Interest Rate Futures Quick Reference Guide

What You Need to Know about Block Trades

  CME Symbol Minimum Block Trade Requirements
Futures Globex RTH ETH ATH
Eurodollars GE 4,000 2,000 1,000
30-Day Fed Funds ZQ 2,000 1,000 500
2-Year Treasury Note ZT 5,000 2,500 1,250
5-Year Treasury Note ZF 5,000 2,500 1,250
10-Year Treasury Note ZN 5,000 2,500 1,250
Ultra-10-Year Treasury Note TN 3,500 1,750 875
Treasury Bond ZB 3,000 1,500 750
Ultra Treasury Bond UB 2,000 1,500 750
5-Year DSF F1U 1,500 1,500 1,500
10-Year DSF N1U 1,000 1,000 1,000

View Complete Block Thresholds

Futures Block Thresholds

1. About Eurodollar Futures Block Trades Minimums: Intra-commodity futures spreads and futures combinations may be executed as block trades provided that the sum of the quantities of the legs meets the minimum block quantity threshold:

  • During Regular Trading Hours (RTH): 4,000 outright contracts or 1,000 Year 1 “white” packs
  • During European Trading Hours (ETH): 2,000 outright contracts or 500 Year 1 “white” packs
  • During Asian Trading Hours (ATH): 1,000 outright contracts or 250 Year 1 “white” packs
  • During RTH: 1,000 contracts provided that a minimum of 1,000 contracts are transacted in years 6-10; e.g., 1,000 year 6 outrights, or 250 year 6 “purple” packs
  • During ETH: 500 contracts provided that a minimum of 500 contracts are transacted in years 6-10; e.g., 500 year 6 outrights, or 125 year 6 “purple” packs
  • During ATH: 250 contracts provided that a minimum of 250 contracts are transacted in years 6-10; e.g., 250 year 6 outrights, or 63 year 6 “purple” packs

2. About Inter-commodity Interest Rate futures spread trades in CBOT U.S. Treasury Futures:

  • Can be executed as block trades provided that the quantity of each leg of the spread meets the designated minimum quantity threshold applicable to each of the respective products.
  • Block Trades in Intra-commodity Calendar Spreads are prohibited in Treasury Futures

Hours

Monday – Friday on regular business days and at all times on weekends

  • Regular trading hours (RTH): 7:00 a.m. – 4:00 p.m. CT
  • European trading hours (ETH): 12:00 a.m. – 7:00 a.m. Central Time (CT)
  • Asian trading hours (ATH): 4:00 p.m. – 12:00 a.m. CT

Reporting Times

ETH or ATH: Trade must be reported within 15 minutes of the transaction

RTH: Trade must be reported within 5 minutes of the transaction

Depending on the reporting requirement for the particular product, block trades negotiated when CME ClearPort is closed must be submitted no later than 5 or 15 minutes after the time it reopens.

When the GCC is closed, for example, during the weekend, block trades must be reported no later than 5 minutes prior to the opening of the next electronic trading session for that product.

Reporting Obligation

  • In the case of a brokered transaction, the price reporting obligation is the responsibility of the broker handling the block trade, unless otherwise agreed to by the principal counterparties to the block trade.
  • In non-brokered transactions, price reporting obligations are the responsibility of the seller, unless otherwise agreed to by the principal counterparties to the block trade. The term “seller” refers to the principal counterparty acting as the seller of the block trade.

Block Fees

  Pit Globex Block
Eurodollar Futures Member $0.09 $0.19 $0.29
Treasury Futures Member $0.12 $0.12 $0.87

View All-In Fee Examples

View Full Fee Schedule

Block Entry and Reporting Through CME Direct (PREFERRED)

CME Direct provides direct entry into Front-End Clearing (FEC). Block trades reported through CME Direct fulfill reporting requirements and obligation for entry into front end clearing.

Use CME Direct, to instantly process voice-negotiated blocks. Brokers using CME Direct can efficiently open a CME Direct trade ticket, populate the details of a block trade, and submit the deal directly for clearing, eliminating the need to phone in the details.

CME Direct Block Trade Features:

  • Fast booking – immediately submit block trades or EFRPs within the required reporting window
  • Pre-confirmation window for trade entry – including CME ClearPort validation checks
  • Real-time block ticker – view customizable block data feeds displaying all block trades in real-time

To access blocks through CME Direct, contact: Market Tech Sales Team

Block Reporting Entry Through GCC and Entry Through Front-End Clearing

Global Command Center (“GCC”)

Block trades price reported to the GCC or Exchange staff must be submitted to CME Clearing through the FEC user interface via the portal under block entry.

Reporting the trade to GCC only fulfills the reporting requirements, so must be entered into FEC.

Report the block trade by calling the GCC at: +44 20 7623 4747 (Europe), +1 800 438 8616 (US), +65 6532 5010 (Asia)

Information Required When Reporting a Block to GCC

  • Contract, month, year (for options, also include strike price; for standard options, whether put/call; for flex options, expiration date and exercise style)
  • Quantity and price (on each leg for spreads/combinations)
  • Buyer’s and seller’s clearing firms
  • Name and phone number of party reporting if reported to GCC
  • Execution time (to nearest minute in CST): Execution time is the time the trade was consummated.

Pricing a Block

  • Must be “fair and reasonable” based on the size of the block, market conditions in the contract and related products, and the circumstances of the market and parties to the trade
  • Pricing must be in minimum tick increments

Block Market Makers

Register to receive contact information for market makers.

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View Block Trades

You can view block trades on:


Request for Cross for Interest Rate Futures

Brokers engaging in pre-execution (pre-ex) communications with market makers must enter a Cross via either the Committed Cross (C-Cross) or the Globex Cross (G-Cross)

Committed Cross

  • In a C-Cross, subsequent to the pre-ex communication, an RFC is entered into CME Globex which contains both the buy and the sell orders
  • Upon entry of the RFC, CME Globex will display an indication that a cross has been committed to the market and will occur in five (5) seconds. Price and size are not disclosed to the market
  • If eligible, a Better Price Match (BPM) allocation may match a percent of the cross order, provided the following price improvement conditions are met:
    • The C-Cross price betters the current market upon entry, and
    • The C-Cross price is equal to or better than the current market at end of the pre-cross period when the cross takes place

Globex Cross

  • In a G-Cross, the order of the party that initiated the preexecution must be entered into CME Globex first. The second party’s order may not be entered into CME Globex until a period of 5 seconds has elapsed from the time of entry of the first order. No Request for Quote (“RFQ”) is required in a G-Cross.

Watch a 4-minute video on the full regulatory advisory and a demonstration of the process.

Simultaneous Buy and Sell Orders for Different Beneficial Owners

Read the full details of Rule 533.

When pre-ex communications have not taken place, a broker in possession of opposite orders for different beneficial owners for the same product and expiration month, and, for a put or call option, the same strike price, may execute such orders for and directly between such beneficial owners provided that: 

Globex Trading:

  • Opposite orders for different beneficial owners that are simultaneously placed by a party with discretion over both accounts may be entered into the CME Globex platform provided that one order is exposed for a minimum of 5 seconds in the case of futures or swaps orders or a minimum of 15 seconds in the case of options orders
  • An order allowing for price and/or time discretion, if not entered immediately upon receipt, may be knowingly entered opposite another order entered by the same firm only if this other order has been entered immediately upon receipt and has been exposed on the Globex platform for a minimum of 5 seconds for futures or orders or a minimum of 15 seconds for options orders

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