Interest Rate Futures and Options Quick Reference Guide

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)

View complete block thresholds and reporting times.

1. About SOFR futures block trades:
   • Three-Month SOFR futures (SR3):
     • During Regular Trading Hours (RTH): 2,000 outright contracts or 500 Year 1 “white” packs
     • During European Trading Hours (ETH): 1,000 outright contracts or 250 Year 1 “white” packs
     • During Asian Trading Hours (ATH): 500 outright contracts or 125 Year 1 “white” packs
   • One-Month SOFR futures (SR1):
     • During Regular Trading Hours (RTH): 500 outright contracts or 125 Year 1 “white” packs
     • During European Trading Hours (ETH): 250 outright contracts or approximately 63 Year 1 “white” packs
     • During Asian Trading Hours (ATH): 125 outright contracts or approximately 31 Year 1 “white” 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 ESTR vs. 3-Month SOFR spread may be executed via block provided that the size of each leg is at least 100 contracts, the block minimum for 3-Month ESTR 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”.

^{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:

• 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 most Interest Rate products, with some exceptions (TBA futures, swap futures). 

Adoption of a 15-Minute Block Trade Reporting Window During Regular Trading Hours for Block Trades Exceeding Certain Larger Block Trade Quantity Thresholds for all U.S. Treasury Futures Contracts

Pursuant to SER-9364R, effective Sunday, June 30, 2024, for trade date Monday, July 1, 2024, and pending all relevant CFTC regulatory review periods, The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) will adopt an expanded block trade reporting window applicable to regular trading hours (“RTH”) for block trades exceeding a certain block trade minimum quantity threshold (“larger block trade quantity threshold”) for all CBOT U.S. Treasury futures contracts (the “Contracts”) as more specifically described in Table 1. below. Specifically, CBOT will expand the reporting window from five (5) to fifteen (15) minutes during RTH for block trades meeting the larger block trade quantity threshold of the Contracts. The block trade reporting window during European Trading Hours (“ETH”) and Asian Trading Hours (“ATH”) will remain unchanged at fifteen (15) minutes for all block trade transactions of the Contracts.

*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.

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. CT
• Asian trading hours (ATH): 4:00 p.m. – 12:00 a.m. CT

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.

• 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. 

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.

• 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

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

• 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.