SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-479 (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): 12/06/23 Filing Description: Issuance of CME Group Market 

Regulation Advisory Notice RA2306-5 Regarding CME, CBOT, NYMEX/COMEX Rule 

538. (“Exchange for Related Positions”)

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: 538.

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:
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

1

Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

December 6, 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. Issuance of CME Group Market Regulation 

Advisory Notice RA2306-5 Regarding CME, CBOT, NYMEX/COMEX Rule 538.

(“Exchange for Related Positions”).

CBOT Submission No. 23-479 (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 RA2306-5 (“RA2306-5”) regarding CME, CBOT, NYMEX/COMEX Rule 538. (“Exchange for Related 

Positions”) (collectively, the “Rule Amendments”) effective on December 21, 2023.

RA2306-5 is being issued to incorporate certain amendments and provide additional clarity to certain 

frequently asked questions. 

Specifically, Q&A 4 is being amended to the remove legacy references to the exception on the eligibility of 

CME full-sized Standard & Poor’s 500 Stock Price Index Options as part of Exchange of Option for Option 

(“EOO”) transactions, due to the recent termination of trading of the CME full-sized Standard & Poor’s 500 

Stock Price Index futures and options contracts. 

Additionally, Q&A 11 is being amended to codify existing guidance for pricing on for Trading at Settlement 

(“TAS”), Trading at Marker (“TAM”) and Trade Marker at Close (”TMAC”) transactions, as the pricing 

guidance also applies to TAM and the recently adopted TMAC transactions (see Submission No. 23-244

dated July 12, 2023.

Finally, RA2306-5 incorporates language with respect to delivery quantity confirmation in Q&A 28 by 

changing the verbiage “determined by the parties” to “confirmed by the parties.” The revised language is 

intended to provide greater clarity which specifies exactly the time by which true-up EFRPs must be 

reported to the Exchange.

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: 

Compliance with Rules: RA2306-5 provides guidance to the marketplace on the regulatory 

requirements attendant to Exchange for Related Position transactions. This guidance is intended 

to assist market participants in remaining in compliance with Rule 538. and is therefore in 

compliance with this Core Principle. 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

2

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

publicly issuing RA2306-5 ensure that market participants have updated guidance and information 

attendant to the amendments. RA2306-5 will also be available on the CME Group website.

Execution of Transactions: The Rule Amendments comply with Core Principle 9 and CFTC 

Regulation 1.38 (Execution of transactions), which allow DCMs to authorize transactions that are 

executed away from the DCM’s centralized marketplace based on terms specified by the DCM and 

submitted to the Commission. 

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. 

Should you have any questions concerning the above, please contact the undersigned at (312) 466-7478

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

Sincerely,

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel

Attachment: Exhibit A: CME Group Market Regulation Advisory Notice RA2306-5
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Exhibit A

MARKET REGULATION ADVISORY NOTICE

______________________________________________________________________

Exchange CME, CBOT, NYMEX & COMEX

Subject Exchange for Related Positions 

Rule References Rule 538

Advisory Date December 7, 2023

Advisory Number CME Group RA2306-5

Effective Date December 21, 2023

Effective on trade date December 21, 2023, and pending all relevant CFTC regulatory review periods, this 

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

RA2304-5 from July 13, 2023. It is being issued to revise the contact list, remove the references to the 

exception on the eligibility of CME full-sized Standard & Poor’s 500 Stock Price Index Options as part of 

Exchange of Option for Option (“EOO”) transaction upon terminated trading of CME full-sized Standard & 

Poor’s 500 Stock Price Index contracts in Q&A 4, codify existing guidance for pricing on for TAS, TAM or 

TMAC transactions in Q&A 11, and clarify language on delivery quantity confirmation in Q&A 28. 

No other material changes have been made to the Advisory Notice.

Market participants should note that no changes have been made with respect to the continued 

prohibition on the execution of transitory EFRPs in any products. The execution of transitory EFRPs, 

which prior to August 4, 2014, had been permitted in CME foreign currency products, NYMEX energy 

products and COMEX and NYMEX metals products remain strictly prohibited. 

As defined in Rule 538, transitory EFRPs are EFRPs in which the execution of an EFRP is contingent 

upon the execution of another EFRP or related position transaction between the parties and where the 

transactions result in the offset of the related positions without the incurrence of market risk that is 

material in the context of the related position transactions. Questions 14-17 in the FAQ provide additional 

guidance in this regard. 

The time-period between the transactions is a factor considered in assessing whether the EFRP is a 

transitory EFRP; however, the legitimacy of the transactions will be evaluated based on whether the 

transactions have integrity as independent transactions exposed to market risk that is material in the 

context of the transactions. 

Questions regarding this Advisory Notice may be directed to the following individuals in Market 

Regulation:

 For NYMEX and COMEX Products For CME and CBOT Products

Mei Ling Toh, Director, 212.299.2241 Michael Elder, Manager, 312.435.3782

Tom Dixon, Senior Director, 212.299.2901 Michael Joubert, Manager, 312.341.7714

William Lange, Director, 312.341.7757 

Chris Reinhardt, Executive Director, 312.435.3665
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For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 

312.930.3434 or news@cmegroup.com.

Text of Rule 538 – (“Exchange for Related Positions”)

An Exchange for Related Position (“EFRP”) transaction involves a privately negotiated off-exchange execution of an 

Exchange futures or options contract and, on the opposite side of the market, the simultaneous execution of an 

equivalent quantity of the cash product, by-product, related product, or OTC derivative instrument corresponding to the 

asset underlying the Exchange contract. 

The following types of EFRP transactions are permitted to be executed outside of the Exchange’s centralized market 

in accordance with the requirements of this rule: 

Exchange of Futures for Physical (“EFP”) – the simultaneous execution of an Exchange futures contract and 

a corresponding physical transaction or a forward contract on a physical transaction. 

Exchange of Futures for Risk (“EFR”) – the simultaneous execution of an Exchange futures contract and a 

corresponding OTC swap or other OTC derivative transaction.

Exchange of Option for Option (“EOO”) – the simultaneous execution of an Exchange option contract and a 

corresponding transaction in an OTC option. 

For purposes of this rule, EFPs, EFRs and EOOs shall collectively be referred to as EFRP transactions. 

538.A. Parties to an EFRP

One party to the EFRP must be the buyer of the Exchange contract and the seller of (or the holder of the short market 

exposure associated with) the related position; the other party to the EFRP must be the seller of the Exchange contract 

and the buyer of (or the holder of the long market exposure associated with) the related position. The Exchange 

contract and the corresponding related position must be executed for accounts with the same beneficial ownership.

A third party may facilitate, as principal, the related position component of an EFRP on behalf of a customer. Except 

for immediately offsetting foreign currency EFPs executed pursuant to Section K., such third party must be able to 

demonstrate that the related position was passed through to the customer who received the Exchange contract as part 

of the EFRP.

Specifically with respect to the execution of immediately offsetting foreign currency EFPs pursuant to Section K. by 

CTAs, account controllers, or other Persons acting on behalf of another party, the initiating and offsetting cash legs are 

not required to be passed through to the customer who received the Exchange contract as part of the EFRP. However, 

in a circumstance where the futures leg of the transaction fails to clear, the underlying customer must receive the profit 

or loss, if any, attendant to the offset of the offsetting cash leg.

Parties to an EFR or EOO transaction must comply with all relevant CFTC regulations governing eligibility to participate 

in the related position component of such transactions.

538.B. Independently Controlled Accounts

The opposing accounts to an EFRP transaction must be (a) independently controlled accounts with different beneficial 

ownership; (b) independently controlled accounts of separate legal entities with common beneficial ownership; or (c) 

independently controlled accounts of the same legal entity, provided that the account controllers operate in separate 

business units. 

For EFRP transactions between accounts with common beneficial ownership, the parties to the trade must be able to 

demonstrate the independent control of the accounts and that the transaction had economic substance for each party 

to the trade.

538.C. Related Position 

The related position component of an EFRP must be the cash commodity underlying the Exchange contract or a byproduct, a related product or an OTC derivative instrument of such commodity that has a reasonable degree of price 

correlation to the commodity underlying the Exchange contract. The related position component of an EFRP may not 

be a futures contract or an option on a futures contract. 
5

Each EFRP requires a bona fide transfer of ownership of the underlying asset between the parties or a bona fide, 

legally binding contract between the parties consistent with relevant market conventions for the particular related 

position transaction. 

The execution of an EFRP transaction may not be contingent upon the execution of another EFRP or related position 

transaction between the parties where the transactions result in the offset of the related position without the incurrence 

of market risk that is material in the context of the related position transactions. 

The facilitation of the execution of an EFRP by any party that knows such EFRP is non bona fide shall constitute a 

violation of this Rule.

538.D. EFPs in Connection with Inventory Financing of Storable, Non-Financial Commodities

A party providing inventory financing for a storable agricultural, energy or metals commodity may, through the execution 

of an EFP, purchase the commodity and sell the equivalent quantity of futures contracts to a counterparty, and grant to 

the counterparty the non-transferable right, but not the obligation, to execute a second EFP during a specified time 

period in the future which will have the effect of reversing the original EFP. 

538.E. Quantity Equivalence

The quantity of the related position component of the EFRP must be approximately equivalent to the quantity of the 

Exchange component of the EFRP. Appropriate hedge ratios between the Exchange and related position components 

of the EFRP may be used to establish equivalency. 

538.F. Prices and Price Increments

The Exchange component of the EFRP transaction must be priced in accordance with the applicable futures price 

increments or option premium increments as set forth in the rules governing the Exchange contract. 

EFRPs may be transacted at such commercially reasonable prices as are mutually agreed upon by the parties to the 

transaction. EFRPs may not be priced to facilitate the transfer of funds between parties for any purpose other than as 

the consequence of legitimate commercial activity. 

538.G. EFRPs Following the Termination of Trading in Exchange Contracts

EFRP transactions in certain Exchange contracts may be executed for a defined period of time following the termination 

of trading in accordance with the applicable product rules governing each Exchange contract. Such transactions may 

be executed only to liquidate Exchange positions. 

538.H. Recordkeeping

Parties to an EFRP transaction must maintain all records relevant to the Exchange contract and the related position 

transaction, including order tickets, records customarily generated in accordance with relevant market practices, 

records reflecting payments between the parties and, where appropriate, transfer of title, as well as any other records 

required to be kept pursuant to CFTC Regulation 1.35. Brokers who facilitate EFRP transactions must maintain all 

records corresponding to their facilitation of the transactions. 

Records related to EFRP transactions must be provided to the Exchange upon request. It shall be the responsibility of 

the carrying clearing member firm to obtain and submit the requested records of their clients to the Exchange on a 

timely basis. 

538.I. Submission to the Clearing House

Each EFRP transaction shall be submitted to the Clearing House within the time period and in the manner specified by 

the Exchange and the Clearing House. In all cases, the record submitted to the Clearing House must reflect the correct 

EFRP transaction type and must reflect the accurate date and time at which the relevant terms of the transaction were 

agreed upon by the parties to the trade. 

An EFRP transaction submitted to the Clearing House shall not be considered accepted by the Clearing House until 

the transaction has cleared and the first payment of settlement variation and performance bond has been confirmed.

538.J. EFRP Volumes Required to be Reported with Daily Large Trader Positions

Each clearing member, omnibus account and foreign broker responsible for submitting daily large trader positions in 

accordance with Rule 561 must submit for each reportable account the EFRP volume bought and sold in the reportable 

instrument. This information must be included in the daily Large Trader report to the Exchange.
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538.K. Immediately Offsetting EFPs in Foreign Currency Futures 

EFPs in foreign currency futures wherein the parties immediately offset the cash transaction are permitted and the 

Exchange would expect to see confirmation statements issued by the bank/foreign exchange dealer party to the 

Transaction. These confirmation statements should be the type normally produced by the bank/foreign exchange 

dealer for confirmation of currency deals and should indicate, by name, the identity of the counter party principal to the 

Transaction. However, in circumstances where the EFP Transaction is between a bank/foreign exchange dealer and 

a CTA, account controller, or other Person acting on behalf of a third party (such as a commodity pool or fund), the 

cash side confirmation statement must identify, at minimum, the name of the third party’s Carrying Clearing Member 

and the third party’s account number (or other account specific designation), but need not identify the third party by 

name. These transactions are only permissible as EFPs in foreign currency futures and not in any other asset class or 

in EFRs or EOOs in foreign currency futures.

FAQ Related to Rule 538

Exchange for Related Positions

Q1: What are EFRP transactions?

A1: EFRP is an acronym for Exchange for Related Position, and EFRPs are one of the permitted 

exceptions to the requirement that futures and options on futures be executed openly and 

competitively on the Exchange. 

An EFRP transaction involves the off-exchange execution of an Exchange futures or options on 

futures contract and, on the opposite side of the market, the simultaneous execution of an 

equivalent quantity of the cash product, by-product, related product or OTC derivative instrument

corresponding to the asset underlying the Exchange contract. 

Q2: What is the difference between EFRP transactions and "Ex-Pit" transactions?

A2: The term "Ex-Pit Transaction" refers broadly to transactions that Exchange rules permit to be 

executed outside of the Exchange’s centralized market. Permissible Ex-Pit transactions include 

EFRPs, block trades and transfer trades. EFRPs are addressed in Rule 538; block trades are 

addressed in Rule 526, and transfer trades are addressed in Rule 853.

Q3: What are the different types of EFRPs permitted by the CME Group Exchanges?

A3: The following types of Exchange for Related Position (“EFRP”) transactions are permitted to be 

executed outside of the Exchange’s centralized market in accordance with the requirements of 

Rule 538, the application guidance in this advisory, and any applicable CFTC regulations.

Exchange of Futures for Physical (“EFP”) – the simultaneous execution of an Exchange futures 

contract and a corresponding physical transaction or a forward contract on a physical transaction.

Exchange of Futures for Risk (“EFR”) – the simultaneous execution of an Exchange futures 

contract and a corresponding OTC swap transaction or other OTC derivative transaction.

Exchange of Option for Option (“EOO”) – the simultaneous execution of an Exchange option 

contract and a corresponding transaction in an OTC option. No other instrument other than an 

OTC option is eligible as the related position component of an EOO. 
7

The related position component of an EFRP may not be a futures contract or an option on a 

futures contract. 

Where the related position component of an EFRP is a physical transaction, a forward contract 

that is not otherwise defined as a swap under federal regulations, an Exchange Traded Fund 

(“ETF”) or an Exchange Traded Note (“ETN”), the transaction should be submitted for clearing as 

an EFP transaction type. 

Where the related position component of an EFRP is an instrument defined as a swap pursuant 

to federal regulations, or is another OTC derivative transaction, the transaction must be submitted 

as an EFR or an EOO transaction type, as applicable, and must be reported as required under 

Parts 43 and 45 of Commodity Futures Trading Commission Regulations. For further information 

regarding CFTC/SEC product definitions, market participants should reference the August 13, 

2012 Federal Register release (77 FR 48207) that defines swaps and the scope of the forward 

contract exclusion.

A swap that is traded on, or subject to the rules of, a designated contract market (“DCM”) or a 

swap execution facility (“SEF”) is ineligible to be the related position component of an EFR or 

EOO transaction executed pursuant to Rule 538. 

The above-referenced exclusion does not apply to swaps that are bilaterally negotiated and 

submitted for clearing-only to a DCO provided such swaps have a reasonable degree of 

correlation to the underlying CME Group Exchange product.

Q4: May EFRPs be executed in any of the CME Group Exchanges’ futures and options contracts? 

A4: EFRPs may be executed in any of the CME Group Exchanges’ futures and futures options contracts 

provided the transaction conforms to the requirements of Rule 538 and any associated advisories, as 

well as with any applicable CFTC regulations. 

Notwithstanding the foregoing, CBOT Soybean Crush Spread Options are not able to be submitted 

to CME Clearing through CME ClearPort or CME Direct and are therefore ineligible to be 

executed as EFRPs.

Q5: May EFRPs be transacted on electronic systems?

A5: It is not permissible to facilitate the execution of EFRPs on a system or facility accessible to multiple 

parties that allows for the electronic matching of or the electronic acceptance of bids and offers. 

Parties may use communication technologies to bilaterally request EFRP quotes from one or more 

participants and to conduct privately negotiated EFRPs. Parties may also utilize technologies 

supported by third parties which allow for the electronic posting of indicative EFRP markets displayed 

to multiple market participants. However, EFRPs executed between parties based on such 

electronically displayed indicative markets may be transacted only through direct bilateral 

communications involving the broker, where applicable, and the parties to the trade.

Q6: Are there specified trading hours during which EFRP transactions may be executed?

A6: EFRPs may be executed at any time. However, an EFRP transaction submitted to the Clearing 

House shall not be considered to have been accepted by the Clearing House until the transaction 

has cleared and the first payment of settlement variation and performance bond has been confirmed.
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Q7: May an EFRP be executed after trading has ceased in an expiring contract?

A7: EFRP transactions in certain Exchange contracts may be executed for a defined period of time 

following the termination of trading only to liquidate Exchange positions and only in accordance 

with the applicable product rules governing each Exchange contract. The applicable product 

chapter of the relevant Exchange’s rulebook will specify if such transactions are permitted and, if so, 

the time period following the cessation of trading during which such transactions are eligible to be 

executed. 

Q8: Are there restrictions on who may participate in EFRP transactions? 

A8: EFP Transactions – There are no specific eligibility requirements for participation in an EFP 

transaction. 

EFR and EOO Transactions – Participants to EFR and EOO transactions must comply with 

applicable CFTC requirements governing eligibility to transact the related position component of 

an EFR or EOO, and participants should consult with counsel as appropriate to determine 

eligibility. In this regard, market participants should be mindful of all eligibility standards 

applicable to related positions, including, where applicable, CFTC Regulations Part 32-Regulation 

of Commodity Option Transactions and Part 35-Swaps in an Agricultural Commodity. 

Q9: May EFRPs be executed between affiliated accounts?

A9: The opposing accounts involved in the execution of an EFRP must be:

a) independently controlled accounts with different beneficial ownership; or

b) independently controlled accounts of separate legal entities with common beneficial 

ownership; or

c) independently controlled accounts of the same legal entity provided that the account 

controllers operate in separate business units. 

Accounts with the same beneficial ownership include accounts owned by the same person or 

entity, accounts of a parent and its wholly owned subsidiaries, and accounts of subsidiaries that 

are wholly owned by the same parent. Common beneficial ownership is more inclusive and 

includes not only accounts with the same beneficial ownership, but also accounts with common 

beneficial ownership that is less than 100%.

Parties to an EFRP transaction involving the same legal entity or common beneficial owner must 

be able to demonstrate the independent control of decision making for the respective accounts 

and that the EFRP had economic substance for each party to the trade.

Q10: Are multi-party EFRP transactions permitted?

A10: Typically, there may be only two parties involved in an EFRP transaction. One party to the EFRP 

must be the buyer of the Exchange contract and the seller of (or the holder of the short market 

exposure associated with) the related position; the other party to the EFRP must be the seller of 
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the Exchange contract and the buyer of (or the holder of the long market exposure associated 

with) the related position. The Exchange contract and corresponding related position of an EFRP 

must be executed for accounts with the same beneficial ownership. 

Any third party may facilitate, as principal, the related position component of an EFRP on behalf of 

a customer provided that the third party can demonstrate that the related position was passed 

through to the customer who received the Exchange contract as part of the EFRP. 

With respect to the execution of immediately offsetting foreign currency EFPs pursuant to Section 

K. by CTAs, account controllers, or other Persons acting on behalf of another party, the initiating

and offsetting cash legs are not required to be passed through to the customer who received the 

Exchange contract as part of the EFRP. However, in a circumstance where the futures leg of the 

transaction fails to clear, the underlying customer must receive the profit or loss, if any, attendant 

to the offset of the offsetting cash leg.

Q11: Are there restrictions on the price at which an EFRP transaction may be executed?

A11: EFRPs may be transacted at such commercially reasonable prices as are mutually agreed upon 

by the parties to the transaction, provided that the price conforms to the applicable futures price 

increments or option premium increments set forth in the product chapter rules for the relevant 

Exchange contract. 

The futures leg of EFP and EFR transactions in those commodities and contract months 

permitted to be priced at the settlement or marker price or any permissible price increment above 

or below the settlement or marker price pursuant to the provisions of Rule 524 will be eligible for 

TAS, TAM, or TMAC pricing. Please note that the futures leg of spot month Copper EFPs and 

EFRs may be priced solely at the settlement price, or TAS flat. 

Please see the Table set forth in the Interpretations & Special Notices Section at the end of 

Chapter 5 of each Exchange’s Rulebook for information on the specific products, contract months 

and permissible price increments for TAS, TAM or TMAC transactions, which may also be 

accessed here.

EFRPs executed at off-market prices are more likely to be reviewed by Market Regulation to 

determine the purpose for the pricing. EFRPs may not be priced off-market for the purpose of 

shifting substantial sums of cash from one party to another, to allocate gains and losses between 

the futures or options on futures and the cash or OTC derivative components of the EFRP, to 

evade taxes, to circumvent financial controls by disguising a firm’s financial condition, or to 

accomplish some other unlawful purpose. 

Q12: May EFRPs be average priced?

A12: Yes. EFRP transactions designated for average pricing must conform to the requirements of 

Rule 553 (“Average Price System”) and Rule 538.

Q13: Are the prices and quantities of EFRP transactions publicly reported?

A13: The price of the Exchange leg of an EFRP transaction is not publicly reported. EFRP volumes 

are reported daily, by instrument, on the CME Group website. 
10

Parties to an EFR or EOO transaction should consult CFTC regulations regarding the swap 

reporting requirements associated with their execution of the related position transaction.

Q14: Are transitory EFRPs permitted in any products listed on CME Group exchanges? 

A14: No.

Transitory EFRPs are EFRPs in which the execution of an EFRP is contingent upon the 

execution of another EFRP or related position transaction between the parties and where the 

transactions result in the offset of the related positions without the incurrence of market risk that is 

material in the context of the related position transactions. 

The time period between the transactions is a factor considered in assessing whether the EFRP 

is a transitory EFRP; however, the legitimacy of the transactions will be evaluated based on 

whether the transactions have integrity as independent transactions exposed to market risk that is 

material in the context of the transactions. 

Where economically equivalent futures products trade on a CME Group Exchange and another 

exchange, the contingent execution between two parties of equal and opposite EFRPs on each 

exchange where the related position components offset and are not subject to market risk shall 

be considered a prohibited transitory EFRP at the applicable CME Group Exchange.

Q15: May a swap be negotiated to settle via an EFR?

A15: Parties to a swap may agree to settle the swap via an EFR provided that the determination of the 

settlement value of the swap (floating price) is subject to market risk that is material in the context 

of the transaction. For example, parties may negotiate a swap to settle via EFR on a specific 

date in the future at the futures settlement price or the average settlement price over a prescribed 

time period. 

Q16: Can an EFRP incorporate multiple legs on the Exchange component of the transaction or 

incorporate multiple legs on the related position component of the EFRP?

A16: An EFRP may incorporate multiple Exchange components provided that the EFRP is not a 

prohibited transitory EFRP as defined in Section C. and in the answer to Question 14 of this 

Advisory Notice. Accordingly, an EFRP with multiple Exchange components where the related 

position components offset without the incurrence of market risk that is material in the context of 

the related position transactions would not be permissible. Alternatively, an EFRP with multiple 

Exchange components where the related position components do not offset and where those 

related position components incur material market risk are permitted. 

An EFRP may incorporate multiple related position components provided that the net exposure of 

the related position components is approximately equivalent to the quantity of futures exchanged 

or, in the case of an EOO, the net delta-adjusted quantity of the OTC option components is 

approximately equivalent to the delta-adjusted quantity of the Exchange-listed option. 
11

Q17: May EFPs be utilized to facilitate inventory financing in storable non-financial commodities? 

A17: EFP transactions entered into for the purpose of obtaining inventory financing for storable 

agricultural, metals and energy commodities are permitted in accordance with the following: A 

party providing inventory financing for a storable, non-financial commodity may, through the 

execution of an EFP, purchase the commodity and sell the equivalent quantity of futures 

contracts to a counterparty, while simultaneously granting to the counterparty the nontransferable right, but not the obligation, to execute a second EFP that reverses the original EFP 

during a specified time period in the future. 

Q18: What types of instruments are considered acceptable for use as the related position side 

of EFRPs?

A18: The related position component of the EFRP must involve the product underlying the Exchange 

contract or a by-product, related product or OTC derivative instrument that is reasonably 

correlated to the corresponding Exchange instrument. 

The related position component of an EFRP may not be a futures contract or an option on a 

futures contract.

Where the risk characteristics and/or maturities of the related position differ from the instrument 

underlying the Exchange contract, the parties to the EFRP may be required to demonstrate the 

correlation between the products and the methodology used in equating the futures to the related 

position. In all cases, the related position transaction must be comparable with respect to 

quantity, value or risk exposure of the corresponding Exchange contract. 

Each EFRP requires a bona fide transfer of ownership of the cash commodity between the 

parties or a bona fide, legally binding contract between the parties consistent with relevant market 

conventions for the particular related position transaction. 

Where the related position component of an EFRP is a physical transaction, a forward contract 

that is not otherwise defined as a swap under federal regulations, an Exchange Traded Fund 

(“ETF”) or an Exchange Traded Note (“ETN”), the transaction should be submitted for clearing as 

an EFP transaction type. 

Where the related position component of an EFRP is an instrument defined as a swap pursuant 

to federal regulations, or is another OTC derivative transaction, the transaction must be submitted 

as an EFR or an EOO transaction type, as applicable, and must be reported as required under 

Parts 43 and 45 of Commodity Futures Trading Commission Regulations. For further information 

regarding CFTC/SEC product definitions, market participants should reference the August 13, 

2012 Federal Register release (77 FR 48207) that defines swaps and the scope of the forward 

contact exclusion.

Generally acceptable related position instruments for EFRPs in the following product groups include, 

but are not limited to, the following:

Foreign Exchange Contracts: Instruments acceptable as the related position component of an FX 

EFRP transaction include spot, forwards, non-deliverable forwards (“NDFs”), swaps and 

swaptions, cross-currency basis swaps, OTC FX options, non-deliverable options (“NDOs”), 

currency baskets, ETFs and ETNs. 

Interest Rate Contracts: Instruments acceptable as the related position component of an interest 

rate EFRP include Treasuries, Agencies, investment grade corporates, money market 
12

instruments, interest rate swaps and swaptions, forward rate agreements (FRAs), mortgage 

instruments including collateralized mortgage obligations, OTC interest rate options, ETFs and 

ETNs. 

Equity Index Contracts: Instruments acceptable as the related position component of a stock index 

EFRP include stock baskets provided the basket is highly correlated to the index and, further, that 

the basket represents at least 50% of the underlying index by weight or includes at least 50% of the 

stocks in the underlying index. The notional value of the basket must be approximately equal to the 

value of the corresponding exchange contract. Other acceptable instruments include equity index 

swaps and swaptions, OTC equity index options, ETFs and ETNs. 

Agricultural Contracts: Instruments acceptable as the related position component of an EFRP in 

agricultural products include the commodity underlying the futures contract or a by-product or related 

product that is reasonably correlated to the futures being exchanged, physical forwards, cash-settled 

forwards, agricultural commodity swaps or swaptions, OTC agricultural options, ETFs and ETNs. 

Commodity Index Contracts: Instruments acceptable as the related position component of an EFRP 

involving an Exchange contract based on a commodity index (e.g., S&P GSCI, Bloomberg 

Commodity Index) include a corresponding commodity index swap or swaption, ETFs or ETNs. 

Energy Contracts: Instruments acceptable as the related position component of an EFRP in energy 

products include the commodity underlying the futures contract or a by-product or related product 

that is reasonably correlated to the futures being exchanged, physical forwards, cash-settled 

forwards, energy commodity swaps or swaptions, OTC energy options, ETFs and ETNs. 

Metals Contracts: Instruments acceptable as the related position component of an EFRP in metals 

products include related spot transactions, physical forwards, cash-settled forwards, swaps and 

swaptions, OTC metals options, ETFs and ETNs. 

Questions regarding the acceptability of related position instruments may be addressed to the Market 

Regulation contacts listed in this Advisory Notice. 

Q19: What are the recordkeeping requirements for EFRPs? 

A19: Parties to an EFRP must maintain all records relevant to the Exchange contract and the 

corresponding related position transaction, including any records required to be kept pursuant to 

CFTC Regulation 1.35. Upon request, such records must be provided to Market Regulation in a 

timely manner. 

Records that may be requested include, but are not limited to, the following: 

A. All order tickets, trade blotters, e-mails, instant messages, telephone recordings or other 

records related to the order placement, negotiation, execution and/or confirmation of the 

EFRP.

B. All cash confirmations and signed contracts corresponding to the cash or derivative 

component of the EFRP. The documentation must contain all of the relevant terms of the 

transaction and counterparty information.
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C. For EFPs, third party proof of payment evidencing settlement and documentation 

representing the transfer of ownership of the commodity. For EFPs involving forward 

contracts, such information may be requested if the forward contract has settled at the time of 

the request. For EFRs and EOOs, where applicable, proof of payment evidencing settlement 

between the parties.

D. Futures account statement reflecting confirmation of the EFRP.

E. Records reflecting the booking of the cash or derivative transaction in the firm’s internal 

bookkeeping systems.

Parties who facilitate EFRP transactions must maintain all records corresponding to their 

facilitation of the transactions.

Q20: Who is responsible for submitting EFRP records when a request for such records is made by 

the Market Regulation Department?

A20: Upon request, related position documentation for an EFRP must be provided on a timely basis and in 

the form and manner requested, to the Market Regulation Department. The clearing firm carrying 

the account shall be responsible for obtaining relevant EFRP records from its client and submitting 

the records to Market Regulation. 

Pursuant to Rule 418 (“Consent to Exchange Jurisdiction”), any party initiating or executing a 

transaction subject to the rules of the Exchange, or for whose benefit such transaction has been 

executed, is subject to the jurisdiction of the Exchange and may be required by Market Regulation to 

produce records and cooperate fully with any investigation. 

Failures to provide requested records in a complete or timely manner may result in the issuance of 

charges pursuant to the provisions of Rule 406 (“Issuance of Charges”). 

Q21: Must transactions executed as EFRPs be designated as EFRPs on account statements or 

other records of the transaction?

A21: Yes. Account statements and other records of the transaction made pursuant to the requirements of 

Rule 536 and CFTC Regulation 1.38 must accurately identify EFRP transactions as such. It is not 

acceptable to designate the trades as “Ex-Pit” or “ClearPort” trades as such terms may reflect 

transaction types other than EFRPs.

Q22: How are EFRPs submitted to the Clearing House? 

A22: EFRPs must be submitted via CME Direct or CME ClearPort.

Information on the various methods of registration for access to CME Direct or CME ClearPort 

may be via the following links: 

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

http://www.cmegroup.com/clearport/registration.html
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EFRPs in CME and CBOT Products

EFRPs may be entered in CME Direct or CME ClearPort from 5:00 p.m. CT Sunday 

through 5:45 p.m. CT Friday. CME Direct and CME ClearPort do not permit the entry of 

CME and CBOT EFRPs during the maintenance window, from 5:45 p.m. CT and 6:00 

p.m. CT Monday through Thursday. 

EFRPs in NYMEX and COMEX Products

EFRPs may be entered in CME Direct or CME ClearPort from 5:00 p.m. CT/6:00 p.m. 

Eastern Time (“ET”) through 4:00 p.m. CT/5:00 p.m. ET each business day. CME Direct 

and CME ClearPort do not permit the entry of NYMEX and COMEX EFRPs between 4:00 

p.m. CT/5:00 p.m. ET and 5:00 p.m. CT/6:00 p.m. ET each business day and at all times 

on weekends.

 

EFRPs may also be reported to the CME ClearPort Facilitation Desk/Global Command Center via 

email at FacDesk@cmegroup.com. Please note that for the Facilitation Desk to submit the 

trade, the counterparty accounts must be registered with credit limits and product 

permissions set up in CME Account Manager. 

The Facilitation Desk is closed from 4:30 p.m. CT/5:30 p.m. ET Friday through 5:00 p.m. CT/6:00 

p.m. ET Sunday. 

Please contact the Enterprise Application & Systems Entitlements (EASE) Team with any 

additional registration questions in the U.S. at +1 312 456 1560, in Europe at +44 20 3379 3802 

or in Asia at +65 6593 5536.

If you have any trade submission issues, please contact the CME ClearPort Facilitation 

Desk/Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or 

in Asia at +65 6532 5010.

Q23: How soon after execution must the EFRP be submitted to the Clearing House? 

A23: Absent mitigating circumstances, EFRP transactions must be submitted to the Exchange as soon as 

possible, but no later than the end of the business day on which the EFRP was executed.

The relevant terms of the EFRP are considered to have been determined at the time the price 

and quantity of the Exchange contract and the corresponding related position component of the 

transaction are agreed upon by the parties to the EFRP. For EFPs and EFRs eligible to be priced 

as TAS, TAM, or TMAC transactions, the execution time of the trade is considered to have been 

determined at the time the quantity and price (TAS-, TAM-, or TMAC-flat or any permissible price 

increment above or below the settlement or marker price) have been agreed upon by the parties 

to the EFP or EFR.

However, where the actual delivery quantity may not be precisely determined by the parties until 

the time of delivery, the parties may contractually agree to submit the transaction to the Clearing 

House within the required reporting period following the time at which the actual delivery 

quantities are determined, rather than reporting the EFRP at the time of pricing. Absent such 

contractual arrangement, the transaction must be reported at the time of pricing. 

 

Notwithstanding the foregoing, EFRPs may not, under any circumstances, be submitted for clearing 

later than the end of the permissible posting period for EFRP transactions following the expiration of 
15

the underlying futures contract as specified in the relevant product chapter of the applicable 

Exchange rulebook.

Q24: Must the execution date and time be submitted for EFRPs? 

A24: The date and time of execution must be accurately submitted for each EFRP transaction. The 

execution date and time to be submitted are the date and time at which the relevant terms of the 

transaction were determined by the parties to the trade as described in Q22. 

The execution time for EFRPs must be entered in CME Direct or CME ClearPort in the local time 

of the party(ies) entering the EFRP.

Q25: What information regarding EFRPs must be submitted in a reporting firm’s daily Large Trader 

position file?

A25: A firm’s daily Large Trader position file must include for each reportable account the EFRP volume 

bought and sold in the reportable instrument. 

Q26: What are the responsibilities of firms in connection with EFRPs executed or cleared on behalf 

of a customer? 

A26: Firms that execute or clear EFRPs on behalf of customers are responsible for ensuring that their 

customers who execute EFRPs are fully informed regarding Exchange EFRP requirements. 

Upon request by the Market Regulation Department, firms carrying accounts that execute EFRPs 

are responsible for obtaining and submitting records of their clients’ EFRP transactions in a timely 

and complete manner.

If a clearing member has actual or constructive notice or knowledge of the execution of non-bona 

fide EFRPs by its customer and the clearing member fails to take appropriate action, the clearing 

member will be found to have violated Rule 538.C. 

Q27: Is an Immediately Offsetting EFP in Foreign Currency Futures prohibited as a transitory 

EFRP in Foreign Currency Futures? 

A27: No. An immediately offsetting FX EFP as expressly permitted under Rule 538.K. is not

prohibited as a transitory EFRP because the offsetting physical transaction is not contingent 

on the EFP in any way. If, for example, the futures leg of an immediately offsetting EFP in foreign 

currency is not accepted for clearing, the futures transaction is void ab initio and the 

counterparties would be left with the stand-alone physical transaction. Nevertheless, Rule 

538.K. makes clear that the stand-alone physical and EFP transactions may occur immediately 

and result in the offset of the physical transactions without being prohibited as a transitory 

EFRP.

Q28: May a second EFP be transacted between two parties to an initial EFP to adjust for a 

circumstance where the actual amount of the physical product delivered as part of the 

initial EFP is larger or smaller than the quantity represented by the number of futures 

contracts exchanged in the initial EFP?

A28: Yes. Two parties that execute and submit an initial EFP at the time of pricing (see FAQ 23) and 

later find that the amount of physical product delivered is larger or smaller than the quantity 
16

represented by the number of futures exchanged in that EFP may transact a second EFP 

(typically referred to as a “true-up EFP”) to account for the difference once the actual delivery 

quantities are determined. Absent mitigating circumstances, true-up EFP transactions must be 

submitted to the Exchange as soon as possible, but no later than the end of the business day on 

which the actual delivery quantities are confirmed by the parties.

Notwithstanding the foregoing, upon mutual agreement, the parties may instead choose to 

financially settle the quantity difference as opposed to posting a true-up EFP.