTI-NYMEX NYMEX CL IndexOrBasket 2011-11 0.9253 ShortSwapPosition 74025.7703 ShortNotionalPosition ClearingService false Counterparty HEATING OIL-NEW YORK-NYMEX NYMEX HO IndexOrBasket 2011-11 0.2937 LongSwapPosition 43181.6993 LongNotionalPosition ClearingService false Counterparty OIL-WTI-NYMEX NYMEX CL IndexOrBasket 2011-11 0.9253 LongSwapPosition 74025.7703 LongNotionalPosition CP_ZZ SD5
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CP_AB PENSION FUND
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