I have different wire sizes for different speakers. The screw comes out before it touches the small wire and cannot hold it. I have the same problem with a medium sized cable. my biggest monster cable doesn't fit at all. The hole doesn't go all the way through, which would help make contact with the wire. However, it is possible to find a way to work, but look for the best type so you can thread the wire through and then unscrew the banana head to secure the wire. Cheap. and may work for some. A set screw would work better or a longer screw could be used instead.
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