Procedures To Establish Appropriate Minimum Block Sizes for Large Notional Off-Facility Swaps and Block Trades; Correction, 42436-42439 [2013-16938]
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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
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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) ...................................
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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)
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Super-major currencies ..................................................
Major currencies .............................................................
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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
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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
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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.
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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
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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
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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: https://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 https://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 https://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).
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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
