Federal regulations · Through 2026-08-25 · Newer source version available

17 CFR Appendix F to Part 43: 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.

Where this section sits in the code

Title 17—Commodity and Securities Exchanges
CHAPTER I—COMMODITY FUTURES TRADING COMMISSION
PART 43—REAL-TIME PUBLIC REPORTING

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.

Collected 2026-08-27T02:24:31Z. Source file · JSON

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