INTEREST RATES
Interest Rate Options Quick Reference Guide
BLO CKS, PR E- EXECUT ION COMMUN I CAT I O NS, SI M ULTANEO US O R D ERS
What You Need to Know about Block Trades
HOURS
European trading hours (ETH): 12:00 a.m. – 7:00 a.m. Central Time (CT)
Monday – Friday on regular business days
Regular trading hours (RTH): 7:00 a.m. – 4:00 p.m. CT
Monday – Friday on regular business days
Asian trading hours (ATH):
4:00 p.m. – 12:00 a.m. CT
Monday – Friday on regular business days and at all times on weekends
REPORTING TIMES
ETH or ATH: Trade must be reported within 15 minutes of the transaction anytime that the Global Command
Center (GCC) is open
RTH: Trade must be reported within 5 minutes of the transaction
REPORTING OBLIGATION
• In the case of a brokered transaction, the price reporting obligation is the responsibility of the broker
handling the block trade, unless otherwise agreed to by the principal counterparties to the block trade.
• Price reporting obligations are the responsibility of the seller, unless otherwise agreed to by the principal
counterparties to the block trade. The term “seller” refers to the principal counterparty acting as the
seller of the block trade.
BLOCK THRESHOLDS
Options
RTH
ETH
ATH
Eurodollars
10,000
5,000
2,500
Ultra Treasury Bond
800
600
300
Treasury Bond
7,500
3,750
1,875
10-Year Treasury Bond
7,500
3,750
1,875
5-Year Treasury Bond
7,500
3,750
1,875
2-Year Treasury Bond
2,000
1,000
500
Note: For option strategies, each leg must meet the minimum threshold, e.g.
a ED options butterfly in ETH minimum would be 5,000x10,000x5,000
Complete block thresholds can be found at www.cmegroup.com/interestrateblockthresholds
BLOCK FEES
CME Interest Rate (Eurodollar) products: same fees apply as executing on Globex
CBOT Interest Rate Products (Treasury, Fed Fund): $0.75 surcharge on each contract, in addition to
standard trading and execution fees
Pit
Globex
Block
Eurodollar Option Member
$0.09
$0.24
$0.24
Treasury Option Member
$0.12
$0.12
$0.87
All-in fee examples can be found at www.cmegroup.com/interestrateblockfees
Full fee schedule can be found at www.cmegroup.com/fees
BLOCK MARKET MAKERS
Register to receive contact information for market makers (in all asset classes) at
www.cmegroup.com/mmcontact
What You Need to Know about Block Trades (cont.)
BLOCK ENTRY THROUGH
CME DIRECT
CME Direct: CME Direct provides direct entry into Front End Clearing. Block trades reported through CME
Direct fulfill reporting requirements and obligation for entry into front end clearing.
Use CME Direct, to execute on a customer’s behalf or 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 to CME ClearPort.
CME Direct Block Trade Features:
• Fast booking – immediately submit block trades or exchange for swaps (EFS) 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
• Broker Whiteboard – track and share customer prices and interest across the broking desk
• API integration – interface with CME Direct to book trades into in-house systems
Register for CME Direct at www.cmegroup.com/smartclick
BLOCK ENTRY THROUGH
FRONT END CLEARING
Global Command Center (“GCC”)
Block trades price reported to the GCC or Exchange staff must be submitted to CME Clearing through the
FEC User Interface via the portal under BLOCK entry.
Reporting the trade to GCC only fulfills the reporting requirements, so must be entered into Front
End Clearing (FEC).
• For block trades executed between 6:00 a.m. and 6:00 p.m. Central Time, firms must submit the trade
within one hour to Front End Clearing.
• For block trades executed between 6:00 p.m. and 6:00 a.m. Central Time, firms must submit the trade no
later than 7:00 a.m. Central Time to Front End Clearing.
Report the Block trade by Calling the GCC at:
+44 800 898013 (Europe), +1 800 438 8616 (US), +65 6532 5010 (Asia)
Front end clearing information can be found at:
www.cmegroup.com/front-end-clearing
INFORMATION REQUIRED
WHEN REPORTING A
BLOCK
• Contract, month, year (for options, also include strike price; for standard options, whether put/call;
for flex options, expiration date and exercise style)
• Quantity and price (on each leg for spreads/combinations)
• Buyer’s and seller’s clearing firms
• Name and phone number of party reporting if reported to GCC
• Name and contact information for party reporting and counterparty if reported by phone or by email
to the CME ClearPort Facilitation desk
• Execution time (to nearest minute in CST): Execution time is the time the trade was consummated.
PRICING A BLOCK
• Must be “fair and reasonable” based on the size of the block, market conditions in the contract and related
products, and the circumstances of the market and parties to the trade
• Pricing must be in minimum tick increments
VIEW BLOCK TRADES
You can view block trades on:
• CME Direct, which offers a live block trade window
• CME Group App, available through iTunes
• CME Group’s Website at www.cmegroup.com/blocktrading
Request for Cross for IR Options Products (Pre-Execution communications)
Brokers engaging in Pre-Execution communications with market makers must enter a
Request for Cross (RFC).
Pre-Execution are communications where size, direction or price are discussed.
• Before submitting an RFC, a request for quote (RFQ) must be submitted to the market
• 15 seconds must elapse before submitting the RFC
– There is no indication in the RFQ that a cross is going to take place.
– A number of ISVs support RFC, however EOS Trader is the most common point of entry with an RFC ticket that ensures
regulatory compliance. This functionality is currently being duplicated in CME Direct for IR Options.
• There is no guaranteed percentage in a RFC
–Upon entry if the Cross is mid-market, then 100% of both sides will match.
–If the cross is at a price level currently on the market then it will face the order book first.
Example: There is a 7-8 market and you want to Cross 7.5 1,000 times
• RFQ is submitted and market tightens to 7-7.5 with 200 at 7.5 during the 15 second waiting period.
• Upon entry of the RFC the 200 contracts would be filled from your bid.
• The remaining 800 on the bid would cross with your 7.5 offer.
• 200 contracts would be left on the offer side.
More information, including the full regulatory advisory can be found at www.cmegroup.com/rfc
A demonstration of the RFC process can be found at www.cmegroup.com/education/video-tutorial-rfc-interest-rates-options.html
Simultaneous Buy and Sell Orders for Different Beneficial Owners
Full details of Rule 533 can be found at www.cmegroup.com/rulebook/files/cme-group-ra1301-5.pdf
A broker in possession of opposite orders for different beneficial owners for the same product and expiration month, and, for a
put or call option, the same strike price, may execute such orders for and directly between such beneficial owners provided that:
Pit Trading:
• A member executing such orders shall first bid and offer by open outcry three times at the same price, stating the number of
contracts. If neither the bid nor the offer is accepted, the orders may be matched and approved.
• The member doing the transactions shall clearly identify all transactions on his trading card or other similar record made at
the time of the execution and then ensure that it is reported to Exchange price reporting staff
Globex Trading:
• Opposite orders for different beneficial owners that are simultaneously placed by a party with discretion over both accounts
may be entered into the Globex platform provided that one order is exposed for a minimum of 5 seconds in the case of
futures or swaps orders or a minimum of 15 seconds in the case of options orders.
• An order allowing for price and/or time discretion, if not entered immediately upon receipt, may be knowingly entered
opposite another order entered by the same firm only if this other order has been entered immediately upon receipt and
has been exposed on the Globex platform for a minimum of 5 seconds for futures or orders or a minimum of 15 seconds for
options orders
For more information about Block Trading for Interest Rate Options visit
www.cmegroup.com/interestrateblocks.
For questions, contact:
DAVE REIF
david.reif@cmegroup.com
+1 312 648 3839
AGHA MIRZA
agha.mirza@cmegroup.com
+1 212 299 2833
CME GROUP HEADQUARTERS
CME GROUP GLOBAL OFFICES
20 South Wacker Drive
Chicago, Illinois 60606
cmegroup.com
Chicago New York
+1 312 930 1000
+1 212 299 2000
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+65 6593 5555
+1 403 444 6876
+852 2582 2200
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São Paulo
Seoul
+1 713 658 9292
+55 11 2565 5999
+82 2 6336 6722
Tokyo
Washington D.C.
+81 3 3242 6233
+1 202 638 3838
Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible to lose
more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should
be devoted to any one trade because they cannot expect to profit on every trade. All examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered
investment advice or the results of actual market experience. CME Group is a registered trademark of Chicago Mercantile Exchange Inc. The Globe logo, Globex, CME and Chicago Mercantile Exchange are
trademarks of Chicago Mercantile Exchange Inc. Chicago Board of Trade is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is a trademark of the New York Mercantile Exchange, Inc. The
information within this brochure has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of this brochure. CME Group assumes no
responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results
of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, NYMEX and CBOT rules. Current CME/CBOT/NYMEX rules should
be consulted in all cases before taking any action.
The content of this marketing collateral should not be taken as a recommendation or endorsement to buy sell or retain any specific product, security investment or other service nor does it constitute a
Prospectus. The content of this presentation is intended solely for the use of Eligible Counterparties and Professional (non-retail) Clients as defined under FSMA 2000 and circulation must be restricted
accordingly. Potential users of the services herein described are recommended to take independent advice. This communication is issued by CME Marketing Europe Limited. CME Marketing Europe Limited
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