Appendix A to Part 20—Guidelines on Futures Equivalency

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. Example 1—Fixed for Floating WTI Crude Oil Swap Linked to a DCM Contract NYMEX 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. Futures Equivalent Position of Swap on January 1 Futures Equivalent Position of Swap on January 2 (Example 1 Continued) Example 2—Fixed for Floating Corn Swap Last 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. Futures Equivalent Position of Swap on January 1 Example 3—Fixed for Floating NY RBOB (Platts) Calendar Swap Futures NYMEX 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. Futures Equivalent Position of Swap on January 1 Example 4—Calendar Spread Swap NYMEX 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. Futures Equivalent Position of Swap on January 1 Example 5—Columbia Gulf, Mainline Midpoint (“Midpoint') Basis Swap NYMEX 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. Futures Equivalent Position of Swap on January 1 Example 6—WTI Swaption (Call) NYMEX 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. Gross Position on January 1 Delta†† Adjusted Position and Futures Equivalent Position on January 1 Example 7—WTI Collar Swap NYMEX 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. Gross Position on January 1 Company (A) Delta† Adjusted Position on January 1 Futures Equivalent Position on January 1