Request for Cross (RFC) functionality, which allows a buy order and a sell order to be entered on a single ticket, is currently available for CME interest rate options trades on CME Globex which result from allowable pre-execution communications.

Effective Sunday, March 29, 2009 (trade date March 30), RFC functionality on CME Globex will also be available for all CBOT interest rate options, subject to the same pre-execution communication rules applicable to CME interest rate options.

Pre-execution communications are not permitted in CBOT non-interest rate options on CME Globex and are expressly prohibited in all CME and CBOT futures and options products executed via open outcry on the trading floor.

Read the Market Regulation Advisory to learn more about pre-execution communications in CME futures and options, and CBOT interest rate options trading on CME Globex

View a demonstration of the RFC process for interest rate options

Time Mandates
The RFC requirements for interest rate options include time mandates, and require notification to all market participants prior to submission of the cross trade by the entry of two Requests for Quotes (RFQ):

• The first RFQ must be entered prior to engaging in the pre-execution communication
• The second RFQ must be entered before submitting the RFC.
• After the second RFQ, the trader must wait 15 seconds before submitting the RFC, which includes both the buy and the sell orders.
• If an RFC is not entered within 30 seconds after the second RFQ, the procedure must be repeated beginning with the second RFQ.

Matching Process
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% of the RFC quantity will match at the RFC price immediately upon submission of the RFC. 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, with the balance matched as follows:

• Immediately thereafter, 60 percent of the smaller quantity remaining on one side of the RFC will match against the order on the opposite side of the RFC at the RFC price
• Any remaining unmatched portion on the RFC will then be available for matching against other incoming orders for five seconds
• Any match-eligible quantity remaining on the RFC will then match at the RFC price
• Any unmatched balance on one side of the RFC will either be cancelled or remain in the order book depending on the instructions submitted with the RFC

RFC and CME EOS Trader Smart Ticket
The RFC process is facilitated for users of CME EOS Trader via the “Smart Ticket” functionality, which was introduced in November 2008. The EOS Smart Ticket ensures that the RFC is not entered outside of the 15-30 second time window following a trader’s entry of the second RFQ required by the Rule.



If you have additional questions on the RFC rules or process, please contact:
Interest Rate Products and Services:
David Reif
(312) 648-3839

Market Regulation:
Kathleen Zaino
(312) 435-3577

Bob Sniegowski
(312) 341-5991

Additional Resources
List of ISVs that support RFC functionality
CME EOS Trader
Getting Started With CME EOS Trader booklet
Interest Rate Resource Center