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Revised Post-Initial Appropriate Minimum Block Sizes and Post-Initial Cap Sizes for 

Publicly Reportable Swap Transactions 

December 4, 2023 Effective Date (as required by Rule 43.6(g)(6))

Block Thresholds - P671 (All Notional Amounts are in Millions)

Interest Rate Swaps

Tenor USD EUR GBP JPY CAD AUD BRL

1. < - 46D 8,800 7,800 5,500 1,200 2,300 3,400 3,700

2. 46D < - 3M 3,300 3,100 4,700 1,900 1,300 1,050 550

3. 3M < - 6M 1,100 700 2,500 1,800 2,100 280 500

4. 6M < - 1Y 1,600 1,200 1,300 1,050 550 400 380

5. 1Y < - 2Y 850 550 360 450 290 210 350

6. 2Y < - 5Y 400 270 190 210 160 130 160

7. 5Y < - 10Y 290 200 150 180 100 59 56

8. 10Y < - 30Y 210 130 98 94 39 37 34

9. 30Y < - 260 56 56 42 22 18 0

Interest Rate Swaps

Tenor ZAR KRW INR MXN CLP SEK NZD CZK

1. < - 46D 0 0 250 0 410 0 2,000 1,300

2. 46D < - 3M 420 480 320 700 310 950 1,300 420

3. 3M < - 6M 47 310 280 370 210 110 500 410

4. 6M < - 1Y 140 220 200 210 120 270 270 120

5. 1Y < - 2Y 84 120 140 110 57 160 140 83

6. 2Y < - 5Y 50 68 74 51 37 79 66 47

7. 5Y < - 10Y 31 38 35 24 17 78 48 31

8. 10Y < - 30Y 22 44 0 25 8 32 28 23

9. 30Y < - 0 0 0 0 0 0 0 0

Credit Default Swaps (Option and Non-Option)

Product Tenor Block

CDX Emerging Markets 1,477D < -2,207D 52

CMBX All 25

Credit Default Swaps (Non-Option)

Product Tenor Block

CDXHY 1,477D < -2,207D 75

iTraxx - Europe 1,477D < -2,207D 265

iTraxx - Crossover 1,477D < -2,207D 69

iTraxx - Senior Financial 1,477D < -2,207D 350

CDXIG 1,477D < -2,207D 250

Credit Default Swaps (Option)

Product Tenor Block

CDXHY 1,477D < -2,207D 250

iTraxx - Europe 1,477D < -2,207D 1,079

iTraxx - Crossover 1,477D < -2,207D 499

iTraxx - Senior Financial 1,477D < -2,207D 503

CDXIG 1,477D < -2,207D 1,000

 

1 The 67-percent notional amount calculations for the block thresholds are prescribed in Regulation 43.6(d)(1)(i)-(ix) and (g). Figures are based 

on data from December 1, 2021 to November 30, 2022 and are updated from current published figures at 

https://www.cftc.gov/media/5016/DMO_Part_43_2020BlockThresholdsandCapSizes101320/download. 
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Foreign Exchange Swaps

FX Top 20 USD Pairs Block

ARS 17

AUD 160

BRL 160

CAD 170

CLP 43

CNY 160

COP 41

EUR 420

GBP 250

IDR 35

INR 51

JPY 310

KRW 75

MXN 150

MYR 21

NZD 110

PEN 31

PHP 32

RUB 76

TWD 51

Commodity Swaps 

Energy Block

Electricity 93

FUEL OIL 19

Gasoline-RBOB 2

Heating Oil 2

Natural Gas 19

Oil 35

Metals Block

ALUMINIUM 7

COPPER 67

GOLD 2,643

LEAD 3

NICKEL 20

SILVER 73

VIRTUAL 0.014

ZINC 12

Agricultural Block

CORN 10

SOYBEAN 45

COFFEE 13

WHEAT 6

COCOA 2

SUGAR 3

COTTON 143

SOYMEAL 3

SOYBEAN OIL 17

CATTLE 4

HOGS 11
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Cap Thresholds - P752

All Notional Amounts are in Millions 

Interest Rate Swaps 

Tenor USD EUR GBP JPY CAD AUD BRL

1. < - 46D 13,000 8,700 6,000 1,200 2,300 3,800 4,900

2. 46D < - 3M 4,100 3,800 5,200 2,200 1,600 1,300 850

3. 3M < - 6M 1,600 900 3,000 1,900 3,200 350 600

4. 6M < - 1Y 2,100 1,500 1,700 1,400 700 550 600

5. 1Y < - 2Y 1,100 650 550 600 370 260 450

6. 2Y < - 5Y 550 350 250 270 200 170 210

7. 5Y < - 10Y 410 260 220 230 140 71 73

8. 10Y < - 30Y 270 190 140 150 41 50 44

9. 30Y < - 340 73 75 45 25 18 0

Interest Rate Swaps 

Tenor ZAR KR

W

INR MXN CLP SEK NZD CZK

1. < - 46D 0 0 250 0 600 0 2,300 1,300

2. 46D < - 3M 450 480 400 900 410 1,050 1,600 430

3. 3M < - 6M 47 340 320 600 220 110 510 420

4. 6M < - 1Y 160 250 250 260 120 340 300 140

5. 1Y < - 2Y 120 140 170 130 72 220 160 120

6. 2Y < - 5Y 62 87 120 62 43 99 81 59

7. 5Y < - 10Y 38 46 36 32 21 120 67 36

8. 10Y < - 30Y 29 56 0 30 12 36 29 26

9. 30Y < - 0 0 0 0 0 0 0 0

Credit Default Swaps (Option and Non-Option) 

Product Tenor Cap

CDX Emerging Markets 1,477D < -2,207D 95

CMBX All 35

Credit Default Swaps (Non-Option) 

Product Tenor Ca p

CDXHY 1,477D < -2,207D 100

iTraxx - Europe 1,477D < -2,207D 386

iTraxx - Crossover 1,477D < -2,207D 104

iTraxx - Senior Financial 1,477D < -2,207D 510

CDXIG 1,477D < -2,207D 300

Credit Default Swaps (Option) 

Product Tenor Ca p

CDXHY 1,477D < -2,207D 270

iTraxx - Europe 1,477D < -2,207D 1,142

iTraxx - Crossover 1,477D < -2,207D 562

iTraxx - Senior Financial 1,477D < -2,207D 522

CDXIG 1,477D < -2,207D 1,000

 

2 The 75-percent notional amount calculations are prescribed in Regulation 43.4(h)(2)(ii). Figures are based on data from December 1, 2021 to 

November 30, 2022 and are updated from current published figures at 

https://www.cftc.gov/media/5016/DMO_Part_43_2020BlockThresholdsandCapSizes101320/download. 
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Foreign Exchange Swaps 

FX Top 20 USD Pairs Ca p

ARS 19

AUD 190

BRL 210

CAD 200

CLP 51

CNY 220

COP 54

EUR 490

GBP 310

IDR 50

INR 70

JPY 350

KRW 110

MXN 180

MYR 26

NZD 130

PEN 39

PHP 49

RUB 110

TWD 57

Commodity Swaps 

Energy Ca p

Electricity 192

FUEL OIL 26

Gasoline-RBOB 2

Heating Oil 3

Natural Gas 24

Oil 46

Metals Ca p

ALUMINIUM 9 

COPPER 78

GOLD 2,643

LEAD 3

NICKEL 20

SILVER 83

VIRTUAL 0.020

ZINC 12

Agricultural Ca p

CORN 16

SOYBEAN 55

COFFEE 17

WHEAT 9

COCOA 2

SUGAR 5

COTTON 143

SOYMEAL 4

SOYBEAN OIL 26

CATTLE 6

HOGS 11