Minimum Quantity Requirements for Inter-Commodity Futures Spread Block Trades

This Advisory Notice is being issued to remind market participants that CME & CBOT inter-commodity futures spreads executed as block trades must 1) be in products which are block-eligible and 2) meet the minimum quantity requirements set forth in CME & CBOT Market Regulation Advisory Notice RA1006-3 from October 19, 2010 (http://www.cmegroup.com/rulebook/files/CME_CBOT_RA1006-3.pdf).

The minimum quantity requirements for CME & CBOT inter-commodity futures spreads executed as block

Trades are set forth below.

In Short Term Interest Rate (“STIR”) futures (Eurodollars, Eurodollar E-minis, T-Bills, OIS, One-Month Eurodollar, Euroyen and 30-Day Fed Funds) inter-commodity futures spreads may be executed as block trades provided that the sum of the legs of the spread meets the larger of the threshold requirements for the underlying products.

In all products excluding Short Term Interest Rate futures, inter-commodity futures spreads may be executed as block trades only if the quantity of each leg of the spread meets the larger of the threshold requirements for the underlying products. 

For example, the minimum block trade quantity thresholds for CBOT 10-Year Notes and CBOT 30-Year Treasury Bonds during RTH are 5,000 and 3,000 contracts, respectively.  Therefore, a block trade in the NOB spread (10 Year Note/30 Year Bond spread) can be executed only if the quantity of each leg is at least 5,000 contracts. 

Market participants are reminded that they must accurately identify block trades executed as spreads when reporting and/or submitting such trades to the exchange.  The false identification and reporting of inter-commodity block spread trades to the exchange as outright transactions for the purpose of avoiding the requirement in non-STIR products that each leg of the spread meets the larger of the threshold requirements is a violation of Rule 526 (“Block Trades”) and may also be considered uncommercial conduct detrimental to the welfare of the exchange pursuant to Rule 432 (“General Offenses”).  Violations of these requirements will result in disciplinary action.

Questions regarding this Advisory Notice may be directed to one of the following individuals in Market Regulation:

Colin Garvey, Lead Investigator, 312.435.3656

Robert Sniegowski, Associate Director, Rules & Regulatory Outreach, 312.341.5991

Erin Schwartz, Senior Rules & Regulatory Outreach Specialist, 312.341.3083

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.