Regulatory Advisory RA-00-17 from September 22, 2000, set forth a series of recording and submission requirements concerning Exchange-For-Physical (“EFP”) and Exchange Basis Facility (“EBF”) transactions executed in accordance with CME Rules 538 (“Transfer of Spot for Futures”) and 719 (“Transfer of Cash for Futures after Termination of Contract”).  This Regulatory Advisory is being issued to remind CME clearing firms and market users of these requirements and supersedes RA-00-17.

Definition of Execution Date and Time for EFPs and EBFs

CME defines the execution time for EFPs or EBFs as the actual time of the transaction.  In other words, the execution time is the time at which the transaction was consummated by the two parties to the transaction.  The execution time is not the time the transaction is reported by the parties to their respective firms.  In circumstances where clearing members have not acted as either principal or agent in the transactions, they must ensure that their customers provide them with accurate execution times for all EFP and EBF transactions.  Regardless of where the transaction was consummated, the execution time must be submitted to CME in Central Time (“CT”) format.  For example, an EFP executed in New York at 1:00 p.m. Eastern Time must be submitted with an execution time of 12:00 p.m. CT.

EFP and EBF transactions are considered executed on the same trade day until 7:00 p.m. CT, which is the cut-off time for submissions to the clearing system for a particular business day.  Transactions that are executed after the cut-off time will have a trade date corresponding to the following business day.  For example, a currency EFP that took place on a Tuesday at 7:05 p.m. would reflect the next day’s (Wednesday) trade date.  Submission deadlines for transactions, including EFPs and EBFs, have not changed; all transactions must be submitted within 60 minutes of the execution time during Regular Trading Hours (“RTH”).  For EFPs and EBFs executed after the RTH session, firms have until 8:00 a.m. the following business day to submit the transaction to the clearing system.  EFP and EBF transactions executed on Friday (from 7:00 p.m. to 11:59 p.m.), Saturday, Sunday or a holiday should be submitted on the next business day to CME.

The clearing system does not edit the filling and opposite broker fields of EFP and EBF trade records.  The time bracket field is not required to have a valid bracket submitted for this type of transaction.

The execution time should be submitted by both sides into the “Execution Timestamp” field in Regulatory Block 1.  Additionally, timestamps from the order ticket used to record the EFP or EBF transaction must be recorded in military time, and the timestamps must be entered into the “Timestamp In” field in Regulatory Block 1.  Firms must submit seconds from timestamps that record this information.

At this time, the source code for Execution Timestamp should still default to “M”.

Submission of Give-Up EFPs and EBFs into the Clearing System

All give-up EFP and EBF transactions will pass through the give-up system. 

Order Tickets

All clearing firms are required to prepare an order ticket for each EFP and EBF transaction.  A handwritten note or a facsimile from a customer purporting to confirm the order is not a substitute for an order ticket.  The order ticket must be pre-numbered, and include appropriate timestamps and instructions for executing the futures side of the EFP.

Enforcement of Execution Times for EFPs and EBFs

EFPs with invalid execution times will appear on each firm’s CTR Time Stamp Exception report.   It is important that you ensure the accurate submission of an execution time for these trades.

CME also asks, but is not requiring, that each firm’s trade entry system edit for a valid execution time for all EFPs and EBFs.

If you have any questions concerning the requirement of recording and submitting an execution time for EBFs and EFPs, please contact Steve Mair, Manager, Currency Surveillance, Market Regulation, at 312/466.4382.

If you have any questions concerning the submission and clearing of EFPs and EBFs, please contact Gary George, Associate Director, Clearing Operations, at 312/648.3774.

If you have any questions concerning the CTR Time Stamp Exception report, please contact Shantell Stansberry, Senior Data Analyst, at 312/454.8333.