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Chicago Mercantile Exchange, Chicago Board of Trade, New York Sean M. Downey Senior Director and Associate General Counsel Legal Department March 15, 2013 VIA E-MAIL Ms. Melissa Jurgens Office of the Secretariat Commodity Futures Trading Commission Three Lafayette Centre 1155 21st Street, N.W. Washington, DC 20581 RE: Regulation 40.6(a). Chicago Mercantile Exchange Inc./ The Board of Trade of the City of Chicago, Inc./ The New York Mercantile Exchange, Inc./ Commodity Exchange, Inc. Submission # 13-066: Revisions to CME, CBOT and NYMEX/COMEX Position Limit, Position Accountability and Reportable Level Tables Dear Ms. Jurgens: Chicago Mercantile Exchange Inc. (“CME”), The Board of Trade of the City of Chicago, Inc. (“CBOT”), The New York Mercantile Exchange, Inc. (“NYMEX”) and Commodity Exchange, Inc. (“COMEX”), (collectively, the “Exchanges”) are self-certifying revisions to the Position Limit, Position Accountability and Reportable Level Tables (collectively, the “Tables”) in the Interpretations & Special Notices Section of Chapter 5 in the Exchanges’ Rulebooks. The revisions will become effective on April 1, 2013 and are being adopted to ensure that the Tables are in compliance with CFTC Core Principle 7 (“Availability of General Information”), which requires that DCMs make available to the public accurate information concerning the contract market’s rules and regulations, contracts and operations. In connection with CFTC Core Principle 7, the Exchanges launched a Rulebook Harmonization Project with the goal of eliminating old, erroneous and obsolete language, ensuring the accuracy of all listed values (e.g., position limits, aggregation, diminishing balances, etc.) and harmonizing the language and structure of the Tables and product chapters to the best extent possible. The changes to the Tables are primarily stylistic in nature (e.g., format, extra columns, tabs, product groupings, etc.). In addition, the new Tables, which were formally set forth in their entirety in each Rulebook will only be available in Excel format via a hyperlink in the Interpretations & Special Notices Section of Chapter 5 in each Rulebook. The shift from .pdf to Excel format was based on accuracy, maintainability and customer demand. Only cells/columns that are applicable to a specific product are populated. The substantive changes to the NYMEX/ COMEX Table can be summarized as follows: Diminishing Balance The following contracts (listed by code) are being marked as diminishing balance contracts to properly reflect the rule language regarding pricing of these contracts over the course of a month. This list also includes contracts where the contract that it aggregates into for a futures equivalent value diminishes: GFC, 9Q, Z0, 7R, U7, KU, KZ, Y0, NFC, 6V, 1P, 7N, U9, B7, X9, X6, 7X, 8W, 1S, 7S, E6, B1, KR, X7, 4V, 7V, 6G, J9, VK, KX, W0, FK, 3V, NFG, 8G, BI, VU, F3, B8, MNB, FS, FOR, 8D, BT, SD, BS, EW, PIO, TIO, ESF, NSF, SSF, AUP, JB 20 South Wacker Drive, Chicago, Illinois 60606 T 312 930 8167 F 312 930 3323 [email protected] cmegroup.com The following contracts are having the diminishing balance logic removed to properly reflect the pricing logic: BY, 9N, MAS Natural Gas Swing contracts are reported and traded on a day-by-day basis and, as such, there is no need to diminish. Therefore, the following Natural Gas Swing contracts are having the diminishing balance logic removed: A1, SK, K6, T7, T6, M3, C6, SF, SH, T9, J6, W5, K7, SV, Q7, OW, SX, X2, J7, J3, M4, T4, SU, ST, X5, K9, SJ, SL, T2, C8, SM, J8, X8, SQ, SY, DT, SS, OX, SN, X4, VX, U8, VS, T8, Y9, K8, X3, PX, SR, W9 Aggregations RGGI contract codes 76, 96, and 86 are being changed from aggregating into themselves to aggregating into contract RJ. The Exchange feels this is appropriate given the terms of the contracts. CAR contract codes 93, 94 and 95 are being changed from aggregating into themselves to aggregating into contract CR. The Exchange feels this is appropriate given the terms of the contracts. The Heating Oil Crack Spread Option, contract code CH, aggregates into leg (1) HO and leg (2) CL in order to properly calculate the futures equivalent position in accordance with the trading units outlined in the product chapter. This previously had aggregated into leg (1) CL and leg (2) HO. The WTI-Brent Crude Oil Spread Option, contract code BV, aggregates into leg (1) 26 and leg (2) BZ in order to properly calculate the futures equivalent position in accordance with the trading units outlined in the product chapter. This previously had aggregated into leg (1) BZ only. The ISO New England Mass Hub 5 MW Peak Calendar-Month Day-Ahead LMP Futures, contract code U6, aggregates into leg (1) NI to remain consistent with other ISO contracts. The Daily Brent Crude Oil Option, contract code ODB, aggregates into leg (1) BB. This previously had aggregated into leg (2) BB. 30 Natural Gas Basis Futures, Basis Options and Index Futures aggregations is being changed from aggregating into the Basis Future to aggregating into the Fixed Price Future in following contracts: TC, 5D, Q1, PG, IH, NH, 5F, IP, NJ, IJ, PM, IL, NL, 5G, IW, NR, 5I, IR, PH, 5K, IV, HB, 5E, IN, NF, 4W, Y8, NW, 5O, IY. The Table includes changes to 16 ERCOT contracts effective March 10, 2013 as filed to the CFTC under Submission No. 13-035 on February 22, 2013. Accountability/Limits Single month accountability level for the ENF equals 500 for the aggregate into leg (2) to reflect GFS single month accountability level. Accountability level and limits for certain metals options (PO, HX, OG and SO) and energy options (LO, ON, HHQ, OB, OH) reflect the levels/limits established in the corresponding underling aggregate into leg (1) contract. The Exchange is utilizing the same accountability level for options and futures to provide consistency to the marketplace. 20 South Wacker Drive, Chicago, Illinois 60606 T 312 930 8167 F 312 930 3323 [email protected] cmegroup.com Spot month limits for options (M2, Q6, N2, C5, PPB, TDT) reflect limits established in the corresponding underling aggregate into leg (1) contract. Corrected an administrative error where the limit for the F8 contract of 1,000 was erroneously placed in the Expiration Accountability column. Corrected an administrative error where the single month accountability level of the RBR contract erroneously had 5,000 contracts instead of 50,000 contracts. Corrected an administrative error where the limits for the 6J, 4D, and 6I contracts of 1,000 were erroneously placed in the Expiration Accountability column. Clarified in the column headings that position limits are calculated on a net futures equivalent basis, as opposed to a gross basis. The substantive changes to the CME and CBOT Tables can be summarized as follows: Added the following comprehensive information: specific commodity codes, hyperlinks to Rulebook chapters, contract sizes/units, settlement information (e.g., financially settled, physically delivered, etc.), position limit applicability pertaining to shipping certificates and warehouse receipts (i.e., maximum number of certificates or receipts that can be held), product aggregation language and intra crop year spread allowance language. Corrected an administrative error where the spot month limit in the CME Cleared OTC U.S. Dollar/ Korean Won (USD/ KRW) was listed as 20,000 contracts instead of 2,000 contracts. Clarified in the column headings that position limits are calculated on a net futures equivalent basis, as opposed to a gross basis. Corrected an administrative error where the following two recently-launched contracts were missing from the CME Table: Indian Rupee/ U.S. Dollar (INR/USD) futures and E-Micro Indian Rupee/ U.S. Dollar (INR/USD) futures. Reportable Levels Changed the reportable levels from “N/A” to 1 contract for all CME cleared over-the-counter (“OTC”) foreign exchange (“FX”) spot, forward and swap products for surveillance purposes. Changed the reportable level in the CME Three-Month Overnight Index Swap options from 50 to 25 contracts, which is the same level as the underlying futures contract. The Exchange is utilizing the same reportable level for options and futures to provide consistency to the marketplace. Changed the reportable level in the CBOT 30-Year Interest Rate Swap options from 25 to 500 contracts, which is the same level as the underlying futures contract. The Exchange is utilizing the same reportable level for options and futures to provide consistency to the marketplace. Corrected an administrative error where the reportable level in CME U.S. Dollar/ Chinese Renminbi (USD/RMB or CNY) futures with U.S. Dollar Banking was listed as “N/A” instead of 25 contracts. 20 South Wacker Drive, Chicago, Illinois 60606 T 312 930 8167 F 312 930 3323 [email protected] cmegroup.com Corrected administrative errors where the reportable levels in CBOT U.S. Treasury Bond weekly options, CBOT Long-Term U.S. Treasury Bond weekly options and CBOT Mid-Term U.S. Treasury Note weekly options were listed as 1500, 1500 and 2000 contracts, respectively, and should all be listed as 25 contracts. The Market Regulation Department and the Legal Department collectively reviewed the DCM Core Principles as set forth in the Commodity Exchange Act (“Act”). During the review, we have identified that the changes described above may have some bearing on the following Core Principles: Compliance with Rules: The changes resulted from a comprehensive review of the existing product chapters and Tables, with the goal that the Tables be completely accurate, comprehensive and, for the most part, harmonized between the Exchanges as a result of the revisions. Product terms, product codes, position limits, position accountability, reportable levels, aggregations, diminishing balances and all other material values were reviewed to ensure accuracy, and obsolete and inaccurate information was removed or modified.
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