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

BLOCK MINIMUM
  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 TU ZT 26 5,000 2,500 1,250
3-Year 3Y Z3N 3YR 5,000 2,500 1,250
5-Year FV ZF 25 5,000 2,500 1,250
10-Year TY ZN 21 5,000 2,500 1,250
Ultra 10-Year UXY TN TN 3,500 1,750 875
T-Bond US ZB 17 3,000 1,500 750
Ultra T-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
2-Year Eris Swap LITH LIT LIT 100 100 100
3-Year Eris Swap LICH LIC LIC
4-Year Eris Swap LIDH LID LID
5-Year Eris Swap LIWH LIW LIW
7-Year Eris Swap LIBH LIB LIB
10-Year Eris Swap LIYH LIY LIY
12-Year Eris Swap LIIH LII LII
15-Year Eris Swap LILH LIL LIL
20-Year Eris Swap LIOH LIO LIO
30-Year Eris Swap LIEH LIE LIE

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 BLOCK MINIMUM
    BLOOMBERG SYMBOL CME GLOBEX (ELECTRONIC) CME CLEARPORT (BLOCKS) RTH ETH ATH
STIRs
Eurodollar Options Standard Quarterly/Serial 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
1-Yr Mid-Curve (Weekly) 1K-5K E01-E05 1K-5K
2-Yr Mid-Curve (Weekly) 1F-5F E21-E25 EE1-EE5
3-Yr Mid-Curve (Weekly) 1P-5P E31-E35 EF1-EF5
3-Mo Mid-Curve TTR TE2 TE2
6-Mo Mid-Curve TSA TE3 TE3
9-Mo Mid-Curve TNW TE4 TE4
Three-Month SOFR Options Standard Quarterly/Serial SFR SR3 SR3 2,500 1,250 626
1-Yr Mid-Curve 0Q S0 S0
2-Yr Mid-Curve 2Q S2 S2
3-Yr Mid-Curve 3Q S3 S3
4-Yr Mid-Curve 4Q S4 S4
5-Yr Mid-Curve 5Q S5 S5
1-Yr Mid-Curve (Weekly) SOE S01 - S05 S01 - S05
2-Yr Mid-Curve (Weekly) SOT S21 - S25 S21 - S25
3-Yr Mid-Curve (Weekly) SSO S31 - S35 S31 - S35
3-Mo Mid-Curve SRA TS2 TS2
6-Mo Mid-Curve SRR TS3 TS3
9-Mo Mid-Curve SRW TS4 TS4
One-Month SOFR Options Monthly SERKOC ELEC SR1 SR1 1,000 500 250
30-Day Federal Funds Options Quarterly/Serial FF OZQ 41 1,500 750 375
6-Mo Mid-Curve 6UA ZQ6 FF6
1-Yr Mid-Curve 0UA ZQ1 FF1
Treasuries
2-Year Quarterly/Serial TU OZT 26 2,000 1,000 500
Wed Weekly TUI WT1-WT5 WT1-WT5
Fri Weekly 1W-5W ZT1-ZT5 TW1-TW5
5-Year Quarterly/Serial FV OZF 25 7,500 3,750 1,875
Wed Weekly FVW WF1-WF5 WF1-WF5
Fri Weekly 1I-5I ZF1-ZF5 FV1-FV5
10-Year Quarterly/Serial TY OZN 21 7,500 3,750 1,875
Wed Weekly TYY WY1-WY5 WY1-WY5
Fri Weekly 1M-5M ZN1-ZN5 TY1-TY5
Ultra 10-Year Quarterly/Serial UXY OTN TN 1,400 700 350
Wed Weekly UXT WX1-5 WX1-WX5
Fri Weekly UXW TN1-5 TN1-TN5
T-Bond Quarterly/Serial US OZB 17 7,500 3,750 1,875
Wed Weekly USY WB1-WB5 WB1-WB5
Fri Weekly 1C-5C ZB1-WB5 US1-US5
Ultra T-Bond Quarterly/Serial WN OUB UBE 800 600 300
Wed Weekly WNY WU1-WU5 WU1-WU5
Fri Weekly 1J-5J UB1-UB5 UL1-UL5

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 PlatformSolutions@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) 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.

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 or Volume Match (BPVM) allocation may provide a guaranteed percentage of the cross order, provided the following conditions are met:
    • The price of the Request for Cross (“RFC”) represents a new best price level (both a bid price higher than the current bid and an offer price lower than the current offer) or
    • If the price of the RFC is equal to the best bid or offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time of submission of the RFC to CME Globex, and
    • During the five (5) second period between the entry of the RFC and the cross occurring, a better price for either the buy or sell order has not been entered into CME Globex.
    • Committed Cross FAQ

Better Price Match (BPM) Allocation Percentages

RATES PRODUCTS 

FUTURES

OPTIONS

Eurodollars

0%

45%

Treasuries

0%

45%

Fed Funds

0%

45%

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 pre-execution 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.