DRAFT based on the proposed revisions to 17 C.F.R 43.4 and 43.6.

1 

The following proposed cap size tables are based on the proposed 

revision to 17 C.F.R. 43.4 and 43.6. The Commission has requested 

comment on all aspects of the proposed tables. The methodology 

specified in proposed 43.4(g)(2) and 43.6(c)(2) (the 75% methodology) 

does not result in a cap size for certain swaps. These are indicated by 

blank cells in the table. 
DRAFT based on the proposed revisions to 17 C.F.R 43.4 and 43.6.

2 

These cap size tables are published by the Commission on its website 

at www.cftc.gov pursuant to 17 C.F.R. 43.4(g)(9). All cap sizes are in 

U.S. dollars and are in millions.

Interest Rate Swap Cap Sizes1

Tenor AUD BRL CAD CLP

1. < - 46D 6,700 2,000 6,600 86

2. 46D < - 107D 1,600 850 2,400 650

3. 107D < - 198D 490 800 1,300 300

4. 198D < - 381D 550 480 550 210

5. 381D < - 746D 470 440 550 92

6. 746D < - 1,842D 190 150 270 44

7. 1,842D < - 3,668D 120 43 160 22

8. 3,668D < - 10,973D 72 7 58 41

9. 10,973D < - 36

Tenor CZK EUR GBP INR

1. < - 46D 15,200 11,900 1,300

2. 46D < - 107D 650 6,800 5,700 420

3. 107D < - 198D 360 1,500 1,000 320

4. 198D < - 381D 260 2,400 2,200 230

5. 381D < - 746D 160 1,200 700 150

6. 746D < - 1,842D 96 600 420 61

7. 1,842D < - 3,668D 68 300 240 94

8. 3,668D < - 10,973D 29 180 130 7 

9. 10,973D < - 240 54
DRAFT based on the proposed revisions to 17 C.F.R 43.4 and 43.6.

3 

1 Tenor periods and currencies are as specified in 17 C.F.R. 43.4(g)(2) and 43.6(b)(1)(i).

Interest Rate Swap Cap Sizes (cont.)1

Tenor JPY MXN NZD ZAR

1. < - 46D 1,900 120 4,000

2. 46D < - 107D 950 700 2,000 460

3. 107D < - 198D 850 450 550 1,300

4. 198D < - 381D 1,200 260 340 460

5. 381D < - 746D 700 140 390 150

6. 746D < - 1,842D 450 75 140 77

7. 1,842D < - 3,668D 380 38 110 71

8. 3,668D < - 10,973D 140 32 35 28

9. 10,973D < - 50

Tenor KRW SEK USD Ot her 2

1. < - 46D 17,500 All other 

interest rate 

swaps have a 

cap size of 

100 

regardless of 

tenor

2. 46D < - 107D 1,050 1,200 4,100

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

4. 198D < - 381D 550 550 5,100

5. 381D < - 746D 260 750 1,600

6. 746D < - 1,842D 99 220 700

7. 1,842D < - 3,668D 67 140 430

8. 3,668D < - 10,973D 33 37 200

9. 10,973D < - 210

1 Tenor periods and currencies are as specified in 17 C.F.R. 43.4(g)(2) and 43.6(b)(1)(i).

2 As specified in 17 C.F.R. 43.4(g)(4) and 43.6(b)(1)(ii). 
DRAFT based on the proposed revisions to 17 C.F.R 43.4 and 43.6.

4 

Credit Swaps Cap Sizes

Product 1 Tenor Cap 

CDXHY 1,477D < - 2,207D 170

iTraxx - Europe 1,477D < - 2,207D 360

iTraxx - Crossover 1,477D < - 2,207D 180

iTraxx-Senior Financial 1,477D < - 2,207D 250

CDXIG 1,477D < - 2,207D 650

CDXEm ergingMarket s 1,477D < - 2,207D 86

CDMBX All 51

Ot her 2 All ot her credit sw aps have a cap

size of 400 

1 The products and tenors are as specified in 17 C.F.R. 43.4(g)(2) and 43.6(b)(2)(i)-(vii). 2 As specified in 17 C.F.R. 43.4(g)(5) and 43.6(b)(2)(viii). 
DRAFT based on the proposed revisions to 17 C.F.R 43.4 and 43.6.

5 

Equity Swaps Cap Sizes

Under 17 C.F.R. 43.4(g)(6), all transactions in the equity asset class have a cap 

size of 250. 
DRAFT based on the proposed revisions to 17 C.F.R 43.4 and 43.6.

6 

Foreign Exchange Swaps Cap Sizes

FX Top 20 USD 

Pairs1 Cap FX Top 20 USD Pairs1 Cap 

ARS 26 IDR 56

AUD 150 JPY 240

BRL 170 MYR 37

CAD 91 MXN 130

CLP 51 NZD 99

CNY 210 PEN 33

COP 51 PHP 51

EUR 240 RUB 150

GBP 210 KRW 130

INR 110 TWD 110

1 Currency pairs as specified in 17 C.F.R. 43.4(g)(2) and 43.6(b)(4)(i).

A. The cap size for swaps with currency pairs consisting of two separate 

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

lower of the notional amount of either currency’s cap size. 17 C.F.R. 

43.4(g)(3) and 43.6(b)(4)(ii). 

B. All other foreign exchange swaps have a cap size of 150. 17 C.F.R. 43.4(g)(7).
DRAFT based on the proposed revisions to 17 C.F.R 43.4 and 43.6.

7 

Other Commodity Swaps Cap Sizes

Type1 Cap Type1 Cap

METALS AGRICULTURAL

Aluminum 4 Corn 0.2

Copper 5 Soybean 2 

Gold 84 Cof f ee 0.89

Lead 4 Wheat 0.015

Nickel 4 Cocoa 0.051

Silver 50 Sugar 2 

Virt ual 0.067 Cot t on 0.9

Zinc 5 Soym eal 9 

ENERGY Soybean oil 8 

Elect ricit y 2 Cat t le 12

Fuel oil 14 Hogs 5 

Gasoline-RBOB 3 Ot her 2 All ot her 

commodit y 

sw aps have a 

cap size of 

100

Heat ing Oil 3 

Nat ural Gas 5 

Oil 37

1 The rows under the headings Metals, Energy, and Agricultural are as specified in 17 C.F.R. 43.4(g)(2), 

43.6(b)(5)(i) and appendix A to part 43.

2 As specified in 17 C.F.R. 43.4(g)(8).