Title 17

PART 20 APPENDIX B

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

17:1.0.1.1.19.0.7.12.16 : Appendix B

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.

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).

Data 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
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

Data 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

Data record 1

CCO_ID_1

CP_02

9/27/2010

Nov-10

NYMEX Henry Hub

7/29/2011

5.59

6.25

Data record 2

CCO_ID_1

CP_02

9/27/2010

Oct-10

NYMEX Henry Hub

7/29/2011

5.59

5.50

Data record 3

CCO_ID_1

CP_02

9/27/2010

Nov-10

NYMEX Henry Hub

7/29/2011

5.50

4.53

Data record 4

CCO_ID_1

CP_02

9/27/2010

Oct-10

NYMEX Henry Hub

7/29/2011

5.50

4.78

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

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

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.

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).

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

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

Jan-12

Data record 2

CRE_ID_1

COUNT

CP_01

Energy Firm 1

9/27/2011

CPID_05

Jan-12

Data record 3

CRE_ID_1

COUNT

CP_02

Energy Firm 2

9/27/2011

CPID_05

Jan-12

Data record 4

CRE_ID_1

PRIN

9/27/2011

CPID_04

Feb-12

Data record 5

CRE_ID_1

COUNT

CP_03

Energy Firm 3

9/27/2011

CPID_04

Feb-12

Data record 6

CRE_ID_1

PRIN

9/27/2011

CPID_04

Mar-12

Data record 7

CRE_ID_1

COUNT

CP_04

ABC_Firm

9/27/2011

CPID_04

Mar-12

Data record 8

CRE_ID_1

PRIN

9/27/2011

CDIP_07

Mar-12

Data record 9

CRE_ID_1

COUNT

CP_05

XYZ_Firm

9/27/2011

CDIP_07

Mar-12

Data record 10

CRE_ID_1

COUNT

CP_06

WVU_Firm

9/27/2011

CDIP_07

Mar-12

Data record 11

CRE_ID_1

COUNT

CP_01

Energy_Firm_1

9/27/2011

CDIP_07

Mar-12

Data record 12

CRE_ID_1

PRIN

9/27/2011

CDIP_07

Mar-12

Data record 13

CRE_ID_1

COUNT

CP_07

MNO_Firm

9/27/2011

CDIP_07

Mar-12

Data record 14

CRE_ID_1

PRIN

9/27/2011

UNCL

Jan-12

Data record 15

CRE_ID_1

COUNT

CP_02

Energy Firm 2

9/27/2011

UNCL

Jan-12

NDR Uncleared

Yes

N/A

Yes

NDR Cleared

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

Cleared/uncleared indicator

CFTC clearing org identifier

Commodity reference price

Execution facility

Long swap position

Short swap position

Data record 1

CCO_ID_1

Platts Oilgram Price Report for New York No. 2 (Barge)

EX1

200

Data record 2

CCO_ID_1

Platts Oilgram Price Report for New York No. 2 (Barge)

EX1

Data record 3

CCO_ID_1

Platts Oilgram Price Report for New York No. 2 (Barge)

EX1

150

Data record 4

CCO_ID_1

NYMEX NY Harbor No.2

EX2

350

Data record 5

CCO_ID_1

NYMEX NY Harbor No.2

EX2

350

Data record 6

CCO_ID_1

NYMEX NY Harbor No.2

EX1

100

Data record 7

CCO_ID_1

NYMEX NY Harbor No.2

EX1

100

Data record 8

CCO_ID_1

NYMEX Henry Hub

EX3

200

100

Data record 9

CCO_ID_1

NYMEX Henry Hub

EX3

125

Data record 10

CCO_ID_1

NYMEX Henry Hub

EX3

Data record 11

CCO_ID_1

NYMEX Henry Hub

EX3

100

Data record 12

CCO_ID_1

NYMEX Henry Hub

EX1

Data record 13

CCO_ID_1

NYMEX Henry Hub

EX1

Data record 14

NYMEX Henry Hub

NOEX

Data record 15

NYMEX Henry Hub

NOEX

NDR Uncleared

Yes

N/A

Yes

NDR Cleared

Yes

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

2/27/2012

4.00

100

$3,400,000

Data record 13

2/27/2012

4.00

100

$3,400,000

Data record 14

12/27/2011

4.25

100

$4,037,500

Data record 15

12/27/2011

4.25

100

$4,037,500

NDR Uncleared

Yes

NDR Cleared

Yes

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.

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	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

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

Feb-11

Data record 2

SD_1

PRIN

1/1/2011

CPID_03

Mar-11

Data record 3

SD_1

PRIN

1/1/2011

CPID_03

Apr-11

Data record 4

SD_1

PRIN

1/1/2011

CPID_03

May-11

Data record 5

SD_1

PRIN

1/1/2011

CPID_03

Jun-11

Data record 6

SD_1

PRIN

1/1/2011

CPID_03

Jul-11

Data record 7

SD_1

PRIN

1/1/2011

CPID_03

Aug-11

Data record 8

SD_1

COUNT

CP_01

Firm__1

1/1/2011

CPID_03

Feb-11

Data record 9

SD_1

COUNT

CP_01

Energy_Firm__1

1/1/2011

CPID_03

Mar-11

Data record 10

SD_1

COUNT

CP_01

Energy_Firm__1

1/1/2011

CPID_03

Apr-11

Data record 11

SD_1

COUNT

CP_01

Energy_Firm__1

1/1/2011

CPID_03

May-11

Data record 12

SD_1

COUNT

CP_01

Energy_Firm__1

1/1/2011

CPID_03

Jun-11

Data record 13

SD_1

COUNT

CP_01

Energy_Firm__1

1/1/2011

CPID_03

Jul-11

Data record 14

SD_1

COUNT

CP_01

Energy_Firm__1

1/1/2011

CPID_03

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

Data records

Cleared/uncleared indicator

CFTC clearing org identifier

Commodity reference price

Execution facility

Long
swap position

Short
swap position

Data record 1

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 2

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 3

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 4

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 5

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 6

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 7

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 8

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 9

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 10

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 11

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 12

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 13

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 14

CCO_ID_1

NYMEX Light Sweet

EX1

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

Long swap or swaption notional value position

Short swap or swaption notional value position

Data record 1

$7,300,000

Data record 2

$10,300,000

Data record 3

$9,300,000

Data record 4

$10,300,000

Data record 5

$9,900,000

Data record 6

$10,300,000

Data record 7

$2,700,000

Data record 8

$7,300,000

Data record 9

$10,300,000

Data record 10

$9,300,000

Data record 11

$10,300,000

Data record 12

$9,900,000

Data record 13

$10,300,000

Data record 14

$2,700,000

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

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

Feb-11

Data record 2

SD_1

PRIN

1/2/2011

CPID_03

Mar-11

Data record 3

SD_1

PRIN

1/2/2011

CPID_03

Apr-11

Data record 4

SD_1

PRIN

1/2/2011

CPID_03

May-11

Data record 5

SD_1

PRIN

1/2/2011

CPID_03

Jun-11

Data record 6

SD_1

PRIN

1/2/2011

CPID_03

Jul-11

Data record 7

SD_1

PRIN

1/2/2011

CPID_03

Aug-11

Data record 8

SD_1

COUNT

Counterparty__1

Energy Firm

1/2/2011

CPID_03

Feb-11

Data record 9

SD_1

COUNT

Counterparty__1

Energy Firm

1/2/2011

CPID_03

Mar-11

Data record 10

SD_1

COUNT

Counterparty__1

Energy Firm

1/2/2011

CPID_03

Apr-11

Data record 11

SD_1

COUNT

Counterparty__1

Energy Firm

1/2/2011

CPID_03

May-11

Data record 12

SD_1

COUNT

Counterparty__1

Energy Firm

1/2/2011

CPID_03

Jun-11

Data record 13

SD_1

COUNT

Counterparty__1

Energy Firm

1/2/2011

CPID_03

Jul-11

Data record 14

SD_1

COUNT

Counterparty__1

Energy Firm

1/2/2011

CPID_03

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

Cleared/uncleared indicator

CFTC clearing org identifier

Commodity reference price

Execution facility

Long swap position

Short swap position

Data record 1

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 2

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 3

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 4

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 5

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 6

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 7

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 8

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 9

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 10

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 11

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 12

CCO_ID_1

NYMEX Light Sweet

EX1

Data record 13

CCO_ID_1

NYMEX Light Sweet

EX1

103

Data record 14

CCO_ID_1

NYMEX Light Sweet

EX1

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

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