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

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 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

INTEREST RATE SWAPS—Continued
Currency group Tenor greater than Tenor less than or equal to 50% Notional (in millions)
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
CREDIT SWAPS
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
FOREIGN EXCHANGE SWAPS
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
KRW .... 0 6,250,000,000
SEK ..... * 6,250,000 100,000,000
NOK .... * 6,250,000 100,000,000
NZD ..... 0 5,000,000

FOREIGN EXCHANGE SWAPS—Continued
Super-major currencies
EUR
(Euro)
GBP
(British pound)
JPY
(Japanese yen)
USD
(U.S. dollar)
ZAR ..... 0 25,000,000
Non-major currencies ..................................................... BRL ..... 0 5,000,000 CZK ..... 200,000,000 200,000,000 HUF ..... 1,500,000,000 1,500,000,000 ILS ....... 0 50,000,000 MXN .... 0 50,000,000 PLN ..... 25,000,000 25,000,000 RMB .... 50,000,000 0 50,000,000 50,000,000 RUB .... 0 125,000,000 TRY ..... * 6,250,000 * 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 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.

1See, 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’’). 2See 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). 3See, 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). 4See 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. 5See 7 U.S.C. 2(c)(2)(B)(i). 6See 7 U.S.C. 2(c)(2)(B)(i)(I). 7See Further Definition of ‘‘Swap,’’ ‘‘Security￾Based 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). 9See 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, Continued 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