We have changed the expiry threshold distinguishing contracts that are eligible for 4,000 contract block minimum vs. those that require 8,000 contract block minimum. The change in threshold is from two years and four months (28 months) to two years and two months (26 months).

We have also clarified how these rules apply to multi-legged intra-commodity blocks, such as calendar spreads or packs and bundles. If the expiries of the different legs fall both within and beyond 26 months from the trade date, the combined quantity of the different legs must meet the higher block threshold of 8,000 to be eligible for the 15-minute reporting window.

One intention of the additional larger block minimum thresholds is to distinguish between contracts in the first two years of expiries (whites and reds) and those in later years (greens and beyond). While market participants widely reference color-coded contracts, the exact date when the earliest green contract becomes the last red contract is not explicitly defined. Therefore, we use time-to-expiry as the reference.

A complexity of using time-to-expiry is that not all expiries of Three-Month SOFR futures have the same compounding period length ( e.g., Oct-25 has 98 days, Jan-26 has 84 days). To accommodate this, the Exchange sought to add a small grace period to ensure that customers are not inadvertently affected while adhering to this new rule.

It has become clear that our original rule described the grace period in a manner that provided less flexibility, rather than more. This clarification is designed to rectify that error by bringing the cutover date closer to expiry.

As of September 22 2025 the Dec-27 Expiry of SR3 (BBG: SFRZ7) is commonly known as the first green contract. While the Sep-27 (BBG: SFRU7) is the last red contract. 

The minimum larger block threshold for the SR3Z7 future is 4,000 contracts;

The minimum larger block threshold for the SR3U7 future is 8,000 contracts;

The SR3Z7 is set to expire on March 14 2028.

28 months prior to expiry would fall on November 14 2025.

26 months prior to expiry would fall on January 14 2026.

As originally communicated, the rule would have meant the SFRZ7 contract would cease to be eligible for the larger block extended reporting threshold of 4,000 as of the November date, even though it is still a green contract. 

With this adjustment, the SFRZ7 contract will remain at the 4,000 threshold into mid-January. After that time, the contract would be clearly understood to be a red contract and thus subject to the 8,000 threshold for extended block reporting.