DRAFT based on the proposed revisions to 17 C.F.R 43.6.

1

The following proposed appropriate minimum block size tables are

based on the proposed revision to 17 C.F.R. 43.6. The Commission has

requested comment on all aspects of the proposed tables. The 

methodology specified in proposed 43.6(c)(1) (the 67% methodology) 

does not always result in a block size for certain swaps. These are 

indicated by blank cells in the table. 
DRAFT based on the proposed revisions to 17 C.F.R 43.6.

2

These block size tables are published by the Commission on its 

website at www.cftc.gov pursuant to 17 C.F.R. 43.6(e)(5). All block 

sizes are in U.S. dollars and are in millions.

Interest Rate Swap Block Sizes1

Tenor AUD BRL CAD CLP

1. < - 46D 6,600 1,800 4,700 83

2. 46D < - 107D 1,200 450 2,000 410

3. 107D < - 198D 370 600 1,300 210

4. 198D < - 381D 500 450 440 140

5. 381D < - 746D 370 350 400 69

6. 746D < - 1,842D 180 120 210 35

7. 1,842D < - 3,668D 77 40 130 17

8. 3,668D < - 10,973D 57 7 40 23

9. 10,973D < - 32

Tenor CZK EUR GBP INR

1. < - 46D 11,100 11,100 550

2. 46D < - 107D 650 4,700 5,100 420

3. 107D < - 198D 280 1,200 750 220

4. 198D < - 381D 180 2,000 1,500 170

5. 381D < - 746D 140 850 650 150

6. 746D < - 1,842D 76 430 320 49

7. 1,842D < - 3,668D 53 240 180 61

8. 3,668D < - 10,973D 24 130 84 7

9. 10,973D < - 150 42
DRAFT based on the proposed revisions to 17 C.F.R 43.6.

3

1 Tenor periods and currencies are as specified in 17 C.F.R. 43.6(b)(1)(i).

Interest Rate Swap Block Sizes (cont.)1

Tenor JPY MXN NZD ZAR

1. < - 46D 1,900 73 2,800 

2. 46D < - 107D 700 460 1,900 430 

3. 107D < - 198D 700 340 550 1,300 

4. 198D < - 381D 950 220 270 230 

5. 381D < - 746D 470 120 270 130 

6. 746D < - 1,842D 320 61 120 63 

7. 1,842D < - 3,668D 280 31 70 59 

8. 3,668D < - 10,973D 92 26 35 21 

9. 10,973D < - 45 

Tenor KRW SEK USD Ot her 2

1. < - 46D 11,800 All ot her 

int erest 

rat e sw aps 

have a block 

size of 0 

and are 

eligible t o 

be treated 

as block 

t rades 

regardless 

of tenor

2. 46D < - 107D 1,050 1,100 4,100 

3. 107D < - 198D 1,000 2,100 

4. 198D < - 381D 450 500 3,100 

5. 381D < - 746D 220 510 1,300 

6. 746D < - 1,842D 82 180 550 

7. 1,842D < - 3,668D 53 110 310 

8. 3,668D < - 10,973D 29 33 160 

9. 10,973D < - 120 

1 Tenor periods and currencies are as specified in 17 C.F.R. 43.6(b)(1)(i).

2 As specified in 17 C.F.R. 43.6(b)(1)(ii) and (e)(4). 
DRAFT based on the proposed revisions to 17 C.F.R 43.6.

4

Credit Swaps Block Sizes

Product 1 Tenor Block 

CDXHY 1,477D < - 2,207D 110

iTraxx - Europe 1,477D < - 2,207D 290

iTraxx - Crossover 1,477D < - 2,207D 130

iTraxx-Senior Financial 1,477D < - 2,207D 180

CDXIG 1,477D < - 2,207D 550

CDXEm ergingMarket s 1,477D < - 2,207D 51

CDMBX All 37

Ot her 2 All ot her credit sw aps have a block size of 0 and 

are eligible t o be t reat ed as block t rades 

1 The product and tenors are as specified in 17 C.F.R. 43.6(b)(2)(i)-(vii). 2 As specified in 17 C.F.R. 43.6(b)(2)(viii) and (e)(4).
DRAFT based on the proposed revisions to 17 C.F.R 43.6.

5

Equity Swaps Block Sizes

Under 17 C.F.R. 43.6(b)(3) and (d), swap transactions in the equity asset class 

shall not be treated as block trades.
DRAFT based on the proposed revisions to 17 C.F.R 43.6.

6

Foreign Exchange Swaps Block Sizes

FX Top 20 USD 

Pairs1 Block FX Top 20 USD Pairs1 Block 

ARS 20 IDR 42

AUD 110 JPY 180

BRL 120 MYR 28

CAD 60 MXN 110

CLP 41 NZD 70

CNY 160 PEN 26

COP 33 PHP 39

EUR 180 RUB 120

GBP 160 KRW 110

INR 71 TWD 76

1 Currency pairs as specified in 17 C.F.R. 43.6(b)(4)(i).

A. The parties to a swap with a currency pair consisting of two separate 

currencies from the list of currencies in the table immediately above may 

elect to receive block treatment if the notional amount of either currency in 

the exchange is greater than the minimum block size for a swap in the 

foreign exchange asset class between the respective currency, in the same 

amount, and U.S. dollars as specified in the table immediately above. 17 

C.F.R. 43.6(b)(4)(ii) and (e)(3).

B. All other foreign exchange swaps have a block size of zero and be eligible to 

be treated as a block trade. 17 C.F.R. 43.6(b)(4)(iii) and (e)(4).
DRAFT based on the proposed revisions to 17 C.F.R 43.6.

7

Other Commodity Swaps Block Sizes

Type1 Block Type1 Block

METALS AGRICULTURAL

Aluminum 4 Corn 0.180

Copper 4 Soybean 2.000

Gold 66 Cof f ee 0.790

Lead 3 Wheat 0.130

Nickel 3 Cocoa 0.042

Silver 41 Sugar 0.990

Virt ual 0.064 Cot t on 0.750

Zinc 4 Soym eal 8

ENERGY Soybean oil 6

Elect ricit y 2 Cat t le 10

Fuel oil 11 Hogs 5

Gasoline-RBOB 3 Ot her 2 All other 

commodit y 

sw aps have a 

block size of 0 

and are 

eligible t o be 

t reat ed as 

block t rades

Heat ing Oil 3

Nat ural Gas 4

Oil 31

1 The rows under the headings Metals, Energy, and Agricultural are as specified in 43.6(b)(5)(i) and 

appendix A to part 43. 2 As specified in 17 C.F.R. 43.6(b)(5)(ii) and (e)(4).