Title 17
PART 43 APPENDIX F
| Currency group | Currencies |
|---|---|
| Super-Major Currencies | United States dollar (USD), European Union Euro Area euro (EUR), United Kingdom pound sterling (GBP), and Japan yen (JPY). |
| Major 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). |
| Non-Major Currencies | All other currencies. |
Interest Rate Swaps
| Currency group | Tenor greater than | Tenor less than or equal to | 50% Notional (in millions) |
|---|---|---|---|
| Super-Major | 46 days | 6,400 | |
| Super-Major | 46 days | Three months (107 days) | 2,100 |
| Super-Major | Three months (107 days) | Six months (198 days) | 1,200 |
| Super-Major | Six months (198 days) | One year (381 days) | 1,100 |
| Super-Major | One year (381 days) | Two years (746 days) | 460 |
| Super-Major | Two years (746 days) | Five years (1,842 days) | 240 |
| Super-Major | Five years (1,842 days) | Ten years (3,668 days) | 170 |
| Super-Major | Ten years (3,668 days) | 30 years (10,973 days) | 120 |
| Super-Major | 30 years (10,973 days) | 67 | |
| Major | 46 days | 2,200 | |
| Major | 46 days | Three months (107 days) | 580 |
| Major | Three months (107 days) | Six months (198 days) | 440 |
| Major | Six months (198 days) | One year (381 days) | 220 |
| Major | One year (381 days) | Two years (746 days) | 130 |
| Major | Two years (746 days) | Five years (1,842 days) | 88 |
| Major | Five years (1,842 days) | Ten years (3,668 days) | 49 |
| Major | Ten years (3,668 days) | 30 years (10,973 days) | 37 |
| Major | 30 years (10,973 days) | 15 | |
| Non-Major | 46 days | 230 | |
| Non-Major | 46 days | Three months (107 days) | 230 |
| Non-Major | Three months (107 days) | Six months (198 days) | 150 |
| Non-Major | Six months (198 days) | One year (381 days) | 110 |
| Non-Major | One year (381 days) | Two years (746 days) | 54 |
| Non-Major | Two years (746 days) | Five years (1,842 days) | 27 |
| Non-Major | Five years (1,842 days) | Ten years (3,668 days) | 15 |
| Non-Major | Ten years (3,668 days) | 30 years (10,973 days) | 16 |
| Non-Major | 30 years (10,973 days) | 15 |
Credit Swaps
| Spread group (basis points) |
Traded tenor greater than | Traded tenor less than or equal to | 50% Notional (in millions) |
|---|---|---|---|
| Less than or equal to 175 | Two years (746 days) | 320 | |
| Less than or equal to 175 | Two years (746 days) | Four years (1,477 days) | 200 |
| Less than or equal to 175 | Four years (1,477 days) | Six years (2,207 days) | 110 |
| Less than or equal to 175 | Six years (2,207 days) | Eight years and six months (3,120 days) | 110 |
| Less than or equal to 175 | Eight years and six months (3,120 days) | Twelve years and six months (4,581 days) | 130 |
| Less than or equal to 175 | Twelve years and six months (4,581 days) | 46 | |
| Greater than 175 and less than or equal to 350 | Two years (746 days) | 140 | |
| Greater than 175 and less than or equal to 350 | Two years (746 days) | Four years (1,477 days) | 82 |
| Greater than 175 and less than or equal to 350 | Four years (1,477 days) | Six years (2,207 days) | 32 |
| Greater than 175 and less than or equal to 350 | Six years (2,207 days) | Eight years and six months (3,120 days) | 20 |
| Greater 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 |
| Greater than 175 and less than or equal to 350 | Twelve years and six months (4,581 days) | 63 | |
| Greater than 350 | Two years (746 days) | 66 | |
| Greater than 350 | Two years (746 days) | Four years (1,477 days) | 41 |
| Greater than 350 | Four years (1,477 days) | Six years (2,207 days) | 26 |
| Greater than 350 | Six years (2,207 days) | Eight years and six months (3,120 days) | 13 |
| Greater than 350 | Eight years and six months (3,120 days | Twelve years and six months (4,581 days) | 13 |
| Greater than 350 | Twelve years and six months (4,581 days) | 41 |
Foreign Exchange Swaps
| Super-major currencies | |||||
|---|---|---|---|---|---|
| EUR (Euro) |
GBP (British pound) |
JPY (Japanese yen) |
USD (U.S. dollar) |
||
| Super-major currencies | EUR | 6,250,000 | 6,250,000 | 18,750,000 | |
| GBP | * 6,250,000 | 6,250,000 | 6,250,000 | ||
| JPY | * 6,250,000 | * 6,250,000 | 1,875,000,000 | ||
| USD | * 18,750,000 | * 6,250,000 | * 1,875,000,000 | ||
| Major currencies | AUD | * 6,250,000 | 0 | 10,000,000 | 10,000,000 |
| CAD | * 6,250,000 | 0 | 10,000,000 | 10,000,000 | |
| CHF | * 6,250,000 | * 6,250,000 | 12,500,000 | 12,500,000 | |
| DKK | 0 | 0 | 0 | 0 | |
| KRW | 0 | 0 | 0 | 6,250,000,000 | |
| SEK | * 6,250,000 | 0 | 0 | 100,000,000 | |
| NOK | * 6,250,000 | 0 | 0 | 100,000,000 | |
| NZD | 0 | 0 | 0 | 5,000,000 | |
| ZAR | 0 | 0 | 0 | 25,000,000 | |
| Non-major currencies | BRL | 0 | 0 | 0 | 5,000,000 |
| CZK | 200,000,000 | 0 | 0 | 200,000,000 | |
| HUF | 1,500,000,000 | 0 | 0 | 1,500,000,000 | |
| ILS | 0 | 0 | 0 | 50,000,000 | |
| MXN | 0 | 0 | 0 | 50,000,000 | |
| PLN | 25,000,000 | 0 | 0 | 25,000,000 | |
| RMB | 50,000,000 | 0 | 50,000,000 | 50,000,000 | |
| RUB | 0 | 0 | 0 | 125,000,000 | |
| TRY | * 6,250,000 | 0 | 0 | * 10,000,000 | |
All values that do not have an asterisk are denominated in the currency of the left hand side.
All values that have an asterisk (*) are denominated in the currency indicated on the top of the table.
Other Commodity Swaps
| Related futures contract | Initial appropriate minimum block size | Units |
|---|---|---|
| AB NIT Basis (ICE) | 62,500 | MMBtu. |
| Brent Crude (ICE and NYMEX) | 25,000 | bbl. |
| Cheese (CME) | 400,000 | lbs. |
| Class III Milk (CME) | NO BLOCKS. | |
| Cocoa (ICE and NYSE LIFFE and NYMEX) | 1,000 | metric tons. |
| Coffee (ICE and NYMEX) | 3,750,000 | lbs. |
| Copper (COMEX) | 625,000 | lbs. |
| Corn (CBOT) | NO BLOCKS. | bushels. |
| Cotton No. 2 (ICE and NYMEX) | 5,000,000 | lbs. |
| Distillers' Dried Grain (CBOT) | 1,000 | short tons. |
| Dow Jones-UBS Commodity Index (CBOT) | 30,000 times index | dollars. |
| Ethanol (CBOT) | 290,000 | gallons. |
| Feeder Cattle (CME) | NO BLOCKS. | |
| Frost Index (CME) | 200,000 times index | euros. |
| Frozen Concentrated Orange Juice (ICE) | NO BLOCKS. | |
| Gold (COMEX and NYSE Liffe) | 2,500 | troy oz. |
| Goldman Sachs Commodity Index (GSCI), GSCI Excess Return Index (CME) | 5,000 times index | dollars. |
| Gulf Coast Sour Crude Oil (NYMEX) | 5,000 | bbl. |
| Hard Red Spring Wheat (MGEX) | NO BLOCKS. | |
| Hard Winter Wheat (KCBT) | NO BLOCKS. | |
| Henry Hub Natural Gas (NYMEX) | 500,000 | MMBtu. |
| HSC Basis (ICE and NYMEX) | 62,500 | MMBtu. |
| Hurricane Index (CME) | 20,000 times index | dollars. |
| Chicago Basis (ICE and NYMEX) | 62,500 | MMBtu. |
| Lean Hogs (CME) | NO BLOCKS. | |
| Light Sweet Crude Oil (NYMEX) | 50,000 | bbl. |
| Live Cattle (CME) | NO BLOCKS. | |
| Mid-Columbia Day-Ahead Off-Peak Fixed Price (ICE) | 625 | Mwh. |
| Mid-Columbia Day-Ahead Peak Fixed Price (ICE) | 4,000 | Mwh. |
| New York Harbor RBOB (Blendstock) Gasoline (NYMEX) | 1,050,000 | gallons. |
| New York Harbor No. 2 Heating Oil (NYMEX) | 1,050,000 | gallons. |
| NWP Rockies Basis (ICE and NYMEX) | 62,500 | MMBtu. |
| Oats (CBOT) | NO BLOCKS. | |
| Palladium (NYMEX) | 1,000 | troy oz. |
| PG&E Citygate Basis (ICE and NYMEX) | 62,500 | MMBtu. |
| PJM Western Hub Real Time Off-Peak Fixed Price (ICE) | 3,900 | Mwh. |
| PJM Western Hub Real Time Peak Fixed Price (ICE) | 8,000 | Mwh. |
| Platinum (NYMEX) | 500 | troy oz. |
| Rainfall Index (CME) | 10,000 times index | dollars. |
| Rough Rice (CBOT) | NO BLOCKS. | |
| Silver (COMEX and NYSE Liffe) | 125,000 | troy oz. |
| Snowfall Index (CME) | 10,000 times index | dollars. |
| Socal Border Basis (ICE and NYMEX) | 62,500 | MMBtu. |
| Soybean (CBOT) | NO BLOCKS. | |
| Soybean Meal (CBOT) | NO BLOCKS. | |
| Soybean Oil (CBOT) | NO BLOCKS. | |
| SP-15 Day-Ahead Peak Fixed Price (ICE) | 4,000 | Mwh. |
| SP-15 Day-Ahead Off-Peak Fixed Price (ICE) | 625 | Mwh. |
| Sugar #11 (ICE and NYMEX) | 5,000 | metric tons. |
| Sugar #16 (ICE) | NO BLOCKS. | |
| Temperature Index (CME) | 400 times index | currency units. |
| U.S. Dollar Cash Settled Crude Palm Oil (CME) | 250 | metric tons. |
| Waha Basis (ICE and NYMEX) | 62,500 | MMBtu. |
| Wheat (CBOT) | NO BLOCKS. |