78 FR 136 pgs. 42436-42439 - Procedures To Establish Appropriate Minimum Block Sizes for Large Notional Off-Facility Swaps and Block Trades; Correction

Type: RULEVolume: 78Number: 136Pages: 42436 - 42439
FR document: [FR Doc. 2013-16938 Filed 7-15-13; 8:45 am]
Agency: Commodity Futures Trading Commission
Official PDF Version:  PDF Version
Pages: 42436, 42437, 42438, 42439

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COMMODITY FUTURES TRADING COMMISSION

17 CFR Part 43

RIN 3038-AD08

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

AGENCY:

Commodity Futures Trading Commission.

ACTION:

Final rule; correction.

SUMMARY:

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

DATES:

Effective date: July 30, 2013.

FOR FURTHER INFORMATION CONTACT:

John W. Dunfee, Assistant General Counsel, Office of the General Counsel, Commodity Futures Trading Commission, Three Lafayette Center, 1155 21st Street, NW., Washington, DC 20581; 202-418-5396; jdunfee@cftc.gov.

SUPPLEMENTARY INFORMATION:

In FR Doc. 2013-12133 appearing on page 32866 in the Federal Register of Friday, May 31, 2013, the following correction is made:

Appendix F to Part 43-Initial Appropriate Minimum Block Sizes by Asset Class for Block Trades and Large Notional Off-Facility Swaps [Corrected]

1. On page 32942, in the third column, in Appendix F to Part 43-Initial Appropriate Minimum Block Sizes by Asset Class for Block Trades and Large Notional Off-Facility Swaps, correct Appendix F by removing all of the tables published on pages 32942 through 32944 and adding the following corrected tables in their place:

Currency group Currencies
Super-Major Currencies United States dollar (USD), European Union Euro Area euro (EUR), United Kingdom pound sterling (GBP), and Japan yen (JPY).
Major Currencies Australia dollar (AUD), Switzerland franc (CHF), Canada dollar (CAD), Republic of South Africa rand (ZAR), Republic of Korea won (KRW), Kingdom of Sweden krona (SEK), New Zealand dollar (NZD), Kingdom of Norway krone (NOK), and Denmark krone (DKK).
Non-Major Currencies All other currencies.

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Currency group Tenor greater than Tenor less than or equal to 50% Notional (in millions)
Super-Major 46 days 6,400
Super-Major 46 days Three months (107 days) 2,100
Super-Major Three months (107 days) Six months (198 days) 1,200
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 days) 240
Super-Major Five years (1,842 days) Ten years (3,668 days) 170
Super-Major Ten years (3,668 days) 30 years (10,973 days) 120
Super-Major 30 years (10,973 days) 67
Major 46 days 2,200
Major 46 days Three months (107 days) 580
Major Three months (107 days) Six months (198 days) 440
Major Six months (198 days) One year (381 days) 220
Major One year (381 days) Two years (746 days) 130
Major Two years (746 days) Five years (1,842 days) 88
Major Five years (1,842 days) Ten years (3,668 days) 49
Major Ten years (3,668 days) 30 years (10,973 days) 37
Major 30 years (10,973 days) 15
Non-Major 46 days 230
Non-Major 46 days Three months (107 days) 230
Non-Major Three months (107 days) Six months (198 days) 150
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 days) 27
Non-Major Five years (1,842 days) Ten years (3,668 days) 15
Non-Major Ten years (3,668 days) 30 years (10,973 days) 16
Non-Major 30 years (10,973 days) 15


Spread group (basis points) Traded tenor greater than Traded tenor less than or equal to 50% Notional (in 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 months (3,120 days) 110
Less than or equal to 175 Eight years and six months (3,120 days) Twelve years and six months (4,581 days) 130
Less than or equal to 175 Twelve years and six months (4,581 days) 46
Greater than 175 and less than or equal to 350 Two years (746 days) 140
Greater than 175 and less than or equal to 350 Two years (746 days) Four years (1,477 days) 82
Greater than 175 and less than or equal to 350 Four years (1,477 days) Six years (2,207 days) 32
Greater than 175 and less than or equal to 350 Six years (2,207 days) Eight years and six months (3,120 days) 20
Greater than 175 and less than or equal to 350 Eight years and six months (3,120 days) Twelve years and six months (4,581 days) 26
Greater than 175 and less than or equal to 350 Twelve years and six months (4,581 days) 63
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 months (3,120 days) 13
Greater than 350 Eight years and six months (3,120 days) Twelve years and six months (4,581 days) 13
Greater than 350 Twelve years and six months (4,581 days) 41

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Super-major currencies EUR (Euro) GBP (British pound) JPY (Japanese yen) USD (U.S. 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
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.


Related futures contract Initial appropriate minimum block size Units
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 NYMEX) 1,000 metric tons.
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 (CBOT) 1,000 short tons.
Dow Jones-UBS Commodity Index (CBOT) 30,000 times index dollars.
Ethanol (CBOT) 290,000 gallons.
Feeder Cattle (CME) NO BLOCKS.
Frost Index (CME) 200,000 times index euros.
Frozen Concentrated Orange Juice (ICE) NO BLOCKS.
Gold (COMEX and NYSE Liffe) 2,500 troy oz.
Goldman Sachs Commodity Index (GSCI), GSCI Excess Return Index (CME) 5,000 times index dollars.
Gulf Coast Sour Crude Oil (NYMEX) 5,000 bbl.
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 index dollars.
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-Peak Fixed Price (ICE) 625 Mwh.
Mid-Columbia Day-Ahead Peak Fixed Price (ICE) 4,000 Mwh.
New York Harbor RBOB (Blendstock) Gasoline (NYMEX) 1,050,000 gallons.
New York Harbor No. 2 Heating Oil (NYMEX) 1,050,000 gallons.
NWP Rockies Basis (ICE and NYMEX) 62,500 MMBtu.
Oats (CBOT) NO BLOCKS.
Palladium (NYMEX) 1,000 troy oz.
PG&E Citygate Basis (ICE and NYMEX) 62,500 MMBtu.
PJM Western Hub Real Time Off-Peak Fixed Price (ICE) 3,900 Mwh.
PJM Western Hub Real Time Peak Fixed Price (ICE) 8,000 Mwh.
Platinum (NYMEX) 500 troy oz.
Rainfall Index (CME) 10,000 times index dollars.
Rough Rice (CBOT) NO BLOCKS.
Silver (COMEX and NYSE Liffe) 125,000 troy oz.
Snowfall Index (CME) 10,000 times index dollars.
Socal Border Basis (ICE and NYMEX) 62,500 MMBtu.
Soybean (CBOT) NO BLOCKS.
Soybean Meal (CBOT) NO BLOCKS.
Soybean Oil (CBOT) NO BLOCKS.
SP-15 Day-Ahead Peak Fixed Price (ICE) 4,000 Mwh.
SP-15 Day-Ahead Off-Peak Fixed Price (ICE) 625 Mwh.
Sugar #11 (ICE and NYMEX) 5,000 metric tons.
Sugar #16 (ICE) NO BLOCKS.
Temperature Index (CME) 400 times index currency units.
U.S. Dollar Cash Settled Crude Palm Oil (CME) 250 metric tons.
Waha Basis (ICE and NYMEX) 62,500 MMBtu.
Wheat (CBOT) NO BLOCKS.


[top] 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