Intercontinental Exchange : Block Trade FAQ

	November 8, 2023
For More Information
Please Contact:
Energy Products	Agricultural, Metals & Financial Products
Patrick Swartzer	Kerry Demitriou
Director, Market Regulation	Chief Compliance Officer
[phone]	[phone]
[e-mail]	[e-mail]

	ICE FUTURES U.S.
	BLOCK TRADE - FAQs
1. What is a block trade?	......................................................................................................... 2

2. What are the eligible contracts and the minimum threshold quantities for a block trade? . 2

3.	Who may participate in block trades?	4
4.	Are there any price restrictions for block trades?	5
5.	Can any order be executed as a block trade?	5
6.	What recordkeeping and audit trail requirements are attendant to a block trade?	5
7.	What are the trading hours for block trades?	5
8.	How are block trades reported?	6
9.	What are the reporting requirements for block trades?	6
10.	What are the procedures for entering a block trade in ICE Block?	7
11.	How do I obtain access to enter orders directly into ICE Block?	8
12.	Must block trades be brokered by an Exchange Member or Clearing Member?	8
13.	Who is responsible for reporting the execution time?	9
14.	May spreads or combination trades be executed as block trades?	9
15.	May block trades be given up?	10

16. Can block trades be executed for a future or option position after Last Trading Day? .... 11

17.	Can orders be bunched to constitute one side of a block trade?	11
18.	What fees are associated with block trades?	11
19.	Can Trade at Settlement ("TAS") trades be executed as block trades?	11
20.	What is an eligible futures arbitrage block trade?	11
21.	Do block trades between accounts of affiliated parties constitute as Wash trade?	12
22.	What restrictions are in place regarding the disclosure of block trade details?	12
23.	What is a Block trade at Index Close (BIC) and for which products is it available?	13
24.	Is pre-hedging or anticipatory hedging of a block trade permitted?	14
25.	Do electronic platforms satisfy the private negotiation standard for a block trades?	14
26.	What is an Equity Basis Block ("EBB")?	15
Appendix A	17

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QUESTIONS

1. What is a block trade?

A block trade is a permissible, off-exchange, privately negotiated transaction either at or exceeding an Exchange determined minimum threshold quantity of futures or options contracts which is executed at a fair and reasonable price apart and away from the central limit order book. Exchange Rule 4.07 sets forth the requirements for executing a block trade.

Notwithstanding anything to the contrary in Rule 4.07 or this FAQ, the Chief Regulatory Officer or his designee may authorize an exception to the minimum threshold quantity, or permit a block trade at a price within the historical range for the contract(s) being traded, where, in the opinion of the Exchange official, it is deemed:

1. to be in the best interests of the Exchange; or (ii) to be the most appropriate means to remedy an error that results from the good faith acts or omissions of any Person.

Any decision to permit such a block trade shall be made at the sole and absolute discretion of the Chief Regulatory Officer or his designee. Without limiting the generality of the foregoing, such discretion may be exercised to facilitate the correction of trading errors or in instances involving the liquidation of a portfolio of positions where one or more of the legs of the aggregate transaction do not meet the block trade minimum threshold for the respective instrument(s).

2. What are the eligible contracts and the minimum threshold quantities for a block trade?

The minimum quantity requirements for block trades of eligible Energy futures and options contracts can be found under the "Energy Forms" tab at the link below:

Energy Futures and Options Block Minimum Sizes

https://www.theice.com/futures-us/regulation

Table 1 below lists the eligible agricultural and index futures and options contracts and the minimum quantity requirements for block trades. Table 2 below lists the eligible financial contracts and the minimum quantity requirements for block trades and Table 3 lists the eligible metals futures and options contracts and the minimum quantity requirements for block trades.

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TABLE 1 - Agricultural Contracts

	Product			Contract Type			Minimum Threshold Quantity
							250 lots.
				Futures			100 lots S11/White Sugar Arbitrage (see Question
	Sugar No. 11®						20 below) - 100 lots
				Calendar Spread Options			100 lots
				All Other Options			250 lots
							250 lots
Coffee "C"®		Futures
		100 lots	Arabica/Robusta Futures Arbitrage (see
							question 20 below)
				Calendar Spread Options		100 lots
				All Other Options		250 lots
				Futures			500 lots
	Cotton No. 2®			Calendar Spread Options			100 lots
				All Other Options[*]			250 lots
FCOJ		Options		100 lots
	Cocoa			Calendar Spread Options			100 lots
				All Other Options			350 lots
Canola		Options		50 lots

TABLE 2 - Financial and Digital Currency Contracts

Product		Contract Type		Minimum Quantity
NYSE FANG+TM Index		Futures		20 lots
MSCI ACWI NTR Index (MMW)
MSCI EAFE Index (MFS)
MSCI Emerging Markets Index (MME)
MSCI Emerging Markets NTR Index (MMN)
MSCI Emerging Markets Asia NTR Index (ASN)		Quarterly &
MSCI Emerging Markets EMEA NTR (MMM)			50 lots
	Daily Futures
MSCI Emerging Markets Latin Am. NTR Index (MML)
MSCI Europe Index (MCE)
MSCI Europe MTR Index (EU9)
MSCI North America NTR Index (NAA)
MSCI World NTR Index (MWS)
All other MSCI Indexes		Quarterly &		5 lots
		Daily Futures
NYSE Biotechnology IndexSM GTR		Futures		5 lots
NYSE Semiconductor IndexSM GTR		Futures		5 lots
U.S. Dollar Index		Futures		75 lots
	Options		25 lots
All Currency Pair		Futures		5 lots
ICE U.S. Conforming 30-year Fixed Mortgage Rate Lock		Futures		5 lots
Weighted APR Index
ICE U.S. Jumbo 30-year Fixed Mortgage Rate Lock		Futures		5 lots
Weighted APR Index
SOFR Index		Futures		5 lots

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TABLE 4 - Metals Contracts

Product	Contract Type	Minimum Quantity
Gold Daily	Futures	5 lots
Silver Daily	Futures	5 lots

Note:in the case of a strategy trade, the sum of the legs must be at least the block threshold level

3. Who may participate in block trades? Each party to a block trade must be either:

1. an Eligible Contract Participant ("ECP") as that term is defined in Section 1a(18) of the Commodity Exchange Act ("Act"). ECPs include, but are not limited to floor brokers, FCMs, broker/dealers, financial institutions, insurance companies, pension funds, corporations, commodity pools, investment companies and high net worth individuals which satisfy certain criteria specified in Section 1a(18) of the Act. Notwithstanding the foregoing, if the block trade is entered into on behalf of a Customer by a commodity trading advisor registered under the Act ("CTA"), including without limitation any investment advisor registered as such with the Securities and Exchange Commission who is exempt from regulation under the Act or CFTC regulations with total assets under management exceeding US $25 million, or by a foreign entity performing a similar role or function to a CTA or investment advisor that is subject to foreign regulation with total assets under management exceeding US $50 million, the individual Customer need not be an ECP.
2. a non-United States person, as such term is defined in CFTC Regulation 4.7(a)(1)(iv). This includes (a) natural persons not resident in the US, (b) corporations, partnerships and other entities organized under the laws of a foreign jurisdiction with their principal place of business in a foreign jurisdiction, (c) an estate or trust, the income of which is not subject to US income tax, and (d) an employee pension plan of an entity organized and having its principal place of business outside of the U.S.,
3. a corporation, business trust, partnership, limited liability company or similar business venture (other than a commodity pool), which, at the time of entering into the first block trade on the Exchange, has total assets in excess of $5 million and meets one of the portfolio requirements specified in CFTC Regulation 4.7(a)(1)(v), as described below,
4. -anindividual with net worth, or joint net worth with a spouse, of $1 million who qualifies as an accredited investor under SEC regulation 501(a)(5) on that basis and meets one of the portfolio requirements specified in CFTC Regulation 4.7(a)(1)(v), as described below, or

(5)- an individual that had $200,000 income in the prior 2 years (or $300,000 if joint with a spouse) and has a reasonable expectation of earning the same in the current year, who qualifies as an accredited investor under the income test of SEC regulation 501(a)(6) on that basis and meets one of the portfolio requirements specified in CFTC Regulation 4.7(a)(1)(v), as described below.

The portfolio requirements applicable to any Person executing block trades in reliance on meeting the standards in paragraphs 3, 4 or 5 above are as follows:

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(i)-The trader owns securities and other investments with an aggregate market value of $2 million, or

(ii)-the trader has had on deposit with an FCM for their own account, at any time during the 6 months preceding the date of the first block trade, at least $200,000 initial margin and option premiums together with required minimum security deposits for retail forex transactions for commodity interest transactions; or

1. - a combination of (i) and (ii) above, so long as the sum of the amounts from each of subsection (i) and (ii), expressed as a percentage of the minimum $ amount specified in the subsection, equals 100%; e.g., $1 million in securities and $100,000 in futures margin and premiums.

4. Are there any price restrictions for block trades?

Exchange Rule 4.07 provides that all block trades must be executed at a price which is fair and reasonable in light of the size of such block trade, the price and size of other trades in the same contract at the relevant time; and the price and size of trades in other relevant markets, at the relevant time. In addition, the trade price must adhere to the minimum tick and price validation requirements of the market in question. Additionally, each leg of any blocked spread or combination trade must be done at a single price. It is impermissible to split the quantity of a particular leg and report different prices for such leg.

Notwithstanding the foregoing, block trades in all MSCI Index futures contracts (including spread blocks and Block at Index Close or "BIC" Trade) may be priced in thousandths (0.001) of an index point even though the minimum tick size in the central order book is larger.

5. Can any order which exceeds the minimum quantity threshold be executed as a block trade?

No, the order must specifically be designated as a block trade by the customer.

6. What recordkeeping and audit trail requirements are attendant to a block trade?

The recordkeeping and audit trail requirements associated with a block trade are identical to the requirements associated with any other futures or options transaction. In addition, order tickets must explicitly state that the order may be executed as a block trade.

7. What are the trading hours for block trades?

Block trades for all products may be executed at anytime.

For Energy Futures contracts, Block and EFS trades will be allowed until the close of the ETS on the Business Day prior to the Final Payment Date.

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For Energy Options contracts, Block and EOO trades will be allowed until either 4:15pm EPT or 15 minutes prior to the Exercise Notice deadline defined in 18.04(d,) whichever is earlier, on the Exercise Day.

8. How are block trades reported?

A block trade may be reported directly using Exchange approved electronic functionality, such as the ICE Block application. A participant or an authorized submitter (i.e. broker or clearing member) unable to report a block trade directly must, within the time limits prescribed in Question 9, submit complete block trade details as described below to ICE Futures U.S., by email at futures- [e-mail]. The time stamp the email was sent with all the applicable information will constitute the submitted time to the Exchange.

The information below should, at minimum, be provided in the initial email to ICE Operations:

Trade Date

Execution Time (the time the deal was consummated)

Quantity

Total quantity

Strip(s)

Product Code(s)

Product(s)

Price

Strike(s)

Put or Call

BIC Information (if applicable)

Buying Firm

Buy Trader Name and ID Contact details

Email Phone # Clearing Account # Selling Firm

Sell Trader Name and ID Contact details

Email Phone # Clearing Account #

Any party involved in the consummated block trade(s) must promptly confirm the terms of such block trade(s) with ICE's Market Supervision in a timely manner. Failure to do so may constitute a violation of Exchange Rule 4.07 and may result in summary fine or disciplinary action.

Both the clearing member for the buyer and the clearing member for the seller must accept or challenge the transaction within 30 minutes of the trade being submitted to ICE Futures U.S. No matter how the block trade is submitted to the Exchange, the recordkeeping and audit trail requirements associated with a block trade are identical to the requirements associated with any other futures or options transaction.

9. What are the reporting requirements for block trades?

Block trades in the following contracts must be reported no later than 15 minutes of execution:

• Energy Futures and Options*;
• Metals Futures and Options*;
• Currency Futures and Options**;
• Credit Index Futures Contracts*;

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• NYSE Arca Gold Miners Index Futures*; and
• MSCI Futures and NYSE FANG+ Index (except Block at Index Close Trades**).

For Energy Futures and Options Contracts, Metals Futures and Options Contracts, Currency Futures Contracts, Credit Index Futures Contracts, NYSE Arca Gold Miners Index Futures Contracts, MSCI Futures Contracts and BICs on MSCI Futures Contracts, fifteen (15) minutes from the time of execution.

For all other products, five (5) minutes from the time of execution for single leg trades and 10 minutes from of time of execution for block trades consisting of two or more legs.

Block trades which are executed during normal trading hours for an Exchange Futures Contract or Exchange Option or during specified hours on certain designated holidays determined by the Exchange, which will be announced by the Exchange in advance of such holidays, must be reported no later than the time periods specified above after execution. For block trades executed outside of normal trading hours or on non-designated holidays, the block trade must be reported to the Exchange no later than 5 minutes prior to the open of the next trading session for the particular block eligible contract.

The failure to submit timely, accurate and complete block trade details may subject the party responsible for the reporting obligation to disciplinary action.

*For each of these products and notwithstanding the foregoing, all block trades executed during the last ten minutes of the trading day must be reported to the Exchange no later than five minutes after the close of trading.

**Currency Futures and Options include Digital Currency Contracts for purposes of reporting requirements.

***In the case of Block at Index Close (BIC) trades on MSCI Index Futures Contracts and NYSE FANG+ Index Futures, (see Question 23 for additional information), there are separate time considerations given the time that the index value is published.

10. What are the procedures for entering a block trade in ICE Block?

In order to submit a block trade directly into ICE Block, the party entering the transaction must have access to ICE Block or WebICE and must have received permission via the ICE Block application to enter the trades for the accounts involved in the block trade from the Clearing Member(s) carrying those accounts (see Question 12 below). Any party that utilizes ICE Block to submit trade(s) to the Exchange must take reasonable steps to ensure their actions do not cause significant market interruptions or system anomalies that may limit the ability of other market participants to trade, engage in price discovery, or manage risk. In the event that a block trade is executed for an account or accounts for which the appropriate ICE Block permissioning has

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not been completed by the clearing member, such block trade must be submitted by notifying ICE Futures U.S., as described in Question 8 above.

The party submitting the block trade must enter complete block trade details into the ICE Block application within the time provided in Question 9, as follows:

a. Single sided-- where the seller/buyer submits a trade that is alleged to the buyer/seller. The buyer/seller must confirm the alleged block within the aforementioned reporting time period.

b. Two sided-- where the seller/buyer submits and confirms for both the buy and sell side of the block. The selling/buying clearing member/authorized submitter will need to be permissioned to accept trades on behalf of the buying/selling clearing member. Two sided entry of blocks in ICE Block will automatically clear and be downloaded to PTMS.

In the case of block trades involving an arbitrage transaction (see Question 20 for additional information), the submitter must also report the arbitrage premium and the details (Month/Yr) for the contract month involved in the ICE Futures Europe leg by entering that information in the "Transaction Details" text field on the block trade submission screen in ICE Block.

In the case of Block at Index Close (BIC) trades on MSCI Futures Contracts, (see Question 23 for additional information), the submitter must also report the agreed upon basis and the date and time at which the basis was agreed by entering that information in the "Transaction Details" text field on the block trade submission screen in the ICE Block application.

11. How do I obtain access to enter orders directly into ICE Block?

In order to obtain access to ICE Block, Clearing Members, customers and third parties must have completed or must complete: (1) an ICE Futures U.S. Electronic User Agreement or ICE Futures U.S. Broker Agreement; and (2) an ICE Futures U.S. Enrollment Form. In addition, Customers and third parties (brokers) must receive permission to submit a block trade directly into ICE Block from the Exchange Clearing Member(s) clearing the specific account(s) involved in the block trade. PLEASE NOTE: such permission must be received for EACH INDIVIDUAL ACCOUNT for which the customer or third party intends to enter a block trade and must be given by the

CLEARING MEMBER CLEARING THE ACCOUNT.

Clearing Members can permission customers and third parties to enter blocks and/or EFRPs (EFPs, EFSs and EOOs) for the accounts they clear through Clearing Admin. The Help Desk can be contacted at 770-738-2101 to assist in setting up access for firms and their designated users.

12. Must block trades be brokered by an Exchange Member or Clearing Member?

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No. If the clearing member(s) has so authorized, block trades may be negotiated directly between non-member "eligible contract participants" (customers). In the event, however, customers directly negotiate block trades, the affected clearing members are responsible for the timely capture and reporting of all required information including the time of execution.

13. Who is responsible for reporting the execution time?

Either party, or broker, may report a block trade. However, in circumstances where no broker was involved and the parties are unclear on who is responsible to report the consummated block trade, the seller would be the responsible party to ensure it is reported.

The party or broker submitting the block trade to the Exchange is responsible for reporting the time of execution (the time the parties agreed to the block transaction). As discussed in Question 10 above, for single-sided entry of block trades, the first party or broker submitting the block trade to the alleged party must report the execution time.

14. May spreads or combination trades be executed as block trades?

Yes. Spreads and combinations may be executed as block trades provided the trade represents a unified strategy controlled by a single entity and executed for a single account or group of eligible accounts (see Question 17).

Intra-commodity

Intra-commodity futures spreads, intra-commodity options spreads may be executed as block trades provided that the sum of the quantities of the legs of the transaction meets the requisite minimum quantity requirements ("MQR").

For example, the MQR for the Henry Basis Future contract ("HEN") is 25 contracts. A 15 lot September 2012 / October 2012 HEN spread may be blocked as a block trade. Please note that the 15 September 2012 and 15 October 2012 may be aggregated to satisfy the 25 lot MQR.

Inter-commodity

Inter-commodity futures spreads, inter-commodity options spreads and inter-commodity combination transactions may be executed as block trades provided that the sum of the quantities of the legs of the transaction meets the largest MQR for the underlying products.

For example, the MQR for the MISO Indiana Real Time Financial Off- Peak futures contract ("CPO") is 10 contracts and the MQR for the NYISO Zone A Financial Off-Peak futures contract ("AOP") is 78 contracts. A 50 lot September 2012 CPO/ October 2012 AOP inter- commodity spread may be blocked as a block trade. Please note that

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the 50 September 2012 CPO and 50 October 2012 AOP may be aggregated to satisfy the largest MQR of 78 lots (AOP).

Futures/Options Combination

Inter-commodity and intra-commodity combination block trades may be executed in all products where the option contract is eligible for block execution.

In order for a combination to meet the requirements for block execution, the sum of the quantities of the options leg must satisfy the requisite MQR (please review the Intra/Inter Commodity language reflected above to determine the required MQR). While the futures leg does not need to separately satisfy the requisite MQR, the futures leg must offset the net options position of the options leg(s). Please note that the futures leg cannot be greater or less than the number of contracts required to offset the net delta of the options leg(s).

For example, assume that a block combination trade for Henry Penultimate options ("PHE") and futures ("PHH") is agreed between two parties, consisting of 80 lots of December 2012 PHE $4.00 Calls and 16 November 2012 PHH futures contracts (a 20 delta). Since the MQR for options on Henry Penultimate (PHE) is 60 lots, the options quantity complies with the MQR for the options portion of the combination trade; given the options quantity of 80 lots and the 20 delta for the options, the future quantity of 16 lots is equal to the net delta of the options position (calculated by multiplying the options quantity by the delta, or 80 X .2000 = 16 lots), and therefore the futures quantity complies with the volume requirement for the futures position of the combination. If the futures quantity in this example were significantly larger or smaller than 16 lots, it would not comply with the volume requirement for the futures portion of a combination block trade.

Multi-ExchangeInter-Commodity Strategies

Inter-commodity futures and options spreads in energy contracts (Natural Gas, Power, Physical Environmental, Liquefied Natural Gas, and Oil) where one leg includes an ICE Futures U.S. contract and another leg includes an ICE Futures Europe contract may be executed as a block trade provided that the sum of the quantities of the legs meets the MQR for the ICE Futures U.S. product.

A strategy that includes an ICE Futures U.S. contract and a contract from an exchange other than ICE Futures Europe may not combine the quantities of the legs to meet the MQR. Instead, the block trade quantity must meet the MQR of the ICE Futures U.S. contract.

15. May block trades be given up?

Yes. Block trades may be given up.

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