[Federal Register: May 12, 2004 (Volume 69, Number 92)]
[Proposed Rules]
[Page 26333-26340]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr12my04-14]
=======================================================================
-----------------------------------------------------------------------
COMMODITY FUTURES TRADING COMMISSION
17 CFR Parts 15, 16, 17, 18, 19 and 21
RIN 3038-AC08
Reporting Levels and Recordkeeping
AGENCY: Commodity Futures Trading Commission.
ACTION: Proposed rules.
-----------------------------------------------------------------------
SUMMARY: The Commodity Futures Trading Commission (Commission or CFTC)
is proposing several amendments to its large trader reporting rules.
First, the Commission is proposing to amend part 15 of its rules to
introduce additional contracts and to raise the reporting levels at
which futures commission merchants, clearing members and foreign
brokers must file large trader reports in certain commodities. Second,
the Commission is proposing to amend its rules to address the manner in
which certain new products, such as exchanges of futures for swaps,
should be reported under the Commission's rules. Third, the Commission
is proposing to amend its rules to address current data transmission
practices, to foster innovative means of filing Forms 102 by reporting
firms, and to eliminate Form 103 for the submission of special call
data by large traders. Finally, the Commission is proposing a number of
other technical and clarifying amendments to the large trader reporting
rules.
DATES: Comments must be received by June 11, 2004.
ADDRESSES: Comments should be sent to the Commodity Futures Trading
Commission, Three Lafayette Centre, 1155 21st Street, NW., Washington,
DC 20581, attention: Office of the Secretariat. Comments may be sent by
facsimile to 202-418-5521, or by e-mail to secretary@cftc.gov.
Reference should be made to ``Large Trader Reporting
[[Page 26334]]
Rules.'' Comments may also be submitted by connecting to the Federal
eRulemaking Portal at http://www.regulations.gov and following comment
submission instructions.
FOR FURTHER INFORMATION CONTACT: Gary Martinaitis, Associate Deputy
Director for Market Information, Market Surveillance Section (telephone
202-418-5209, e-mail gmartinaitis@cftc.gov), Bruce Fekrat, Attorney,
Office of the Director (telephone 202-418-5578, e-mail
bfekrat@cftc.gov), Division of Market Oversight, Commodity Futures
Trading Commission, Three Lafayette Centre, 1155 21st Street, NW.,
Washington, DC 20581.
SUPPLEMENTARY INFORMATION:
I. Reporting Levels
The Commission's large-trader reporting system is an important
Commission oversight tool. The rules governing this system require
futures commission merchants, clearing members and foreign brokers
(collectively referred to as reporting firms) to report to the
Commission position information of the largest futures and options
traders and require the traders themselves to provide certain
identifying information. Reporting levels are set in the designated
futures and option markets under the authority of sections 4i and 4c of
the Commodity Exchange Act (CEA or Act) to ensure that the Commission
receives adequate information to carry out its market surveillance
programs. These market surveillance programs are designed to detect and
to prevent price manipulation and market congestion and to enforce
speculative position limits pursuant to section 4a of the Act. They
also provide information regarding the overall hedging and speculative
use of, and foreign participation in, the futures markets and other
matters of public interest.
Generally, the firm carrying a trader's reportable position files
large trader reports.\1\ The Commission periodically reviews
information concerning trading volume, open interest, and the number
and position sizes of individual traders relative to the reporting
levels for each market to determine if coverage of open interest is
adequate for effective market surveillance. In this regard, the
Commission also is mindful of the paperwork burden associated with
these reporting requirements and reviews them with an eye to
streamlining that burden to the extent compatible with its
responsibilities for rigorous surveillance of the futures and option
markets. The Commission's most recent review of reporting levels
indicates that the relative size of trading volume, open interest, and
position sizes of individual traders would enable the Commission to
raise reporting levels as follows: (1) Milk, Class III from 25 to 50
contracts; (2) Soybeans from 100 to 150 contracts; (3) Wheat from 100
to 150 contracts; (4) Corn from 150 to 250 contracts; (5) Sugar No. 11
from 400 to 500 contracts; (6) Cotton from 50 to 100 contracts; (7)
Natural Gas from 175 to 200 contracts; (8) Crude Oil, Sweet--No. 2
Heating Oil Crack Spread from 25 to 250 contracts; (9) Crude Oil,
Sweet--Unleaded Gasoline Crack Spread from 25 to 150 contracts; (10)
Unleaded Gasoline--No. 2 Heating Oil Spread Swap from 25 to 150
contracts; (11) 1-Month LIBOR from 300 to 600 contracts; (12) 30-Day
Fed Funds from 300 to 600 contracts; (13) 3-Month Eurodollar Time
Deposit Rates from 1000 to 3000 contracts; (14) 2-Year U.S. Treasury
Notes from 500 to 1000 contracts; (15) 5-Year U.S. Treasury Notes from
800 to 2000 contracts; (16) 10-Year U.S. Treasury Notes from 1000 to
2000 contracts; (17) 30-Year U.S. Treasury Bonds from 1000 to 1500
contracts; (18) E-Mini S&P 500 Stock Price Index from 300 to 1000
contracts; \2\ and (19) TRAKRS from 25,000 to 50,000.
---------------------------------------------------------------------------
\1\ Specifically, parts 17 and 18 of the Commission's
regulations require reports from firms and traders, respectively,
when a trader holds a ``reportable position.'' See 17 CFR parts 17
and 18. A reportable position is any open contract position, as
further defined in the rules, that at the close of the market on any
business day equals or exceeds the quantity specified in Commission
Rule 15.03. See 17 CFR 15.00 and part 150. The firms that carry
accounts for traders holding reportable positions are required to
identify those accounts on Form 102 and to report positions in the
accounts to the Commission. The individual trader who holds or
controls the reportable position, however, is required to report to
the Commission only in response to a special call.
\2\ Currently, the reporting levels for the S&P 500 Stock Price
Index contract and the E-Mini S&P 500 Stock Price Index contract are
different (1000 and 300, respectively). As amended, the reporting
levels for the S&P 500 Stock Price Index contract and the E-Mini S&P
500 Stock Price Index contract would be the same. Accordingly, the
Commission is proposing to delete the separate reference to the E-
Mini S&P 500 Stock Price Index in Sec. 15.03. In this regard,
subject to this one exception for the E-Mini S&P 500 Stock Price
Index contract, the Commission's practice has been to apply the same
reporting level to an e-mini contract as applies to the related full
size contract. Accordingly, if this proposed amendment to the
reporting level for the E-Mini S&P 500 Stock Price Index is adopted,
all e-mini contracts will be subject to that reporting convention.
---------------------------------------------------------------------------
The general default reporting level for all positions, including
positions in broad-based security indices, is currently 25 contracts.
The Commission is proposing to enumerate a new default reporting level
of 200 contracts specifically for broad-based security indices. Under
this proposal, the following enumerated commodities would no longer be
individually itemized in Rule 15.03 and therefore would be subject to
the proposed default reporting level of 200 contracts: (1) S&P 400
Midcap Stock Index--currently 100 contracts; (2) Dow Jones Industrial
Average Index--currently 100 contracts; (3) New York Stock Exchange
Composite Index--currently 50 contracts; (4) Amex Major Market Index,
Maxi--currently 100 contracts; (5) NASDAQ 100 Stock Index--currently
100 contracts; (6) Russell 2000 Stock Index--currently 100 contracts;
(7) Value Line Average Index--currently 50 contracts; and (8) NIKKEI
Stock Index--currently 100 contracts. The S&P 500 Stock Price Index and
the Municipal Bond Index would remain at 1000 and 300 contracts,
respectively.
Concurrently, the Commission is proposing to establish enumerated
reporting levels for three German federal government debt instruments.
These proposed reporting levels are as follows: (1) 10-Year German
Federal Government Debt--1,000 contracts; (2) 5-Year German Federal
Government Debt--800 contracts; (3) 2-Year German Federal Government
Debt--500 contracts.
The Commission is also proposing a reporting level for a category
of contracts that a new exchange, HedgeStreet, Inc. (HedgeStreet),
intends to offer. HedgeStreet has represented that it intends to offer
European-style binary options that are based on economic indexes \3\
and that pay a fixed $10.00 if in the money upon expiration. The put
and call options that together would form a contract bundle are
separate contracts and thus the average value of each contract (put or
call) would be $5. In light of the relatively low value of these
products, the Commission is proposing a reporting level of 125,000
contracts. This reporting level would be limited to economic indices
offered by HedgeStreet in the manner and size described. Absent further
Commission rulemaking, any other product offered by HedgeStreet would
be subject to the default reporting level of 25 contracts.\4\
---------------------------------------------------------------------------
\3\ The Commission understands that HedgeStreet products could
be based on either macroeconomic or microeconomic indexes.
\4\ The low value of these HedgeStreet products could result in
the reporting of positions that numerically are very large. Due to
current limitations in the Commission's large trader record format
(see 17 CFR 17.00(g)(1)), the proposed rulemaking provides for these
HedgeStreet positions to be reported under 17 CFR part 17 by
rounding down to the nearest 1000 and then dividing by 1000. For
example, a position of 177,955 contracts would be rounded down to
177,000, divided by 1000 and reported as 177.
---------------------------------------------------------------------------
[[Page 26335]]
The referenced HedgeStreet and German federal government debt
contracts are likely to be traded prior to the adoption of final
reporting levels. In the absence of the adoption of final reporting
levels, the Commission's default reporting level of 25 contracts would
apply. To relieve market participants from compliance with the default
reporting level, the Commission hereby is granting no-action relief to
futures commission merchants, members of contract markets and foreign
brokers that comply with the large trader reporting requirements based
upon proposed reporting levels for the referenced HedgeStreet and
German federal government debt contracts.
Accordingly, the Commission will not bring any enforcement action
against any such futures commission merchant, member of a contract
market or foreign broker. Such persons, however, must bring their
conduct into compliance with final reporting levels to the extent that
final reporting levels differ from those proposed herein.
The proposed amendments to adjust reporting levels would decrease
the number of daily position reports, such as Series '01 Reports and
Forms 102, that reporting firms are currently required to file. The
number of Forms 40 filed by large traders would also decrease. However,
the percent of total market open interest reported through the large
trader system would remain at the level deemed sufficient for rigorous
market surveillance based upon the Commission's administrative
experience.
Not all reporting firms may elect to report under the proposed
higher, and therefore potentially less burdensome, reporting levels.
This is due to the fact that exchanges also maintain large trader
reporting systems that are similar in most respects to the Commission's
system. The exchanges set their own reporting levels, which for
particular contracts may vary from Commission set levels. When exchange
reporting levels are set lower than those set by the Commission, firms
may report to the Commission at the lower exchange set level, thereby
saving any cost associated with reprogramming their reporting systems
to reflect the proposed increases. The Commission, however, only
requires information on Forms 40 and 102 for positions that exceed its
levels.
II. Trades Involving the Exchange of Futures
On December 21, 2000, the President signed into law the Commodity
Futures Modernization Act of 2000 (CFMA), extensively revising the
CEA.\5\ The CFMA facilitated the introduction of certain new products
by the exchanges, including certain off-centralized-market trades such
as exchanges of futures for swaps (EFS).\6\ As of now, three exchanges
have rules permitting EFSs and three have rules permitting other types
of off-centralized-market trades referred to as exchanges of futures
for risk (EFR) and exchanges of futures for options (EFO).\7\
---------------------------------------------------------------------------
\5\ Appendix E of Pub. L. 106-554, 114 Stat. 2763 (2000).
\6\ For instance, section 5(b)(3)(B) of the Act provides that
exchange rules may authorize ``an exchange of--(i) futures in
connection with a cash commodity transaction; (ii) futures for cash
commodities; or (iii) futures for swaps * * *.'' 7 U.S.C.
7(b)(3)(B).
\7\ An EFS, EFR, and EFO works similarly to a transaction
involving the exchange of futures for physicals (EFP). EFPs allow
market participants to exchange a position in a futures contract
with a similar cash market position. EFSs allow market participants
to exchange a position in a futures contract for a cash-settled swap
position. EFRs allow market participants to exchange a position in a
futures contract for an over-the-counter derivative position. EFOs
allow market participants to exchange a position in a futures
contract for an off-exchange options position.
---------------------------------------------------------------------------
The Commission's rules do not address how contract markets should
report these types of off-centralized-market transactions to the
Commission and to the public, or how reporting firms should report them
to the Commission. Accordingly, the Commission is proposing to amend
its rules to address these issues. Parts 16 and 17 of the Commission's
regulations currently require contract markets and reporting firms to
separately account for the volume that is attributable to EFPs. The
Commission is proposing to require these entities to report other
trades involving the exchange of futures for a commodity or transaction
other than a futures product in the same manner as they currently
report EFP transactions.
Thus, as proposed, contract markets and reporting firms would group
together all EFPs, EFSs, EFRs, EFOs or other exchanges of futures for a
commodity or transaction other than a futures product permitted by
exchange rules, and report the sum under the same category. This is
appropriate because all of these trades are similar in that they permit
the exchange of a futures position for an off-exchange position. Block
trades, however, would not be included in this total because they do
not involve the exchange of a futures position for a commodity or
transaction other than a futures product. Volume attributable to block
trades would be reported with other volume. Although it may be
desirable to have block trade volume separately identified and
reported, the Commission does not currently believe that the effort
required to update its information systems or the effort required by
contract markets and reporting firms to update their systems would
justify the benefit.
III. Modernization of Rules Covering Data and Hard Copy Submissions
The Commission's rules currently have requirements for hard copy
submission of data and dial-up transmission of data. The rules are
being changed to reflect the existing industry practice of using
Internet data transmissions in place of dial-up transmissions and the
use of exchange websites as a store of daily data in place of hard copy
reports. Also, the Commission is proposing to amend its rules to foster
innovative means of filing Forms 102 by reporting firms and to
eliminate Form 103 for the submission of special call data by large
traders.
Part 16 of the Commission's regulations requires reports from
contract markets. The Commission is now proposing to eliminate the
requirements for daily hard copy clearing member reports to the
Commission and daily hard copy submissions of trading volume, exchange
of futures, open contracts, delivery notices, option deltas, prices,
and critical dates to the Commission or its staff. These hard copy
reports would only be required upon request of the Commission or its
staff. Also, the Commission is proposing to replace the requirement of
providing printed forms of trading volume, exchange of futures, open
contracts, delivery notices, and option deltas to the news media and
members of the public with a general requirement that such information
be made readily available to such persons. The Commission is also
proposing to replace explicit requirements for a dial-up form of data
transmission with more general requirements for data transmission.
Finally, in light of advances in technology, the Commission is
proposing to require the submission of clearing member reports and
certain data regarding trading volume, open interest, prices and
critical dates by 12 p.m. on the business day following the day to
which the information pertains. Currently, such information is required
to be submitted by 3 p.m. on that day. The Commission believes that the
information is currently being submitted within the proposed noon
deadline.
In part 17, which governs reports by reporting firms, the
Commission is proposing to replace specific requirements pertaining to
use of dial-up transmissions, '01 forms and
[[Page 26336]]
computer printouts with more general data transmission requirements.
Furthermore, the Commission is proposing to allow reporting firms to
authenticate that a Form 102 is being filed by an authorized individual
of a reporting firm on behalf of the reporting firm by a means other
than manually signing the form. This signature requirement necessitates
the manual filing of Form 102s, and the manual filing of these forms
remains one of the costlier aspects of large trader reporting in the
industry. In order to foster more innovative and cost efficient means
of fulfilling this reporting requirement, including the possibility of
electronic filing, the Commission is proposing to permit alternative
means of authentication. While a signature will remain the default
method of authentication, the Commission will retain the authority to
approve other means of authentication as new filing solutions become
available and accepted in the industry.
In part 18, which governs reports by traders, the Commission is
proposing to eliminate the use of a Form 103 for data requested by the
Commission via special calls. The form of the data would now be per
instructions contained in the call. This matches current practice.\8\
In addition, consistent with the current requirements for daily
submission of large trader data, the Commission is proposing to require
traders to identify exchanges of futures for a commodity or transaction
other than a futures product in response to such a call. The Commission
is also proposing to delete Rule 18.02 which provides for the use of
code numbers. Such a request has not been made in many years and, if
such a request is made in the future, it could be accommodated
informally. Finally, the Commission is proposing to delete Rule 18.06
as the referenced technology is no longer in use.
---------------------------------------------------------------------------
\8\ The Commission is also proposing a conforming change to Rule
15.02 to remove Form 103 from the list of forms to be used in filing
reports.
---------------------------------------------------------------------------
In part 21, which governs special calls, the requirement for
machine-readable information adhering to a specific record layout as
contained in the rules would be eliminated. The requirement for the
information to be prepared in accordance with instructions in the call
would remain. This matches current practice.
IV. Clarifying and Technical Amendments
The Commission has identified a number of other provisions of the
large trader rules that either do not reflect current practice or
otherwise should be corrected or updated. First, the Commission is
proposing to amend Rule 15.00(b)(1)(ii) to clarify that options on
physicals are included in the definition of reportable position.\9\
Second, the Commission is proposing to amend Rule 17.00(a) to clarify
that a reportable position in a commodity in a special account requires
that all positions in that same commodity on the same contract market
in the special account be reported.\10\ Third, the Commission is
proposing to amend Rule 17.04 to clarify that options positions are to
be included in reports of omnibus accounts. Each of these
clarifications reflects current Commission and industry practice.
---------------------------------------------------------------------------
\9\ Prior to 1997, the definition of a reportable position
explicitly referenced options on physicals. 17 CFR 15.00(b)(2)
(1996). When the Commission amended that definition in 1997, that
reference was deleted. 62 FR 24026 (May 2, 1997). The Commission
believes that this deletion was unintentional as no explanation was
provided at the time. Id. See also 61 FR 37409 (July 18, 1996).
Furthermore, both the Commission and the industry have continued to
include options on physicals in the large trader and other reports
filed under parts 15 through 21. See 17 CFR 16.00(a), 16.01(a),
21.02a(b)(4)(vii). Accordingly, the Commission believes that it is
appropriate at this time to amend the definition of reportable
position to clarify that it includes options on physicals, both to
correct what appears to have been an unintentional limitation of the
definition in 1997 and to align the definition with current
Commission and industry reporting practices.
\10\ The part 17 rules were changed in 1997 to reflect this
requirement. See 62 FR 24026, 24028 n. 7 (May 2, 1997). In practice,
however, it appears that further clarification would be helpful.
---------------------------------------------------------------------------
The Commission is also proposing to amend Rules 16.00(b)(2) and
16.01(d)(2) to provide that the time by which the reports required by
those rules must be filed is governed by a particular time zone, unless
otherwise specified by the Commission or its designee. The Commission
is also proposing certain technical amendments to Rule 17.00(g).
Specifically, it is proposing to remove the references to particular
exchanges in subsection (2)(v) and to make certain editorial changes in
subsections (2)(vi) and (2)(xi). The Commission is also proposing to
change the requirement in Rule 17.01 regarding identification of
special accounts to contract markets on Form 102.\11\ Finally, the
Commission is also proposing to correct certain outdated references to
the provisions of part 15 that appear in part 19.
---------------------------------------------------------------------------
\11\ This change is consistent with earlier changes made to the
Commission's rules (see 62 FR 24026 (May 2, 1997)) and does not
relieve reporting firms of their obligations to comply with any
applicable exchange requirements regarding the submission of Form
102s to the exchanges.
---------------------------------------------------------------------------
V. Related Matters
A. Cost Benefit Analysis
Section 15(a) of the Act requires the Commission to consider the
costs and benefits of its action before issuing a new regulation under
the Act. By its terms, section 15(a) does not require the Commission to
quantify the costs and benefits of a new regulation or to determine
whether the benefits of the proposed regulation outweigh its costs.
Rather, section 15(a) requires the Commission to ``consider the cost
and benefits'' of the subject rule.
Section 15(a) further specifies that the costs and benefits of the
proposed rule shall be evaluated in light of five broad areas of market
and public concern: (1) Protection of market participants and the
public; (2) efficiency, competitiveness, and financial integrity of
futures markets; (3) price discovery; (4) sound risk management
practices; and (5) other public interest considerations. The Commission
may, in its discretion, give greater weight to any one of the five
enumerated areas of concern and may, in its discretion, determine that,
notwithstanding its costs, a particular rule is necessary or
appropriate to protect the public interest or to effectuate any of the
provisions or to accomplish any of the purposes of the Act.
The proposed rules impose limited costs in terms of reporting
requirements, particularly since most entities that trade on U.S.
futures markets already file large trader reports with the Commission.
To reduce the cost of reporting for contract markets and reporting
firms, the Commission is deleting the requirement of certain routine
hard copy reports, updating its submission requirements to reflect
current industry practice and fostering innovative means of filing
Forms 102. Moreover, to further reduce the cost of reporting, the
Commission periodically reviews all reporting levels for all
commodities.\12\ The countervailing benefits of these costs are that
the Commission will have the necessary information to perform its
market surveillance function and thus carry out its mandate of ensuring
the continued existence of competitive and efficient markets,
protecting their price discovery function and protecting market
participants and the public interest therein.
---------------------------------------------------------------------------
\12\ See, e.g., 65 FR 14452 (Mar. 17, 2000).
---------------------------------------------------------------------------
After considering these factors, the Commission has determined to
propose the revisions to parts 15 through 19, and part 21, as set forth
below.
[[Page 26337]]
The Commission specifically invites public comment on its
application of the criteria contained in section 15(a) of the Act for
consideration. Commenters are also invited to submit any quantifiable
data that they may have concerning the costs and benefits of the
proposed rule with their comment letters.
B. The Regulatory Flexibility Act
The Regulatory Flexibility Act (RFA), 5 U.S.C. 601 et seq.,
requires that agencies consider the impact of their rules on small
businesses. The Commission has previously determined that contract
markets, futures commission merchants and large traders are not ``small
entities'' for purposes of the RFA.\13\ The requirements of the
proposed amendments fall mainly on contract markets and FCMs.
Similarly, foreign brokers and foreign traders report only if carrying
or holding reportable, i.e., large, positions. In addition, these
proposed amendments relieve a regulatory burden. Accordingly, the
Chairman, on behalf of the Commission, hereby certifies, pursuant to 5
U.S.C. 605(b), that the action proposed to be taken herein will not
have a significant economic impact on a substantial number of small
entities.
---------------------------------------------------------------------------
\13\ 47 FR 18618-18621 (April 30, 1982).
---------------------------------------------------------------------------
C. The Paperwork Reduction Act
When publicizing proposed rules, the Paperwork Reduction Act (PRA)
of 1995 (Pub. L. 104-13 (May 13, 1995)) imposes certain requirements on
Federal agencies (including the Commission) in connection with their
conducting or sponsoring any collection of information as defined by
the PRA. In compliance with the PRA, the Commission through these
proposed rules solicits comments to: (1) Evaluate whether the proposed
collection of information is necessary for the proper performance of
the functions of the agency, including the validity of the methodology
and assumptions used; (2) evaluate the accuracy of the agency's
estimate of the burden of the proposed collection of information
including the validity of the methodology and assumptions used; (3)
enhance the quality, utility, and clarity of the information to be
collected; and (4) minimize the burden of the collection on those who
are to respond, including through the use of appropriate automated,
electronic, mechanical, or other technological collection techniques or
other forms of information technology, e.g., permitting electronic
submission responses.
The Commission has submitted these proposed rules and their
associated information collection requirements to the Office of
Management and Budget. The burdens associated with this entire
collection (3038-0009), including these proposed rules, is as follows:
Average Burden Hours Per Response: .29.
Number of Respondents: 2,950.
Frequency of Response: Daily.
Persons wishing to comment on the information which would be
required by these proposed rules should contact the Desk Officer, CFTC,
Office of Management and Budget, Room 10202, NEOB, Washington, DC
20503, 202-395-7340. Copies of the information collection submission to
OMB are available from the CFTC Clearance Officer, 1155 21st Street,
NW., Washington, DC 20581, 202-418-5160.
Copies of the OMB-approved information collection package
associated with the rulemaking may be obtained from the Desk Officer,
Commodity Futures Trading Commission, Office of Management and Budget,
Room 10202, NEOB, Washington, DC 20503, 202-395-7340.
List of Subjects
17 CFR Part 15
Brokers, Commodity futures, Reporting and recordkeeping
requirements.
17 CFR Part 16
Commodity futures, Reporting and recordkeeping requirements.
17 CFR Part 17
Brokers, Commodity futures, Reporting and recordkeeping
requirements.
17 CFR Part 18
Commodity futures, Reporting and recordkeeping requirements.
17 CFR Part 19
Commodity futures, Cotton, Grains, Reporting and recordkeeping
requirements.
17 CFR Part 21
Brokers, Commodity futures, Reporting and recordkeeping
requirements.
In consideration of the foregoing, and pursuant to the authority
contained in the Act, and, in particular, sections 4g, 4i, 5 and 8a of
the Act, the Commission hereby proposes to amend chapter I of title 17
of the Code of Federal Regulations as follows:
PART 15--REPORTS--GENERAL PROVISIONS
1. The authority citation for part 15 continues to read as follows:
Authority: 7 U.S.C. 2, 5, 6, 6a, 6c, 6f, 6g, 6i, 6k, 6m, 6n, 7,
7a, 9, 12a, 19 and 21, as amended by the Commodity Futures
Modernization Act of 2000, Appendix E of Pub. L. 106-554, 114 Stat.
2763 (2000); 5 U.S.C. 552 and 552(b).
2. In Sec. 15.00, revise paragraph (b)(1)(ii) to read as follows:
Sec. 15.00 Definitions of terms used in parts 15 to 21 of this
chapter.
* * * * *
(b) * * *
(1) * * *
(i) * * *
(ii) Long or short put or call options that exercise into the same
future of any commodity, or for options on physicals that have
identical expirations and exercise into the same physical, on any one
contract market.
* * * * *
3. Revise Sec. 15.02 to read as follows:
Sec. 15.02 Reporting forms.
Forms on which to report may be obtained from any office of the
Commission or via the Internet (http://www.cftc.gov). Forms to be used
for the filing of reports follow, and persons required to file these
forms may be determined by referring to the rule listed in the column
opposite the form number.
------------------------------------------------------------------------
Form No. Title Rule
------------------------------------------------------------------------
40......................... Statement of Reporting Trader. 18.04
'01........................ Positions of Special Accounts. 17.00
102........................ Identification of Special 17.01
Accounts.
204........................ Cash Positions of Grain 19.00
Traders (including Oilseeds
and Products).
304........................ Cash Positions of Cotton 19.00
Traders.
------------------------------------------------------------------------
[[Page 26338]]
4. Revise Sec. 15.03 to read as follows:
Sec. 15.03 Reporting levels.
(a) Definitions. For purposes of this section:
Broad-based security index is a group or index of securities that
does not constitute a narrow-based security index.
HedgeStreet economic index products mean European-style binary
options that are based on economic indexes, that pay a fixed $10.00 if
in the money upon expiration and that are offered by HedgeStreet, Inc.,
a designated contract market.
Major foreign currency means the currencies and cross-rates between
the currencies of Japan, the United Kingdom, Canada, Australia,
Switzerland, Sweden and the European Monetary Union.
Narrow-based security index has the same meaning as in section
1a(25) of the Commodity Exchange Act.
Security futures product has the same meaning as in section 1a(32)
of the Commodity Exchange Act.
(b) The quantities for the purpose of reports filed under parts 17
and 18 of this chapter are as follows:
------------------------------------------------------------------------
Number of
Commodity contracts
------------------------------------------------------------------------
Agricultural:
Wheat.................................................. 150
Corn................................................... 250
Oats................................................... 60
Soybeans............................................... 150
Soybean Oil............................................ 200
Soybean Meal........................................... 200
Cotton................................................. 100
Frozen Concentrated Orange Juice....................... 50
Milk, Class III........................................ 50
Rough Rice............................................. 50
Live Cattle............................................ 100
Feeder Cattle.......................................... 50
Lean Hogs.............................................. 100
Sugar No. 11........................................... 500
Sugar No. 14........................................... 100
Cocoa.................................................. 100
Coffee................................................. 50
Natural Resources:
Copper................................................. 100
Gold................................................... 200
Silver Bullion......................................... 150
Platinum............................................... 50
No. 2 Heating Oil...................................... 250
Crude Oil, Sweet....................................... 350
Unleaded Gasoline...................................... 150
Natural Gas............................................ 200
Crude Oil, Sweet--No. 2 Heating Oil Crack Spread....... 250
Crude Oil, Sweet--Unleaded Gasoline Crack Spread....... 150
Unleaded Gasoline--No. 2 Heating Oil Spread Swap....... 150
Financial:
3-month (13-Week) U.S. Treasury Bills.................. 150
30-Year U.S. Treasury Bonds............................ 1,500
10-Year U.S. Treasury Notes............................ 2,000
5-Year U.S. Treasury Notes............................. 2,000
2-Year U.S. Treasury Notes............................. 1,000
10-Year German Federal Government Debt................. 1,000
5-Year German Federal Government Debt.................. 800
2-Year German Federal Government Debt.................. 500
3-Month Eurodollar Time Deposit Rates.................. 3,000
30-Day Fed Funds....................................... 600
1-month LIBOR Rates.................................... 600
3-month Euroyen........................................ 100
Major-Foreign Currencies............................... 400
Other Foreign Currencies............................... 100
U.S. Dollar Index...................................... 50
Goldman Sachs Commodity Index.......................... 100
Broad-Based Security Indices:
S&P 500 Stock Price Index.............................. 1,000
Municipal Bond Index................................... 300
Other Broad-Based Security Indices..................... 200
Security Futures Products:
Individual Equity Security............................. 1,000
Narrow-Based Security Index............................ 200
TRAKRS..................................................... \1\ 50,000
HedgeStreet Economic Index Products........................ \1\ 125,000
All Other Commodities...................................... 25
------------------------------------------------------------------------
\1\ For purposes of part 17, positions in TRAKRS and HedgeStreet
Economic Index Products should both be reported by rounding down to
the nearest 1000 and dividing by 1000.
PART 16--REPORTS BY CONTRACT MARKETS
5. The authority citation for part 16 continues to read as follows:
Authority: 7 U.S.C. 6a, 6c, 6g, 6i, 7 and 12a, unless otherwise
noted.
6. In Sec. 16.00, revise paragraphs (a)(4) and (b) to read as
follows:
Sec. 16.00 Clearing member reports.
(a) * * *
(4) The quantity of purchases of futures in connection with a
commodity or transaction other than a futures product and the quantity
of sales of futures in connection with a commodity or transaction other
than a futures product which are included in the total quantity of
contracts bought and sold during the day covered by the report, and the
names of the clearing members who made the purchases or sales;
* * * * *
(b) Form, manner and time of filing reports. Unless otherwise
approved by the Commission or its designee, contract markets shall
submit the information required by paragraph (a) as follows:
(1) Using a format, coding structure, and electronic data
transmission procedures approved in writing by the Commission or its
designee; provided however, the information shall be made available to
the Commission or its designee in hard copy upon request; and
(2) When such data is first available but not later than 12 p.m. on
the business day following the day to which the information pertains.
Unless otherwise specified by the Commission or its designee, the
stated time is eastern time for information concerning markets located
in that time zone, and central time for information concerning all
other markets.
* * * * *
7. In Sec. 16.01, delete the phrase ``, in printed form at the
office of the contract market,'' from paragraph (b)(3), and revise
paragraph (a)(2), the concluding text of paragraph (a), and paragraph
(d) to read as follows:
Sec. 16.01 Trading volume, open contracts, prices, and critical
dates.
* * * * *
(a) * * *
(2) The total quantity of futures for a commodity or transaction
other than a futures product which are included in the total volume of
trading;
(5) * * *
This information shall be made readily available to the news media
and the general public without charge no later than the business day
following the day for which publication is made.
(b) * * *
* * * * *
(d) Form, manner and time of filing reports. Unless otherwise
approved by the Commission or its designee, contract markets shall
submit to the Commission the information specified in paragraphs (a),
(b) and (c) of this section as follows:
(1) Using a format, coding structure and electronic data
transmission procedures approved in writing by the Commission or its
designee; provided however, the information shall be made available to
the Commission or its designee in hard copy upon request; and
(2) When each such form of the data is first available but not
later than 7 a.m. on the business day following the day to which the
information pertains for the delta factor and settlement price and not
later than 12 p.m. for the remainder of the information. Unless
otherwise specified by the Commission or its designee, the stated time
is eastern time for information concerning markets
[[Page 26339]]
located in that time zone, and central time for information concerning
all other markets.
* * * * *
8. Revise Sec. 16.06 to read as follows:
Sec. 16.06 Errors or omissions.
Unless otherwise approved by the Commission or its designee,
contract markets shall file corrections to errors or omissions in data
previously filed with the Commission pursuant to Sec. Sec. 16.00 and
16.01 in the format and using the coding structure and electronic data
submission procedures approved in writing by the Commission or its
designee.
9. In Sec. 16.07, revise paragraphs (a) and (b) to read as
follows:
Sec. 16.07 Delegation of authority to the Director of the Division of
Market Oversight and the Executive Director.
* * * * *
(a) Pursuant to Sec. Sec. 16.00(b) and 16.01(d), the authority to
determine whether contract markets must submit data in hard copy, and
the time that such data may be submitted where the Director determines
that a contract market is unable to meet the requirements set forth in
the regulations;
(b) Pursuant to Sec. Sec. 16.00(b)(1), 16.00(d)(1), and 16.06, the
authority to approve the format, coding structure and electronic data
transmission procedures used by contract markets.
PART 17--REPORTS BY FUTURES COMMISSION MERCHANTS, MEMBERS OF
CONTRACT MARKETS AND FOREIGN BROKERS
10. The authority citation for part 17 continues to read as
follows:
Authority: 7 U.S.C. 6a, 6c, 6d, 6f, 6g, 6i, 7 and 12a, unless
otherwise noted.
11. In Sec. 17.00, revise paragraph (a), add paragraph (a)(1), and
revise paragraphs (g)(2)(i), (g)(2)(v), (g)(2)(vi), (g)(2)(xi), and (h)
to read as follows:
Sec. 17.00 Information to be furnished by futures commission
merchants, clearing members and foreign brokers.
(a) Special Accounts--Reportable futures and options positions,
delivery notices, and exchanges of futures. (1) Each futures commission
merchant, clearing member and foreign broker shall submit a report to
the Commission for each business day with respect to all special
accounts carried by the futures commission merchant, clearing member or
foreign broker, except for accounts carried on the books of another
futures commission merchant on a fully-disclosed basis. Except as
otherwise authorized by the Commission or its designee, such report
shall be made in accordance with the format, coding and data
transmission procedures set forth in paragraph (g) of this section. The
report shall show each futures position, separately for each contract
market and for each future, and each put and call options position
separately for each contract market, expiration and strike price in
each special account as of the close of market on the day covered by
the report and, in addition, the quantity of exchanges of futures for a
commodity or transaction other than a futures product and the number of
delivery notices issued for each such account by the clearing
organization of a contract market and the number stopped by the
account. The report shall also show all positions in all futures months
and option expirations of that same commodity on the same contract
market for which the special account is reportable.
* * * * *
(g) * * *
(2) * * *
(i) Report Type. This report format will be used to report three
types of data: long and short futures and options positions, futures
delivery notices issued and stopped, and exchanges of futures for a
commodity or transaction other than a futures product bought and sold.
Valid values for the report type are ``RP'' for reporting positions,
``DN'' for reporting notices, and ``EP'' for reporting exchanges of
futures for a commodity or transaction other than a futures product.
* * * * *
(v) Exchange. This is a two-character field approved by the
Commission to identify the exchange on which a position is held.
(vi) Put or Call. Valid values for this field are ``C'' for a call
option and ``P'' for a put option. For futures, the field is blank.
* * * * *
(xi) Long-Buy-Stopped (Short-Sell-Issued). When report type is
``RP'', report long (short) positions open at the end of a trading day.
When report is ``DN'', report delivery notices stopped (issued) on
behalf of the account. When report type is ``EP'', report purchases
(sales) of futures for a commodity or product other than a futures
product for the account. Report all information in contracts. Position
data are reported on a net or gross basis in accordance with paragraphs
(d) and (e) of this section.
* * * * *
(h) Correction of errors and omissions. Unless otherwise approved
by the Commission or its designee, corrections to errors and omissions
in data provided pursuant to Sec. 17.00(a) shall be filed on series
'01 forms or in the format, coding structure and data transmission
procedures approved in writing by the Commission or its designee.
* * * * *
12. In Sec. 17.01, revise the introductory text and paragraph (f)
to read as follows:
Sec. 17.01 Special account designation and identification.
When a special account is reported for the first time, the FCM,
clearing member, or foreign broker shall identify the account to the
Commission on form 102, in the form and manner specified in Sec.
17.02, showing the information in paragraphs (a) through (f) of this
section.
* * * * *
(f) Reporting firms. The name and address of the FCM, clearing
member, or foreign broker carrying the account, the name, title and
business phone of the authorized representative of the firm filing the
form 102 and the date of the form 102. The authorized representative
shall sign the report or satisfy such other requirements for
authenticating the report as instructed in writing by the Commission or
its designee.
* * * * *
13. Revise Sec. 17.02 to read as follows:
Sec. 17.02 Form, manner and time of filing reports.
Unless otherwise instructed by the Commission or its designee, the
reports required to be filed by FCMs, clearing members and foreign
brokers under Sec. Sec. 17.00 and 17.01 shall be filed as specified in
paragraphs (a) and (b) of this section.
(a) Section 17.00(a) reports. Reports filed under Sec. 17.00(a)
shall be submitted through electronic data transmission procedures
approved in writing by the Commission or its designee not later than 9
a.m. on the business day following that to which the information
pertains. Unless otherwise specified by the Commission or its designee,
the stated time is eastern time for information concerning markets
located in that time zone, and central time for information concerning
all other markets.
(b) Section 17.01 reports. For data submitted pursuant to Sec.
17.01 on form 102:
(1) On call by the Commission or its designee, identify the type of
special account specified by items 1(a), 1(b), or 1(c) of form 102, and
the name and location of the person to be identified in item 1(d) on
the form 102, and submit such information by facsimile or telephone, in
accordance with instructions by the Commission or its
[[Page 26340]]
designee, on the same day that the special account in question is first
reported to the Commission; and
(2) Submit a completed form 102 within three business days of the
first day that the special account in question is reported to the
Commission in accordance with instructions by the Commission or its
designee.
14. In Sec. 17.03, revise paragraphs (a) and (b), redesignate
paragraph (c) as paragraph (d) and add a new paragraph (c) to read as
follows:
Sec. 17.03 Delegation of authority to the Director of the Division of
Market Oversight and to the Executive Director.
* * * * *
(a) Pursuant to Sec. 17.00(a) and (h), the authority to determine
whether futures commission merchants, clearing members and foreign
brokers can report the information required under Rule 17.00(a) and
Rule 17.00(h) on series '01 forms or using some other format upon a
determination that such person is unable to report the information
using the format, coding structure or electronic data transmission
procedures otherwise required.
(b) Pursuant to Sec. 17.02, the authority to instruct and/or
approve the time at which the information required under Rules 17.00
and 17.01 must be submitted by futures commission merchants, clearing
members and foreign brokers provided that such persons are unable to
meet the requirements set forth in Sec. 17.01.
(c) Pursuant to Sec. 17.01(f), the authority to determine whether
to permit an authorized representative of a firm filing the form 102 to
use a means of authenticating the report other than by signing the form
102 and, if so, to determine the alternative means of authentication
that shall be used.
* * * * *
15. In Sec. 17.04, revise the second sentence of paragraph (b) and
paragraphs (b)(1)(i) and (b)(2) to read as follows:
Sec. 17.04 Reporting omnibus accounts to the carrying futures
commission merchant or foreign broker.
* * * * *
(b) * * * The futures commission merchant, clearing members or
foreign broker shall, if both open long and short positions in the same
future or option are carried for the same trader, compute open long or
open short positions as instructed in this paragraph.
(1) * * *
(i) The positions represent transactions on a contract market which
requires long and short positions in the same future or option held in
accounts for the same trader to be recorded and reported on a gross
basis; or
* * * * *
(2) Include only the net long or net short positions of the trader
if the positions represent transactions on a contract market which does
not require long and short positions in the same future or option held
in accounts for the same trader to be recorded and reported on a gross
basis.
* * * * *
PART 18--REPORTS BY TRADERS
16. The authority citation for part 18 continues to read as
follows:
Authority: 7 U.S.C. 2, 4, 6a, 6c, 6f, 6g, 6i, 6k, 6m, 6n, 12a
and 19; 5 U.S.C. 552 and 552(b), unless otherwise noted.
17. Revise Sec. 18.00 to read as follows:
Sec. 18.00 Information to be furnished by traders.
Every trader who owns, holds or controls, or has held, owned or
controlled, a reportable futures or options position in a commodity
shall within one business day after a special call upon such trader by
the Commission or its designee file reports to the Commission
concerning transactions and positions in such futures or options.
Reports shall be filed for a period of time that the trader held or
controlled a reportable position and shall be prepared and submitted as
instructed in the call. The report shall show for each day covered by
the report the following information, as specified in the call,
separately for each future or option and for each contract market:
(a) Open contracts;
(b) Purchases and sales;
(c) Delivery notices issued and stopped;
(d) Exchanges of futures for a commodity or transaction other than
a futures product bought and sold; and
(e) Options exercised.
Sec. 18.02 [Removed and Reserved]
18. Remove and reserve Sec. 18.02.
Sec. 18.06 [Removed and Reserved]
19. Remove and reserve Sec. 18.06.
PART 19--REPORTS BY PERSONS HOLDING BONA FIDE HEDGE POSITIONS
PURSUANT TO Sec. 1.3(Z) OF THIS CHAPTER AND BY MERCHANTS AND
DEALERS IN COTTON
20. The authority citation for part 19 continues to read as
follows:
Authority: 7 U.S.C. 6(g)(a), 6(i) and 12a(5), unless otherwise
noted.
21. In Sec. 19.00, revise paragraph (a)(1) and the first sentence
of paragraph (a)(3) to read as follows:
Sec. 19.00 General provisions.
(a) * * *
(1) All persons holding or controlling futures and option positions
that are reportable pursuant to Sec. 15.00(b)(2) of this chapter and
any part of which constitute bona fide hedging positions as defined in
Sec. 1.3(z) of this chapter;
* * * * *
(3) All persons holding or controlling positions for future
delivery that are reportable pursuant to Sec. 15.00(b)(1) of this
chapter who have received a special call for series '04 reports from
the Commission or its designee. * * *
* * * * *
PART 21--SPECIAL CALLS
22. The authority citation for part 21 continues to read as
follows:
Authority: 7 U.S.C. 1a, 2, 2a, 4, 6a, 6c, 6f, 6g, 6i, 6k, 6m,
6n, 7, 7a, 12a, 19 and 21; 5 U.S.C. 552 and 552(b), unless otherwise
noted.
Sec. 21.02a [Removed]
23. Remove Sec. 21.02a.
Issued in Washington, DC, on May 5, 2004, by the Commission.
Jean A. Webb,
Secretary of the Commission.
[FR Doc. 04-10647 Filed 5-11-04; 8:45 am]
BILLING CODE 6351-01-P