MARKET REGULATION ADVISORY NOTICE______________________________________________________________________

Exchange

CME, CBOT, NYMEX & COMEX

Subject

TAS, TAM, BTIC, TACO, and TMAC Transactions

Rule References

Rule 524

Advisory Date

July 13, 2023

Advisory Number

CME Group RA2302-5

Effective Date

July 31, 2023

Effective on trade date July 31, 2023, and pending all relevant CFTC regulatory review periods, thisMarket Regulation Advisory Notice will supersede CME Group Market Regulation Advisory Notice
RA2301-5 from June 1, 2023. It is being issued in connection with the adoption of CME and CBOT
Rule.524.D. (“Trade Marker at Close (‘TMAC’) Transactions”). The new TMAC transaction type will allow
market participants to trade certain equity index futures contracts at the current day’s applicable marker
price, or at any valid price increment up to four ticks higher or lower than the marker. (See SER-9219)
The marker price for TMAC transactions will be derived from the volume-weighted average price (“VWAP”)
of outright transactions in the underlying instrument executed on CME Globex electronic trading platform(“CME Globex”) in the 30-second window ending at 4:00 p.m. Eastern Prevailing Time (“EPT”). Trading
activity in this 30-second window is also used by the Exchanges for purposes of calculating reference prices
known as the Fixing Prices for the respective instruments. The daily TMAC marker price for each eligible
instrument will therefore equal the Fixing Price, published by the Exchanges and made available on the
CME Group website.

No other substantive changes have been made to this Advisory Notice.
Information on the specific products, contract months and spreads eligible for pricing as TAS, TAM, BTIC,
TACO, or TMAC transactions is contained in the Trading at Settlement (“TAS”) Table set forth in theInterpretations & Special Notices Section at the end of Chapter 5 of each Exchange’s Rulebook. The
table may also be accessed here.
TAS, TAM, BTIC, TACO, and TMAC transactions are subject to the information contained in the Advisory
Notice, each Exchange’s Rule 524, and, for BTIC, TACO, and TMAC transactions, provisions containedin applicable CME and CBOT futures product chapters. The text of each Exchange’s Rule 524 appears
in Section 6 of this Advisory Notice.
1.

General Information on TAS, TAM, BTIC, TACO, and TMAC Transactions

TAS permits parties to trade at a differential to the current day’s not-yet-known futures settlement
price. TAM and TMAC permit parties to trade at a differential to the current day’s not-yet-known
Exchange-determined marker price.
Orders for CME and CBOT TAS and TMAC-eligible futures products may be entered into CME Globex for
execution at the current day’s settlement price, marker price, or any valid price increment up to four ticks
higher or lower than the settlement price.

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July 13, 2023
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CME and CBOT TAS and TMAC-eligible futures products may also be executed as block trades, EFPs,
or EFRs and priced at the current day’s settlement price, marker price, or any valid price increment up to
four ticks higher or lower than the settlement price.
Orders for NYMEX and COMEX TAS- and TAM-eligible futures products may be entered into CMEGlobex for execution at the current day’s settlement or marker price, as applicable, or any valid priceincrement ten ticks higher or lower than the applicable settlement or marker price, except for spot month
Copper futures which may be executed on CME Globex and priced solely at the settlement price, or TAS
flat.
NYMEX and COMEX TAS- and TAM-eligible futures products may also be executed as block trades,
EFPs, or EFRs and priced at the settlement or marker price, as applicable, or any valid price increment
ten ticks higher or lower than the settlement or marker price, except for spot month Copper futures blocktrades, EFPs, and EFRs which may be priced solely at the settlement price, or TAS flat.
BTIC permits parties to trade at a differential (basis) to an eligible futures contract’s underlying cash Index
or a related index as described in the product chapter in which the closing level is not-yet-known.
TACO permits parties to trade at a differential (basis) to an eligible futures contract’s underlying cash
Index special opening quotation (“SOQ”), which is not-yet-known.
Orders for certain CME and CBOT futures products may be entered into CME Globex for execution at thecurrent day’s eligible closing price or any fair and reasonable basis above or below the current day’s
eligible closing price.
Certain CME and CBOT futures products may be executed as a block trade and priced at the underlying
futures contracts’ eligible closing price or at a differential (basis) to the cash Index, or a related index as
described in the product chapter, closing price.
Orders for CME E-mini S&P 500 futures may be entered into CME Globex or executed as a block trade
for pricing at the next following regularly scheduled SOQ or any fair and reasonable basis above or below
the next following regularly scheduled SOQ.
The basis must be stated in admissible futures price increments for the specific futures contract. In thecase of a BTIC or TACO block trade, the negotiated basis must be fair and reasonable in light of factors
including, but not limited to, financing rates, expected dividend income, and time remaining until theunderlying futures contract expiration.
Information on products eligible to be executed as block trades and priced as TAS, TAM, BTIC, TACO, or
TMAC transactions may be found here:
http://www.cmegroup.com/clearing/trading-practices/block-trades.html
2.

Regulatory Considerations

All market participants are reminded that any trading activity that is intended to disrupt orderly trading or
to manipulate or attempt to manipulate prices to benefit a TAS, TAM, BTIC, TACO, or TMAC position,
including a position established as a block trade, will subject the member and/or the market participant todisciplinary action for any of a number of rule violations, including, but not limited to:• price manipulation or attempted price manipulation

CME Group RA2302-5
July 13, 2023
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• wash trading• conduct detrimental to the interest or welfare of the Exchange or conduct which tends to impair
the dignity or good name of the Exchange• engaging in conduct inconsistent with just and equitable principles of trade
Investigation of suspected manipulative or disruptive activity related to TAS, TAM, BTIC, TACO, or TMAC
or activity in the related underlying markets will include the Market Regulation Department’s(“Department”) review of positions and trading activity in the applicable Exchange markets and any
related markets to determine if such activity was disruptive, collusive, and/or caused or attempted tocause aberrant price movement during these periods. Pursuant to Rule 432.L.3, market participants arereminded that it is an offense to fail to produce any books or records requested by authorized Exchange
staff within 10 days after such request is made or such shorter period of time as determined by the
Exchange in exigent circumstances. The Department always has the authority to request books andrecords as well as other relevant information regarding the nature of a participant’s trading and positions
in Exchange products and in any related markets as part of its regulatory program.
3.

Entry of TAS, TAM, BTIC, TACO, and TMAC Orders on CME Globex

Rule 524 permits the initiation of TAS, TAM, BTIC, TACO, and TMAC orders into CME Globex only
subsequent to the beginning of each group’s pre-open state and during the time period the applicable
contracts are available for TAS, TAM, BTIC, TACO, or TMAC trading on CME Globex, as applicable. The
initiation of any TAS, TAM, BTIC, TACO or TMAC order on CME Globex outside of these time periods isstrictly prohibited.
Market participants are reminded that the timing of each groups’ pre-open state may be randomized, as
described in the Client Systems Wiki, available here.
Any market participant who initiates the entry of a TAS, TAM, BTIC, TACO or TMAC order prior to receiptof the security status message indicating that the market has transitioned to the pre-open will be subject
to disciplinary action by a panel of the Business Conduct Committee, notwithstanding that the order may
have been rejected by the CME Globex system. Sanctions for noncompliance may include a fine,disgorgement of any profits realized as a result of any orders accepted by CME Globex which were
initiated prior to receipt of the security status message and/or a suspension of access to themarket. Market participants must have appropriate protocols in place to ensure that TAS, TAM, BTIC,
TACO, and TMAC orders are not initiated prior to receipt of the security status message.
4.

TAS and TAM Calendar Spreads

As set forth in the TAS Table, certain intra-commodity calendar spreads are permitted to be entered into
CME Globex and priced at the settlement or marker price, or a specified number of ticks above or below
the settlement or marker price.
Additionally, certain NYMEX and COMEX intra-commodity calendar spreads are permitted to be executed
as block trades and priced at the settlement or marker price or at a positive or negative differential.
TAS and TAM spread trades may be executed at zero or at a positive or negative differential(positive/negative 1 through positive/negative 10 for eligible NYMEX and COMEX products)(positive/negative 1 through positive/negative 4 for eligible CME and CBOT products) on CME Globex or,
where allowable, as block trades. For more information regarding leg price assignment on Globex see the
Client Systems Wiki, available here.
5.

TAS, BTIC, and TACO Pricing and Daily Price Limits

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July 13, 2023
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Notwithstanding that CME Live Cattle, Feeder Cattle and Lean Hogs futures and CBOT Corn, Soybean,
Soybean Oil, Soybean Meal, Wheat and KC HRW Wheat futures are subject to daily price limits, market
participants executing a trade in one of those products which is priced at a tick increment above or below
the settlement price (negative 4 through negative 1 or positive 1 through positive 4) may result in a final
trade price above or below the daily price limit.
Similarly, BTIC and TACO transactions may result in an assigned futures price outside of the applicablefutures daily price limits.
6.

Text of CME, CBOT, and NYMEX/COMEX Rule 524
CME and CBOT524.

TRADING AT SETTLEMENT (“TAS”), BASIS TRADE AT INDEX CLOSE (“BTIC”) AND BASIS TRADE AT CASH
OPEN (“TACO”) TRANSACTIONSThe Exchange shall determine the products, contract months and time periods during which TAS, BTIC, and TACO
transactions shall be permitted. Specific products, contract months and spreads eligible for pricing as TAS, BTIC, or
TACO transactions are set forth in the TAS Table (“Table”) at the end of Chapter 5.
524.A. Trading at Settlement (“TAS”) Transactions
The following shall govern TAS transactions:
1.
A TAS order may be entered on Globex at any time the applicable contract is available for TAS
trading on Globex and during such TAS-eligible contract’s prescribed pre-open time period. The initiation of any TAS
order on Globex outside these time periods is prohibited.
2.
Unless otherwise specified in the Table, a TAS-eligible product and contract month may be executed as a
block trade pursuant to the requirements of Rule 526 or as an Exchange of Futures for Physical (“EFP”) or Exchange
of Futures for Risk (“EFR”) transaction pursuant to the requirements of Rule 538.
3.
Unless otherwise specified by the Exchange, a TAS transaction may be executed at the current day’s
settlement price or at any valid price increment four ticks higher or lower than the settlement price.
524.B. Basis Trade at Index Close (“BTIC”) Transactions
A Basis Trade at Index Close (“BTIC”) transaction is an Exchange futures transaction which is priced with reference tothe closing level of such futures contract’s underlying cash Index, or the closing level of a related index as described in
the applicable product chapter, on a particular trading day (the “Basis”). The following shall govern BTIC transactions:
1.
A BTIC order may be entered on Globex at any time the applicable futures contract is available for
BTIC trading on Globex and during such BTIC-eligible futures contract’s prescribed pre-open time period. The initiationof any BTIC order on Globex outside these time periods is prohibited.
2.
Unless otherwise specified in the Table, a BTIC-eligible product and contract month may be executed
as a block trade pursuant to the requirements of Rule 526, except that a BTIC block trade cannot be executed on thelast day of trading in an expiring BTIC-eligible futures contract.
3.
The Basis established in any BTIC transaction must be stated in admissible price increments for theapplicable futures contract as set forth in the applicable product chapter. The assigned futures price corresponding tosuch BTIC transaction shall be the closing level of the applicable cash Index, or the closing level of a related index as
described in the applicable product chapter, for that trading day adjusted by the Basis established in such BTIC
transaction. For any BTIC-eligible futures contract, the magnitude of the Basis in a BTIC block trade must be fair andreasonable in light of factors including, but not limited to, financing rates, expected dividend income, and time remaining
until the underlying futures contract expiration. A BTIC futures transaction may result in an assigned futures priceoutside of applicable daily price limits. The assigned futures price is deemed final when determined by the Exchange,
absent an index price correction by the index provider. If the closing level of a cash Index, or the closing level of a
related index as described in the applicable product chapter, is corrected by the applicable cash Index provider prior to
4:00 p.m. CT on the following Business Day, the assigned futures price corresponding to such BTIC transaction shallbe amended using the corrected closing level of the applicable cash Index, or the closing level of a related index as
described in the applicable product chapter, adjusted by the Basis established in such BTIC transaction, and theassigned futures price shall be deemed final at that time.
4.
Additional product-specific BTIC provisions, including those relating to disruptions in the publicationof an index and the applicable index closing times are set forth in the applicable product chapter in the Rulebook.

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July 13, 2023
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524.C. Basis Trade at Cash Open (“TACO”) Transactions
A Basis Trade at Cash Open (“TACO”) transaction is an Exchange futures transaction that is priced withreference to the next following regularly scheduled special opening quotation (“SOQ”) of such futures contract’s
underlying cash Index (the “Basis”). The following shall govern TACO transactions:
1. A TACO order may be entered on Globex at any time the applicable contract is available for TACO tradingon Globex and during such TACO-eligible contract’s prescribed pre-open time period. The initiation of
any TACO order on Globex outside these time periods is prohibited.
2. Unless otherwise specified in the Table, a TACO-eligible product and contract month may be executed
as a block trade pursuant to the requirements of Rule 526, provided that for any expiring TACO-eligible
contract, a TACO block trade is prohibited with reference to such contract’s cash Index SOQ for the last
day of trading in such contract.
3. The Basis established in any TACO transaction must be stated in admissible price increments for theapplicable futures contract as set forth in the applicable product chapter. The assigned futures pricecorresponding to such TACO transaction shall be the next following regularly scheduled SOQ of theapplicable cash Index adjusted by the Basis established in such TACO transaction.
For any TACO-eligible futures contract, the magnitude of the Basis in a TACO block trade must be fairand reasonable in light of factors including, but not limited to, financing rates, expected dividend income,and time remaining until the underlying futures contract expiration. A TACO futures transaction may resultin an assigned futures price outside of applicable daily price limits.
4.
In the event of a disruption in the primary listing exchange for a given cash Index (or a disruption in
the applicable national bourse or market in the case of a given non-US cash Index) such that the administratorof such cash Index is unable to produce a regularly scheduled SOQ, all pending and executed TACO
transactions in the corresponding futures contract shall be canceled by the Exchange. Such disruption shallbe declared by the Exchange in its sole discretion.
5.
Additional product-specific TACO requirements are set forth in the applicable product chapter in the
Rulebook.
524.D. Trade Marker at Close (“TMAC”) Transactions
The following shall govern TMAC transactions:
1.

2.

3.

A TMAC order may be entered on Globex at any time the applicable contract is available for TMAC tradingon Globex and during such TMAC-eligible contract’s prescribed pre-open time period. The initiation of
any TMAC order on Globex outside these time periods is prohibited.
Unless otherwise specified in the Table, a TMAC-eligible product and contract month may be executed
as a block trade pursuant to the requirements of Rule 526 or as an Exchange of Futures for Physical(“EFP”) or Exchange of Futures for Risk (“EFR”) transaction pursuant to the requirements of Rule 538.
Unless otherwise specified by the Exchange, a TMAC transaction may be executed at the current day’s
applicable marker price or at any valid price increment four ticks higher or lower than the applicable
marker price.
NYMEX/COMEX

524.
TRADING AT SETTLEMENT (“TAS”) AND TRADING AT MARKER (“TAM”) TRANSACTIONSThe Exchange shall determine the products, contract months and time periods during which TAS and TAM transactions
shall be permitted. Specific products, contract months and spreads eligible for pricing as TAS or TAM transactions areset forth in the TAS Table (“Table”) at the end of Chapter 5.
524.A. Trading at Settlement (“TAS”) Transactions
The following shall govern TAS transactions:
1.
A TAS order may be entered on Globex at any time the applicable contract is available for TAS trading on
Globex and during such TAS-eligible contract’s prescribed pre-open time period. The initiation of any TAS order on
Globex outside these time periods is prohibited.
2.
Unless otherwise specified in the Table, a TAS-eligible product and contract month may be executed as a
block trade pursuant to the requirements of Rule 526 or as an Exchange of Futures for Physical (“EFP”) or Exchange
of Futures for Risk (“EFR”) transaction pursuant to the requirements of Rule 538.
3.
Unless otherwise specified by the Exchange, a TAS transaction may be executed at the current day’s
settlement price or at any valid price increment ten ticks higher or lower than the settlement price.
524.B. Trading at Marker (“TAM”) Transactions

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July 13, 2023
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1.

2.

3.

The following shall govern TAM transactions:
A TAM order may be entered on Globex at any time the applicable contract is available for TAM trading on
Globex and during such TAM-eligible contract’s prescribed pre-open time period. The initiation of any TAM
order on Globex outside these time periods is prohibited.
Unless otherwise specified in the Table, a TAM-eligible product and contract month may be executed as a
block trade pursuant to the requirements of Rule 526 or as an EFP or EFR transaction pursuant to therequirements of Rule 538.
Unless otherwise specified by the Exchange, a TAM transaction may be executed at the current day’s
applicable marker price or at any valid price increment ten ticks higher or lower than the applicable marker
price.

Questions regarding this Advisory Notice may be directed to the following individuals in Market
Regulation:
Erin Middleton, Director, Rules & Regulatory Outreach, 312.341.3286
Paige Gawrys, Senior Specialist, Rules & Regulatory Outreach, 312.872.5078
Jennifer Dendrinos, Senior Director, Investigations, 312.341.7812
Urmi Graft, Director, Investigations, 312.341.7639
Myles Peralta, Lead Investigator, 312.454.5310
Penelope Beckhardt, Lead Investigator, 312.435.3664
For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at
312.930.3434 or news@cmegroup.com.