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 CME 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.
CME SYMBOL | BLOCK MINIMUM | |||||
---|---|---|---|---|---|---|
BLOOMBERG SYMBOL | CME GLOBEX (ELECTRONIC) | CME CLEARPORT (BLOCKS) | RTH | ETH | ATH | |
STIR Futures | ||||||
30-Day Fed Funds | FFA <Comdty> |
ZQ | 41 | 2,000 | 1,000 | 500 |
One-Month SOFR | SERA <Comdty> |
SR1 | SR1 | 500 | 250 | 125 |
Three-Month SOFR | SFRA <Comdty> |
SR3 | SR3 | 2,000 | 1000 | 500 |
Three-Month BSBY | BSBA <Comdty> |
BSB | BSB | 100 | 100 | 100 |
ESTR | KTRA <Comdty> |
ESR | ESR | 100 | 100 | 100 |
ESTR Basis Spread | KUSA <Comdty> |
EUS | EUS | 100 | 100 | 100 |
RepoFunds Rate (Germany) | YFDA <Comdty> |
RFD | RFD | 100 | 100 | 100 |
RepoFunds Rate (Germany) Basis Spread | YSDA <Comdty> |
RSD | RSD | 100 | 100 | 100 |
RepoFunds Rate (Italy) | YFIA <Comdty> |
RFI | RFI | 100 | 100 | 100 |
RepoFunds Rate (Italy) Basis Spread | YSIA <Comdty> |
RSI | RSI | 100 | 100 | 100 |
MPC SONIA | MPCA <Comdty> |
MPC | MPC | 100 | 100 | 100 |
Quarterly IMM SONIA | ONSA <Comdty> |
SON | SON | 100 | 100 | 100 |
Mexican Funding TIIE | TEIA <Comdty> |
TIE | TIE | 10 | 10 | 10 |
CME SYMBOL | BLOCK MINIMUM | |||||
BLOOMBERG SYMBOL | CME GLOBEX (ELECTRONIC) | CME CLEARPORT (BLOCKS) | RTH | ETH | ATH | |
Treasury Futures | ||||||
2-Year | TUA <Comdty> |
ZT | 26 | 5,000 | 2,500 | 1,250 |
3-Year | 3YA <Comdty> |
Z3N | 3YR | 5,000 | 2,500 | 1,250 |
5-Year | FVA <Comdty> |
ZF | 25 | 5,000 | 2,500 | 1,250 |
10-Year | TYA <Comdty> |
ZN | 21 | 5,000 | 2,500 | 1,250 |
Ultra 10-Year | UXYA <Comdty> |
TN | TN | 3,500 | 1,750 | 875 |
T-Bond | USA <Comdty> |
ZB | 17 | 3,000 | 1,500 | 750 |
20-Year T-Bond | TWEA <Comdty> |
TWE | TWE | 1,000 | 500 | 250 |
Ultra T-Bond | WNA <Comdty> |
UB | UBE | 2,000 | 1,500 | 750 |
Micro 2-Year Yield | YQIA <Comdty> |
2YY | 2YY | 2,000 | 1,000 | 500 |
Micro 5-Year Yield | YQEA <Comdty> |
5YY | 5YY | 2,000 | 1,000 | 500 |
Micro 10-Year Yield | YQTA <Comdty> |
10Y | 10Y | 2,000 | 1,000 | 500 |
Micro 30-Year Yield | YQBA <Comdty> |
30Y | 30Y | 2,000 | 1,000 | 500 |
CME SYMBOL | BLOCK MINIMUM | |||||
BLOOMBERG SYMBOL | CME GLOBEX (ELECTRONIC) | CME CLEARPORT (BLOCKS) | RTH | ETH | ATH | |
TBA Futures | ||||||
30-Year UMBS TBA Futures - 2.0% Coupon | JYAA <Comdty> |
20U | 20U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 2.5% Coupon | JYBA <Comdty> |
25U | 25U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 3.0% Coupon | JYCA <Comdty> |
30U | 30U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 3.5% Coupon | JYDA <Comdty> |
35U | 35U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 4.0% Coupon | JYEA <Comdty> |
40U | 40U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 4.5% Coupon | JYIA <Comdty> |
45U | 45U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 5.0% Coupon | JYPA <Comdty> |
50U | 50U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 5.5% Coupon | JYTA <Comdty> |
55U | 55U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 6.0% Coupon | JYWA <Comdty> |
60U | 60U | 100 | 50 | 25 |
30-Year UMBS TBA Futures - 6.5% Coupon | JYLA <Comdty> |
65U | 65U | 100 | 50 | 25 |
CME SYMBOL | BLOCK MINIMUM | |||||
BLOOMBERG SYMBOL | CME GLOBEX (ELECTRONIC) | CME CLEARPORT (BLOCKS) | RTH | ETH | ATH | |
Swap Futures | ||||||
1-Year Eris SOFR Swap | YIAA <Comdty> |
YIA | YIA | 100 | 100 | 100 |
2-Year Eris SOFR Swap | YITA <Comdty> |
YIT | YIT | 100 | 100 | 100 |
3-Year Eris SOFR Swap | YICA <Comdty> |
YIC | YIC | 100 | 100 | 100 |
4-Year Eris SOFR Swap | YIDA <Comdty> |
YID | YID | 100 | 100 | 100 |
5-Year Eris SOFR Swap | YIWA <Comdty> |
YIW | YIW | 100 | 100 | 100 |
7-Year Eris SOFR Swap | YIBA <Comdty> |
YIB | YIB | 100 | 100 | 100 |
10-Year Eris SOFR Swap | YIYA <Comdty> |
YIY | YIY | 100 | 100 | 100 |
12-Year Eris SOFR Swap | YIIA <Comdty> |
YII | YII | 100 | 100 | 100 |
15-Year Eris SOFR Swap | YILA <Comdty> |
YIL | YIL | 100 | 100 | 100 |
20-Year Eris SOFR Swap | YIOA <Comdty> |
YIO | YIO | 100 | 100 | 100 |
30-Year Eris SOFR Swap | YIEA <Comdty> |
YIE | YIE | 100 | 100 | 100 |
1-Year Eris BSBY Swap | KXAA <Comdty> |
KXA | KXA | 100 | 100 | 100 |
2-Year Eris BSBY Swap | KXTA <Comdty> |
KXT | KXT | 100 | 100 | 100 |
3-Year Eris BSBY Swap | KXCA <Comdty> |
KXC | KXC | 100 | 100 | 100 |
4-Year Eris BSBY Swap | KXDA <Comdty> |
KXD | KXD | 100 | 100 | 100 |
5-Year Eris BSBY Swap | KXWA <Comdty> |
KXW | KXW | 100 | 100 | 100 |
7-Year Eris BSBY Swap | KXBA <Comdty> |
KXB | KXB | 100 | 100 | 100 |
10-Year Eris BSBY Swap | KXYA <Comdty> |
KXY | KXY | 100 | 100 | 100 |
RTH – Regular Trading Hours (7:00 a.m. – 4:00 p.m. CT); ETH – European Trading Hours (12:00 a.m. – 7:00 a.m. CT); ATH – Asian Trading Hours (4:00 p.m. – 12:00 a.m. CT)
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 |
CME SYMBOL | BLOCK MINIMUM | ||||||
---|---|---|---|---|---|---|---|
BLOOMBERG SYMBOL | CME GLOBEX (ELECTRONIC) | CME CLEARPORT (BLOCKS) | RTH | ETH | ATH | ||
STIRs | |||||||
Three-Month SOFR Options | Standard Quarterly/Serial | SFR <Comdty> OMON |
SR3 | SR3 | 5,000 | 2,500 | 1,250 |
1-Yr Mid-Curve | 0QA <Comdty> OMON |
S0 | S0 | ||||
2-Yr Mid-Curve | 2QA <Comdty> OMON |
S2 | S2 | ||||
3-Yr Mid-Curve | 3QA <Comdty> OMON |
S3 | S3 | ||||
4-Yr Mid-Curve | 4QA <Comdty> OMON |
S4 | S4 | ||||
5-Yr Mid-Curve | 5QA <Comdty> OMON |
S5 | S5 | ||||
1-Yr Mid-Curve (Weekly) | SOEA <Comdty> |
S01-S05 | S01-S05 | ||||
2-Yr Mid-Curve (Weekly) | SOTA <Comdty> |
S21-S25 | S21-S25 | ||||
3-Yr Mid-Curve (Weekly) | SSOA <Comdty> |
S31-S35 | S31-S35 | ||||
3-Mo Mid-Curve | SRAA <Comdty> OMON |
TS2 | TS2 | ||||
6-Mo Mid-Curve | SRRA <Comdty> OMON |
TS3 | TS3 | ||||
9-Mo Mid-Curve | SRWA <Comdty> OMON |
TS4 | TS4 | ||||
One-Month SOFR Options | Monthly | SERA <Comdty> Omon |
SR1 | SR1 | 1,000 | 500 | 250 |
30-Day Federal Funds Options | Quarterly/Serial | FFA <Comdty> OMON |
OZQ | 41 | 1,500 | 750 | 375 |
6-Mo Mid-Curve | 6UA <Comdty> |
ZQ6 | FF6 | ||||
1-Yr Mid-Curve | 0UA <Comdty> |
ZQ1 | FF1 | ||||
CME SYMBOL | BLOCK MINIMUM | ||||||
BLOOMBERG SYMBOL | CME GLOBEX (ELECTRONIC) | CME CLEARPORT (BLOCKS) | RTH | ETH | ATH | ||
Treasury options | |||||||
2-Year | Quarterly/Serial | TUA <Comdty> OMON |
OZT | 26 | 2,000 | 1,000 | 500 |
Wed Weekly | TUIA <Comdty> OMON |
WT1-WT5 | WT1-WT5 | ||||
Fri Weekly | 1WA-5WA <Comdty> OMON |
ZT1-ZT5 | TW1-TW5 | ||||
5-Year | Quarterly/Serial | FVA <Comdty> OMON |
OZF | 25 | 7,500 | 3,750 | 1,875 |
Wed Weekly | FVWA <Comdty> OMON |
WF1-WF5 | WF1-WF5 | ||||
Fri Weekly | 1IA - 5IA <Comdty> OMON |
ZF1-ZF5 | FV1-FV5 | ||||
10-Year | Quarterly/Serial | TYA <Comdty> OMON |
OZN | 21 | 7,500 | 3,750 | 1,875 |
Wed Weekly | TYYA <Comdty> OMON |
WY1-WY5 | WY1-WY5 | ||||
Fri Weekly | 1MA-5MA <Comdty> OMON |
ZN1-ZN5 | TY1-TY5 | ||||
Ultra 10-Year | Quarterly/Serial | UXYA <Comdty> OMON |
OTN | TN | 1,400 | 700 | 350 |
Wed Weekly | UXTA <Comdty> OMON |
WX1-5 | WX1-WX5 | ||||
Fri Weekly | UXWA <Comdty> OMON |
TN1-5 | TN1-TN5 | ||||
T-Bond | Quarterly/Serial | USA <Comdty> OMON |
OZB | 17 | 7,500 | 3,750 | 1,875 |
Wed Weekly | USYA <Comdty> OMON |
WB1-WB5 | WB1-WB5 | ||||
Fri Weekly | 1CA-5CA <Comdty> OMON |
ZB1-WB5 | US1-US5 | ||||
Ultra T-Bond | Quarterly/Serial | WNA <Comdty> OMON |
OUB | UBE | 800 | 600 | 300 |
Wed Weekly | WNYA <Comdty> OMON |
WU1-WU5 | WU1-WU5 | ||||
Fri Weekly | 1JA-5JA <Comdty> OMON |
UB1-UB5 | UL1-UL5 |
Note: For option strategies, each leg must meet the minimum threshold, e.g., a SOFR options butterfly in ETH minimum would be 2,500 x 5,000 x 2,500.
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.
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:
For purposes of the above thresholds and reporting times in interest rates:
PIT | GLOBEX | BLOCK | |
---|---|---|---|
SOFR futures member | $0.09 | Front months: $0.19 Back months*: $0.14 |
Front months: $0.29 Back months*: $0.24 |
Treasury futures member (ZT, Z3N, ZF) | NA | $0.13 | $0.87 |
Treasury futures member (ZN, TN, ZB, TWE, UB) | NA | $0.14 | $0.88 |
SOFR option member | $0.15 | $0.22 | $0.34 |
Treasury option member | NA | $0.12 | $0.89 |
*The discounted Exchange Fee for back months applies to Interest Rate futures contracts with longer than 4-year expirations (Gold through Copper).
Data as of June 2023. View the latest full fee schedule.
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.
Contact PlatformSolutions@cmegroup.com for access to blocks through CME Direct.
Brokers engaging in pre-execution (pre-ex) communications with market makers must enter a Cross via either the Committed Cross (C-Cross) for futures and options or the Globex Cross (G-Cross) for futures as described in Rule 539.
A complete list of eligible products and associated crossing protocols can be found here.
Watch a 4-minute video on the full regulatory advisory and a demonstration of the process.
RATES PRODUCTS | FUTURES | OPTIONS |
---|---|---|
SOFR | 0% | 45% |
Treasuries | 0% | 45% |
Fed Funds | 0% | 45% |
Swap futures | 40% | N/A |
Invoice swap spreads | 50% | N/A |