Expanded List of Products Subject to Large Trader Reporting of Physical Commodity Swaps under CFTC Part 20 Regulations

This Market Regulation Advisory Notice supplements Market Regulation Advisory Notice RA1104-5 from October 19, 2011, and contains an expanded list of products subject to large trader reporting requirements under the CFTC’s Part 20 Regulations (Large Trader Reporting for Physical Commodity Swaps).  

Recently, after discussions with the CFTC, CME Group believes that the following CME and CBOT swap products are also subject to the reporting requirements set forth in the Part 20 Regulations: 

Clearing                Product                                                                                                                 Designated Clearing

Code                      Name                                                                                                                     Organization (DCO)

ERF                         S&P GSCI Excess Return Forward Swap                                                                            CME

SE3                         S&P GSCI ER Index 3 Month Forward Swaps                                                                    CME

SE2                         S&P GSCI ER Index 2 Month Forward Swaps                                                                    CME
SES                         S&P GSCI Excess Return Index Swap                                                                                CME

GD1                        S&P GSCI ER Gold Swap                                                                                                     CME

GCO                       S&P GSCI Crude Oil ER Swap                                                                                             CME

DGS                        Dow Jones-UBS Commodity Index Swap                                                                         CBOT

DG2                        DJ-UBS CI ER Index 2 Month Forward Swap                                                                    CBOT

DG3                        DJ-UBS CI ER Index 3 Month Forward Swap                                                                     CBOT

These nine products, in addition to the five products set forth in RA1104-5 (reproduced below), must be reported pursuant to the Part 20 Regulations.

Clearing                Product                                                                                                                 Designated Clearing

Code                      Name                                                                                                                     Organization (DCO)

71                            Denatured Fuel Ethanol Forward Month Swaps                                                                 CBOT

71                            Cash-Settled Options on Denatured Fuel Ethanol Forward-Month Calendar Swaps         CBOT

CCS                        Corn Calendar Swap                                                                                                           CBOT

SNS                         Soybean Calendar Swap                                                                                                   CBOT

WCS                       Wheat Calendar Swap                                                                                                        CBOT

To view the complete text of RA1104-5, please click here or visit the Market Regulation section of the CME Group website at www.cmegroup.com/rulebook/rulebook-harmonization.html.

Questions regarding this Advisory Notice may be directed to the following individuals in Market Regulation:

Joe Hawrysz, Director, 312.341.7750

James Moran, Director, 312.435.3671

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.