Procedures To Establish Appropriate Minimum Block Sizes for Large Notional Off-Facility Swaps and Block Trades; Correction, 42436-42439 [2013-16938]

Download as PDF 42436 Federal Register / Vol. 78, No. 136 / Tuesday, July 16, 2013 / Rules and Regulations Items: * * * Note: 9B105 does not control wind tunnels for speeds of Mach 3 or less with the dimension of the ‘test cross section size’ equal to or less than 250 mm. Technical Notes: 1. ‘Aerodynamic test facilities’ includes wind tunnels and shock tunnels for the study of airflow over objects. 2. ‘Test cross section size’ means the diameter of the circle, or the side of the square, or the longest side of the rectangle, or the major axis of the ellipse at the largest ‘test cross section’ location. ‘Test cross section’ is the section perpendicular to the flow direction. 9E101 ‘‘Technology’’ according to the General Technology Note for the ‘‘development,’’ ‘‘production,’’ or ‘‘use’’ of commodities or software controlled by 9A012 (for MT controlled commodities only), 9A101, 9A103 to 9A111, 9A115 to 9A119, 9C110, 9D101, 9D103, 9D104 or 9D105. 12. In Supplement No. 1 to part 774 (the Commerce Control List), Category 9—Aerospace and Propulsion, Export Control Classification Number (ECCN) 9D004 is amended: ■ a. By removing the ‘‘MT’’ paragraph in the License Requirements section; and ■ b. By revising the ‘‘related controls’’ paragraph in the List of Items Controlled section to read as follows: * ■ 9D004 Other ‘‘software’’ as follows (see List of Items Controlled). * * * * * * * * * * * * * * * * * * * Related Controls: ‘‘Technology’’ controlled by 9E101 for items in 9A101.b, 9A103 to 9A111, 9A115 to 9A119, 9D103, and 9D105 is ‘‘subject to the ITAR’’ (see 22 CFR parts 120 through 130). * * * * * 13. In Supplement No. 1 to part 774 (the Commerce Control List), Category 9—Aerospace and Propulsion, Export Control Classification Number (ECCN) 9E101 is amended: ■ a. By revising the heading; and ■ b. By revising the ‘‘related controls’’ paragraph in the List of Items Controlled section to read as follows: ■ DATES: Effective date: July 30, 2013. 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. FOR FURTHER INFORMATION CONTACT: * Kevin J. Wolf, Assistant Secretary for Export Administration. [FR Doc. 2013–16954 Filed 7–15–13; 8:45 am] BILLING CODE 3510–33–P In FR Doc. 2013–12133 appearing on page 32866 in the Federal Register of Friday, May 31, 2013, the following correction is made: SUPPLEMENTARY INFORMATION: COMMODITY FUTURES TRADING COMMISSION RIN 3038–AD08 Related Controls: See also 9D104. * * List of Items Controlled 17 CFR Part 43 List of Items Controlled * * 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. Procedures To Establish Appropriate Minimum Block Sizes for Large Notional Off-Facility Swaps and Block Trades; Correction Commodity Futures Trading Commission. ACTION: Final rule; correction. AGENCY: The Commodity Futures Trading Commission is correcting a final rule that appeared in the Federal SUMMARY: 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). 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). All other currencies. Major Currencies ......................... Non-Major Currencies ................. INTEREST RATE SWAPS mstockstill on DSK4VPTVN1PROD with RULES Currency group Tenor greater than Tenor less than or equal to Super-Major ................................. Super-Major ................................. Super-Major ................................. Super-Major ................................. Super-Major ................................. Super-Major ................................. Super-Major ................................. Super-Major ................................. Super-Major ................................. Major ............................................ Major ............................................ Major ............................................ Major ............................................ ...................................................................... 46 days ........................................................ Three months (107 days) ............................ Six months (198 days) ................................ One year (381 days) ................................... Two years (746 days) ................................. Five years (1,842 days) .............................. Ten years (3,668 days) ............................... 30 years (10,973 days) ............................... ...................................................................... 46 days ........................................................ Three months (107 days) ............................ Six months (198 days) ................................ 46 days ........................................................ Three months (107 days) ............................ Six months (198 days) ................................ One year (381 days) ................................... Two years (746 days) ................................. Five years (1,842 days) .............................. Ten years (3,668 days) ............................... 30 years (10,973 days) ............................... ...................................................................... 46 days ........................................................ Three months (107 days) ............................ Six months (198 days) ................................ One year (381 days) ................................... VerDate Mar<15>2010 18:29 Jul 15, 2013 Jkt 229001 PO 00000 Frm 00048 Fmt 4700 Sfmt 4700 E:\FR\FM\16JYR1.SGM 16JYR1 50% Notional (in millions) 6,400 2,100 1,200 1,100 460 240 170 120 67 2,200 580 440 220 Federal Register / Vol. 78, No. 136 / Tuesday, July 16, 2013 / Rules and Regulations 42437 INTEREST RATE SWAPS—Continued Currency group Tenor greater than Tenor less than or equal to Major ............................................ Major ............................................ Major ............................................ Major ............................................ Major ............................................ Non-Major .................................... Non-Major .................................... Non-Major .................................... Non-Major .................................... Non-Major .................................... Non-Major .................................... Non-Major .................................... Non-Major .................................... Non-Major .................................... One year (381 days) ................................... Two years (746 days) ................................. Five years (1,842 days) .............................. Ten years (3,668 days) ............................... 30 years (10,973 days) ............................... ...................................................................... 46 days ........................................................ Three months (107 days) ............................ Six months (198 days) ................................ One year (381 days) ................................... Two years (746 days) ................................. Five years (1,842 days) .............................. Ten years (3,668 days) ............................... 30 years (10,973 days) ............................... Two years (746 days) ................................. Five years (1,842 days) .............................. Ten years (3,668 days) ............................... 30 years (10,973 days) ............................... ...................................................................... 46 days ........................................................ Three months (107 days) ............................ Six months (198 days) ................................ One year (381 days) ................................... Two years (746 days) ................................. Five years (1,842 days) .............................. Ten years (3,668 days) ............................... 30 years (10,973 days) ............................... ...................................................................... 50% Notional (in millions) 130 88 49 37 15 230 230 150 110 54 27 15 16 15 CREDIT SWAPS Spread group (basis points) Traded tenor greater than Traded tenor less than or equal to ...................... ...................... ...................... ...................... ................................................................ Two years (746 days) ............................ Four years (1,477 days) ........................ Six years (2,207 days) ........................... Less than or equal to 175 ...................... 175 and less than or equal Eight years and six months (3,120 days). Twelve years and six months (4,581 days). ................................................................ Two years (746 days) ............................ Four years (1,477 days) ........................ Six years (2,207 days) ........................... Eight years and six months (3,120 days). Twelve years and six months (4,581 days). ................................................................ 175 and less than or equal Less Less Less Less than than than than or or or or equal equal equal equal to to to to 175 175 175 175 Less than or equal to 175 ...................... Greater than to 350. Greater than to 350. Greater than to 350. Greater than to 350. Greater than to 350. Greater than to 350. Greater than Greater than Greater than Greater than 50% Notional (in millions) 320 200 110 110 130 46 Two years (746 days) ............................ 140 Two years (746 days) ............................ Four years (1,477 days) ........................ 82 175 and less than or equal Four years (1,477 days) ........................ Six years (2,207 days) ........................... 32 175 and less than or equal Six years (2,207 days) ........................... 20 175 and less than or equal Eight years and six months (3,120 days). Twelve years and six months (4,581 days). ................................................................ Two years (746 days) ............................ Four years (1,477 days) ........................ Six years (2,207 days) ........................... Eight years and six months (3,120 days). Twelve years and six months (4,581 days). ................................................................ Two years (746 days) ............................ Four years (1,477 days) ........................ Six years (2,207 days) ........................... Eight years and six months (3,120 days). Twelve years and six months (4,581 days). ................................................................ 66 41 26 13 175 and less than or equal 350 350 350 350 .................................... .................................... .................................... .................................... Greater than 350 .................................... Greater than 350 .................................... Eight years and six months (3,120 days). Twelve years and six months (4,581 days). 26 63 13 41 FOREIGN EXCHANGE SWAPS Super-major currencies EUR (Euro) mstockstill on DSK4VPTVN1PROD with RULES Super-major currencies .................................................. Major currencies ............................................................. VerDate Mar<15>2010 18:29 Jul 15, 2013 Jkt 229001 PO 00000 EUR .... GBP .... JPY ..... USD .... AUD .... CAD .... CHF ..... DKK ..... KRW .... SEK ..... NOK .... NZD ..... Frm 00049 GBP (British pound) JPY (Japanese yen) USD (U.S. dollar) ............................ * 6,250,000 * 6,250,000 * 18,750,000 * 6,250,000 * 6,250,000 * 6,250,000 0 0 * 6,250,000 * 6,250,000 0 6,250,000 ............................ * 6,250,000 * 6,250,000 0 0 * 6,250,000 0 0 0 0 0 6,250,000 6,250,000 ............................ * 1,875,000,000 10,000,000 10,000,000 12,500,000 0 0 0 0 0 18,750,000 6,250,000 1,875,000,000 ............................ 10,000,000 10,000,000 12,500,000 0 6,250,000,000 100,000,000 100,000,000 5,000,000 Fmt 4700 Sfmt 4700 E:\FR\FM\16JYR1.SGM 16JYR1 42438 Federal Register / Vol. 78, No. 136 / Tuesday, July 16, 2013 / Rules and Regulations FOREIGN EXCHANGE SWAPS—Continued Super-major currencies EUR (Euro) Non-major currencies ..................................................... ZAR ..... BRL ..... CZK ..... HUF ..... ILS ....... MXN .... PLN ..... RMB .... RUB .... TRY ..... GBP (British pound) 0 0 200,000,000 1,500,000,000 0 0 25,000,000 50,000,000 0 * 6,250,000 JPY (Japanese yen) 0 0 0 0 0 0 0 0 0 0 USD (U.S. dollar) 0 0 0 0 0 0 0 50,000,000 0 0 25,000,000 5,000,000 200,000,000 1,500,000,000 50,000,000 50,000,000 25,000,000 50,000,000 125,000,000 * 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 mstockstill on DSK4VPTVN1PROD with RULES Related futures contract Initial appropriate minimum block size AB NIT Basis (ICE) ................................................................................................. Brent Crude (ICE and NYMEX) .............................................................................. Cheese (CME) ......................................................................................................... Class III Milk (CME) ................................................................................................ Cocoa (ICE and NYSE LIFFE and NYMEX) .......................................................... Coffee (ICE and NYMEX) ....................................................................................... Copper (COMEX) .................................................................................................... Corn (CBOT) ........................................................................................................... Cotton No. 2 (ICE and NYMEX) ............................................................................. Distillers’ Dried Grain (CBOT) ................................................................................. Dow Jones-UBS Commodity Index (CBOT) ........................................................... Ethanol (CBOT) ....................................................................................................... Feeder Cattle (CME) ............................................................................................... Frost Index (CME) ................................................................................................... Frozen Concentrated Orange Juice (ICE) .............................................................. Gold (COMEX and NYSE Liffe) .............................................................................. Goldman Sachs Commodity Index (GSCI), GSCI Excess Return Index (CME) .... Gulf Coast Sour Crude Oil (NYMEX) ...................................................................... Hard Red Spring Wheat (MGEX) ............................................................................ Hard Winter Wheat (KCBT) ..................................................................................... Henry Hub Natural Gas (NYMEX) .......................................................................... HSC Basis (ICE and NYMEX) ................................................................................ Hurricane Index (CME) ............................................................................................ Chicago Basis (ICE and NYMEX) ........................................................................... Lean Hogs (CME) .................................................................................................... Light Sweet Crude Oil (NYMEX) ............................................................................. Live Cattle (CME) .................................................................................................... Mid-Columbia Day-Ahead Off-Peak Fixed Price (ICE) ........................................... Mid-Columbia Day-Ahead Peak Fixed Price (ICE) ................................................. New York Harbor RBOB (Blendstock) Gasoline (NYMEX) .................................... New York Harbor No. 2 Heating Oil (NYMEX) ....................................................... NWP Rockies Basis (ICE and NYMEX) .................................................................. Oats (CBOT) ............................................................................................................ Palladium (NYMEX) ................................................................................................. PG&E Citygate Basis (ICE and NYMEX) ................................................................ PJM Western Hub Real Time Off-Peak Fixed Price (ICE) ..................................... PJM Western Hub Real Time Peak Fixed Price (ICE) ........................................... Platinum (NYMEX) .................................................................................................. Rainfall Index (CME) ............................................................................................... Rough Rice (CBOT) ................................................................................................ Silver (COMEX and NYSE Liffe) ............................................................................. Snowfall Index (CME) .............................................................................................. Socal Border Basis (ICE and NYMEX) ................................................................... Soybean (CBOT) ..................................................................................................... Soybean Meal (CBOT) ............................................................................................ Soybean Oil (CBOT) ............................................................................................... SP–15 Day-Ahead Peak Fixed Price (ICE) ............................................................ SP–15 Day-Ahead Off-Peak Fixed Price (ICE) ...................................................... Sugar #11 (ICE and NYMEX) ................................................................................. Sugar #16 (ICE) ...................................................................................................... Temperature Index (CME) ....................................................................................... U.S. Dollar Cash Settled Crude Palm Oil (CME) .................................................... Waha Basis (ICE and NYMEX) ............................................................................... Wheat (CBOT) ......................................................................................................... 62,500 .................................................... 25,000 .................................................... 400,000 .................................................. NO BLOCKS. 1,000 ...................................................... 3,750,000 ............................................... 625,000 .................................................. NO BLOCKS. ......................................... 5,000,000 ............................................... 1,000 ...................................................... 30,000 times index ................................. 290,000 .................................................. NO BLOCKS. 200,000 times index ............................... NO BLOCKS. 2,500 ...................................................... 5,000 times index ................................... 5,000 ...................................................... NO BLOCKS. NO BLOCKS. 500,000 .................................................. 62,500 .................................................... 20,000 times index ................................. 62,500 .................................................... NO BLOCKS. 50,000 .................................................... NO BLOCKS. 625 ......................................................... 4,000 ...................................................... 1,050,000 ............................................... 1,050,000 ............................................... 62,500 .................................................... NO BLOCKS. 1,000 ...................................................... 62,500 .................................................... 3,900 ...................................................... 8,000 ...................................................... 500 ......................................................... 10,000 times index ................................. NO BLOCKS. 125,000 .................................................. 10,000 times index ................................. 62,500 .................................................... NO BLOCKS. NO BLOCKS. NO BLOCKS. 4,000 ...................................................... 625 ......................................................... 5,000 ...................................................... NO BLOCKS. 400 times index ...................................... 250 ......................................................... 62,500 .................................................... NO BLOCKS. VerDate Mar<15>2010 18:29 Jul 15, 2013 Jkt 229001 PO 00000 Frm 00050 Fmt 4700 Sfmt 4700 E:\FR\FM\16JYR1.SGM 16JYR1 Units MMBtu. bbl. lbs. metric tons. lbs. lbs. bushels. lbs. short tons. dollars. gallons. euros. troy oz. dollars. bbl. MMBtu. MMBtu. dollars. MMBtu. bbl. Mwh. Mwh. gallons. gallons. MMBtu. troy oz. MMBtu. Mwh. Mwh. troy oz. dollars. troy oz. dollars. MMBtu. Mwh. Mwh. metric tons. currency units. metric tons. MMBtu. Federal Register / Vol. 78, No. 136 / Tuesday, July 16, 2013 / Rules and Regulations 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 SECURITIES AND EXCHANGE COMMISSION 17 CFR Part 240 [Release No. 34–69964; File No. S7–30–11] RIN 3235–AL19 Retail Foreign Exchange Transactions Securities and Exchange Commission. ACTION: Final rule. AGENCY: The Commission is adopting a rule to permit a registered brokerdealer to engage in a retail forex business, provided that the brokerdealer complies with the Securities Exchange Act of 1934, the rules and regulations thereunder, and the rules of the self-regulatory organization(s) of which the broker-dealer is a member insofar as they are applicable to retail forex transactions. The Commission is adopting Rule 15b12–1 substantially in the form previously adopted as an interim final temporary rule and is providing that the rule will expire on July 31, 2016. DATES: This rule is effective from July 16, 2013 through July 31, 2016. FOR FURTHER INFORMATION CONTACT: Catherine Moore, Senior Special Counsel; Shaheen Haji Zuver, Special Counsel; or Stephen J. Benham, Attorney-Adviser, at (202) 551–5550 or Division of Trading and Markets, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–7010. SUPPLEMENTARY INFORMATION: The Commission is adopting Rule 15b12–1 under the Exchange Act, to permit a registered broker or dealer (‘‘brokerdealer’’) to engage in retail forex transactions, as such transactions are defined below. Unless the Commission acts further, the rule will expire and no longer be effective on July 31, 2016. SUMMARY: I. Background mstockstill on DSK4VPTVN1PROD with RULES A. Retail Foreign Exchange The foreign currency exchange (‘‘forex’’) market is a large and liquid market used by banks, insurance companies, large corporations, and other large financial institutions to trade in risks associated with fluctuations in foreign currency rates. In recent years, a secondary off-exchange market for forex VerDate Mar<15>2010 18:29 Jul 15, 2013 Jkt 229001 has developed for retail customers.1 Many customers may view forex as a possible investment opportunity or portfolio risk management strategy. However, the Commission, its staff,2 and other regulatory authorities 3 have cautioned investors that the forex market poses risks for retail customers. The regulatory oversight of the retail forex market has developed primarily through a series of amendments to the Commodity Exchange Act (‘‘CEA’’).4 Transactions commonly referred to as ‘‘retail forex transactions’’ are foreign exchange transactions with persons who are retail customers (persons who are not eligible contract participants (‘‘ECPs’’) as defined in the CEA) and that settle on a T+3 or greater timeline.5 Significantly, certain types of transactions are not ‘‘retail forex transactions’’ under the CEA, even where one of the counterparties is a person that is not an ECP. These transactions include: (i) ‘‘spot forex transactions’’ where one currency is bought for another and the two currencies are exchanged within two days; (ii) forward contracts that create an enforceable obligation to make or take delivery, provided that each counterparty has the ability to deliver and accept delivery in connection with its line of business; and (iii) options that are executed or traded on a national securities exchange registered pursuant to section 6(a) of the Exchange Act.6 In addition, and as discussed in more detail below, conversion trades—trades in which a foreign exchange transaction facilitates the settlement of a foreign security transaction—are spot forex transactions and, therefore, are outside 1 See, e.g., FINRA Regulatory Notice 08–66 (Retail Foreign Currency Exchange) (November 2008) available at: http://www.finra.org/web/groups/ industry/@ip/@reg/@notice/documents/notices/ p117362.pdf (‘‘FINRA Forex Notice’’). 2 See Investor Bulletin: Foreign Currency Exchange (Forex) Trading for Individual Investors (July 2011), available at http://www.sec.gov/ investor/alerts/forextrading.pdf (‘‘Forex Bulletin’’). See also Retail Foreign Exchange Transactions, Exchange Act Release No. 64874 (July 13, 2011), 76 FR 41676 (July 15, 2011) (‘‘2011 Interim Rule Release’’) at 41677 (noting that media reports have highlighted potential abuses). 3 See, e.g., Press Release, Commodities Futures Trading Commission (‘‘CFTC’’), CFTC Releases Final Rules Regarding Retail Forex Transactions (Aug. 30, 2010) (available at http://www.cftc.gov/ PressRoom/PressReleases/pr5883-10.html?dbk) (noting that retail forex is the largest area of retail fraud that the CFTC oversees). 4 See Regulation of Off-Exchange Retail Foreign Exchange Transactions and Intermediaries, 75 FR 3282 (Jan. 20, 2010) (‘‘CFTC Proposing Release’’) for a detailed discussion by the CFTC of the amendments to the CEA regarding retail forex. 5 See 7 U.S.C. 2(c)(2)(B)(i). 6 See 7 U.S.C. 2(c)(2)(B)(i)(I). PO 00000 Frm 00051 Fmt 4700 Sfmt 4700 42439 the scope of the CEA prohibition and this rulemaking.7 Only certain regulated entities may act as counterparty to foreign exchange transactions.8 These approved entities include Futures Commission Merchants (‘‘FCMs’’), Retail Foreign Exchange Dealers (‘‘RFEDs’’) registered with the CFTC, banks, and insurance companies, as well as broker-dealers registered with the Commission. The Dodd-Frank Wall Street Reform and Consumer Protection Act (‘‘DoddFrank Act’’) further amended the CEA to limit potential abuses in the retail forex market by prohibiting retail forex transactions as of July 16, 2011, in the absence of a rulemaking permitting retail forex transactions by the relevant Federal regulatory agency. The prohibition in the CEA applies to retail forex transactions with registered broker-dealers, and the Commission adopted an Interim Final Temporary Rule on July 13, 2011 (‘‘Interim Rule’’), to allow retail forex transactions with broker-dealers under terms and conditions prescribed by the Commission.9 B. Amendments to the Commodity Exchange Act As amended by the Dodd-Frank Act,10 the CEA provides that a person for which there is a Federal regulatory agency,11 including a broker-dealer registered under section 15(b) (except pursuant to paragraph (11) thereof) or 15C of the Exchange Act,12 shall not enter into, or offer to enter into, a transaction described in section 2(c)(2)(B)(i)(I) of the CEA with a person who is not an ECP,13 except pursuant to 7 See Further Definition of ‘‘Swap,’’ ‘‘SecurityBased Swap,’’ and ‘‘Security/Based Swap Agreement’’; Mixed Swaps; Security/Based Swap Agreement Recordkeeping; Final Rule, Exchange Act Release No. 67453 (July 18, 2012), 77 FR 48207 (Aug. 13, 2012) (‘‘Products Definitions Release’’). 8 7 U.S.C. 2(c)(2)(B)(i). 9 See 2011 Interim Rule Release. See also Extension of Interim Final Temporary Rule on Retail Foreign Exchange Transactions, Exchange Act Release No. 67405 (July 11, 2012), 77 FR 41671 (July 16, 2012) (‘‘2012 Extension Release’’). 10 7 U.S.C. 2(c)(2)(E). 11 7 U.S.C. 2(c)(2)(E)(i), as amended by § 742(c) of the Dodd-Frank Act, defines a ‘‘Federal regulatory agency’’ to mean the CFTC, the Securities and Exchange Commission, an appropriate Federal banking agency (as defined in section 3(q) of the Federal Deposit Insurance Act (12 U.S.C. 1813(q))), the National Credit Union Association, and the Farm Credit Administration. 12 7 U.S.C. 2(c)(2)(B)(i)(II). 13 ‘‘Eligible contract participant’’ is defined in CEA section 1a(18), as re-designated and amended by section 721 of the Dodd-Frank Act. See Public Law 111–203, § 721 (amending CEA section 1a). The CEA’s definition of ECP generally comprises regulated persons; entities that meet a specified total asset test (e.g., a corporation, partnership, E:\FR\FM\16JYR1.SGM Continued 16JYR1

Agencies

[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]


=======================================================================
-----------------------------------------------------------------------

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