17 C.F.R. § 43 app F to Part 43

Current through October 31, 2024
Appendix F to Part 43 - Initial Appropriate Minimum Block Sizes by Asset Class for Block Trades and Large Notional Off-Facility Swaps

Currency group Currencies
Super-Major CurrenciesUnited States dollar (USD), European Union Euro Area euro (EUR), United Kingdom pound sterling (GBP), and Japan yen (JPY).
Major CurrenciesAustralia 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 CurrenciesAll other currencies.

Interest Rate Swaps

Currency groupTenor greater thanTenor less than or equal to50% Notional
(in millions)
Super-Major46 days6,400
Super-Major46 daysThree months (107 days)2,100
Super-MajorThree months (107 days)Six months (198 days)1,200
Super-MajorSix months (198 days)One year (381 days)1,100
Super-MajorOne year (381 days)Two years (746 days)460
Super-MajorTwo years (746 days)Five years (1,842 days)240
Super-MajorFive years (1,842 days)Ten years (3,668 days)170
Super-MajorTen years (3,668 days)30 years (10,973 days)120
Super-Major30 years (10,973 days)67
Major46 days2,200
Major46 daysThree months (107 days)580
MajorThree months (107 days)Six months (198 days)440
MajorSix months (198 days)One year (381 days)220
MajorOne year (381 days)Two years (746 days)130
MajorTwo years (746 days)Five years (1,842 days)88
MajorFive years (1,842 days)Ten years (3,668 days)49
MajorTen years (3,668 days)30 years (10,973 days)37
Major30 years (10,973 days)15
Non-Major46 days230
Non-Major46 daysThree months (107 days)230
Non-MajorThree months (107 days)Six months (198 days)150
Non-MajorSix months (198 days)One year (381 days)110
Non-MajorOne year (381 days)Two years (746 days)54
Non-MajorTwo years (746 days)Five years (1,842 days)27
Non-MajorFive years (1,842 days)Ten years (3,668 days)15
Non-MajorTen years (3,668 days)30 years (10,973 days)16
Non-Major30 years (10,973 days)15

Credit Swaps

Spread group
(basis points)
Traded tenor greater thanTraded tenor less than or equal to50% Notional
(in millions)
Less than or equal to 175Two years (746 days)320
Less than or equal to 175Two years (746 days)Four years (1,477 days)200
Less than or equal to 175Four years (1,477 days)Six years (2,207 days)110
Less than or equal to 175Six years (2,207 days)Eight years and six months (3,120 days)110
Less than or equal to 175Eight years and six months (3,120 days)Twelve years and six months (4,581 days)130
Less than or equal to 175Twelve years and six months (4,581 days)46
Greater than 175 and less than or equal to 350Two years (746 days)140
Greater than 175 and less than or equal to 350Two years (746 days)Four years (1,477 days)82
Greater than 175 and less than or equal to 350Four years (1,477 days)Six years (2,207 days)32
Greater than 175 and less than or equal to 350Six years (2,207 days)Eight years and six months (3,120 days)20
Greater than 175 and less than or equal to 350Eight 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 350Twelve years and six months (4,581 days)63
Greater than 350Two years (746 days)66
Greater than 350Two years (746 days)Four years (1,477 days)41
Greater than 350Four years (1,477 days)Six years (2,207 days)26
Greater than 350Six years (2,207 days)Eight years and six months (3,120 days)13
Greater than 350Eight years and six months (3,120 daysTwelve years and six months (4,581 days)13
Greater than 350Twelve 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 currenciesEUR6,250,0006,250,00018,750,000
GBP* 6,250,0006,250,0006,250,000
JPY* 6,250,000* 6,250,0001,875,000,000
USD* 18,750,000* 6,250,000* 1,875,000,000
Major currenciesAUD* 6,250,000010,000,00010,000,000
CAD* 6,250,000010,000,00010,000,000
CHF* 6,250,000* 6,250,00012,500,00012,500,000
DKK0000
KRW0006,250,000,000
SEK* 6,250,00000100,000,000
NOK* 6,250,00000100,000,000
NZD0005,000,000
ZAR00025,000,000
Non-major currenciesBRL0005,000,000
CZK200,000,00000200,000,000
HUF1,500,000,000001,500,000,000
ILS00050,000,000
MXN00050,000,000
PLN25,000,0000025,000,000
RMB50,000,000050,000,00050,000,000
RUB000125,000,000
TRY* 6,250,00000* 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)62,500MMBtu.
Brent Crude (ICE and NYMEX)25,000bbl.
Cheese (CME)400,000lbs.
Class III Milk (CME)NO BLOCKS.
Cocoa (ICE and NYSE LIFFE and NYMEX)1,000metric tons.
Coffee (ICE and NYMEX)3,750,000lbs.
Copper (COMEX)625,000lbs.
Corn (CBOT)NO BLOCKS.bushels.
Cotton No. 2 (ICE and NYMEX)5,000,000lbs.
Distillers' Dried Grain (CBOT)1,000short tons.
Dow Jones-UBS Commodity Index (CBOT)30,000 times indexdollars.
Ethanol (CBOT)290,000gallons.
Feeder Cattle (CME)NO BLOCKS.
Frost Index (CME)200,000 times indexeuros.
Frozen Concentrated Orange Juice (ICE)NO BLOCKS.
Gold (COMEX and NYSE Liffe)2,500troy oz.
Goldman Sachs Commodity Index (GSCI), GSCI Excess Return Index (CME)5,000 times indexdollars.
Gulf Coast Sour Crude Oil (NYMEX)5,000bbl.
Hard Red Spring Wheat (MGEX)NO BLOCKS.
Hard Winter Wheat (KCBT)NO BLOCKS.
Henry Hub Natural Gas (NYMEX)500,000MMBtu.
HSC Basis (ICE and NYMEX)62,500MMBtu.
Hurricane Index (CME)20,000 times indexdollars.
Chicago Basis (ICE and NYMEX)62,500MMBtu.
Lean Hogs (CME)NO BLOCKS.
Light Sweet Crude Oil (NYMEX)50,000bbl.
Live Cattle (CME)NO BLOCKS.
Mid-Columbia Day-Ahead Off-Peak Fixed Price (ICE)625Mwh.
Mid-Columbia Day-Ahead Peak Fixed Price (ICE)4,000Mwh.
New York Harbor RBOB (Blendstock) Gasoline (NYMEX)1,050,000gallons.
New York Harbor No. 2 Heating Oil (NYMEX)1,050,000gallons.
NWP Rockies Basis (ICE and NYMEX)62,500MMBtu.
Oats (CBOT)NO BLOCKS.
Palladium (NYMEX)1,000troy oz.
PG&E Citygate Basis (ICE and NYMEX)62,500MMBtu.
PJM Western Hub Real Time Off-Peak Fixed Price (ICE)3,900Mwh.
PJM Western Hub Real Time Peak Fixed Price (ICE)8,000Mwh.
Platinum (NYMEX)500troy oz.
Rainfall Index (CME)10,000 times indexdollars.
Rough Rice (CBOT)NO BLOCKS.
Silver (COMEX and NYSE Liffe)125,000troy oz.
Snowfall Index (CME)10,000 times indexdollars.
Socal Border Basis (ICE and NYMEX)62,500MMBtu.
Soybean (CBOT)NO BLOCKS.
Soybean Meal (CBOT)NO BLOCKS.
Soybean Oil (CBOT)NO BLOCKS.
SP-15 Day-Ahead Peak Fixed Price (ICE)4,000Mwh.
SP-15 Day-Ahead Off-Peak Fixed Price (ICE)625Mwh.
Sugar #11 (ICE and NYMEX)5,000metric tons.
Sugar #16 (ICE)NO BLOCKS.
Temperature Index (CME)400 times indexcurrency units.
U.S. Dollar Cash Settled Crude Palm Oil (CME)250metric tons.
Waha Basis (ICE and NYMEX)62,500MMBtu.
Wheat (CBOT)NO BLOCKS.

17 C.F.R. § 43 app F to Part 43

78 FR 32942 , May 31, 2013; 78 FR 42436 , July 16, 2013