Washington, D.C. — The Commodity Futures Trading Commission’s Division of Data (DOD) today published updated post-initial appropriate minimum block sizes and post-initial cap sizes as determined under CFTC regulations. The Division of Market Oversight (DMO) also issued a letter further extending the no-action position originally taken in CFTC Letter No. 22-03 regarding the compliance dates for certain amendments, adopted in November 2020, to the CFTC’s swap data reporting rules concerning block trades and post-initial cap sizes.

The updated post-initial appropriate minimum block and cap sizes will be effective October 7. The CFTC is required to determine post-initial appropriate minimum block and cap sizes no less than once each calendar year under CFTC Regulations 43.6(g) and 43.4(h) respectively. The updated post-initial appropriate minimum block and cap sizes published today are based on a one-year window of swap transaction and pricing data corresponding with calendar year 2023.

The CFTC last published post-initial appropriate minimum block and cap sizes on April 19, 2023. The 2023 block and cap sizes were based on a one-year window of swap transaction and pricing data predominately falling within calendar year 2022. 

Staff is aware SDRs have been building and testing systems to implement the 2023 block and cap sizes by July 1. Today, DOD published updated post-initial appropriate minimum block and post-initial cap sizes, which includes changes to the 2023 block and cap sizes.

DMO staff also recognizes that SDRs may need additional time to perform additional development and testing to implement the newly published post-initial appropriate minimum block and cap sizes by the October 7 effective date. To avoid operational inefficiencies and duplicative efforts in developing and testing two sets of block and cap sizes in relatively short succession, DMO is further extending CFTC Letter No. 22-03 to October 7. The letter states DMO will not recommend the CFTC take an enforcement action against an entity for failure to comply with the block and cap amendments before October 7, provided the entity complies with the CFTC’s block trade and cap size requirements that were in effect on January 1, 2021.

The updated post-initial appropriate minimum block and post-initial cap sizes, as well as other swap reporting rules, forms, and requirements, are at Real-Time Reporting | CFTC.