Entering Derived Block Trades

To input a Derived Block trade, confirm the Futures checkbox is selected. Next, select New or Replace and Derived Block. After that, select the Type (Simple, Spread, Strip), Product (i.e., IBHY, IBIG, IEMD), Instrument/Expiration from the appropriate drop-down menus. Next, enter the Size, Price, and Side (Buy or Sell) of the transaction.

In the Hedge Method drop-down menu, select a method. If selecting Other, enter a description in the Other Description field.

In the Hedge Product(s) field, enter the product(s) in which the hedge(s) took place.

Under Price Calculation Methodology, describe the agreed upon methodology for calculating the price of a Derived Block Trade, including by specifying the amount of any basis, ratio, number, percentage, fraction, or other value to be used in that calculation (maximum 200 characters).

In the Hedge Start Time and Hedge End Time fields, enter the start and end times of the hedging transaction. The current format is HH:MM:SS.

In the Trade Time (Nearest Minute, Central, HH:MM:SS) field, enter the time at which the parties agreed to the items required to be agreed to in advance of consummating a Derived Block Trade. These items include:

• the execution of the transaction will be consummated as a Derived Block Trade;
• the number of contracts to be traded between the parties as part of the Derived Block Trade or the notional value of the Derived Block Trade, which must meet or exceed the applicable Block Trade minimum quantity threshold;
• the product(s) in which the hedging transaction(s) by the Hedging Party relating to the Derived Block Trade will take place;
• the execution methodology for the hedging transaction(s) by the Hedging Party relating to the Derived Block Trade; and
• the methodology for calculating the price of the Derived Block Trade, including specification of the amount of any basis, ratio, number, percentage, fraction, or other value to be used in that calculation.

In the Arrangement Time (Nearest Minute, Central, HH:MM:SS) field, enter the time (if any) at which the parties agreed to enter into the transaction at a later time. This field is optional.