(b) (i) For 4:$-DeHardenominated-futuresEFPs under this rule the
Commodity being exchanged must have a high degree of price
correlation to the Underlying Commodity, so that the Futures
Contract would serve as an appropriate hedge for that Commodity.

4 a ive 4, inated far the-C dity-bei ed ohe ed
: must istoLE 4 inated +-debt iti
15 5. tote of the —: M, af Uni the
i 2
ini ft ££ RUIR 2 bil, dhavi } 9- reetest
His 2 a = ain
(ii) Th Tevsvats f£the Cy dity-bei: ceh 4 f. 4
eta y ee FEESpOR
4th +h antity of th i dordar. Ly dit: fthe Fut
q y ¥ modity
Contract | eh d;-takingFor EFSs, the fluctuations in the

value of the swap must have a high degree of correlation to
fluctuations in the price of the Underlying Commodity for the
Futures Contract being exchanged, so that the Futures Contract
would serve as an appropriate hedge for that swap.

(c) Taking into account any differences in the attributes of the Commodity or
swap being exchanged (such as interest rates and maturity dates) and
those of the Underlying Commodity and applying hedge ratios as and to
the extent appropriate-;

(i) For EFPs, the quantity of the Commodity being exchanged
must correspond with the quantity of the Underlying
Commodity of the Futures Contract being exchanged; or

(ii) For EFSs, the notional amount of the swap being exchanged
must correspond approximately with the quantity of the
Underlying Commodity of the Futures Contract(s) being
exchanged.

(d) The purchase and sale of the Futures Contract shall be simultaneous with
the sale and purchase of the corresponding Commodity or the transfer of
the swap.

(e) The transaction may be consummated at a price mutually agreed upon by
the parties to the transaction; provided, that the price of the futures leg
does not exceed the range of the day’s overall high and low by more than
the following values (The range of the day’s high and low is determined
by a validation matrix):


417.

@)

limited to, full documentation relating to the non-futures leg of the EFP
or EFS, master swap agreements and any supplements thereto in the case
of an EFS and, if the transaction is in the name of an omnibus account or
foreign broker, the name of the Customer}that-).

Where a third party was responsible for executing the cash leg of a Basis
Trade, any employee of the Market Supervision or Compliance
Departments may require the Member to obtain and confirm the details of
the cash leg of the trade and provide copies to the Exchange.

Exchange of Currency Futures for Physicals or for Swaps.

EFPs and EFSs in Currency Futures may be arranged and executed by a Member

through the facilities of the Clearing Organization in accordance with its

procedures and the provisions of this Rule.

(a)

(b)

(©)

As used in this Rule “EFP” means a transaction consummated between
two parties wherein one of the parties is the buyer of a Commodity and
the seller of a Currency Futures, and the other party is the seller of the
Commodity and the buyer of the Currency Futures. “EFS” means a
transaction consummated between two parties wherein one of the parties
is the buyer of a Currency Futures and assumes the opposite market risk
under a swap agreement, the other party is the seller of the Currency
Futures and assumes the opposite market risk under the swap agreement
the parties exchange such Currency Futures for the swap agreement and
the swap is excluded or exempt from regulation under the Act or
Commission Regulations.

EFPs in Currency Futures that are commonly referred to in the trade as
“transitory EFPs” are permitted. A transitory EFP is an EFP in which the
cash leg may partially or wholly offset a cash currency transaction;
provided, however, that the execution of the EFP was not contingent on
the execution of the cash currency transaction or that the cash currency
transaction was not contingent on the execution of the EFP, the cash
currency transaction was conducted in conformance with standard
practices and documentation for the market in which the transaction
occurred, and the EFP otherwise constitutes a bona fide transaction.

(i) For EFPs under this rule the Cominodity being exchanged must
have a high degree of price correlation to the Underlying
Commodity, so that the Futures Contract would serve as an
appropriate hedge for that Commodity.

(ii) For EFSs, the fluctuations in the value of the swap must have a
high degree of correlation to fluctuations in the price of the
Underlying Commodity for the Futures Contract being exchanged

10


Ss y

preceding the last Trading D: thatfut

Gi}—_For US-Dellard. ted Fut Contracts-that

Hy Gad He 7 peeny
physical deli Basis-Trad be-transacted -with-1 +4
Del Monthtora Fut Contract enany Busin +

int the-pa é ‘ 5 hot

5 s ¥ 7 Fo
butnettimited+e—fulld. tati lating to-the-cashtee-ofthe trad
d-if-the+ +} th £ ibus-account-or-k
+ he-name-ofan-onmibus account Ss

Exe} fEut fe

Memb: Ly-through-th
provided bythe Exchang
the provisiens-of under 1 this Rate:



Jumbo 2 Year U.S. Treasury Note Futures 0.05 percent
(FTN2) (approximately 5 ticks)
0.05 percent
3 Year U.S. Treasury Note Futures (FTN3) (approximately 5 ticks)
0.1 percent
5 Year U.S. Treasury Note Futures (FTNM) (approximately 5 ticks)
10 Year U.S. Treasury Note Futures 0.1 percent
(FTNL) (approximately 5 ticks)
30 Year U.S. Treasury Bond Futures 0.1 percent
(FTBX) (approximately 5 ticks)
0.2 percent
Russell 1000 Futures (FWR1) (approximately 5 ticks)
0.2 percent
Russell 2000 Futures (FWR2) (approximately 5 ticks)

(f) Basis-trades Eligible Contracts:

(i) _EFPs may be transacted entyunder this rule with respect to the

following Futures Contracts:

coi

Nete Fut {PENS)
is ?

2 Vear US-Tree

Jumbo 2 Year U.S. Treasury Note Futures
(FTN2)

3 Year U.S. Treasury Note Futures (FTN3)

5 Year U.S. Treasury Note Futures (FTNM)
10 Year U.S. Treasury Note Futures (FTNL)
30 Year U.S. Treasury Bond Futures (FTBX)
Russell 1000 Futures (FWR1)

Russell 2000 Futures (FWR2)

}—For Euro-d inated-produets, Basis TradesEFSs may be
transacted with respeet-to-a-Delivery Monthfora Futures Contract



Day of that Delivery Month..Basis Trades and EFSs in other Contracts
under this rule (including EFSs in U.S. Treasury futures) may be
transacted with respect to a Delivery Month on any Business Day up to
and including the Last Trading Day until trading has ceased in that

Delivery Month.

¢s}+——Immediately upon agreeing to enter into a EFP or EFS, or upon the

market” Ss opening (or re-opening) if the transaction is determined-by-a

; } vee at iEva ¢ + + 7 int EFS. th ket
h yf 4 > rarket
epeningtor ing) ifthe part : + avreed to be entered

into the transaction by the parties at a time when the market is closed, the
Member who is the buyer of the EFP or EFS (or whose Customer is the
EFP or EFS buyer) shall report the details of the EFP or EFS on the
screen or by telephonic means as provided by the Exchange.- Within 60
minutes of reporting the details of the EFP or EFS, the Member who is
the seller of the EFP or EFS (or whose Customer is the EFP or EFS
seller) shall confirm the EFP or EFS on the screen or by telephonic
means as provided by the Exchange. The Exchange shall immediately
notify the parties to the transaction ofthe details of the EFP or EFS upon
confirmation, and immediately update the Online Time and Sales Report
to reflect the transaction.

(i) Upon request by any employee of the Market Supervision or Compliance
Departments, Members must produce satisfactory evidence; that the EFP
or EFS was arranged in accordance with the Rules (including, but not



415. Block Trade Facility.

Block Trades between a Member’s customers, between a Member (acting for
itself or its Customers) and another Member, or between a Member and any
Customer or between different profit centers of a Member having separate
account numbers may be effected only through the electronic Block Trading
Facility or by telephonic means as provided by the Exchange, rather than on the
Trading System, in accordance with the provisions of this Rule.

(a)
(b)

()

(d)

(e)

A Member may conduct Block Trades only if the Member is an ECP.

A Member may not enter into a Block Trade with or on behalf of any
Customer unless such Customer is:

(i)
(ii)

(A)

(B)

An ECP; or

Advised in connection with such Block Trade by a Person with
total assets under management exceeding $25 million and who
is either:

Registered as an investment adviser with the Securities and
Exchange Commission, registered as a commodity trading
advisor with the Commission, or exempt from such
registration; on the condition that any block trade executed
upon the advice of such exempt adviser is suitable for the
advisee-Customer; or

A foreign Person performing a similar role or function and
subject as such to foreign regulation.

A Member may effect a Block Trade on behalf of a Customer only if the
Member has received an order to do so from the Customer. Such order
must be recorded and time-stamped with the time the order is placed and
the time the order is executed.

A Member may not take the opposite side of a Block Trade with a
Customer without such Customer’s prior consent, which may be in the
form of a blanket consent to all transactions effected after such consent is

given.

Block Trades may be transacted only in Contracts authorized for that
purpose by the Exchange. The minimum number of contracts to qualify

as a block trade under this rule are as follows:
ae a Minimum
Contract Minimum Number Number
2 Year S-Treasury Note Future (ENS) 250



(d)

()

10)

(g)

(h)

so that the Futures Contract would serve as an appropriate hedge
for that swap.

Taking into account any differences in the attributes of the Commodity or
swap being exchanged (such as currency and maturity dates) and those of
the Underlying Commodity and applying hedge ratios as and to the extent
appropriate:

(i) For EFPs, the quantity of the Commodity being exchanged
must correspond with the quantity of the Underlying
Commodity of the Futures Contract being exchanged; or

(ii) | For EFSs, the notional amount of the swap being exchanged
must correspond approximately with the quantity of the
Underlying Commodity of the Futures Contract(s) being

exchanged.

The purchase and sale of the Currency Futures shall be simultaneous with
the sale and purchase of the corresponding currency or the transfer of the
swap.

The transaction may be consummated at a price mutually agreed upon by
the parties to the transaction. If the price of the Currency Futures leg
exceeds the range of the day’s overall high and low, performance on the
futures leg will be guaranteed by the Clearing Organization only in
accordance with its procedures.

Upon request by any employee of the Market Supervision or Compliance
Departments, Members must produce satisfactory evidence that the EFP
or EFS was arranged in accordance with the Rules. (including, but not
limited to, full documentation relating to the cash leg of the EFP, master
swap agreements and any supplements thereto in the case of an EFS and.
if the transaction is in the name of an omnibus account or foreign broker.

the name of the Customer).

Where a third party was responsible for executing the cash leg of a Basis
Trade, any employee of the Market Supervision or Compliance
Departments may require the Member to obtain and confirm the details of
the cash leg of the trade and provide copies to the Exchange.

EFPs under this rule may be transacted with respect to a Delivery Month

on any Business Day up to and including the Last Trading Day until 45
minutes after trading has ceased in that Delivery Month or until such
earlier time the Clearing Organization may direct in order to
accommodate its processing schedule.

11


As-used inthis Rul. “EES” means-atransacti ted

bet + +t herei £the-parties-isthe-bi -efa Fut

bet iF p part th: ry Pater

Coentract-and-as: sth: it cet ish d . +
7 st PP kundes i 5

fe} TH fluet att n-th zal} thi ¢ t hye ahichd 7 £
Jats. te-ft fats in th, +. £the [Inderlyy Ly ditufor
a P ys y
the-Fut Contract-bei f d.-se-that- the Futures-Contraet 1d
7 tate hod. foxy that “9
ppropriate-hed. wap:
{dy ‘T} eat 4} tofth bei he <d- + d
t i ar p efit # F
Proxim tely ith a . Hy of nen " S 5 3 =f
i-th attribut, £thi ap-bei el: d-andth. the Linderhy.
GCommedity:
te} Th. 15 4 | f+} Fut =a) if + chal + a th
fe} pi 4 ; ultaneous with
thetransferef the corresponding swap:
(Ail) EFS+rades+maybe-transacted-onlyrule with respect to the
following Futures Contracts:
cS
2-YeartS.-Freasury Note Futures {FINS} aa Ke -
Jumbo 2 Year U.S. Treasury Note Futures
(FTN2)
3 Year U.S. Treasury Note Futures (FTN3)
5 Year U.S. Treasury Note Futures (FTNM)
10 Year U.S. Treasury Note Futures (FTNL)
30 Year U.S. Treasury Bond Futures (FTBX)
The+ tion be. ted-at4 tual
a ¥ Aa Pp ually por
th, e +} tea +3 a rovided—_thatt 4. f the fit
y-the-parties to thetrar =p : f t
ti di +: 1 the + £ 41. day? eral} } jo} dj} y
than-thefell. } ak Tk re f+} days-hick de
(g) Basis Trades in U.S. Treasury futures may be transacted with respect to a

Delivery Month for a Futures Contract on any Business Day up to and
including the fifth Business Day immediately preceding the last business



(h) Immediately upon agreeing to enter into the Block Trade transaction, or
upon the market’s opening (or re-opening) if the transaction is agreed to
be entered into by the parties at a time when the market is closed, the
Member who is the Block Trade buyer (or whose Customer is the Block
Trade buyer) shall report the details of the Block Trade on the screen or
by telephonic means as provided by the Exchange. With the exception of
Block Trades that consist of at least 2500 U.S. Treasury futures contracts
(500 contracts for Jumbo 2 Year U.S. Treasury futures), within 15
minutes of reporting the details of the Block Trade, the Member who is
the Block Trade seller (or whose Customer is the Block Trade seller)
shall confirm such Block Trade on the screen or by telephonic means as
provided by the Exchange. For Block Trades that consist of at least 2500
US. Treasury futures contracts, the Member who is the Block Trade
seller (or whose Customer is the Block Trade seller) shall confirm such
Block Trade within 30 minutes. The Exchange shall immediately notify
the parties to the transaction of the details of the Block Trade upon
confirmation, and immediately update the Online Time and Sales Report
to reflect the transaction.

@ Upon request by any employee of the Market Supervision or Compliance
Departments, Members must produce satisfactory evidence , including
the name of the Customer if the transaction is in the name of an omnibus
account or foreign broker, that the Block Trade was arranged in
accordance with the Rules.

416. —-Exchange of Futures for Physicals Facility (EFPs}.) and Exchange of
Futures for Swaps Facility (EFSs) for Non-Currency Futures.

Basis Trades, or EFPs-, and EFSs in non-Currency Futures may be arranged and
executed by a Member enty-through the electronic Basis Trading Facility, the
EFS Facility, respectively, or for both EFPs and EFSs by telephonic means as
provided by the Exchange, rather-than-onthe Trading System,in accordance with
the provisions of this Rule.

(a) As used in this Rule a “Basis Trade” or “EFP” means a transaction
consummated between two parties wherein one of the parties is the buyer
of a Commodity and the seller of a Futures Contract, and the other party
is the seller of the Commodity and the buyer of the Futures Contract. An
“EFS” means a transaction consummated between two parties wherein
one of the parties is the buyer of a Futures Contract and assumes the
opposite market risk under a swap agreement, the other party is the seller
of the Futures Contract and assumes the opposite market risk under the
swap agreement, the parties exchange such Futures Contract for the swap
agreement and the swap is excluded or exempt from regulation under the
Act or Commission Regulations.



(

(g)

iii. Aggregate different legs of an options contract spread to meet
the contract minimums set forth in subsection (e), as long as
each leg is at least 200 contracts (or 40 contracts for Jumbo 2
Year U.S. Treasury futures). For a two-leg options trade, the
aggregate amount may be less than the contract minimum if

each leg is at least 200 contracts.

Each time a Member quotes a Block Trade price, the Member must make
clear to the potential counter-party(ies), whether a Member or Customer,

that the price being quoted is a Block Trade price and not the traded price
prevailing on the Trading System.

The transaction may be consummated at a price mutually agreed upon by
the parties to the transaction; provided that,

00) the price for the Futures Contract does not exceed the range of
the day’s overall high and low by more than the following
values (The range of the day’s high and low is determined by a
validation matrix}):

(approxi mate = 5 +} € <s}
Jumbo 2 Year U.S. Treasury Note Futures 0.05 percent

(FTN2) (approximately 5 ticks)
0.05 percent

3 Year U.S. Treasury Note Futures (FTN3) (approximately 5 ticks)
0.1 percent

5 Year U.S. Treasury Note Futures (FTNM) (approximately 5 ticks)
10 Year U.S. Treasury Note Futures 0.1 percent

(FTNL) (approximately 5 ticks)
30 Year U.S. Treasury Bond Futures 0.1 percent

(FTBX) (approximately 5 ticks)
Russell 1000 0.2 percent.
Russell 2000 0.2 percent
Currency Futures 0.1 percent

(ii) or, in the case of an option, the price is no more than one-half
the maximum applicable quote spread outside a price derived
from a generally accepted theoretical model, which is based on
the range of the day’s underlying futures high and low (as

determined by a validation matrix).


(FTN2)

Jumbo 2 Year U.S. Treasury Note Future

3 Year U.S. Treasury Note Future (FTN3)

5 Year U.S. Treasury Note Future (FTNM)

10 Year U.S. Treasury Note Future (FTNL)

30 Year U.S. Treasury Bond Future (FTBX)

Option on Jumbo 2 Year U.S. Treasury Note

Future (OTN2) 100 100
Option on 3 year U.S. Treasury Note Future

(OTN3) 500 500
Option on 5 Year U.S. Treasury Note Future

(OTNM) 500 500
Option on 10 Year U.S. Treasury Note Future

(TNL) 500 500
Option on 30 Year U.S. Treasury Bond

Future (OTBX) 500 500
Russell 1000 Futures 250 250
Russell 2000 Futures 250 250
Currency Futures 50 50

* See Rule 415(h) which requires a minimum of 2500 contracts (500 contracts for Jumbo 2 Year U.S.

Treasury futures) if reported within 30 minutes.

(f) A Member may:

i.

ii.

Not aggregate separate customer orders to meet the contract
minimums set forth in subsection (e) except that a member
with total assets under management exceeding $25 million and
who is an investment adviser with the Securities and Exchange
Commission, registered as a commodity trading advisor with
the Commission, or exempt from any such registration on the
condition that any aggregated block trade order executed by
such exempt member is suitable for all Customers involved in
such block trade or a foreign Person performing a similar role
or function and subject as such to foreign regulation may
aggregate multiple orders to meet the contract minimums for a
Block Trade.

Not aggregate different legs of a futures contract spread to
meet the contract minimums set forth in subsection (e).