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2013-16938

  • Federal Register, Volume 78 Issue 136 (Tuesday, July 16, 2013)[Federal Register Volume 78, Number 136 (Tuesday, July 16, 2013)]

    [Rules and Regulations]

    [Pages 42436-42439]

    From the Federal Register Online via the Government Printing Office [www.gpo.gov]

    [FR Doc No: 2013-16938]

    =======================================================================

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    COMMODITY FUTURES TRADING COMMISSION

    17 CFR Part 43

    RIN 3038-AD08

    Procedures To Establish Appropriate Minimum Block Sizes for Large

    Notional Off-Facility Swaps and Block Trades; Correction

    AGENCY: Commodity Futures Trading Commission.

    ACTION: Final rule; correction.

    -----------------------------------------------------------------------

    SUMMARY: The Commodity Futures Trading Commission is correcting a final

    rule that appeared in the Federal Register of May 31, 2013 (78 FR

    32866). The final rule adopted regulations, under the Dodd-Frank Wall

    Street Reform and Consumer Protection Act, defining the criteria for

    grouping swaps into separate swap categories and establishing

    methodologies for setting appropriate minimum block sizes for each swap

    category. These corrections fix errors in certain contract

    descriptions, block sizes, and block units listed in Appendix F to the

    final rule.

    DATES: Effective date: July 30, 2013.

    FOR FURTHER INFORMATION CONTACT: John W. Dunfee, Assistant General

    Counsel, Office of the General Counsel, Commodity Futures Trading

    Commission, Three Lafayette Center, 1155 21st Street, NW., Washington,

    DC 20581; 202-418-5396; jdunfee@cftc.gov.

    SUPPLEMENTARY INFORMATION: In FR Doc. 2013-12133 appearing on page

    32866 in the Federal Register of Friday, May 31, 2013, the following

    correction is made:

    Appendix F to Part 43--Initial Appropriate Minimum Block Sizes by Asset

    Class for Block Trades and Large Notional Off-Facility Swaps

    [Corrected]

    1. On page 32942, in the third column, in Appendix F to Part 43--

    Initial Appropriate Minimum Block Sizes by Asset Class for Block Trades

    and Large Notional Off-Facility Swaps, correct Appendix F by removing

    all of the tables published on pages 32942 through 32944 and adding the

    following corrected tables in their place:

    ------------------------------------------------------------------------

    Currency group Currencies

    ------------------------------------------------------------------------

    Super-Major Currencies.......................... United States dollar

    (USD), European Union

    Euro Area euro (EUR),

    United Kingdom pound

    sterling (GBP), and

    Japan yen (JPY).

    Major Currencies................................ Australia dollar

    (AUD), Switzerland

    franc (CHF), Canada

    dollar (CAD),

    Republic of South

    Africa rand (ZAR),

    Republic of Korea won

    (KRW), Kingdom of

    Sweden krona (SEK),

    New Zealand dollar

    (NZD), Kingdom of

    Norway krone (NOK),

    and Denmark krone

    (DKK).

    Non-Major Currencies............................ All other currencies.

    ------------------------------------------------------------------------

    Interest Rate Swaps

    ----------------------------------------------------------------------------------------------------------------

    Tenor less than or 50% Notional (in

    Currency group Tenor greater than equal to millions)

    ----------------------------------------------------------------------------------------------------------------

    Super-Major.................................... ...................... 46 days.............. 6,400

    Super-Major.................................... 46 days............... Three months (107 2,100

    days).

    Super-Major.................................... Three months (107 Six months (198 days) 1,200

    days).

    Super-Major.................................... Six months (198 days). One year (381 days).. 1,100

    Super-Major.................................... One year (381 days)... Two years (746 days). 460

    Super-Major.................................... Two years (746 days).. Five years (1,842 240

    days).

    Super-Major.................................... Five years (1,842 Ten years (3,668 170

    days). days).

    Super-Major.................................... Ten years (3,668 days) 30 years (10,973 120

    days).

    Super-Major.................................... 30 years (10,973 days) ..................... 67

    Major.......................................... ...................... 46 days.............. 2,200

    Major.......................................... 46 days............... Three months (107 580

    days).

    Major.......................................... Three months (107 Six months (198 days) 440

    days).

    Major.......................................... Six months (198 days). One year (381 days).. 220

    [[Page 42437]]

    Major.......................................... One year (381 days)... Two years (746 days). 130

    Major.......................................... Two years (746 days).. Five years (1,842 88

    days).

    Major.......................................... Five years (1,842 Ten years (3,668 49

    days). days).

    Major.......................................... Ten years (3,668 days) 30 years (10,973 37

    days).

    Major.......................................... 30 years (10,973 days) ..................... 15

    Non-Major...................................... ...................... 46 days.............. 230

    Non-Major...................................... 46 days............... Three months (107 230

    days).

    Non-Major...................................... Three months (107 Six months (198 days) 150

    days).

    Non-Major...................................... Six months (198 days). One year (381 days).. 110

    Non-Major...................................... One year (381 days)... Two years (746 days). 54

    Non-Major...................................... Two years (746 days).. Five years (1,842 27

    days).

    Non-Major...................................... Five years (1,842 Ten years (3,668 15

    days). days).

    Non-Major...................................... Ten years (3,668 days) 30 years (10,973 16

    days).

    Non-Major...................................... 30 years (10,973 days) ..................... 15

    ----------------------------------------------------------------------------------------------------------------

    Credit Swaps

    ----------------------------------------------------------------------------------------------------------------

    Traded tenor less than or 50% Notional (in

    Spread group (basis points) Traded tenor greater than equal to millions)

    ----------------------------------------------------------------------------------------------------------------

    Less than or equal to 175.............. .......................... Two years (746 days)..... 320

    Less than or equal to 175.............. Two years (746 days)...... Four years (1,477 days).. 200

    Less than or equal to 175.............. Four years (1,477 days)... Six years (2,207 days)... 110

    Less than or equal to 175.............. Six years (2,207 days).... Eight years and six 110

    months (3,120 days).

    Less than or equal to 175.............. Eight years and six months Twelve years and six 130

    (3,120 days). months (4,581 days).

    Less than or equal to 175.............. Twelve years and six ......................... 46

    months (4,581 days).

    Greater than 175 and less than or equal .......................... Two years (746 days)..... 140

    to 350.

    Greater than 175 and less than or equal Two years (746 days)...... Four years (1,477 days).. 82

    to 350.

    Greater than 175 and less than or equal Four years (1,477 days)... Six years (2,207 days)... 32

    to 350.

    Greater than 175 and less than or equal Six years (2,207 days).... Eight years and six 20

    to 350. months (3,120 days).

    Greater than 175 and less than or equal Eight years and six months Twelve years and six 26

    to 350. (3,120 days). months (4,581 days).

    Greater than 175 and less than or equal Twelve years and six ......................... 63

    to 350. months (4,581 days).

    Greater than 350....................... .......................... Two years (746 days)..... 66

    Greater than 350....................... Two years (746 days)...... Four years (1,477 days).. 41

    Greater than 350....................... Four years (1,477 days)... Six years (2,207 days)... 26

    Greater than 350....................... Six years (2,207 days).... Eight years and six 13

    months (3,120 days).

    Greater than 350....................... Eight years and six months Twelve years and six 13

    (3,120 days). months (4,581 days).

    Greater than 350....................... Twelve years and six ......................... 41

    months (4,581 days).

    ----------------------------------------------------------------------------------------------------------------

    Foreign Exchange Swaps

    ----------------------------------------------------------------------------------------------------------------

    Super-major currencies

    -----------------------------------------------------------------------

    GBP (British JPY (Japanese USD (U.S.

    EUR (Euro) pound) yen) dollar)

    ----------------------------------------------------------------------------------------------------------------

    Super-major currencies...... EUR....... ................ 6,250,000 6,250,000 18,750,000

    GBP....... * 6,250,000 ................ 6,250,000 6,250,000

    JPY....... * 6,250,000 * 6,250,000 ................ 1,875,000,000

    USD....... * 18,750,000 * 6,250,000 * 1,875,000,000 ................

    Major currencies............ AUD....... * 6,250,000 0 10,000,000 10,000,000

    CAD....... * 6,250,000 0 10,000,000 10,000,000

    CHF....... * 6,250,000 * 6,250,000 12,500,000 12,500,000

    DKK....... 0 0 0 0

    KRW....... 0 0 0 6,250,000,000

    SEK....... * 6,250,000 0 0 100,000,000

    NOK....... * 6,250,000 0 0 100,000,000

    NZD....... 0 0 0 5,000,000

    [[Page 42438]]

    ZAR....... 0 0 0 25,000,000

    Non-major currencies........ BRL....... 0 0 0 5,000,000

    CZK....... 200,000,000 0 0 200,000,000

    HUF....... 1,500,000,000 0 0 1,500,000,000

    ILS....... 0 0 0 50,000,000

    MXN....... 0 0 0 50,000,000

    PLN....... 25,000,000 0 0 25,000,000

    RMB....... 50,000,000 0 50,000,000 50,000,000

    RUB....... 0 0 0 125,000,000

    TRY....... * 6,250,000 0 0 * 10,000,000

    ----------------------------------------------------------------------------------------------------------------

    All values that do not have an asterisk are denominated in the currency of the left hand side.

    All values that have an asterisk (*) are denominated in the currency indicated on the top of the table.

    Other Commodity Swaps

    ------------------------------------------------------------------------

    Initial

    appropriate

    Related futures contract minimum block Units

    size

    ------------------------------------------------------------------------

    AB NIT Basis (ICE)........... 62,500.......... MMBtu.

    Brent Crude (ICE and NYMEX).. 25,000.......... bbl.

    Cheese (CME)................. 400,000......... lbs.

    Class III Milk (CME)......... NO BLOCKS. .......................

    Cocoa (ICE and NYSE LIFFE and 1,000........... metric tons.

    NYMEX).

    Coffee (ICE and NYMEX)....... 3,750,000....... lbs.

    Copper (COMEX)............... 625,000......... lbs.

    Corn (CBOT).................. NO BLOCKS....... bushels.

    Cotton No. 2 (ICE and NYMEX). 5,000,000....... lbs.

    Distillers' Dried Grain 1,000........... short tons.

    (CBOT).

    Dow Jones-UBS Commodity Index 30,000 times dollars.

    (CBOT). index.

    Ethanol (CBOT)............... 290,000......... gallons.

    Feeder Cattle (CME).......... NO BLOCKS. .......................

    Frost Index (CME)............ 200,000 times euros.

    index.

    Frozen Concentrated Orange NO BLOCKS. .......................

    Juice (ICE).

    Gold (COMEX and NYSE Liffe).. 2,500........... troy oz.

    Goldman Sachs Commodity Index 5,000 times dollars.

    (GSCI), GSCI Excess Return index.

    Index (CME).

    Gulf Coast Sour Crude Oil 5,000........... bbl.

    (NYMEX).

    Hard Red Spring Wheat (MGEX). NO BLOCKS. .......................

    Hard Winter Wheat (KCBT)..... NO BLOCKS. .......................

    Henry Hub Natural Gas (NYMEX) 500,000......... MMBtu.

    HSC Basis (ICE and NYMEX).... 62,500.......... MMBtu.

    Hurricane Index (CME)........ 20,000 times dollars.

    index.

    Chicago Basis (ICE and NYMEX) 62,500.......... MMBtu.

    Lean Hogs (CME).............. NO BLOCKS. .......................

    Light Sweet Crude Oil (NYMEX) 50,000.......... bbl.

    Live Cattle (CME)............ NO BLOCKS. .......................

    Mid-Columbia Day-Ahead Off- 625............. Mwh.

    Peak Fixed Price (ICE).

    Mid-Columbia Day-Ahead Peak 4,000........... Mwh.

    Fixed Price (ICE).

    New York Harbor RBOB 1,050,000....... gallons.

    (Blendstock) Gasoline

    (NYMEX).

    New York Harbor No. 2 Heating 1,050,000....... gallons.

    Oil (NYMEX).

    NWP Rockies Basis (ICE and 62,500.......... MMBtu.

    NYMEX).

    Oats (CBOT).................. NO BLOCKS. .......................

    Palladium (NYMEX)............ 1,000........... troy oz.

    PG&E Citygate Basis (ICE and 62,500.......... MMBtu.

    NYMEX).

    PJM Western Hub Real Time Off- 3,900........... Mwh.

    Peak Fixed Price (ICE).

    PJM Western Hub Real Time 8,000........... Mwh.

    Peak Fixed Price (ICE).

    Platinum (NYMEX)............. 500............. troy oz.

    Rainfall Index (CME)......... 10,000 times dollars.

    index.

    Rough Rice (CBOT)............ NO BLOCKS. .......................

    Silver (COMEX and NYSE Liffe) 125,000......... troy oz.

    Snowfall Index (CME)......... 10,000 times dollars.

    index.

    Socal Border Basis (ICE and 62,500.......... MMBtu.

    NYMEX).

    Soybean (CBOT)............... NO BLOCKS. .......................

    Soybean Meal (CBOT).......... NO BLOCKS. .......................

    Soybean Oil (CBOT)........... NO BLOCKS. .......................

    SP-15 Day-Ahead Peak Fixed 4,000........... Mwh.

    Price (ICE).

    SP-15 Day-Ahead Off-Peak 625............. Mwh.

    Fixed Price (ICE).

    Sugar 11 (ICE and 5,000........... metric tons.

    NYMEX).

    Sugar 16 (ICE)...... NO BLOCKS. .......................

    Temperature Index (CME)...... 400 times index. currency units.

    U.S. Dollar Cash Settled 250............. metric tons.

    Crude Palm Oil (CME).

    Waha Basis (ICE and NYMEX)... 62,500.......... MMBtu.

    Wheat (CBOT)................. NO BLOCKS. .......................

    ------------------------------------------------------------------------

    [[Page 42439]]

    Dated: July 10, 2013.

    Christopher J. Kirkpatrick,

    Deputy Secretary of the Commission.

    [FR Doc. 2013-16938 Filed 7-15-13; 8:45 am]

    BILLING CODE 6351-01-P

    Last Updated: July 16, 2013



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