[Federal Register Volume 78, Number 136 (Tuesday, July 16, 2013)]
[Rules and Regulations]
[Pages 42436-42439]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-16938]


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COMMODITY FUTURES TRADING COMMISSION

17 CFR Part 43

RIN 3038-AD08


Procedures To Establish Appropriate Minimum Block Sizes for Large 
Notional Off-Facility Swaps and Block Trades; Correction

AGENCY: Commodity Futures Trading Commission.

ACTION: Final rule; correction.

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

SUMMARY: The Commodity Futures Trading Commission is correcting a final 
rule that appeared in the Federal Register of May 31, 2013 (78 FR 
32866). The final rule adopted regulations, under the Dodd-Frank Wall 
Street Reform and Consumer Protection Act, defining the criteria for 
grouping swaps into separate swap categories and establishing 
methodologies for setting appropriate minimum block sizes for each swap 
category. These corrections fix errors in certain contract 
descriptions, block sizes, and block units listed in Appendix F to the 
final rule.

DATES: Effective date: July 30, 2013.

FOR FURTHER INFORMATION CONTACT: John W. Dunfee, Assistant General 
Counsel, Office of the General Counsel, Commodity Futures Trading 
Commission, Three Lafayette Center, 1155 21st Street, NW., Washington, 
DC 20581; 202-418-5396; [email protected].

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