In addition, block trading will be added as an execution option for CME's Three-Month Euroyen contract, with a 200-contract minimum, and One-Month LIBOR contract , with a 400-contract minimum.
A block trade is a privately negotiated futures or option transaction executed apart from the public auction market. Block transactions may be executed by eligible parties on or off CME trading floors. They must be priced at "fair and reasonable" levels in light of the size of the transaction and the circumstances of the parties to the transaction.
The revised minimum threshold for Eurodollars would replace current levels of 7,500 futures contracts and 10,000 options. CME's rules for block trading are reviewed on a quarterly basis.
Eligible participants include exchange members and member firms, broker/dealers, government entities, pension funds, commodity pools, corporations, investment companies, insurance companies, depository institutions and high net worth individuals. In addition, Commodity Trading Advisors (CTAs) and registered investment advisors-with net assets under management of at least $25 million-may also conduct block transactions.
CME's Eurodollar futures, introduced in 1981, are currently the most heavily traded futures contract in the world. Eurodollars are bank deposits denominated in U.S. dollars held outside of the United States and have been a pricing benchmark in corporate funding for decades. The Eurodollar futures contract represents an interest rate on a three-month deposit of $1 million.
