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CME Group, the world's largest and most diverse derivatives exchange, today announced plans to modify its block trading thresholds and reporting time requirements for CME and CBOT interest rate futures and options, and also to extend CME Globex request-for-cross (RFC) functionality to all CBOT interest rate options. The changes take effect Monday, March 30, 2009. CME Group's interest rate products are listed with, and subject to, the rules of CME and CBOT.
In response to customer feedback, CME Group is making modifications to CME and CBOT rules for interest rate products that include the following:
- Modify Block Thresholds - Block thresholds for regular trading hours (RTH) have been modified for selected interest rate futures and options and block rules have been standardized where appropriate. Block thresholds during European trading hours (12am-7am) will be half of regular trading hours (7am-4pm) and block thresholds during Asian trading hours (5pm-12am) will be one quarter of regular trading hours.
- Standardize Block Trade Reporting Time Requirements - For all interest rate products, block trade reporting time requirements will be 15 minutes during European and Asian hours and five minutes during regular trading hours.
- Implement Request-for-Cross (RFC) - CME Group will extend the RFC functionality currently employed for CME options products to all CBOT interest rate options executed on CME Globex. The associated rule will allow for pre-execution communications in connection with electronic trading of these products and ensures transparency and competitive execution by requiring solicitation of interest from all market participants via request-for-quote prior to submission of the cross request.
These changes are intended to enhance the execution options of market participants and result in more standardized trading rules across all interest rate products. For additional information about block trading thresholds and reporting time requirements, click here; and for information about RFC, click here.
