Initial Block/LNS/Cap Sizes
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Component reference price category
Asset Class
CR
Count19
1
INITIAL_CR_<=175BP_<=2_YEARS(746_DAYS)
2
INITIAL_CR_<=175BP_>2_YEARS(746_DAYS)<=4_YEARS(1477_DAYS)
3
INITIAL_CR_<=175BP_>4_YEARS(1477_DAYS)<=6_YEARS(2207_DAYS)
4
INITIAL_CR_<=175BP_>6_YEARS(2207_DAYS)<=8_YEARS(3120_DAYS)
5
INITIAL_CR_<=175BP_>8_YEARS(3120_DAYS)<=12_YEARS_6MONTHS(4581_DAYS)
6
INITIAL_CR_<=175BP_>12_YEARS_6MONTHS(4581_DAYS)
7
INITIAL_CR_>175BP<=350BP_<=2_YEARS(746_DAYS)
8
INITIAL_CR_>175BP<=350BP_>2_YEARS(746_DAYS)<=4_YEARS(1477_DAYS)
9
INITIAL_CR_>175BP<=350BP_>4_YEARS(1477_DAYS)<=6_YEARS(2207_DAYS)
10
INITIAL_CR_>175BP<=350BP_>6_YEARS(2207_DAYS)<=8_YEARS(3120_DAYS)
11
INITIAL_CR_>175BP<=350BP_>8_YEARS(3120_DAYS)<=12_YEARS_6MONTHS(4581_DAYS)
12
INITIAL_CR_>175BP<=350BP_>12_YEARS_6MONTHS(4581_DAYS)
13
INITIAL_CR_>350BP_<=2_YEARS(746_DAYS)
14
INITIAL_CR_>350BP_>2_YEARS(746_DAYS)<=4_YEARS(1477_DAYS)
15
INITIAL_CR_>350BP_>4_YEARS(1477_DAYS)<=6_YEARS(2207_DAYS)
16
INITIAL_CR_>350BP_>6_YEARS(2207_DAYS)<=8_YEARS(3120_DAYS)
17
INITIAL_CR_>350BP_>8_YEARS(3120_DAYS)<=12_YEARS_6MONTHS(4581_DAYS)
18
INITIAL_CR_>350BP_>12_YEARS_6MONTHS(4581_DAYS)
19
INITIAL_CR_NOT_COVERED
20
INITIAL_EQ
21
INITIAL_IR_SUPER_MAJOR_<=46_DAYS
22
INITIAL_IR_SUPER_MAJOR_>46_DAYS<=3_MONTHS(107_DAYS)
23
INITIAL_IR_SUPER_MAJOR_>3_MONTHS(107_DAYS)<=6_MONTHS(198_DAYS)
24
INITIAL_IR_SUPER_MAJOR_>6_MONTHS(198_DAYS))<=1_YEAR(381_DAYS)
25
INITIAL_IR_SUPER_MAJOR_>1_YEAR(381_DAYS)<=2_YEARS(746_DAYS)
26
INITIAL_IR_SUPER_MAJOR_>2_YEARS(746_DAYS)<=5_YEARS(1842_DAYS)
27
INITIAL_IR_SUPER_MAJOR_>5_YEARS(1842_DAYS)<=10_YEARS(3668_DAYS)
28
INITIAL_IR_SUPER_MAJOR_>10_YEARS(3668_DAYS)<=30_YEARS(10973_DAYS)
29
INITIAL_IR_SUPER_MAJOR_>30_YEARS(10973_DAYS)
30
INITIAL_IR_MAJOR_<=46_DAYS
31
INITIAL_IR_MAJOR_>46_DAYS<=3_MONTHS(107_DAYS)
32
INITIAL_IR_MAJOR_>3_MONTHS(107_DAYS)<=6_MONTHS(198_DAYS)
33
INITIAL_IR_MAJOR_>6_MONTHS(198_DAYS))<=1_YEAR(381_DAYS)
34
INITIAL_IR_MAJOR_>1_YEAR(381_DAYS)<=2_YEARS(746_DAYS)
35
INITIAL_IR_MAJOR_>2_YEARS(746_DAYS)<=5_YEARS(1842_DAYS)
36
INITIAL_IR_MAJOR_>5_YEARS(1842_DAYS)<=10_YEARS(3668_DAYS)
37
INITIAL_IR_MAJOR_>10_YEARS(3668_DAYS)<=30_YEARS(10973_DAYS)
38
INITIAL_IR_MAJOR_>30_YEARS(10973_DAYS)
39
INITIAL_IR_NON_MAJOR_<=46_DAYS
40
INITIAL_IR_NON_MAJOR_>46_DAYS<=3_MONTHS(107_DAYS)
41
INITIAL_IR_NON_MAJOR_>3_MONTHS(107_DAYS)<=6_MONTHS(198_DAYS)
42
INITIAL_IR_NON_MAJOR_>6_MONTHS(198_DAYS))<=1_YEAR(381_DAYS)
43
INITIAL_IR_NON_MAJOR_>1_YEAR(381_DAYS)<=2_YEARS(746_DAYS)
44
INITIAL_IR_NON_MAJOR_>2_YEARS(746_DAYS)<=5_YEARS(1842_DAYS)
45
INITIAL_IR_NON_MAJOR_>5_YEARS(1842_DAYS)<=10_YEARS(3668_DAYS)
46
INITIAL_IR_NON_MAJOR_>10_YEARS(3668_DAYS)<=30_YEARS(10973_DAYS)
47
INITIAL_IR_NON_MAJOR_>30_YEARS(10973_DAYS)
48
INITIAL_IR_NOT_COVERED
49
INITIAL_FX_EUR/GBP
50
INITIAL_FX_EUR/JPY
51
INITIAL_FX_EUR/USD
52
INITIAL_FX_GBP/JPY
53
INITIAL_FX_GBP/USD
54
INITIAL_FX_JPY/USD
55
INITIAL_FX_AUD/EUR
56
INITIAL_FX_AUD/GBP
57
INITIAL_FX_AUD/JPY
58
INITIAL_FX_AUD/USD
59
INITIAL_FX_CAD/EUR
60
INITIAL_FX_CAD/GBP
61
INITIAL_FX_CAD/JPY
62
INITIAL_FX_CAD/USD
63
INITIAL_FX_CHF/EUR
64
INITIAL_FX_CHF/GBP
65
INITIAL_FX_CHF/JPY
66
INITIAL_FX_CHF/USD
67
INITIAL_FX_DKK/EUR
68
INITIAL_FX_DKK/GBP
69
INITIAL_FX_DKK/JPY
70
INITIAL_FX_DKK/USD
71
INITIAL_FX_KRW/EUR
72
INITIAL_FX_KRW/GBP
73
INITIAL_FX_KRW/JPY
74
INITIAL_FX_KRW/USD
75
INITIAL_FX_SEK/EUR
76
INITIAL_FX_SEK/GBP
77
INITIAL_FX_SEK/JPY
78
INITIAL_FX_SEK/USD
79
INITIAL_FX_NOK/EUR
80
INITIAL_FX_NOK/GBP
81
INITIAL_FX_NOK/JPY
82
INITIAL_FX_NOK/USD
83
INITIAL_FX_NZD/EUR
84
INITIAL_FX_NZD/GBP
85
INITIAL_FX_NZD/JPY
86
INITIAL_FX_NZD/USD
87
INITIAL_FX_ZAR/EUR
88
INITIAL_FX_ZAR/GBP
89
INITIAL_FX_ZAR/JPY
90
INITIAL_FX_ZAR/USD
91
INITIAL_FX_BRL/EUR
92
INITIAL_FX_BRL/GBP
93
INITIAL_FX_BRL/JPY
94
INITIAL_FX_BRL/USD
95
INITIAL_FX_CZK/EUR
96
INITIAL_FX_CZK/GBP
97
INITIAL_FX_CZK/JPY
98
INITIAL_FX_CZK/USD
99
INITIAL_FX_HUF/EUR
100
INITIAL_FX_HUF/GBP
101
INITIAL_FX_HUF/JPY
102
INITIAL_FX_HUF/USD
103
INITIAL_FX_ILS/EUR
104
INITIAL_FX_ILS/GBP
105
INITIAL_FX_ILS/JPY
106
INITIAL_FX_ILS/USD
107
INITIAL_FX_MXN/EUR
108
INITIAL_FX_MXN/GBP
109
INITIAL_FX_MXN/JPY
110
INITIAL_FX_MXN/USD
111
INITIAL_FX_PLN/EUR
112
INITIAL_FX_PLN/GBP
113
INITIAL_FX_PLN/JPY
114
INITIAL_FX_PLN/USD
115
INITIAL_FX_CNY/EUR
116
INITIAL_FX_CNY/GBP
117
INITIAL_FX_CNY/JPY
118
INITIAL_FX_CNY/USD
119
INITIAL_FX_RUB/EUR
120
INITIAL_FX_RUB/GBP
121
INITIAL_FX_RUB/JPY
122
INITIAL_FX_RUB/USD
123
INITIAL_FX_TRY/EUR
124
INITIAL_FX_TRY/GBP
125
INITIAL_FX_TRY/JPY
126
INITIAL_FX_TRY/USD
127
INITIAL_FX_NOT_COVERED
128
INITIAL_CO_APPENDIX_B_ICE FUTURES U.S. COCOA
129
INITIAL_CO_APPENDIX_B_ICE FUTURES U.S. COFFEE C
130
INITIAL_CO_APPENDIX_B_CHICAGO BOARD OF TRADE CORN
131
INITIAL_CO_APPENDIX_B_ICE FUTURES U.S. COTTON NO. 2
132
INITIAL_CO_APPENDIX_B_ICE FUTURES U.S. FCOJ-A
133
INITIAL_CO_APPENDIX_B_CHICAGO MERCANTILE EXCHANGE LIVE CATTLE
134
INITIAL_CO_APPENDIX_B_CHICAGO BOARD OF TRADE OATS
135
INITIAL_CO_APPENDIX_B_CHICAGO BOARD OF TRADE ROUGH RICE
136
INITIAL_CO_APPENDIX_B_CHICAGO BOARD OF TRADE SOYBEANS
137
INITIAL_CO_APPENDIX_B_CHICAGO BOARD OF TRADE SOYBEAN MEAL
138
INITIAL_CO_APPENDIX_B_CHICAGO BOARD OF TRADE SOYBEAN OIL
139
INITIAL_CO_APPENDIX_B_ICE FUTURES U.S. SUGAR NO. 11
140
INITIAL_CO_APPENDIX_B_ICE FUTURES U.S. SUGAR NO. 16
141
INITIAL_CO_APPENDIX_B_CHICAGO BOARD OF TRADE WHEAT
142
INITIAL_CO_APPENDIX_B_MINNEAPOLIS GRAIN EXCHANGE HARD RED SPRING WHEAT
143
INITIAL_CO_APPENDIX_B_KANSAS CITY BOARD OF TRADE HARD WINTER WHEAT
144
INITIAL_CO_APPENDIX_B_CHICAGO MERCANTILE EXCHANGE CLASS III MILK
145
INITIAL_CO_APPENDIX_B_CHICAGO MERCANTILE EXCHANGE FEEDER CATTLE
146
INITIAL_CO_APPENDIX_B_CHICAGO MERCANTILE EXCHANGE LEAN HOGS
147
INITIAL_CO_APPENDIX_B_COMMODITY EXCHANGE, INC. COPPER
148
INITIAL_CO_APPENDIX_B_NEW YORK MERCANTILE EXCHANGE PALLADIUM
149
INITIAL_CO_APPENDIX_B_NEW YORK MERCANTILE EXCHANGE PLATINUM
150
INITIAL_CO_APPENDIX_B_COMMODITY EXCHANGE, INC. GOLD
151
INITIAL_CO_APPENDIX_B_COMMODITY EXCHANGE, INC. SILVER
152
INITIAL_CO_APPENDIX_B_NEW YORK MERCANTILE EXCHANGE LIGHT SWEET CRUDE OIL
153
INITIAL_CO_APPENDIX_B_NEW YORK MERCANTILE EXCHANGE NEW YORK HARBOR GASOLINE BLENDSTOCK
154
INITIAL_CO_APPENDIX_B_NEW YORK MERCANTILE EXCHANGE HENRY HUB NATURAL GAS
155
INITIAL_CO_APPENDIX_B_NEW YORK MERCANTILE EXCHANGE NEW YORK HARBOR HEATING OIL
156
INITIAL_CO_APPENDIX_B_ICE FUTURES SP-15 DAY-AHEAD PEAK FIXED PRICE
157
INITIAL_CO_APPENDIX_B_ICE FUTURES SP-15 DAY-AHEAD OFF-PEAK FIXED PRICE
158
INITIAL_CO_APPENDIX_B_ICE FUTURES PJM WESTERN HUB REAL TIME PEAK FIXED PRICE
159
INITIAL_CO_APPENDIX_B_ICE FUTURES PJM WESTERN HUB REAL TIME OFF-PEAK FIXED PRICE
160
INITIAL_CO_APPENDIX_B_ICE FUTURES MID-COLUMBIA DAY-AHEAD PEAK FIXED PRICE
161
INITIAL_CO_APPENDIX_B_ICE FUTURES MID-COLUMBIA DAY-AHEAD OFF-PEAK FIXED PRICE
162
INITIAL_CO_APPENDIX_B_BRENT CRUDE OIL (ICE)
163
INITIAL_CO_APPENDIX_B_CHICAGO BASIS
164
INITIAL_CO_APPENDIX_B_HSC BASIS
165
INITIAL_CO_APPENDIX_B_SOCAL BORDER BASIS
166
INITIAL_CO_APPENDIX_B_WAHA BASIS
167
INITIAL_CO_APPENDIX_B_ICE FUTURES AB NIT BASIS
168
INITIAL_CO_APPENDIX_B_NWP ROCKIES BASIS
169
INITIAL_CO_APPENDIX_B_PG&E CITYGATE BASIS
170
INITIAL_CO_CME CHEESE
171
INITIAL_CO_CBOT DISTILLERS' DRIED GRAIN
172
INITIAL_CO_CBOT DOW JONES-UBS COMMODITY INDEX
173
INITIAL_CO_CBOT ETHANOL
174
INITIAL_CO_CME FROST INDEX
175
INITIAL_CO_CME GOLDMAN SACHS COMMODITY INDEX (GSCI), (GSCI EXCESS RETURN INDEX)
176
INITIAL_CO_NYMEX GULF COAST SOUR CRUDE OIL
177
INITIAL_CO_CME HURRICANE INDEX
178
INITIAL_CO_CME RAINFALL INDEX
179
INITIAL_CO_CME SNOWFALL INDEX
180
INITIAL_CO_CME TEMPERATURE INDEX
181
INITIAL_CO_CME U.S. DOLLAR CASH SETTLED CRUDE PALM OIL
182
INITIAL_CO_NOT_COVERED
Asset Class
EQ
Count1
Asset Class
IR
Count28
Asset Class
FX
Count79
Asset Class
CO
Count55
Drag to adjust the number of frozen columns
Block Amount (notional)
Block Currency
Block Amount (Quantity)
ISO Block Unit
Block Unit (CFTC P43)
Cap Amount
Cap Currency
Asset Class
320,000,000
USD
320,000,000
USD
CR
200,000,000
USD
200,000,000
USD
CR
110,000,000
USD
110,000,000
USD
CR
110,000,000
USD
110,000,000
USD
CR
130,000,000
USD
130,000,000
USD
CR
46,000,000
USD
100,000,000
USD
CR
140,000,000
USD
140,000,000
USD
CR
82000000.00
USD
100,000,000
USD
CR
32000000.00
USD
100,000,000
USD
CR
20000000.00
USD
100,000,000
USD
CR
26000000.00
USD
100,000,000
USD
CR
63000000.00
USD
100,000,000
USD
CR
66000000.00
USD
100,000,000
USD
CR
41000000.00
USD
100,000,000
USD
CR
26,000,000
USD
100,000,000
USD
CR
13,000,000
USD
100,000,000
USD
CR
13,000,000
USD
100,000,000
USD
CR
41,000,000
USD
100,000,000
USD
CR
NO BLOCKS
N/A
100,000,000
USD
CR
NO BLOCKS
N/A
250,000,000
USD
EQ
64,000,000,000
USD
64,000,000,000
USD
IR
2,100,000,000
USD
2,100,000,000
USD
IR
1,200,000,000
USD
1,200,000,000
USD
IR
1,100,000,000
USD
1,100,000,000
USD
IR
460,000,000
USD
460,000,000
USD
IR
240,000,000
USD
240,000,000
USD
IR
170,000,000
USD
170,000,000
USD
IR
120,000,000
USD
120,000,000
USD
IR
67,000,000
USD
75,000,000
USD
IR
2,200,000,000
USD
2,200,000,000
USD
IR
580,000,000
USD
580,000,000
USD
IR
440,000,000
USD
440,000,000
USD
IR
220,000,000
USD
250,000,000
USD
IR
130,000,000
USD
250,000,000
USD
IR
88,000,000
USD
100,000,000
USD
IR
49,000,000
USD
100,000,000
USD
IR
37,000,000
USD
75,000,000
USD
IR
15,000,000
USD
75,000,000
USD
IR
230,000,000
USD
250,000,000
USD
IR
230,000,000
USD
250,000,000
USD
IR
150,000,000
USD
250,000,000
USD
IR
110,000,000
USD
250,000,000
USD
IR
54,000,000
USD
250,000,000
USD
IR
27,000,000
USD
100,000,000
USD
IR
15,000,000
USD
100,000,000
USD
IR
16,000,000
USD
75,000,000
USD
IR
15,000,000
USD
75,000,000
USD
IR
NO BLOCKS
N/A
250,000,000
USD
IR
6,250,000
EUR
250,000,000
USD
FX
6,250,000
EUR
250,000,000
USD
FX
18,750,000
EUR
250,000,000
USD
FX
6,250,000
GBP
250,000,000
USD
FX
6,250,000
GBP
250,000,000
USD
FX
1,875,000,000
JPY
250,000,000
USD
FX
6,250,000
EUR
250,000,000
USD
FX
0
AUD
250,000,000
USD
FX
10,000,000
AUD
250,000,000
USD
FX
10,000,000
AUD
250,000,000
USD
FX
6,250,000
EUR
250,000,000
USD
FX
0
CAD
250,000,000
USD
FX
10,000,000
CAD
250,000,000
USD
FX
10,000,000
CAD
250,000,000
USD
FX
6,250,000
EUR
250,000,000
USD
FX
6,250,000
GBP
250,000,000
USD
FX
12,500,000
CHF
250,000,000
USD
FX
12,500,000
CHF
250,000,000
USD
FX
0
DKK
250,000,000
USD
FX
0
DKK
250,000,000
USD
FX
0
DKK
250,000,000
USD
FX
0
DKK
250,000,000
USD
FX
0
KRW
250,000,000
USD
FX
0
KRW
250,000,000
USD
FX
0
KRW
250,000,000
USD
FX
6,250,000,000
KRW
250,000,000
USD
FX
6,250,000
EUR
250,000,000
USD
FX
0
SEK
250,000,000
USD
FX
0
SEK
250,000,000
USD
FX
100,000,000
SEK
250,000,000
USD
FX
6,250,000
EUR
250,000,000
USD
FX
0
NOK
250,000,000
USD
FX
0
NOK
250,000,000
USD
FX
100,000,000
NOK
250,000,000
USD
FX
0
NZD
250,000,000
USD
FX
0
NZD
250,000,000
USD
FX
0
NZD
250,000,000
USD
FX
50,000,000
NZD
250,000,000
USD
FX
0
ZAR
250,000,000
USD
FX
0
ZAR
250,000,000
USD
FX
0
ZAR
250,000,000
USD
FX
25,000,000
ZAR
250,000,000
USD
FX
0
BRL
250,000,000
USD
FX
0
BRL
250,000,000
USD
FX
0
BRL
250,000,000
USD
FX
50,000,000
BRL
250,000,000
USD
FX
200,000,000
CZK
250,000,000
USD
FX
0
CZK
250,000,000
USD
FX
0
CZK
250,000,000
USD
FX
200,000,000
CZK
250,000,000
USD
FX
1,500,000,000
HUF
250,000,000
USD
FX
0
HUF
250,000,000
USD
FX
0
HUF
250,000,000
USD
FX
1,500,000,000
HUF
250,000,000
USD
FX
0
ILS
250,000,000
USD
FX
0
ILS
250,000,000
USD
FX
0
ILS
250,000,000
USD
FX
50,000,000
ILS
250,000,000
USD
FX
0
MXN
250,000,000
USD
FX
0
MXN
250,000,000
USD
FX
0
MXN
250,000,000
USD
FX
50,000,000
MXN
250,000,000
USD
FX
25,000,000
PLN
250,000,000
USD
FX
0
PLN
250,000,000
USD
FX
0
PLN
250,000,000
USD
FX
25,000,000
PLN
250,000,000
USD
FX
50,000,000
CNY
250,000,000
USD
FX
0
CNY
250,000,000
USD
FX
50,000,000
CNY
250,000,000
USD
FX
50,000,000
CNY
250,000,000
USD
FX
0
RUB
250,000,000
USD
FX
0
RUB
250,000,000
USD
FX
0
RUB
250,000,000
USD
FX
125,000,000
RUB
250,000,000
USD
FX
3,250,000
EUR
250,000,000
USD
FX
0
TRY
250,000,000
USD
FX
0
TRY
250,000,000
USD
FX
10,000,000
USD
250,000,000
USD
FX
ALL BLOCK
250,000,000
USD
FX
1,000
TONE
mt
25,000,000
USD
CO
3,750,000
PUND
lbs
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
5,000,000
PUND
lbs
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
5,000
TONE
mt
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
NO BLOCKS
25,000,000
USD
CO
625,000
PUND
lbs
25,000,000
USD
CO
1,000
OZTR
troy ounce
25,000,000
USD
CO
1,000
OZTR
troy ounce
25,000,000
USD
CO
500
OZTR
troy ounce
25,000,000
USD
CO
125,000
OZTR
troy ounce
25,000,000
USD
CO
50,000
BARL
bbl
25,000,000
USD
CO
1,050,000
USGA
gallons
25,000,000
USD
CO
500,000
MBTU
MMBTU
25,000,000
USD
CO
1,050,000
USGA
gallons
25,000,000
USD
CO
4,000
MWHO
MwH
25,000,000
USD
CO
625
MWHO
MwH
25,000,000
USD
CO
8,000
MWHO
MwH
25,000,000
USD
CO
3,900
MWHO
MwH
25,000,000
USD
CO
4,000
MWHO
MwH
25,000,000
USD
CO
625
MWHO
MwH
25,000,000
USD
CO
25,000
BARL
bbl
25,000,000
USD
CO
62,500
MBTU
MMBtu
25,000,000
USD
CO
62,500
MBTU
MMBtu
25,000,000
USD
CO
62,500
MBTU
MMBtu
25,000,000
USD
CO
62,500
MBTU
MMBtu
25,000,000
USD
CO
62,500
MBTU
MMBtu
25,000,000
USD
CO
62,500
MBTU
MMBtu
25,000,000
USD
CO
62,500
MBTU
MMBtu
25,000,000
USD
CO
400,000
PUND
lbs
25,000,000
USD
CO
1,000
USTN
short tons
25,000,000
USD
CO
30,000
IPNT
times index dollars
25,000,000
USD
CO
290,000
USGA
gallons
25,000,000
USD
CO
200,000
IPNT
times index euros
25,000,000
USD
CO
5,000
IPNT
times index dollars
25,000,000
USD
CO
5,000
BARL
bbl
25,000,000
USD
CO
20,000
IPNT
times index dollars
25,000,000
USD
CO
10,000
IPNT
times index dollars
25,000,000
USD
CO
10,000
IPNT
times index dollars
25,000,000
USD
CO
400
IPNT
times index currency units
25,000,000
USD
CO
250
TONE
mt
25,000,000
USD
CO
ALL BLOCK
25,000,000
USD
CO
182 records

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