SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-273

Organization: Chicago Mercantile Exchange Inc. ("CME")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 07/03/23 Filing Description: Weekly Notification of Rule 

Amendments - Week of June 26, 2023

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

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

July 3, 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(d) Notification. Chicago Mercantile Exchange Inc. (“CME” or 

“Exchange”) Weekly Notification of Rule Amendments.

CME Submission No. 23-273

Dear Mr. Kirkpatrick:

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

Exchange submits this weekly notification of the following rule amendments effective during the week of

June 26, 2023.

Effective June 26, 2023, the Exchange implemented implied functionality for five (5) foreign exchange (FX) 

futures and related amendments to CME Rule 588.H. (“Globex Non-Reviewable Trading Ranges”) table 

(the “Table”). The initiative was originally certified with the Commission to be effective on January 23, 2023 

(see CME Submission 22-483 dated November 29, 2022). The marketplace was alerted of the amendments

via Special Executive Report (“SER”) 9103RRRRR, which is attached hereto as Exhibit A.

Also, effective June 26, 2023, the Exchange implemented administrative amendments to the Market 

Regulation Notices (“MRANs”) in connection with the permanent delisting of all CME Eurodollar options 

contracts (the “Contracts”). The changes to the MRANs simply remove references to the Contracts and do 

not change any regulatory guidance contained therein. The MRANs are provided in Exhibit B in blackline 

format.

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

Attachments: Exhibit A – SER 9103RRRRR

Exhibit B – Amendments to RA2201-2, RA2202-2, and RA2112-5R (blackline format)
2

Exhibit A

Special Executive Report

DATE: June 15, 2023

SER#: 9103RRRRR

SUBJECT: Implied Functionality Eligibility for Five (5) Foreign Exchange (FX) Futures 

Contracts

(SER 9103RRRRR supersedes SER 9103RRRR dated May 31, 2023 to advise of the new effective date 

of trade date Monday, June 26, 2023.)

Effective Sunday, June 25, 2023 for trade date Monday, June 26, 2023 Chicago Mercantile Exchange Inc. 

(“CME” or “Exchange”) will permit implied functionality for five (5) foreign exchange (FX) futures contracts 

listed in Table 1. below (the “Contracts”) for all outright and spread transactions in the first twelve (12) 

nearby months for trades on the CME Globex electronic trading platform (“CME Globex”).

Table 1.

Contract Title CME ClearPort Code / 

CME Globex Code Rulebook Chapter

British Pound Sterling/U.S. Dollar (GBP/USD) 

Futures

BP/6B 251

Canadian Dollar/U.S. Dollar (CAD/USD) Futures C1/6C 252

Japanese Yen/U.S. Dollar (JPY/USD) Futures J1/6J 253

Australian Dollar/U.S. Dollar (AUD/USD) Futures AD/6A 255

Euro/U.S. Dollar (EUR/USD) Futures EC/6E 261

As a result, CME will implement corresponding amendments to CME Rule 588.H. (“Globex Non-Reviewable 

Trading Ranges”) table (the “Table”) as more specifically described in Exhibit A below.

EXHIBIT A

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Rule 588.H. (“Globex Non-Reviewable Trading Ranges”) Table

(additions underscored; deletions struck through)

Outrights Spreads

Instrument Globex 

Symbol

Globex NonReviewable Ranges 

(NRR)

NRR: 

Globex 

Format

NRR:Minimum 

Ticks

NRR: 

Globex 

Format

NRR: Outright 

Minimum 

Ticks

EUR/USD Futures 6E 0.00400 0.00005 80 0.00100 50

Each leg evaluated as an outright

CAD/USD Futures 6C 0.00400 0.00005 80 0.00100 50

Each leg evaluated as an outright

JPY/USD Futures 6J 0.0000400 0.0000005 80 0.0000100 50
3

Each leg evaluated as an outright

AUD/USD Futures 6A 0.00400 0.00005 80 0.0010 50

Each leg evaluated as an outright

GBP/USD Futures 6B 0.0040 0.0001 40 0.0010 20

Each leg evaluated as an outright

Please direct questions regarding this notice to:

Asia

Ravi Pandit +65 6593 5562 Ravi.Pandit@cmegroup.com

Europe

Phil Hermon +44 20 3379 3983 Phil.Hermon@cmegroup.com

Paul Houston +44 20 3379 3355 Paul.Houston@cmegroup.com

Chris Povey +44 20 3379 3080 Chris.Povey@cmegroup.com

U.S.

Emerson Eckhout +1 312 435 3781 Emerson.Eckhout@cmegroup.com

Sebastian Sierotnik +1 312 930 1312 Sebastian.Sierotnik@cmegroup.com
4

Exhibit B

MARKET REGULATION ADVISORY NOTICE

______________________________________________________________________

Exchange CME

Subject All-or-None Transactions

Rule References Rule 523

Advisory Date April 18, 2022

Advisory Number CME RA2201-2

Effective Date May 2, 2022

Effective on trade date May 2, 2022, and pending all relevant CFTC regulatory review periods, this 

Market Regulation Advisory Notice will supersede CME Market Regulation Advisory Notice RA2104-2 

from August 30, 2021. It is being issued enable All-or-None (“AON”) transactions for open outcry trading 

of Options on Three-Month SOFR Futures, Options on One-Month SOFR Futures and all Options on 

Three-Month Eurodollar Futures. 

Market participants are reminded of the following:

1) AON trades may not, under any circumstances, be prearranged or otherwise involve 

prohibited pre-execution communications. 

Pursuant to Rule 539 (“Prearranged, Pre-negotiated and Noncompetitive Trades Prohibited”), the 

prearrangement of AON trades and pre-execution communications with respect to AON trades are strictly 

prohibited. As such, the only information that may be disclosed by any party with respect to an AON 

order is information that has been publicly exposed in the trading pit. Parties may not solicit potential 

counterparties to an AON order until the order has been openly bid or offered in the pit. 

2) AON orders must be competitively and transparently executed in the open market by open 

outcry.

All AON trades must be executed openly and competitively, without prearrangement. Bidding and 

offering practices must at all times be conducive to the competitive execution of trades, and members 

must ensure that the request for an AON market or the bid or offer for an AON order is clearly and 

transparently announced to the pit. Additionally, all AON bids and offers must include both quantity and 

price. 

Additionally, in circumstances where a broker has both buy and sell AON orders for accounts with 

different beneficial ownership, the broker may only cross the orders pursuant to the cross procedures set 

forth in Rule 533 (“Simultaneous Buy and Sell Orders for Different Beneficial Owners”). Rule 533 

requires the broker in these circumstances to bid and offer by open outcry the price and quantity of the 

AON orders three times. If neither the bid nor offer is accepted, the orders may be matched in the 

presence, and with the approval, of a designated Exchange official. It is incumbent upon a member 

handling simultaneous AON buy and sell orders to ensure that his bids and offers for the orders are 

announced clearly to the pit, and, if executed opposite each other, that the approval of the Exchange 

official is obtained contemporaneous with the execution of the orders. 

Failure to comply with the aforementioned requirements will result in disciplinary action.

Market participants are strongly encouraged to review the FAQ to ensure an accurate understanding of 

the requirements for executing AON orders. The text of Rule 523 appears below, followed by the FAQ.
5

Rule 523 ALL-OR-NONE TRANSACTIONS

The Exchange shall determine the minimum thresholds for and the commodities in which All-or-None 

transactions shall be permitted. The following shall govern All-or-None trading:

1. A member may request an All-or-None bid and/or offer for a specified quantity at or in excess of the 

applicable minimum threshold. Such request shall be made in the pit designated for the trading of the 

particular transaction.

2. A member may respond by quoting an All-or-None bid or offer price. A bid or offer in response to an 

All-or-None request shall be made only when it is the best bid or offer in response to such request, 

but such price need not be in line with the bids and offers currently being quoted in the regular 

market.

3. A member shall not execute any order by means of an All-or-None transaction unless the order 

includes specific instructions to execute an All-or-None transaction or the All-or-None bid or offer is 

the best price available to satisfy the terms of the order.

4. An All-or-None bid or offer may be accepted by one or more members provided that the entire 

quantity of the All-or-None order is executed at a single price and that each counterparty to the order 

accepts a quantity at or in excess of the designated minimum counterparty threshold. Each order 

executed opposite an All-or-None order must be for a quantity that meets or exceeds the 

minimum counterparty threshold. Separate orders may not be bunched to meet the minimum 

counterparty threshold.

5. All-or-None transactions shall not set off conditional orders (e.g., Stop Orders and MIT Orders) or 

otherwise affect orders in the regular market.

6. All-or-None transactions must be reported to a designated Exchange official who shall record and 

publish the quantity and prices separately from reports of transactions in the regular market. The 

brokers executing All-or-None transactions must maintain a record of said transaction in accordance 

with Rule 536.

FAQ Related to CME Rule 523

All-or-None Transactions

Q1: What is an All-or-None (“AON”) Order?

A1: An AON order is an order that meets or exceeds an exchange-specified minimum quantity that 

can be executed only for its entire quantity and only at a single price. AON orders are permitted 

solely in Options on Three-Month SOFR Futures and, Options on One-Month SOFR Futures and 

all Options on Three-Month Eurodollar Futures executed in the open outcry market during 

Regular Trading Hours. 

Q2: What are the significant differences between AON transactions and other trades executed 

via open outcry?

A2: 1. AON bids, offers and requests for a market must be for a quantity equal to or in excess of 

4,000 contracts for options on Three-Month Eurodollar futures, 1,000 contracts for options on 

Three-Month SOFR futures and 250 contracts for options on One-Month SOFR futures. The 

contract minimum threshold applies to each leg of any spread or combination trade executed 

as an AON.

2. Partial fills for an AON order are not permitted. 

3. The execution price of an AON order may be outside of the best bid/offer in the regular 

market. 

4. The price at which an AON order is executed does not elect conditional orders (e.g., stop 

orders, limit orders, MIT orders, etc.) in the regular market or otherwise affect such orders.

5. AON transactions are reported separately from transactions in the regular market in the Time 
6

and Sales record.

Q3: May an AON order be executed opposite more than one counterparty?

A3: Yes. An AON order may be executed opposite multiple counterparties provided that the 

order is filled in its entirety at a single price and each opposing party to the order receives 10% or 

more of the AON order’s full quantity.

Q4: May a broker bunch separate orders to meet the counterparty minimum?

A4: No. Each order executed opposite an AON order must be for a quantity that meets or 

exceeds the minimum counterparty threshold.

Q5: What is the proper procedure for initiating an AON transaction in the pit?

A5: The initiator of the AON order may request an AON market for a specific quantity or make an AON 

bid/offer for a specific quantity and price. Any requests for an AON market and all AON bids and 

offers must be made openly and clearly announced in the pit.

A member may respond by quoting an AON bid and/or offer price and the quantity, at or above 

the designated counterparty minimum, that he is willing to trade. Brokers who have orders that 

independently meet the minimum counterparty quantity threshold may also bid/offer in response 

to a request for an AON market. 

The individual representing the AON order must determine if the total quantity bid/offered is 

sufficient to satisfy the entire quantity of the AON order at a single price. If so, he will 

consummate the AON trade with the opposing market participants. Just as in the regular market, 

it is the broker’s responsibility to allocate quantities if there is more than one opposing party.

Q6: May two AON orders be crossed?

A6: AON orders to buy and sell that are for different beneficial owners and are initiated 

without prearrangement may be competitively executed opposite each other in the open market. A 

single broker may directly cross two AON orders provided that the cross trade procedures set forth 

in Rule 533 (“Simultaneous Buy and Sell Orders for Different Beneficial Owners”) are followed. 

Additionally, a broker executing an AON order may not take the opposite side of the order, or any 

portion of the order, into his own account (or an account in which he has a direct or indirect financial 

interest or an account over which he has discretionary trading authority) unless the customer has 

provided prior written consent to waive the application of Rule 531.A. (“General Prohibition”) and the 

broker complies with the cross trade procedures set forth in Rule 533.

Q7: May intra-commodity options spreads or options combinations be executed pursuant to 

Rule 523?

A7: Yes, provided that each leg of the spread meets the contract’s minimum quantity requirement.

Q8: Are spreads involving Eurodollar options versus Eurodollar futures or SOFR options 

versus SOFR futures permitted to be executed as an AON?

A8: Yes, provided that at least one option leg of the spread order meets the specified 4,000 contract 

AON minimum order quantity and the quantity of the futures leg is the appropriate delta 

equivalent.
7

Questions regarding this Advisory Notice may be directed to one of 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

Barry Schauer, Trading Floor Investigations Specialist, 312.341.7640

Daniel Schneider, Director, Investigations, 312.341.7251

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or 

news@cmegroup.com.
8

MARKET REGULATION ADVISORY NOTICE

______________________________________________________________________

Exchange CME

Subject Registration and Identification of Broker Associations

Rule References Rule 515

Advisory Date April 18, 2022

Advisory Number CME RA2202-2

Effective Date May 2, 2022

Effective trade date May 2, 2022, and pending all relevant CFTC regulatory review 

periods, this Advisory Notice supersedes CME Market Regulation Advisory Notice 

RA2103-2 from August 30, 2021. It is being issued to notify CME members that all 

SOFR options contract months will be added to the list of contracts subject to the intraassociation trading restrictions pursuant to CME Rule 515.E. (“Trading Restrictions”), on 

May 2, 2022.

All contract months of Eurodollar options, Eurodollar MidCurve options, and SOFR 

options (collectively, “Interest Rate options”) are subject to the intra-association trading 

restrictions pursuant to CME Rule 515.E. (“Trading Restrictions”);

The complete text of Rule 515 begins on page 2 of this Advisory Notice.

Interest Rate Options Trading Restrictions as of May 2, 2022

The intra-association trading restrictions among members of CME broker associations 

operating in Interest Rate options are set forth below.

A. Contract Months Subject to the Restrictions

All listed contract months from the first day of trading through the last day of trading.

B. Restrictions

Order executions in restricted contract months by members of a broker association

opposite other members of the same broker association are limited to 20% per 

month.

Best and Only Bid and Offer Documentation

In circumstances where two members of the same broker association trade opposite 

one another in a contract month subject to the trading restrictions set forth above, and 

at the time the trade is executed one member is the best and only bid and the other 

member is the best and only offer, the quantity associated with the execution will be 

removed from each member’s monthly intra-association percentage restrictions 

provided that all of the following requirements are met:
9

1. A note is made on the trading document by one of the two members involved in the trade 

indicating that at the time the trade was executed, one member was the best and only bid and the 

other member was the best and only offer in the pit. Noting “B&O” on the trading document is 

sufficient for this purpose. That notation must be made contemporaneously with the trade being 

made.

2. The time of the trade to the nearest minute is recorded on the trading document containing the 

B&O notation.

3. A signature and a legible acronym of a member (or the signature of an Exchange official)

attesting to the fact that the members were the best and only bid and best and only offer at the 

time the trade was made must be noted on the trading document. The signature and acronym of 

the member (or the signature of the Exchange official) must be obtained as soon as possible after 

the trade has been made. Members executing the trade may request signatures only from 

members (or Exchange officials) who were present when the trade was made. Members 

signing such trading documents may do so only if they were present and can attest to the 

fact that the trade was a best and only bid and offer at the time it was made. Members of 

the same broker association are not eligible to sign as a witness for this purpose.

4. Copies of the documentation are forwarded to the Market Regulation Department, marked to the 

attention of Jackie Cerven or Jeffrey Nierman.

Properly documented best and only bids and offers will be removed from each 

member’s intra-association trading volume and total trade volume when calculating 

compliance with the applicable trading restrictions. If the removal of the volume 

associated with the best and only bids and offers results in the reduction of a member’s 

intra-association trading percentage to a non-violative level, the member will not be 

deemed to have violated Rule 515.E.

Documentation that does not meet all the requirements set forth above will not be 

accepted by the Market Regulation Department.

Questions regarding this advisory may be directed to one of the following individuals in Market 

Regulation:

Jackie Cerven, Senior Data Investigator, at 312.872.5341

Jeffrey Nierman, Lead Data Investigator, at 312.341.3195.

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or 

news@cmegroup.com.

515. REGISTRATION AND IDENTIFICATION OF BROKER ASSOCIATIONS

515.A. Definitions

1. Floor Brokerage Activity - The execution or pre-execution handling of orders on the trading floor.

2. Broker Association - A broker association shall include the following associations between two or more members 

with trading floor access privileges, at least one of whom is engaged in floor brokerage activity:

a. Revenue Sharing Association: Associations between members who:

i. share profits or losses associated with their brokerage and/or error account activity; and/or

ii. have an employer and employee relationship which relates to floor brokerage activity;

b. Non-Revenue Sharing Association: Associations between members who:

i. regularly share a deck of orders; and/or

ii. share employee salary expenses.

c. Any other group or combination deemed by the Exchange to be a broker association.
10

3. Principal of a Revenue Sharing Association – Each individual who has formal or de facto control over the affairs 

of, or has a ten percent or greater ownership interest in, a Revenue Sharing Association not owned by a clearing 

member firm. 

4. Spokesperson of a Non-Revenue Sharing Association and Revenue Sharing Associations owned by a clearing 

member firm – An individual authorized to represent a Non-Revenue Sharing Association or Clearing Firm owned 

Revenue Sharing Association in connection with its registration obligations set forth in Section B.

5. Investor – An individual who has a direct beneficial interest in a Revenue Sharing Association but is not a principal 

as defined in A.3. above. 

515.B. Registration Requirements

1. A member of a broker association shall not handle or execute an order unless that association has registered with 

the Exchange.

2. Members or Member Firms must have majority ownership interest in any broker association.

3. Principals involved in floor brokerage activity must have trading privileges in the membership division required for 

access to the products handled by the members of the association. Principals who are not involved in floor 

brokerage activity must own a membership in the membership division required for access to the products handled 

by the members of the association. Notwithstanding the above, principals not regularly involved in floor brokerage 

activity may hold a membership in any division in circumstances where the association is owned by a Member 

Firm and such Member Firm owns a membership in the membership division required for access to the products 

handled by the members of the association. 

4. No registered broker association or member thereof shall permit a party to have any direct or indirect profit or 

ownership interest in a broker association unless such party is registered in the association in accordance with this 

rule.

5. Registration shall be accomplished by filing the appropriate registration forms with the Market Regulation 

Department.

6. It shall be the responsibility of the broker association and its principals or spokespersons to ensure that the 

association is properly registered. Any additions, deletions or other changes to the information already reported 

must be provided to the Market Regulation Department within two business days after the event giving rise to such 

changes.

7. The Exchange may request any additional information from a broker association as deemed appropriate. 

515.C. Prohibition on Sharing of Personal Trading Profits 

Registrants in a broker association may not share profits or losses associated with their personal trading activity by 

direct or indirect means, except for profits and losses related to brokerage errors. 

515.D. Supervision

Each principal of a Revenue Sharing Association must diligently supervise the association’s member registrants and 

non-member employees and may be held directly liable for violations of any rule of the Exchange by such registrants 

and employees. Regardless of whether the principal is held responsible for the act or acts constituting the violation, 

each principal is jointly liable for the payment of any fines assessed against another principal, registrant or employee 

of the association provided that the violation occurred while that person was functioning in his capacity with the 

association. 

515.E. Trading Restrictions 

The Exchange may impose limits on the percentage of personal trading and/or brokerage volume that members of a 

broker association may execute with one another. Violations of such restrictions will result in summary action according 

to the following schedule on a rolling 12 month period: 

First Occurrence Letter of Warning 

Second Occurrence $5,000 fine 

Subsequent Occurrence $10,000 fine

The Exchange may restrict a member of a Revenue Sharing Association from trading for any account such member 

owns, controls or in which such member has a financial interest opposite other members of the association executing 

orders. Violation of such restrictions will result in summary action according to the following schedule on a rolling 24 

month period: 

First Occurrence Letter of Warning 

Second Occurrence $500 fine 

Third Occurrence $1,000 fine 

Subsequent Occurrence $5,000 fine 
11

Actions taken pursuant to this section are final and may not be appealed; however members will have 15 days following 

receipt of notification of the action to present evidence to the Market Regulation Department that administrative, clerical 

or other errors caused the apparent rule violation. 

Notwithstanding the provisions of this section, the Market Regulation Department may, at any time, refer matters that 

it deems egregious to the Chief Regulatory Officer for the consideration of charges.
12

MARKET REGULATION ADVISORY NOTICE

______________________________________________________________________

Exchange CME, CBOT, NYMEX & COMEX

Subject Pre-Execution Communications

Rule References Rule 539

Advisory Date September 1, 2021

Advisory Number CME Group RA2112-5R

Effective Dates October 1, 2021

Effective on trade date Friday, October 1, 2021, and pending all relevant CFTC regulatory review periods, 

this revised Market Regulation Advisory Notice will supersede CME Group Market Regulation Advisory 

Notice RA2106-5 from July 14, 2021, and is being issued to restore language from RA2106-5 codifying 

when parties to a Committed Cross (“C-Cross”) may begin to hedge the risk associated with the pending 

C-Cross that was inadvertently eliminated when RA2112-5 was issued on August 30, 2021. 

RA2112-5R eliminates references to CME Rule 549 (“Large Order Execution Transactions – (“LOX 

Orders”) which is being eliminated in connection with the September 30, 2021, closure of the trading floor 

for all products other than options on CME Eurodollar futures and options on CME SOFR futures.

The text of each Exchange’s Rule 539 appears at the end of this Advisory Notice.

No other substantive changes have been made to this Advisory Notice. 

A complete list of eligible products and associated crossing protocols may be found here:

http://www.cmegroup.com/rulebook/files/rule-539-c-crossing-protocols.xlsx

1. General Overview of Pre-Execution Communications

Pre-execution communications are defined as communications between market participants for the 

purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the 

market. Any communication that involves discussion of the size, side of market or price of an order, or a 

potentially forthcoming order, constitutes a pre-execution communication. 

Pre-execution communications are prohibited in connection with options on Eurodollar and SOFR futures

transactions executed via open outcry on the trading floor. 

Pre-execution communications are permitted in all CME, CBOT, NYMEX and COMEX futures and options 

products and CBOT invoice swap spreads traded on Globex. 

2. General Requirements for Permissible Pre-Execution Communications on Globex

Pre-execution communications may occur only when the party for whose benefit the trade is being 

executed has previously consented to such communications.

 

Parties who have been involved in an allowable pre-execution communication may not disclose the 

details of that communication to other parties, nor may a party place any order to take advantage of the 

information conveyed in such communications except to facilitate the trade in accordance with the rule.

All transactions arising from permitted pre-execution communications must be executed in accordance 

with the requirements set forth in Rule 539.C.
13

3. Pre-Execution Communications Crossing Protocols on Globex

The permissible protocol(s) for a particular product are set forth in the Table.

Market participants must ensure that the entry of orders into Globex which result from permissible preexecution communications utilize a permitted cross protocol for the particular product. In many instances, 

more than one cross protocol may be available for a particular group of products.

The use of an ineligible cross protocol for a particular product or group of products constitutes a violation 

of Rule 539.C.

A description of the four cross protocols is set forth below:

A. Globex Cross (“G-Cross”)

In a G-Cross, the order of the party that initiated the pre-execution must be entered into Globex first. The 

second party’s order may not be entered into Globex until a period of 5 seconds has elapsed from the 

time of entry of the first order. No Request for Quote (“RFQ”) is required in a G-Cross.

The G-Cross protocol is available for all futures and swaps products for which pre-execution 

communications are permissible. The G Cross protocol may not be used for the entry of any options 

orders or any spreads or combinations that include an option.

B. Agency Cross (“A-Cross”)

In an A-Cross, a Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into 

Globex. Following the pre-execution communication, an RFQ for the particular futures, options, swap, 

spread or combination must be entered into Globex. Thereafter, a CS, which is defined as the entry of a 

day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into Globex 

as follows:

For all NYMEX and COMEX Products, the orders must be entered no less than five (5) seconds 

and no more than thirty (30) seconds after the entry of the RFQ in order to proceed with the trade; 

or,

For all CME FX futures and options products, the orders must be entered no less than fifteen (15) 

seconds and no more than thirty (30) seconds after the entry of the RFQ in order to proceed with 

the trade. 

A-Cross functionality is currently supported solely on CME Direct. Information concerning registering for 

access to CME Direct may be accessed via the following link:

http://www.cmegroup.com/trading/cme-direct/registration.html

While A-Cross functionality on CME Direct allows the broker to populate the opposing buy and sell orders 

in a single ticket, those orders will result in two discrete Globex order entries, which will be handled to the 

particular algorithm applicable to the product.

 

The broker must select the non-initiating party as the ‘Aggressor’ on the order ticket, which results in the 

CS being populated with the initiating party’s order as a day limit order and the non-initiating party’s order 

as a day fill-and-kill order. Failure to enter the buy and sell orders within 30 seconds after the entry of the 

RFQ will require the entry of a new RFQ and CS in order to proceed with the trade.

The initiating order will immediately match against any orders in the order book on the opposite side of 

the market that are at a price better than or equal to the price on the initiating order, up to the full quantity 

on the initiating order. Any unmatched balance on the initiating order will be filled against the non-
14

initiating counterparty, and any remaining unmatched balance on the non-initiating side will be 

immediately cancelled.

If the cross price improves the best bid and the offer in the order book, or if there is no bid or offer in the 

order book, the two orders on the CS will be filled in their entirety opposite one another, unless any new 

orders are entered at a price equal to or better than the intended cross price before CS reaches Globex. 

If a new order is entered at a price equal to or better than the intended cross price before the CS reaches 

Globex, either of the two orders intended to be crossed will first transact against existing orders in the 

order book.

 

C. Committed Cross (“C-Cross”)

In a C-Cross, subsequent to the pre-execution communication, a Request for Cross (“RFC”) order which 

contains both the buy and the sell orders must be entered into Globex. Upon entry of the RFC, Globex 

will display an indication that a cross has been committed to the market and will occur in five (5) seconds. 

Parties to a C-Cross may begin to hedge the risk associated with the pending cross by entering a riskmitigating order as soon as they have agreed to the cross, subject to the following limitations. Hedging is 

prohibited in the same product and expiration month, and, for a put or call option, the same strike price as 

the agreed upon C-Cross. Further, an intermediary taking the opposite side of a customer order in a CCross transaction is prohibited from beginning to hedge that transaction until the C-Cross has been 

executed. 

Market participants are reminded that it is a violation of Exchange rules for a person to place any order to 

take advantage of the details of a forthcoming C-Cross transaction where the participant is acting on 

material nonpublic information regarding an impending transaction by another person, or is acting on 

nonpublic information obtained through a confidential employee/employer relationship, broker/customer 

relationship, or in breach of a pre-existing duty. The Exchange may proceed with an enforcement action 

when the facts and circumstances of hedging a forthcoming C-Cross suggest deceptive or manipulative 

conduct by any of the involved parties, including when an intermediary handling a customer order violates 

its agency duties owed to the customer.

Market participants are further reminded that the C-Cross functionality will interact with the orders in the 

order book based on the C-Cross algorithm for the product as described below. Parties who engage in 

permissible hedging of a C-Cross have the potential to be left with an unhedged position after the cross is 

executed.

The matching algorithm for the C-Cross will depend on whether the group of products is eligible for a 

better price or volume match (“BPVM”). See the Table for information on products eligible for a BPVM 

allocation and the specific match percentage applicable to those products.

1. Matching Algorithm for C-Cross with BPVM:

If the price of the RFC represents a new best price level (both a bid price higher than the current 

bid and an offer price lower than the current offer) or the price of the RFC is equal to the best bid 

or offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at 

the time of submission of the RFC to Globex, and, during the five (5) second period between the 

entry of the RFC and the cross occurring, a better price for either the buy or sell order has not

been entered into Globex, a certain percentage of the quantity (“BPVM allocation”) on the RFC 

will cross at the RFC price. After the initial BPVM allocation, the remainder of the RFC will match 

as set forth in #2 below.

Where the price of the RFC is equal to the best bid or offer and the quantity of the RFC is greater 

than the quantity at that current best bid or offer, the quantity eligible for the BPVM is the 

difference between the RFC quantity and the quantity at that current best bid or offer.
15

If the event the RFC price does not meet the requirements set forth above, the entirety of the 

cross will match as set forth in #2 below. 

2. Matching Algorithm for C-Cross without BPVM:

If the RFC price improves both the best bid and best offer (or if there is no bid/offer) in the order 

book after the five (5) seconds following submission of the RFC, 100% of the RFC quantity will 

match at the RFC price.

If the RFC price matches or is outside the best bid or offer in the market after the five (5) seconds 

following submission of the RFC, the applicable side of the RFC order will match against the 

orders in the book at a price better than or equal to the RFC price. Immediately thereafter, 100% 

of the smaller quantity remaining on one side of the RFC will match against the order on the 

opposite side of the RFC at the RFC price. Any unmatched balance on one side of the RFC will 

remain in the order book unless it is cancelled by the user.

C-Cross functionality is supported on CME Direct, and may be supported by other Independent Software 

Vendors (“ISVs”).

 

D. RFQ + RFC Cross (“R-Cross”)

In an R-Cross, subsequent to the pre-execution communication, an RFQ for the particular option or 

spread or combination involving an option must be entered into Globex. Thereafter, the RFC order must 

be entered no less than fifteen (15) seconds and no more than thirty (30) seconds after the entry of the 

RFQ in order to proceed with the trade. In CME Dairy futures and options, the RFC order must be entered 

no less than five (5) seconds and no more than thirty (30) seconds after the entry of the RFQ in order to 

proceed with the trade. The RFQ and the RFC order must be entered within the same trading session. 

Failure to enter the RFC order within 30 seconds after the entry of the RFQ will require a new RFQ to be 

entered prior to the entry of the RFC order, which must be entered in accordance with the time 

parameters described above in order to proceed with the trade.

Neither the price nor the quantity of the orders on the RFC is displayed to the marketplace. Additionally, 

there is no information on the participant-entered RFQ which identifies that an RFC is forthcoming. A

participant-entered RFQ in connection with an R-Cross is indistinguishable from a generic RFQ sent to 

Globex.

Numerous ISVs support the R-Cross. For market participants using CME Direct, functionality built into 

the application will prevent the entry of the RFC outside of the prescribed time requirements. This 

functionality is intended to facilitate compliance with the relevant entry time requirements.

The matching algorithm for R-Cross is as follows:

1. If the RFC price improves both the best bid and best offer in the order book or if there is no 

bid/offer in the order book, 100% of the RFC quantity will match at the RFC price immediately 

upon submission of the RFC.

2. If the RFC price matches or is outside the best bid or offer in the market, the applicable side of 

the RFC order will immediately match against the orders in the book at a price better than or 

equal to the RFC price. Immediately thereafter, 100% of the smaller quantity remaining on one 

side of the RFC will match against the order on the opposite side of the RFC at the RFC price. 

Any unmatched balance on one side of the RFC will remain in the order book unless it is 

cancelled by the user.

Additional information on the crossing protocols is available via the following link:

https://www.cmegroup.com/confluence/display/EPICSANDBOX/Cross+on+CME+Globex
16

4. Rule 539.C. Crossing Protocols Table

A complete list of eligible products and associated crossing protocols may be found here:

http://www.cmegroup.com/rulebook/files/Rule-539-C-Crossing-Protocols.xlsx 

Questions regarding this Advisory Notice may be directed to one of 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

Natasha Selkov, Manager, Investigations, 312.341.7623

Kathryn Guerra, Lead Investigator, Investigations, 312.341.3028

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or 

news@cmegroup.com.

CME

539. PREARRANGED, PRE-NEGOTIATED AND NONCOMPETITIVE TRADES PROHIBITED

539.A. General Prohibition 

No person shall prearrange or pre-negotiate any purchase or sale or noncompetitively execute any transaction, except 

in accordance with Sections B. and C. below. 

539.B. Exceptions 

The foregoing restriction shall not apply to block trades pursuant to Rule 526 or Exchange for Related Positions 

transactions pursuant to Rule 538. 

539.C. Pre-Execution Communications Regarding Globex Trades 

Parties may engage in pre-execution communications with regard to transactions executed on the Globex platform 

where one party (the first party) wishes to be assured that a contra party (the second party) will take the opposite side 

of the order under the following circumstances: 

1. A party may not engage in pre-execution communications with other market participants on behalf of another party 

unless the party for whose benefit the trade is being made has previously consented to permit such 

communications. 

2. Parties to pre-execution communications shall not (i) disclose to a non-party the details of such communications 

or (ii) enter an order to take advantage of information conveyed during such communications except in accordance 

with this rule. 

3. Permissible Entry Methods for Orders 

The following order entry methods for futures, options, spreads and combinations vary by product, as set forth in 

the Rule 539.C. Crossing Protocols Table (“Table”) in the Interpretations Section at the end of Chapter 5.

a. Globex Cross (“G-Cross”)

The first party’s order is entered into the Globex platform first. The second party’s order may not be entered 

into the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.

b. Agency Cross (“A-Cross”)

A Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into Globex. Following the 

pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options, spread or 

combination is entered into the Globex platform. Thereafter, a Cross Sequence, which is defined as the entry 

of a day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into the 

Globex platform no less than fifteen (15) seconds and no more than thirty (30) seconds after the entry of the 

RFQ in order to proceed with the trade. The first party’s order must be entered first, as a day-limit order, 

followed immediately by the entry of the second order as a day-fill-and-kill order. The CS must occur within 

the same trading session. Failure to enter the buy and sell orders within 30 seconds after the entry of the 

RFQ will require a new CS to be initiated in order to proceed with the trade.
17

c. Committed Cross (“C-Cross”)

Following the pre-execution communication, a Request for Cross (“RFC”) order which contains both the buy 

and the sell orders must be entered into the Globex platform. Upon entry of the RFC, the Globex platform will 

display an indication that a cross will occur in five (5) seconds. In certain products as set forth in the Table in 

the Interpretations Section at the end of Chapter 5, a certain percentage of the quantity on the RFC will cross 

if the price of the RFC represents a new best price level or if the price of the RFC is equal to the best bid or 

offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time of 

submission of the RFC to the Globex platform, and a better price for either the buy or sell order has not been 

entered into the Globex platform during the five (5) second period between entry of the RFC and the cross 

occurring. 

d. RFQ + RFC Cross (“R-Cross”) 

Following the pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options 

spread or combination must be entered into Globex. Thereafter, the RFC order must be entered no less than 

fifteen (15) seconds and no more than thirty (30) seconds after the entry of the RFQ in order to proceed with 

the trade, except the RFC order in Dairy futures and options must be entered no less than five (5) seconds 

and no more than thirty (30) seconds after the entry of the RFQ. The RFQ and the RFC order must be entered 

within the same trading session. Failure to enter the RFC order within 30 seconds after the entry of the RFQ 

will require a new RFQ to be entered prior to the entry of the RFC order, which must be entered in accordance 

with the time parameters described above in order to proceed with the trade.

CBOT

539. PREARRANGED, PRE-NEGOTIATED AND NONCOMPETITIVE TRADES PROHIBITED

539.A. General Prohibition 

No person shall prearrange or pre-negotiate any purchase or sale or noncompetitively execute any transaction, except 

in accordance with Sections B. and C. below. 

539.B. Exceptions 

The foregoing restrictions shall not apply to block trades pursuant to Rule 526 or Exchange for Related Positions 

transactions pursuant to Rule 538. 

539.C. Pre-Execution Communications Regarding Globex Trades 

Parties may engage in pre-execution communications with regard to transactions executed on the Globex platform 

where one party (the first party) wishes to be assured that a contra party (the second party) will take the opposite side 

of the order under the following circumstances: 

1. A party may not engage in pre-execution communications with other market participants on behalf of another party 

unless the party for whose benefit the trade is being made has previously consented to permit such 

communications. 

2. Parties to pre-execution communications shall not (i) disclose to a non-party the details of such communications

or (ii) enter an order to take advantage of information conveyed during such communications except in accordance 

with this rule. 

3. Permissible Entry Methods for Orders

The following order entry methods for futures, options, swaps, spreads and combinations vary by product, as set 

forth in the Rule 539.C. Crossing Protocols Table (“Table”) in the Interpretations Section at the end of Chapter 5.

a. Globex Cross (“G-Cross”)

The first party’s order is entered into the Globex platform first. The second party’s order may not be entered 

into the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.

b. Agency Cross (“A-Cross”)

A Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into Globex. Following the 

pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options, spread or 

combination is entered into the Globex platform. Thereafter, a Cross Sequence, which is defined as the entry 

of a day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into the 

Globex platform no less than fifteen (15) seconds and no more than thirty (30) seconds after the entry of the 

RFQ in order to proceed with the trade. The first party’s order must be entered first as a day-limit order, 

followed immediately by the entry of the second order as a day-fill-and-kill order. The CS must occur within 

the same trading session. Failure to enter the buy and sell orders within 30 seconds after the entry of the RFQ 

will require a new CS to be initiated in order to proceed with the trade.
18

c. Committed Cross (“C-Cross”)

Following the pre-execution communication, a Request for Cross (“RFC”) order which contains both the buy 

and the sell orders must be entered into the Globex platform. Upon entry of the RFC, the Globex platform will 

display an indication that a cross will occur in five (5) seconds. In certain products as set forth in the Table in 

the Interpretations Section at the end of Chapter 5, a certain percentage of the quantity on the RFC will cross 

if the price of the RFC represents a new best price level or if the price of the RFC is equal to the best bid or 

offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time of 

submission of the RFC to the Globex platform, and a better price for either the buy or sell order has not been 

entered into the Globex platform during the five (5) second period between entry of the RFC and the cross 

occurring. 

d. RFQ + RFC Cross (“R-Cross”) 

Following the pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options

spread or combination must be entered into Globex. Thereafter, the RFC order must be entered no less than 

fifteen (15) and no more than thirty (30) seconds after the RFQ in order to proceed with the trade. The RFQ 

and the RFC order must be entered within the same trading session. Failure to enter the RFC order within 30 

seconds after the entry of the RFQ will require a new RFQ to be entered prior to the entry of the RFC order, 

which must be entered in accordance with the time parameters described above in order to proceed with the 

trade.

NYMEX/COMEX

539. PREARRANGED, PRE-NEGOTIATED AND NONCOMPETITIVE TRADES PROHIBITED

539.A. General Prohibition 

No person shall prearrange or pre-negotiate any purchase or sale or noncompetitively execute any transaction, except 

in accordance with Sections B. and C. below. 

539.B. Exceptions 

The foregoing restriction shall not apply to block trades pursuant to Rule 526 or Exchange for Related Positions 

transactions pursuant to Rule 538. 

539.C. Pre-Execution Communications Regarding Globex Trades 

Parties may engage in pre-execution communications with regard to transactions executed on the Globex platform 

where one party (the first party) wishes to be assured that a contra party (the second party) will take the opposite side 

of the order under the following circumstances: 

1. A party may not engage in pre-execution communications with other market participants on behalf of another party 

unless the party for whose benefit the trade is being made has previously consented to permit such 

communications. 

2. Parties to pre-execution communications shall not (i) disclose to a non-party the details of such communications 

or (ii) enter an order to take advantage of information conveyed during such communications except in accordance 

with this rule. 

3. Permissible Entry Methods for Orders 

The following order entry methods for futures, options, spreads and combinations vary by product, as set forth in 

the Rule 539.C. Crossing Protocols Table (“Table”) in the Interpretations Section at the end of Chapter 5.

a. Globex Cross (“G-Cross”)

The first party’s order is entered into the Globex platform first. The second party’s order may not be entered 

into the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.

b. Agency Cross (“A-Cross”)

A Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into Globex. Following the 

pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options, spread or 

combination is entered into the Globex platform. Thereafter, a Cross Sequence, which is defined as the entry 

of a day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into the 

Globex platform no less than five (5) seconds and no more than thirty (30) seconds after the entry of the RFQ 

in order to proceed with the trade. The first party’s order must be entered first as a day-limit order, followed 

immediately by the entry of the second order as a day-fill-and-kill order. The CS must occur within the same 

trading session. Failure to enter the buy and sell orders within 30 seconds after the entry of the RFQ will 

require a new CS to be initiated in order to proceed with the trade.
19

c. Committed Cross (“C-Cross”)

Following the pre-execution communication, a Request for Cross (“RFC”) order which contains both the buy 

and the sell orders must be entered into the Globex platform. Upon entry of the RFC, the Globex platform will 

display an indication that a cross will occur in five (5) seconds. In certain products as set forth in the Table in 

the Interpretations Section at the end of Chapter 5, a certain percentage of the quantity on the RFC will cross 

if the price of the RFC represents a new best price level or if the price of the RFC is equal to the best bid or 

offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time of 

submission of the RFC to the Globex platform, and a better price for either the buy or sell order has not been 

entered into the Globex platform during the five (5) second period between entry of the RFC and the cross 

occurring. 

d. RFQ + RFC Cross (“R-Cross”)

Following the pre-execution communication, a Request for Quote (“RFQ”) for the particular option or option 

spread or combination must be entered into Globex. Thereafter, the RFC order must be entered no less than 

fifteen (15) seconds and no more than thirty (30) seconds after the entry of the RFQ in order to proceed with 

the trade. The RFQ and the RFC order must be entered within the same trading session. Failure to enter the 

RFC order within 30 seconds after the entry of the RFQ will require a new RFQ to be entered prior to the entry 

of the RFC order, which must be entered in accordance with the time parameters described above in order to 

proceed with the trade.