CME Group » Interest Rates » Request for Cross (RFC) for Interes
Request for Cross (RFC) for Interest Rate Options
Shortened RFC Wait Period Goes Into Effect December 12, 2011

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 Group interest rate options trades on CME Globex which result from allowable pre-execution communications. Pre-execution communications are discussions between market participants regarding the size, direction and/or price of an order or a potentially forthcoming order for the purpose of discerning interest in the execution of a transaction on CME Globex prior to the exposure of the order to the market. All such pre-execution communications are subject to the requirements of CME and CBOT Rule 539.C.

Effective Sunday, December 11, 2011 (for trade date Monday, December 12), the waiting period between the entry of the required Request for Cross (RFC) after the entry of the required Request for Quote (RFQ) will be reduced from 15 seconds to 5 seconds.

For additional information on the requirements for entering orders into CME Globex that result from allowable pre-execution communications, please see the most recent Market Regulation Advisory Notice on pre-execution communications.

View the latest CME Group Market Regulation Advisory Notice on Pre-Execution Communications

The new RFC Procedures and current matching details are outlined below.


RFC Requirements

A Request for Quote (RFQ) must be entered before submitting the RFC.

  • After the RFQ, the trader must wait 5 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 RFQ, the procedure must be repeated beginning with entry of an RFQ—in other words, the RFC must be submitted between 5 and 30 seconds after the RFQ.

The RFC 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 percent 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.
    • The balance of the smaller quantity will immediately match against the order on the opposite side of the RFC at the RFC price.
  • Any unmatched balanced on one side of the RFC will remain in the order book unless it is cancelled by the user.

RFC and CME EOS Trader Smart Ticket

The RFC process is facilitated for users of CME EOS Trader via the "Smart Ticket" functionality. The EOS Smart Ticket ensures that the RFC is not entered outside of the 5-30 second time window following a trader's entry of an entry of an 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:
Bob Sniegowski
(312) 341-5991

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