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 Code of Federal Regulations (Last Updated: November 8, 2024)
 Title 17 - Commodity and Securities Exchanges
 Chapter I - Commodity Futures Trading Commission
 Part 43 - Real-Time Public Reporting

  Appendix F to Part 43 - Initial Appropriate Minimum Block Sizes by Asset Class for Block Trades and Large Notional Off-Facility Swaps

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  • 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 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
    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 0 0 0
    KRW 0 0 0 6,250,000,000
    SEK * 6,250,000 0 0 100,000,000
    NOK * 6,250,000 0 0 100,000,000
    NZD 0 0 0 5,000,000
    ZAR 0 0 0 25,000,000
    Non-major currencies BRL 0 0 0 5,000,000
    CZK 200,000,000 0 0 200,000,000
    HUF 1,500,000,000 0 0 1,500,000,000
    ILS 0 0 0 50,000,000
    MXN 0 0 0 50,000,000
    PLN 25,000,000 0 0 25,000,000
    RMB 50,000,000 0 50,000,000 50,000,000
    RUB 0 0 0 125,000,000
    TRY * 6,250,000 0 0 * 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.

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