Block Thresholds - P67

All not ional am ount s are in Millions

Int erest Rat e Sw aps

Tenor USD EUR GBP JPY CAD AUD BRL ZAR KRW INR MXN CLP SEK NZD CZK

1. < - 46D 12,000 11,000 11,000 1,800 4,600 6,500 1,700 510 72 82 2,700

2. 46D < - 3M 4,000 4,700 5,000 640 1,900 1,200 440 430 990 410 450 400 1,100 1,800 600

3. 3M < - 6M 2,000 1,200 700 630 1,200 360 560 1,300 970 210 330 210 510 270

4. 6M < - 1Y 3,000 2,000 1,400 910 430 490 450 220 450 170 210 140 500 270 180

5. 1Y < - 2Y 1,200 780 630 460 400 360 340 130 210 140 110 68 500 260 130

6. 2Y < - 5Y 500 430 310 320 200 170 120 62 81 49 60 34 170 110 76

7. 5Y < - 10Y 300 240 170 270 120 76 39 58 52 60 30 16 110 69 52

8. 10Y < - 30Y 150 120 84 91 39 56 6 19 27 6 25 22 32 34 28

9. 30Y < - 130 140 41 44 31

Credit Def ault Sw aps (Opt ion and Non-Opt ion)

Product Tenor Block 

CDXEm ergingMarket s 1,477D < - 

2,207D 50

CMBX All 38

Credit Def ault Sw aps (Non-Opt ion)

Product Tenor Block 

CDXHY 1,477D < - 

2,207D 50

iTraxx - Europe 1,477D < - 

2,207D 180

iTraxx - Crossover 1,477D < - 

2,207D 59

iTraxx-Senior Financial 1,477D < - 

2,207D 120

CDXIG 1,477D < - 

2,207D 250

Credit Def ault Sw aps (Opt ion)

Product Tenor Block 

CDXHY 1,477D < - 

2,207D 300

iTraxx - Europe 1,477D < - 

2,207D 1,100

iTraxx - Crossover 1,477D < - 

2,207D 290

iTraxx-Senior Financial 1,477D < - 

2,207D 590

CDXIG 1,477D < - 

2,207D 1,000

Foreign Exchange Sw aps

FX Top 20 USD Pairs Block 

ARS 17

AUD 100

BRL 110

CAD 55

CLP 40

CNY 150

COP 31

EUR 170

GBP 140

IDR 40

INR 70

JPY 160

KRW 100

MXN 100

MYR 27

NZD 69

PEN 23

PHP 38

RUB 100

TWD 73

Com m odit y Sw aps

Energy Block 

Elect ricit y 2

FUEL OIL 11

Gasoline-RBOB 3

Heat ing Oil 3

Nat ural Gas 4

Oil 31

Met als Block 

ALUMINIUM 4

COPPER 4

GOLD 66

LEAD 3

NICKEL 3

SILVER 41

VIRTUAL 0.064

ZINC 4

Agricult ural Block 

CORN 0.180

SOYBEAN 2.000

COFFEE 0.790

WHEAT 0.130

COCOA 0.042

SUGAR 0.990

COTTON 0.750

SOYMEAL 8

SOYBEAN OIL 6

CATTLE 10

HOGS 5
Cap Thresholds - P75

All not ional am ount s are in Millions

Int erest Rat e Sw aps

Tenor USD EUR GBP JPY CAD AUD BRL ZAR KRW INR MXN CLP SEK NZD CZK

1. < - 46D 18,000 16,000 12,000 1,800 6,600 6,600 1,900 1,300 120 85 4,000

2. 46D < - 3M 4,000 6,800 5,600 890 2,300 1,500 800 460 990 420 650 590 1,200 1,900 620

3. 3M < - 6M 2,000 1,500 960 820 1,200 480 750 1,300 1,100 310 440 300 510 360

4. 6M < - 1Y 5,000 2,400 2,100 1,100 510 520 470 450 530 230 260 200 520 340 250

5. 1Y < - 2Y 1,500 1,200 680 630 520 460 440 140 260 150 140 91 700 390 160

6. 2Y < - 5Y 650 580 410 440 260 190 140 76 98 60 74 43 210 140 95

7. 5Y < - 10Y 420 300 240 400 160 110 42 70 66 93 37 21 140 110 67

8. 10Y < - 30Y 200 170 120 140 56 71 6 21 32 6 31 40 36 34 28

9. 30Y < - 200 240 53 49 35

Credit Def ault Sw aps (Opt ion and Non-Opt ion)

Product Tenor Block 

CDXEm ergingMarket s 1,477D < - 

2,207D 53

CMBX All 50

Credit Def ault Sw aps (Non-Opt ion)

Product Tenor Cap

CDXHY 1,477D < - 

2,207D 83

iTraxx - Europe 1,477D < - 

2,207D 240

iTraxx - Crossover 1,477D < - 

2,207D 93

iTraxx-Senior Financial 1,477D < - 

2,207D 140

CDXIG 1,477D < - 

2,207D 300

Credit Def ault Sw aps (Opt ion)

Product Tenor Cap

CDXHY 1,477D < - 

2,207D 350

iTraxx - Europe 1,477D < - 

2,207D 1,200

iTraxx - Crossover 1,477D < - 

2,207D 290

iTraxx-Senior Financial 1,477D < - 

2,207D 850

CDXIG 1,477D < - 

2,207D 1,000

Foreign Exchange Sw aps

FX Top 20 USD Pairs Cap

ARS 23

AUD 150

BRL 160

CAD 80

CLP 50

CNY 210

COP 48

EUR 230

GBP 200

IDR 55

INR 100

JPY 230

KRW 130

MXN 120

MYR 36

NZD 97

PEN 30

PHP 50

RUB 140

TWD 100

Com m odit y Sw aps

Energy Cap

Elect ricit y 2

FUEL OIL 14

Gasoline-RBOB 3

Heat ing Oil 3

Nat ural Gas 5

Oil 37

Met als Cap

ALUMINIUM 4

COPPER 5

GOLD 84

LEAD 4

NICKEL 4

SILVER 50

VIRTUAL 0.067

ZINC 5

Agricult ural Cap

CORN 0.200

SOYBEAN 2.000

COFFEE 0.890

WHEAT 0.015

COCOA 0.051

SUGAR 2.000

COTTON 0.900

SOYMEAL 9

SOYBEAN OIL 8

CATTLE 12

HOGS 5