Interest Rate Futures and Options Block Reference Guide

Crossing rules, pre-execution communications, simultaneous orders

Block trades offer institutional traders the convenience of privately negotiating a transaction with a select eligible counterparty. Learn more about interest rate block trades, pre-execution communications and simultaneous orders.

Futures Block Thresholds

 

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 MAC Swap F1U 1,500 1,500 1,500
10-Year MAC Swap N1U 1,000 1,000 1,000

View Complete 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
    Block trade thresholds are lower provided that they are transacted in years 6-10:
    • 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

Options Block Thresholds

Options RTH ETH ATH
Eurodollars 10,000 5,000 2,500
Ultra Treasury Bond 800 600 300
Treasury Bond 7,500 3,750 1,875
Ultra 10-Year Treasury Bond 7,500 3,750 1,875
10-Year Treasury Note 7,500 3,750 1,875
5-Year Treasury Note 7,500 3,750 1,875
2-Year Treasury Note 2,000 1,000 500

Note: For option strategies, each leg must meet the minimum threshold, e.g. a Eurodollar options butterfly in ETH minimum would be 5,000 x 10,000 x 5,000

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.

CME Group All-In Fees for Block Trades

  Pit Globex Block
Eurodollar Futures Member $0.09 $0.19 $0.29
Treasury Futures Member $0.12 $0.12 $0.87
Eurodollar Option Member $0.09 $0.24 $0.34
Treasury Option 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

Contact markettechsales@cmegroup.com for access to blocks through CME Direct. 

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:

+44 800 898013 (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

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View Block Trades

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Cross Protocols for Interest Rate Futures and Options on Globex

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 - Interest Rate futures and options

  • 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 percentage 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

Better Price Match (BPM) Allocation Percentages

Rates Products  Futures Options
Eurodollars 0% 20%
Treasuries 0% 20%
Fed Funds 0% 20%
Swap Futures 40% N/A
Invoice Swap Spreads 50% N/A

Globex Cross - Interest Rate futures only

  • 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

Pit Trading (For Options Only):

  • A member executing such orders shall first bid and offer by open outcry three times at the same price, stating the number of contracts. If neither the bid nor the offer is accepted, the orders may be matched and approved
  • The member doing the transactions shall clearly identify all transactions on his trading card or other similar record made at the time of the execution and then ensure that it is reported to Exchange price reporting staff

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Dave Reif
+1 312 648 3839

Agha Mirza
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