Interest Rate Futures and Options Quick Reference Guide

Block trades and pre-execution communications offer market participants the convenience of discussing a transaction before execution.

Block trades are privately negotiated transactions executed away from the competitive venues with specific participation, pricing and reporting requirements as described in Rule 526 and the associated Market Regulation Advisory Notice on block trades.

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. These transactions are required to be executed on Globex with the appropriate crossing protocol as described in Rule 539 and the associated Market Regulation Advisory Notice on pre-execution communications.  

Learn more about interest rate block trades and pre-execution communications below.

Interest Rate Block Trades

Futures Block Thresholds

 

CME Symbol

Minimum Block Trade Requirements

Futures

Bloomberg
Symbol
CME Globex
(Electronic)
CME ClearPort
(Blocks)

RTH

ETH

ATH

STIRs

Eurodollars

ED

GE

ED

4,000

2,000

1,000

30-Day Fed Funds

FF

ZQ

41

2,000

1,000

500

One-Month SOFR

SER

SR1

SR1

500

250

125

Three-Month SOFR

SFR

SR3

SR3

1,000

500

250

MPC SONIA

MPC

MPC

MPC

100

100

100

Quarterly IMM SONIA

SON

SON

SON

100

100

100

Treasuries

2-Year Treasury Note

TU

ZT

26

5,000

2,500

1,250

3-Year Treasury Note

3Y

Z3N

3YR

5,000

2,500

1,250

5-Year Treasury Note

FV

ZF

25

5,000

2,500

1,250

10-Year Treasury Note

TY

ZN

21

5,000

2,500

1,250

Ultra 10-Year Treasury Note

UXY

TN

TN

3,500

1,750

875

Treasury Bond

US

ZB

17

3,000

1,500

750

Ultra Treasury Bond

WN

UB

UBE

2,000

1,500

750

Swap Futures

5-Year MAC Swap

CFP

F1U

F1U

1,500

1,500

1,500

10-Year MAC Swap

CNP

N1U

N1U

1,000

1,000

1,000

Eris Swap Futures

Multiple

Multiple

Multiple

100

100

100

RTH – Regular Trading Hours (7 a.m. – 4 p.m. CT); ETH – European Trading Hours (12 a.m. – 7 a.m. CT); ATH – Asian Trading Hours (4 p.m. – 12 a.m. CT)

View Complete Block Thresholds and reporting times

  1. About Eurodollar Futures Block Trades:
    Intra-commodity futures spreads and futures combinations may be executed as block trades provided that the sum of the quantities of the legs meets the minimum block quantity threshold:
    • During Regular Trading Hours (RTH): 4,000 outright contracts or 1,000 Year 1 “white” packs
    • During European Trading Hours (ETH): 2,000 outright contracts or 500 Year 1 “white” packs
    • During Asian Trading Hours (ATH): 1,000 outright contracts or 250 Year 1 “white” packs
    Block trade thresholds are lower provided that they are transacted in years 6-10:
    1. During RTH: 1,000 contracts provided that a minimum of 1,000 contracts are transacted in years 6-10; e.g., 1,000 year 6 outrights, or 250 year 6 “purple” packs
    • During ETH: 500 contracts provided that a minimum of 500 contracts are transacted in years 6-10; e.g., 500 year 6 outrights, or 125 year 6 “purple” packs
    • During ATH: 250 contracts provided that a minimum of 250 contracts are transacted in years 6-10; e.g., 250 year 6 outrights, or 63 year 6 “purple” packs”
  2. About Inter-commodity spreads block trades in Short-Term Interest Rate futures and options:
    Inter-commodity spreads in short-term Interest Rate futures can be executed as block trades provided that each leg of the spread meets the smaller of the threshold requirements for the underlying products. For example:
    • During RTH, an ICS in the 1-Month SOFR vs. Fed Funds spread may be executed via block provided that the size of each leg is at least 500 contracts, the block minimum for 1-Month SOFR futures.
    • During RTH, an ICS in the 3-Month SOFR vs. Eurodollars spread may be executed via block provided that the size of each leg is at least 1,000 contracts, the block minimum for 3-Month SOFR futures.
  3. About Treasury Futures Block Trades:
    • Inter-commodity spreads can be executed as block trades provided that the quantity of each leg of the spread meets the designated minimum quantity threshold applicable to each of the respective products.
    • Block trades in Intra-commodity Calendar Spreads are prohibited in Treasury Futures
    • UST futures block prices are displayed differently than cash market conventions. For example, the cash market displays ½ as “+” whereas the futures market displays ½ as “.5”.

U.S. Treasury Futures Block Price Display Examples

Fractional Step

CME Direct Displayed Price

Signifies

0

106'020

2.0/32

1/8

106'021

2.125/32

1/4

106'022

2.25/32

3/8

106'023

2.375/32

1/2 or +

106'025

2.5/32  

5/8

106'026

2.625/32  

3/4

106'027

2.75/32  

7/8

106'028

2.875/32  

0

106'030

3.0/32  

Options Block Thresholds

 

CME Symbol

Minimum Block Trade Requirements

Futures

Bloomberg
Symbol
CME Globex
(Electronic)
CME ClearPort
(Blocks)

RTH

ETH

ATH

STIRs

Eurodollars

ED

GE

ED

10,000

5,000

2,500

1-Yr Mid-Curve

0E

GE0

E0

2-Yr Mid-Curve

2E

GE2

E2

3-Yr Mid-Curve

3E

GE3

E3

4-Yr Mid-Curve

4E

GE4

E4

5-Yr Mid-Curve

5E

GE5

E5

Treasuries

2-Yr Treasury Note

TU

OZT

26

2,000

1,000

500

5-Year Treasury Note

FV

OZF

25

7,500

3,750

1,875

10-Year Treasury

TY

OZN

21

7,500

3,750

1,875

Ultra 10-Yr Treasury

UXY

OTN

TN

1,400

750

350

Treasury Bond

US

OZB

17

7,500

3,750

1,875

Ultra T-Bond

WN

OUB

UBE

800

600

300

Note: For option strategies, each leg must meet the minimum threshold, e.g. a Eurodollar options butterfly in ETH minimum would be 5,000 x 10,000 x 5,000

Timing

Block trades have specific requirements with respect to when they need to be reported. Please see the complete list of block trade reporting time requirements here.

With respect to interest rates, block trades may be executed at any time, including times during which the public auction market is closed. However, they must be reported within a specific time frame which is generally described below:

ETH or ATH: Trade must be reported within 15 minutes of the transaction

RTH: Trade must be reported within 5 minutes of the transaction

For purposes of the above thresholds and reporting times in interest rates:

  • Regular trading hours (RTH): 7:00 a.m. – 4:00 p.m. CT
  • European trading hours (ETH): 12:00 a.m. – 7:00 a.m. Central Time (CT)
  • Asian trading hours (ATH): 4:00 p.m. – 12:00 a.m. CT

CME Group All-In Fees for Block Trades

  Pit Globex Block
Eurodollar Futures Member $0.09 $0.19 $0.29
Treasury Futures Member $0.12 $0.12 $0.87
Eurodollar Option Member $0.15 $0.22 $0.34
Treasury Option Member $0.12 $0.12 $0.87

View All-In Fee Examples

View Full Fee Schedule

Block Entry and Reporting Through CME Direct

CME Direct provides direct entry into CME ClearPort. Block trades reported through CME Direct fulfill reporting requirements.

Use CME Direct to 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 for clearing, eliminating the need to phone in the details.

CME Direct Block Trade Features:

  • Fast booking – immediately submit block trades or EFRPs 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

Contact markettechsales@cmegroup.com for access to blocks through CME Direct. 

Block Market Makers

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Cross Trades via Pre-execution Communications

Cross Protocols for Interest Rate Futures and Options on Globex

Brokers engaging in pre-execution (pre-ex) communications with market makers must enter a Cross via either the Committed Cross (C-Cross) or the Globex Cross (G-Cross).

Committed Cross - Interest Rate futures and options

  • In a C-Cross, subsequent to the pre-ex communication, an RFC is entered into CME Globex which contains both the buy and the sell orders
  • Upon entry of the RFC, CME Globex will display an indication that a cross has been committed to the market and will occur in five (5) seconds. Price and size are not disclosed to the market
  • If eligible, a Better Price Match (BPM) allocation may match a percentage of the cross order, provided the following price improvement conditions are met:
    • The C-Cross price betters the current market upon entry, and
    • The C-Cross price is equal to or better than the current market at end of the pre-cross period when the cross takes place

Better Price Match (BPM) Allocation Percentages

Rates Products  Futures Options
Eurodollars 0% 35%
Treasuries 0% 35%
Fed Funds 0% 35%
Swap Futures 40% N/A
Invoice Swap Spreads 50% N/A

Globex Cross - Interest Rate futures only

  • In a G-Cross, the order of the party that initiated the preexecution must be entered into CME Globex first. The second party’s order may not be entered into CME Globex until a period of 5 seconds has elapsed from the time of entry of the first order. No Request for Quote (“RFQ”) is required in a G-Cross.

Watch a 4-minute video on the full regulatory advisory and a demonstration of the process.

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