SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-202 (2 of 4) 

Organization: The Board of Trade of the City of Chicago, Inc. ("CBOT")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 05/31/23 Filing Description: Issuance of CME Group Market 

Regulation Advisory Notice RA2301-5 Regarding Rule 524. ("TAS, TAM, BTIC, and TACO 

Transactions")

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 524.

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Official Product Name: 

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

 Official Name(s) of Product(s) Affected: Rule Numbers: 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen

Managing Director and Chief Regulatory Counsel

Legal Department

May 31, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Issuance of CME Group Market Regulation 

Advisory Notice RA2301-5 Regarding CME, CBOT, NYMEX/COMEX Rule 524. ("TAS, 

TAM, BTIC, and TACO Transactions").

CBOT Submission No. 23-202 (2 of 4)

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.6(a), 

Chicago Mercantile Exchange Inc. (“CME”), The Board of Trade of the City of Chicago, Inc. (“CBOT”), New 

York Mercantile Exchange, Inc. (“NYMEX”), and Commodity Exchange, Inc. (“COMEX”) (collectively, the 

“Exchanges”) hereby certify to the Commission the issuance of CME Group Market Regulation Advisory 

Notice RA2301-5 (“RA2301-5”) regarding CME, CBOT, NYMEX/COMEX Rule 524. (“Trading at Settlement 

(“TAS”), Trading at Marker (“TAM”), Basis Trade at Index Close (“BTIC”), and Basis Trade at Cash Open 

(“TACO”) Transactions”) effective on June 15, 2023.

Specifically, the Exchanges are amending RA2301-5 to remind market participants that the transition to the 

pre-open state on the CME Globex electronic trading platform (“CME Globex”) is randomized. This reminder 

is in relation to the prohibition of entering orders prior to the receipt of the security status message that 

indicates the market has transitioned to the pre-open state, market participants must be aware that the timing 

of this message is randomized. Additionally, Section 4 is being amended to accurately reflect leg price 

assignment for TAS and TAM transactions calendar spreads on CME Globex. This amendment is to codify 

the existing calculation methods of these transaction types. 

RA-2301-5 is intended to codify the Exchanges’ existing practices regarding the timing of the pre-open state, 

and the calculation of leg price assignment for calendar spreads pursuant to Rule 524. No other substantive 

changes were made to this advisory notice. 

The Exchanges reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“CEA” or “Act”) and identified that the issuance of RA2301-5 may have some 

bearing on the following Core Principles: 

Compliance with Rules: RA2301-5 provides guidance to the marketplace on the regulatory 

requirements attendant to TAS, TAM, BTIC, and TACO transactions. This guidance is intended to 

assist market participants in remaining in compliance with Rule 524. and is therefore in compliance 

with this Core Principle. 

Availability of General Information: As required by this Core Principle, the Exchanges are 

publicly issuing RA2301-5 ensure that market participants have updated guidance and information 

attendant to Rule 524. RA2301-5 will also be available on the CME Group website.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), the Exchanges certify that RA2301-5 

complies with the Act and regulations thereunder. There were no substantive opposing views to this 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

proposal.

The Exchanges certify that this submission has been concurrently posted on the Exchanges’ website at 

http://www.cmegroup.com/market-regulation/rule-filings.html.

If you require any additional information regarding this submission, please contact the undersigned at 

212.299.2200 or via email at CMEGSubmissionInquiry@cmegroup.com.

Sincerely, 

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachment: Exhibit A: CME Group Market Regulation Advisory Notice RA2301-5
EXHIBIT A

MARKET REGULATION ADVISORY NOTICE

______________________________________________________________________

Exchange CME, CBOT, NYMEX & COMEX

Subject TAS, TAM, BTIC, and TACO Transactions

Rule References Rule 524 

Advisory Date June 1, 2023

Advisory Number CME Group RA2301-5

Effective Date June 15, 2023

Effective on trade date Thursday, June 15, 2023, and pending all relevant CFTC regulatory review 

periods, this Market Regulation Advisory Notice will supersede CME Group Market Regulation Advisory 

Notice RA2203-5 from July 11, 2022. It is being issued to remind market participants that the transition to 

the pre-open state on CME Globex is randomized. Therefore, as stated in Section 3 of this Advisory 

Notice, it is imperative for market participants to wait until the receipt of the security status message 

indicating that the market has transitioned to the pre-open before the initiation of any TAS, TAM, BTIC, 

and TACO orders into CME Globex. Additionally, this Advisory Notice amends Section 4 to accurately 

reflect leg price assignment for TAS and TAM calendar spreads on CME Globex.

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, 

or TACO transactions is contained in the Trading at Settlement (“TAS”) Table set forth in the 

Interpretations & Special Notices Section at the end of Chapter 5 of each Exchange’s Rulebook. The 

table may also be accessed here.

Important information on regulatory considerations for market participants engaging in TAS or TAM 

transactions appears in Section 2 of this Advisory Notice. 

TAS, TAM, BTIC, and TACO transactions are subject to the information contained in the Advisory Notice, 

each Exchange’s Rule 524, and, for BTIC and TACO transactions, provisions contained in 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, and TACO Transactions

TAS permits parties to trade at a differential to the current day’s not-yet-known futures settlement 

price. TAM permits parties to trade at a differential to the current day’s not-yet-known Exchangedetermined marker price.

Orders for CME and CBOT TAS-eligible futures products may be entered into CME Globex for execution 

at the current day’s settlement price or any valid price increment four ticks higher or lower than the 

settlement price.

CME and CBOT TAS-eligible futures products may also be executed as block trades, EFPs, or EFRs and 

priced at the current day’s settlement price or any valid price increment four ticks higher or lower than the 

settlement price.

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Orders for NYMEX and COMEX TAS- and TAM-eligible futures products may be entered into CME 

Globex for execution at the current day’s settlement or marker price, as applicable, or any valid price 

increment 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 block 

trades, 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 the 

current 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 the 

case 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 the 

underlying futures contract expiration.

Information on products eligible to be executed as block trades and priced as TAS, TAM, BTIC, or TACO 

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 or TACO position, including a 

position established as a block trade, will subject the member and/or the market participant to disciplinary 

action for any of a number of rule violations, including, but not limited to:

• price manipulation or attempted price manipulation

• 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
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• engaging in conduct inconsistent with just and equitable principles of trade

Investigation of suspected manipulative or disruptive activity related to TAS,TAM,BTIC or TACO 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 to cause aberrant price 

movement during these periods. Pursuant to Rule 432.L.3, market participants are reminded 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 and records 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, and TACO Orders on CME Globex

Rule 524 permits the initiation of TAS, TAM, BTIC, and TACO 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, or TACO trading on CME Globex, as applicable. The initiation of any TAS, 

TAM, BTIC, or TACO order on CME Globex outside of these time periods is strictly prohibited.

Market participants are reminded that the timing of each TAS groups’ pre-open state is randomized, as 

described in the Client Systems Wiki, available here.

Any market participant who initiates the entry of a TAS, TAM, BTIC, or TACO order prior to receipt of 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 the 

market. Market participants must have appropriate protocols in place to ensure that TAS, TAM, BTIC, 

and TACO 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

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 
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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 applicable 

futures daily price limits.

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

CME and CBOT

524. TRADING AT SETTLEMENT (“TAS”), BASIS TRADE AT INDEX CLOSE (“BTIC”) AND BASIS TRADE AT CASH 

OPEN (“TACO”) TRANSACTIONS

The 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 to 

the 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 initiation 

of 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 the 

last 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 the 

applicable futures contract as set forth in the applicable product chapter. The assigned futures price corresponding to 

such 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 and 

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 BTIC futures transaction may result in an assigned futures price 

outside 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 shall 

be 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 the 

assigned futures price shall be deemed final at that time.

4. Additional product-specific BTIC provisions, including those relating to disruptions in the publication 

of an index and the applicable index closing times are set forth in the applicable product chapter in the Rulebook.

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 with 

reference 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:
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1. A TACO order may be entered on Globex at any time the applicable contract is available for TACO trading 

on 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 the 

applicable futures contract as set forth in the applicable product chapter. The assigned futures price 

corresponding to such TACO transaction shall be the next following regularly scheduled SOQ of the 

applicable 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 fair 

and 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 result 

in 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 administrator of 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 shall be 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.

NYMEX/COMEX

524. TRADING AT SETTLEMENT (“TAS”) AND TRADING AT MARKER (“TAM”) TRANSACTIONS

The 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 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 ten ticks higher or lower than the settlement price.

524.B. Trading at Marker (“TAM”) Transactions

The following shall govern TAM transactions:

1. 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.

2. 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 the 

requirements of Rule 538.

3. 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
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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.