SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-315 (1 of 2)

Organization: Chicago Mercantile Exchange Inc. (“CME”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 08/22/23 Filing Description: Amendments to the Trade Marker 

at Close (“TMAC”) Eligibility for Certain CME and CBOT Equity Index Futures 

Contracts

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: See filing.

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

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

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

August 22, 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, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification. Amendments to the Trade Marker at Close 

(“TMAC”) Eligibility for Certain CME and CBOT Equity Index Futures Contracts.

CME Submission No. 23-315 (1 of 2)

Dear Mr. Kirkpatrick:

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

(collectively, the “Exchanges”) certify to the Commodity Futures Trading Commission (“CFTC” or 

“Commission”) amendments to CME and CBOT Rule 524.D. (“Trade Marker at Close (“TMAC”) 

Transactions”) table (the “Table”) to modify the eligibility for certain equity index futures contracts listed in 

the Table 1. below (collectively, the “Contracts”) for trading on the CME Globex electronic platform (“CME 

Globex”) and for submission for clearing via CME ClearPort (collectively, the “Rule Amendments”) effective

Sunday, September 10, 2023, for trade date Monday, September 11, 2023.

 Table 1.

Contract Title Rulebook 

Chapter

CME 

Globex 

and

CME 

ClearPort 

Code

TMAC 

Code

Current

TMAC Eligibility

Amended

TMAC Eligibility

E-mini Standard 

and Poor’s 500 

Stock Price Index 

Futures

CME 358 ES ESX

TMAC eligibility 

terminates on the 

business day 

preceding the 

underlying futures' 

last trade date. The 

new month will be 

available on the 

last day of trading 

of the preceding 

contract month's 

expiry.

TMAC eligibility 

terminates on the 

business day 

preceding the 

underlying futures' 

last trade date. The 

new month will be 

available on the 

last day of trading 

of the preceding 

contract month's 

expiry. prior to last 

trade date of the 

underlying contract 

month. A new 

contract month 

becomes TMACeligible on Sunday, 

for trade date 

Monday, prior to 

E-mini Nasdaq-100 

Index Futures CME 359 NQ NQX

E-mini Russell 2000 

Index Futures CME 393 RTY RTX

E-mini Dow Jones 

Industrial Average 

Index Futures

CBOT 27 YM YMX
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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the nearby contract 

month’s expiry.

By way of background, the Contracts became TMAC eligible on July 31, 2023 (see Submission No. 23-245

dated July 12, 2023).

The Exchanges conducted an analysis of the affected contract month and determined that liquidity of the 

Contracts is primarily focused in the next quarterly contract month during the roll period. The Rule 

Amendments align the TMAC eligibility with the liquidity of the underlying futures contract.

Amendments to the Table are provided as Appendix A in blackline format. 

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 Rule Amendments may have some 

bearing on the following Core Principles: 

Availability of General Information: The Exchanges will release a Special Executive Report 

(“SER”) regarding the Rule Amendments. The SER will also be posted on the CME Group website.

Contracts Not Readily Subject to Manipulation: A review of the Contracts’ activity indicates 

there is sufficient liquidity to support pricing at TMAC eligibility as amended. The Contracts are not 

subject to manipulation.

Daily Publication of Trading Information: The Exchanges will continue to comply with this Core 

Principle by making public daily information on settlement prices, volume, open interest, and 

opening and closing ranges for the Contracts which will be published daily on the Exchanges’

website.

Compliance with Rules: The SER provides information on the Contracts’ TMAC eligibility 

pursuant to CME and CBOT Rule 524. The SER and Table are intended to provide regulatory 

guidance to ensure that market participants are in compliance with Rule 524.

Execution of Transactions: The Exchanges will continue its current practice of providing a 

competitive, open, and efficient market mechanism for executing transactions in the Contracts.

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

Rule Amendments comply with the Act, including regulations under the Act. There were no substantive 

opposing views to the proposal. 

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

http://www.cmegroup.com/market-regulation/rule-filings.html. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachment: Appendix A Amendments to the CME and CBOT Trade Marker at Close (“TMAC”) 

Table Located in Chapter 5 (“Trading Qualifications and Practices”) 

(blackline format)
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Appendix A

CME and CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Rule 524. - Trading at Settlement (“TAS”), Basis Trade at Index Close (“BTIC”),

Basis Trade at Cash Open (“TACO”), and Trade Marker at Close (“TMAC”) Table

 (additions are underscored; deletions are overstruck)

BOLD indicates calendar months; italic indicates contract months.

The column headings represent the first day of the month. The cells display the TMAC eligible contract 

months and spreads as of the first day of the month. 

TMAC eligibility terminates on the business day preceding the underlying futures' last trade date. The new 

month will be available on the last day of trading of the preceding contract month's expiry. prior to last trade 

date of the underlying contract month. A new contract month becomes TMAC-eligible on Sunday, for trade 

date Monday, prior to the nearby contract month’s expiry.

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC

TMAC on E-mini 

Standard and Poor's 500 

Stock Price Index 

Futures (ESX)

Mar Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec

Jun Sep Dec Mar

TMAC on E-mini Nasdaq100 Index Futures (NQX)

Mar Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec

Jun Sep Dec Mar

TMAC on E-mini Russell 

2000 Index Futures (RTX)

Mar Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec

Jun Sep Dec Mar

TMAC on E-mini Dow 

Jones Industrial Average 

Index Futures (YMX)

Mar Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec

Jun Sep Dec Mar