Interest Rate Block Trading

Block trades are privately negotiated futures trades between two eligible counterparties which are subsequently submitted to the CME Clearing House for bookkeeping purposes.

Block trades offer institutional traders the convenience of privately negotiating a futures transaction with a select eligible counterparty. In particular, institutions often seek to execute large transactions at a singular price while enjoying the benefits imparted by the financial sureties associated with the CME centralized counterparty (CCP) clearing system.

View Options Reference Guide       View Futures Reference Guide

Hours

Applicable during the following times:
ETH: 12:00 a.m. – 7:00 a.m. Central Time (CT), Monday through Friday on regular business days
RTH:  7:00 a.m. – 4:00 p.m. CT, Monday through Friday on regular business days
ATH: 4:00 p.m. – 12:00 a.m. CT, Monday through Friday on regular business days and at all times on weekends

Block Entry

Firms can enter a block through CME Direct or through Front End Clearing

CME Direct

View CME Group’s electronic futures and options markets and privately-negotiated Block markets on one easy-to-use screen with CME Direct.

Use CME Direct, to execute on a customer’s behalf or 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 to CME ClearPort.  

CME Direct Block Trade Features:

  • Fast booking – immediately submit block trades or exchange for swaps (EFS) 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
  • Broker Whiteboard – track and share customer prices and interest across the broking desk
  • API integration –  interface with CME Direct to book trades into in-house systems

CME Direct Block Trading offers low-cost electronic trading and increased block entry efficiency for clients. Users can maintain key value add and reduce errors while complying with regulations easier than before. 

Global Command Center (GCC)

Almost all block trades may be reported to the GCC.

To report a trade to the GCC:

  • Call the GCC within five minutes of execution – when the GCC is closed, the block trade must be reported no later than five minutes prior to the opening of the next electronic trading session for that product.
  • The trader’s clearing firm types the trade into Front End Clearing (FEC)

Parties or executing brokers familiar with the block trade procedures designated by the Contacting firm can call trades into the GCC without ClearPort registration, although the exchange prefers parties who are ClearPort registered.

FEC

The Front-End Clearing System (FEC) and Front End Clearing Plus FEC+ are web-based applications available on CME Clearing Portal that provide clearing member firm back office staff with an integrated method for entering and processing a variety of trade types. Member staff can enter, modify, and delete unmatched trade records using FEC and FEC+. Give-up and Average Pricing functionality is also available.

Block trades: All block futures trades should be entered using FEC with an order type “B.” Block option trades should be entered using the clearing firms’ internal trade system or FEC. Block option trades must be entered with transaction type “Nine” and an order type “B.”

Request for Cross (RFC)

Traders must enter a Request for Quote (RFQ) before the RFC can be submitted.

For IR options buy and sell orders, the trader must wait 15 seconds after submitting the  RFQ, before submitting the RFC order.

If an RFC order is not entered within 30 seconds of submitting the RFQ, the RFQ must be re-submitted before submitting an RFC. 

RFC Options Video

Pre-Execution Communications

Pre-execution communications are discussions between market participants for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. Pre-execution communications are governed by each Exchange's Rule 539.

  • Pre-execution communications are permitted in all CME, NYMEX and COMEX options traded on CME Globex and in CBOT Interest Rate, Ethanol and Dow options. Pre-execution communications are also permitted in CBOT and KCBT Grain and Oilseed options on CME Globex from 7:00 p.m. to 7:45 a.m. Central Time each business day. Pre-execution communications on CBOT and KCBT Grain and Oilseed options are prohibited outside those hours. Pre-execution communications for CBOT and KCBT Grain and Oilseed futures remain prohibited at all times.
  • Pre-execution communications allow for size, price and direction to be discussed prior to the entry of orders into CME Globex.
  • Parties engaging in pre-execution communications must have permission to do so from their customers.
  • Pre-execution communications are not permitted in any CME, CBOT, NYMEX or COMEX futures or options executed via open outcry on the trading floor.

Request for Cross (RFC)

  • Subsequent to engaging in a pre-execution communication, a Request for Quote ("RFQ") must be entered into CME Globex for the particular option or option spread or combination trade.
  • All market participants are thereby notified of interest in a particular option and liquidity providers are able to respond with their best prices.
  • Subsequent to the entry of the required RFQ, the RFC ticket allows a sales desk to enter an options buy order and sell order in a single order entry.
  • View a presentation on using RFC for energy options
  • View a presentation on using RFC for interest rate options
  • NEW! View a presentation on using RFC for agricultural options

CME Group Market Regulation Advisory Notice (MRAN) on Pre-Execution Communications

RFC Requirements

  • A Request for Quote (RFQ) must be entered before the RFC can be submitted.
  • Subsequent to the RFQ, the trader must
    • For IR and Equity options wait 5 seconds before submitting the RFC order, which includes both the buy and the sell orders.
    • For all other options wait 15 seconds before submitting the RFC order, which includes both the buy and the sell orders.
  • If an RFC order is not entered within 30 seconds after the RFQ, the RFQ must be resubmitted prior to submission of an RFC

RFC Matching for Options

  • If the RFC price improves both the best bid and best offer in the order book or if there is no bid/offer in the order book, 100 percent of the RFC quantity will match at the RFC price immediately upon submission.
  • If the RFC price matches or is outside the best bid or offer in the market, the applicable side of the RFC order will immediately match against the orders in the market at a price better than, or equal to, the RFC price. The remainder of the smaller quantity will then immediately match at the RFC price.
  • Any remaining balance will remain working unless cancelled by the RFC initiator.

Additional Resources

CME and CBOT Rule 526

A block trade must be for a quantity that is at or in excess of the applicable minimum threshold. (See Block Threshold tab for details)

View Rule 526

Rule 539: Pre-Execution Communications

Pre-execution communications are communications between market participants for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. Any communication that involves discussion of the size, side of market, price of an order, or a potentially forthcoming order, constitutes a pre-execution communication.

Futures:

  • CBOT, NYMEX and COMEX rules expressly prohibit pre-execution communications in connection with pit transactions executed on the trading floor. CME rules expressly prohibit such communications except with respect to transactions executed in accordance with CME Rule 549.
  • Transactions in CME and CBOT futures products resulting from permissible pre-execution communications must be entered into CME Globex via a Globex Cross. A Globex Cross for futures requires that the order of the party who initiated the pre-execution communication be the first order entered into CME Globex. At least five seconds must elapse after the entry of the first order before the opposing order can be entered. No RFQ is required

Options:

  • Pre-execution communications are permitted at all times in CME and CBOT interest rate, options on futures products traded on CME Globex.
  • Transactions in CME and CBOT options on futures products resulting from permissible pre-execution communications, including options spreads and combinations and options/futures spreads, must be entered into CME Globex via a Globex Cross. A Globex Cross for options on futures require the entry of an RFC order, which is an order that includes both the buy and sell orders arising from the pre-execution communication. Prior to the entry of the RFC, an RFQ must be entered into CME Globex for the relevant option or options strategy. In eligible IR options, the RFC order must be entered no less than 15 seconds and no more than 30 seconds after the entry of the RFQ. Failure to enter the RFC order within the applicable time parameters will require a new RFQ to be entered prior to the entry of the RFC order.
 

Rule 533

Rule 533 allows for the direct crossing of buy and sell orders by a floor broker provided that the orders are for the accounts of different beneficial owners and the floor broker executing the orders first openly bids and offers the price and quantity three times in a manner that is transparent to the pit. If neither the bid nor the offer is accepted, then the floor broker may match the orders, or any remaining portion of the orders, in the presence of, and with the approval of, a Floor Operations staff member.

A floor broker:

  • May not cross an order with a trade for his own account, an account in which he has a direct or indirect financial interest, or an account over which he has discretionary trading authority unless the customer has consented in writing within the previous 12 months to waive the application of Rule 531
  • Who executes a cross trade must ensure that it is reported to Exchange price reporting staff for entry into the Price Reporting System as a cross trade

Market participants are reminded that pre-execution communications or any other form of prearrangement are prohibited with respect to all orders entered for execution in the open outcry venue. 

View Rule 533

Block Thresholds

Applicable to all Eurodollars including Weeklies

Block-Eligible Futures

Block-Eligible Options

When to Report:

  • ETH or ATH: Trade must be reported within 15 minutes of the transaction anytime that the Global Command Center (GCC) is open
  • RTH: Trade must be reported within 5 minutes of the transaction

How do I Report:

Report with CME ClearPort:

  • Electronically via CME ClearPort
  • CME ClearPort Facilitation Desk: +1 866 246 9639
  • FacDesk@cmegroup.com

Report to  the Global Command Center (GCC):

  • Europe: +44 800 898 013
  • U.S.: +1 800 438 8616
  • Asia: +65 6532 5010 

Pricing a Block:

Pricing must be in minimum tick increments and 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. 

Include the following information when reporting the block:

  • 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
  • Name and contact information for party reporting and counterparty if reported by phone or by email to the CME ClearPort Facilitation desk
  • Execution time (to nearest minute in CST) – Execution time is the time the trade was consummated.

Fees

View the CME Fee Schedule.

Fee Schedule

All-in Fee Examples: Member vs. Non-Member

Treasury Options Member

  Clearing Transaction EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade $0.06 $0.06   $0.12
Globex Trade $0.06 $0.06   $0.12
Block Trade $0.06 $0.06 $0.75 $0.87

Treasury Options Non-Member

  Clearing Transaction EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade* $0.06 $0.59   $0.65
Globex Trade $0.06 $0.75   $0.81
Block Trade* $0.06 $0.59 $0.75 $1.40

*$0.05 discount for transaction fee for 2-year notes

Treasury Futures Member

  Clearing Transaction EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade $0.06 $0.06   $0.12
Globex Trade $0.06 $0.06   $0.12
Block Trade $0.06 $0.06 $0.75 $0.87

Treasury Futures Non-Member

  Clearing Transaction EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade $0.06 $0.40   $0.46
Globex Trade* $0.06 $0.59   $0.65
Block Trade $0.06 $0.40 $0.75 $1.21

*$0.05 discount for transaction fee for 2-year notes

Eurodollar Futures Member

  Clearing Globex/Block EFP/EFRP EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade $0.09     $0.09
Globex Trade $0.09 $0.10   $0.19
Block Trade $0.09 $0.10   $0.19

Eurodollar Futures Non-Member

  Clearing Globex/Block EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade $0.70     $0.70
Globex Trade $0.70 $0.55   $1.25
Block Trade $0.70 $0.55   $1.25

Eurodollar Options Member

  Clearing Globex/Block EFP/EFRP EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade $0.09     $0.09
Globex Trade $0.09 $0.15   $0.24
Block Trade $0.09 $0.15   $0.24

Eurodollar Options Non-Member

  Clearing Globex/Block EX Pit Surcharge Block/EFP/EFRP Total
Pit Trade $0.64     $0.64
Globex Trade $0.64 $0.25   $0.89
Block Trade $0.64 $0.25   $0.89