{"data":{"id":"us/17-cfr-appendix-f-to-part-43","jurisdiction":"us","citation":"17 CFR Appendix F to Part 43","heading":"Appendix F to Part 43—Initial Appropriate Minimum Block Sizes by Asset Class for Block Trades and Large Notional Off-Facility Swaps","body":"Currency group Currencies\nSuper-Major Currencies United States dollar (USD), European Union Euro Area euro (EUR), United Kingdom pound sterling (GBP), and Japan yen (JPY).\nMajor 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).\nNon-Major Currencies All other currencies.\nInterest Rate Swaps\nCurrency group Tenor greater than Tenor less than or equal to 50% Notional (in millions)\nSuper-Major 46 days 6,400\nSuper-Major 46 days Three months (107 days) 2,100\nSuper-Major Three months (107 days) Six months (198 days) 1,200\nSuper-Major Six months (198 days) One year (381 days) 1,100\nSuper-Major One year (381 days) Two years (746 days) 460\nSuper-Major Two years (746 days) Five years (1,842 days) 240\nSuper-Major Five years (1,842 days) Ten years (3,668 days) 170\nSuper-Major Ten years (3,668 days) 30 years (10,973 days) 120\nSuper-Major 30 years (10,973 days) 67\nMajor 46 days 2,200\nMajor 46 days Three months (107 days) 580\nMajor Three months (107 days) Six months (198 days) 440\nMajor Six months (198 days) One year (381 days) 220\nMajor One year (381 days) Two years (746 days) 130\nMajor Two years (746 days) Five years (1,842 days) 88\nMajor Five years (1,842 days) Ten years (3,668 days) 49\nMajor Ten years (3,668 days) 30 years (10,973 days) 37\nMajor 30 years (10,973 days) 15\nNon-Major 46 days 230\nNon-Major 46 days Three months (107 days) 230\nNon-Major Three months (107 days) Six months (198 days) 150\nNon-Major Six months (198 days) One year (381 days) 110\nNon-Major One year (381 days) Two years (746 days) 54\nNon-Major Two years (746 days) Five years (1,842 days) 27\nNon-Major Five years (1,842 days) Ten years (3,668 days) 15\nNon-Major Ten years (3,668 days) 30 years (10,973 days) 16\nNon-Major 30 years (10,973 days) 15\nCredit Swaps\nSpread group (basis points) Traded tenor greater than Traded tenor less than or equal to 50% Notional (in millions)\nLess than or equal to 175 Two years (746 days) 320\nLess than or equal to 175 Two years (746 days) Four years (1,477 days) 200\nLess than or equal to 175 Four years (1,477 days) Six years (2,207 days) 110\nLess than or equal to 175 Six years (2,207 days) Eight years and six months (3,120 days) 110\nLess than or equal to 175 Eight years and six months (3,120 days) Twelve years and six months (4,581 days) 130\nLess than or equal to 175 Twelve years and six months (4,581 days) 46\nGreater than 175 and less than or equal to 350 Two years (746 days) 140\nGreater than 175 and less than or equal to 350 Two years (746 days) Four years (1,477 days) 82\nGreater than 175 and less than or equal to 350 Four years (1,477 days) Six years (2,207 days) 32\nGreater than 175 and less than or equal to 350 Six years (2,207 days) Eight years and six months (3,120 days) 20\nGreater 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\nGreater than 175 and less than or equal to 350 Twelve years and six months (4,581 days) 63\nGreater than 350 Two years (746 days) 66\nGreater than 350 Two years (746 days) Four years (1,477 days) 41\nGreater than 350 Four years (1,477 days) Six years (2,207 days) 26\nGreater than 350 Six years (2,207 days) Eight years and six months (3,120 days) 13\nGreater than 350 Eight years and six months (3,120 days Twelve years and six months (4,581 days) 13\nGreater than 350 Twelve years and six months (4,581 days) 41\nForeign Exchange Swaps\nSuper-major currencies\nEUR (Euro) GBP (British pound) JPY (Japanese yen) USD (U.S. dollar)\nSuper-major currencies EUR 6,250,000 6,250,000 18,750,000\nGBP * 6,250,000 6,250,000 6,250,000\nJPY * 6,250,000 * 6,250,000 1,875,000,000\nUSD * 18,750,000 * 6,250,000 * 1,875,000,000\nMajor currencies AUD * 6,250,000 0 10,000,000 10,000,000\nCAD * 6,250,000 0 10,000,000 10,000,000\nCHF * 6,250,000 * 6,250,000 12,500,000 12,500,000\nDKK 0 0 0 0\nKRW 0 0 0 6,250,000,000\nSEK * 6,250,000 0 0 100,000,000\nNOK * 6,250,000 0 0 100,000,000\nNZD 0 0 0 5,000,000\nZAR 0 0 0 25,000,000\nNon-major currencies BRL 0 0 0 5,000,000\nCZK 200,000,000 0 0 200,000,000\nHUF 1,500,000,000 0 0 1,500,000,000\nILS 0 0 0 50,000,000\nMXN 0 0 0 50,000,000\nPLN 25,000,000 0 0 25,000,000\nRMB 50,000,000 0 50,000,000 50,000,000\nRUB 0 0 0 125,000,000\nTRY * 6,250,000 0 0 * 10,000,000\nAll values that do not have an asterisk are denominated in the currency of the left hand side.\nAll values that have an asterisk (*) are denominated in the currency indicated on the top of the table.\nOther Commodity Swaps\nRelated futures contract Initial appropriate minimum block size Units\nAB NIT Basis (ICE) 62,500 MMBtu.\nBrent Crude (ICE and NYMEX) 25,000 bbl.\nCheese (CME) 400,000 lbs.\nClass III Milk (CME) NO BLOCKS.\nCocoa (ICE and NYSE LIFFE and NYMEX) 1,000 metric tons.\nCoffee (ICE and NYMEX) 3,750,000 lbs.\nCopper (COMEX) 625,000 lbs.\nCorn (CBOT) NO BLOCKS. bushels.\nCotton No. 2 (ICE and NYMEX) 5,000,000 lbs.\nDistillers' Dried Grain (CBOT) 1,000 short tons.\nDow Jones-UBS Commodity Index (CBOT) 30,000 times index dollars.\nEthanol (CBOT) 290,000 gallons.\nFeeder Cattle (CME) NO BLOCKS.\nFrost Index (CME) 200,000 times index euros.\nFrozen Concentrated Orange Juice (ICE) NO BLOCKS.\nGold (COMEX and NYSE Liffe) 2,500 troy oz.\nGoldman Sachs Commodity Index (GSCI), GSCI Excess Return Index (CME) 5,000 times index dollars.\nGulf Coast Sour Crude Oil (NYMEX) 5,000 bbl.\nHard Red Spring Wheat (MGEX) NO BLOCKS.\nHard Winter Wheat (KCBT) NO BLOCKS.\nHenry Hub Natural Gas (NYMEX) 500,000 MMBtu.\nHSC Basis (ICE and NYMEX) 62,500 MMBtu.\nHurricane Index (CME) 20,000 times index dollars.\nChicago Basis (ICE and NYMEX) 62,500 MMBtu.\nLean Hogs (CME) NO BLOCKS.\nLight Sweet Crude Oil (NYMEX) 50,000 bbl.\nLive Cattle (CME) NO BLOCKS.\nMid-Columbia Day-Ahead Off-Peak Fixed Price (ICE) 625 Mwh.\nMid-Columbia Day-Ahead Peak Fixed Price (ICE) 4,000 Mwh.\nNew York Harbor RBOB (Blendstock) Gasoline (NYMEX) 1,050,000 gallons.\nNew York Harbor No. 2 Heating Oil (NYMEX) 1,050,000 gallons.\nNWP Rockies Basis (ICE and NYMEX) 62,500 MMBtu.\nOats (CBOT) NO BLOCKS.\nPalladium (NYMEX) 1,000 troy oz.\nPG\u0026E Citygate Basis (ICE and NYMEX) 62,500 MMBtu.\nPJM Western Hub Real Time Off-Peak Fixed Price (ICE) 3,900 Mwh.\nPJM Western Hub Real Time Peak Fixed Price (ICE) 8,000 Mwh.\nPlatinum (NYMEX) 500 troy oz.\nRainfall Index (CME) 10,000 times index dollars.\nRough Rice (CBOT) NO BLOCKS.\nSilver (COMEX and NYSE Liffe) 125,000 troy oz.\nSnowfall Index (CME) 10,000 times index dollars.\nSocal Border Basis (ICE and NYMEX) 62,500 MMBtu.\nSoybean (CBOT) NO BLOCKS.\nSoybean Meal (CBOT) NO BLOCKS.\nSoybean Oil (CBOT) NO BLOCKS.\nSP-15 Day-Ahead Peak Fixed Price (ICE) 4,000 Mwh.\nSP-15 Day-Ahead Off-Peak Fixed Price (ICE) 625 Mwh.\nSugar #11 (ICE and NYMEX) 5,000 metric tons.\nSugar #16 (ICE) NO BLOCKS.\nTemperature Index (CME) 400 times index currency units.\nU.S. Dollar Cash Settled Crude Palm Oil (CME) 250 metric tons.\nWaha Basis (ICE and NYMEX) 62,500 MMBtu.\nWheat (CBOT) NO BLOCKS.","path":["Title 17—Commodity and Securities Exchanges","CHAPTER I—COMMODITY FUTURES TRADING COMMISSION","PART 43—REAL-TIME PUBLIC REPORTING"],"source_url":"https://www.ecfr.gov/api/versioner/v1/full/2026-08-25/title-17.xml","current_through":"2026-08-25","vintage":"","retrieved_at":"2026-08-27T02:24:31Z","sha256":"0f4449125dc555886a57f6f24d94843ece83a2301292b36a153799edf63820a9","source_id":"us-cfr","stale":true,"prev":"us/17-cfr-appendix-e-to-part-43","next":"us/17-cfr-44.00"},"notice":"GroundRules: Original legal text. Not legal advice."}