• Trading at Settlement (“TAS”), Trading at Marker (“TAM”) and Matched Order (“MO”) Transactions

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • NYMEX & COMEX RA1303-4
      • Notice Date
      • 27 February 2013
      • Effective Date
      • 18 March 2013
    •  
      This Advisory Notice supersedes NYMEX & COMEX Market Regulation Advisory Notice RA1301-4 from January 11, 2013, and is being issued to announce that pending all relevant regulatory review periods, trading at settlement pursuant to NYMEX & COMEX Rule 524 (“Trading at Settlement (“TAS”), Trading at Marker (“TAM”) and Matched Order (“MO”) Transactions”) will begin to be permitted in the second and third contract months of Brent Crude Oil Last Day Financial futures (“BZ”) beginning in the pit on Monday, March 18, 2013, and on CME Globex on Sunday, March 17, 2013, for trade date Monday, March 18, 2013. TAS trading on CME Globex and in the pit is currently permitted in the first contract month of BZ and TAM trading on CME Globex based on the London and Singapore markers is currently permitted in the first three contract months of BZ.  
       
      The list of TAS- and TAM-eligible products and contract months appear in Sections 6 and 7 and the text of NYMEX and COMEX Rule 524 appears in Section 8 of this Advisory Notice.
       
      1.         General Information on TAS, TAM and MO Transactions
       
      TAS transactions may be executed at the current day’s settlement price or at any valid price increment ten ticks higher or lower than the settlement price, and, depending on the particular product, may be executed in the pit, on CME Globex, or as a block trade. 
       
      TAM trading is analogous to existing Trading at Settlement (“TAS”) trading wherein parties are permitted to trade at a differential to a not-yet-known price. TAM trading uses a marker price, whereas TAS trading uses the Exchange-determined settlement price for the applicable contract month. As with TAS trading, parties will be able to enter TAM orders at the TAM price or at a differential between one and ten ticks higher or lower than the TAM price. TAM transactions may be executed on CME Globex or as a block trade.
       
      MO transactions in pit-traded Copper futures are transactions which are priced at that day’s settlement price for the contract.
       
      All market participants are reminded that any trading activity that is intended to unfairly affect or to attempt to unfairly affect a settlement or marker price to benefit a TAS, TAM or MO position, including a TAS or TAM block position, will subject the member and/or the market participant to disciplinary action for any of a number of rule violations, including, but not limited to:
       
      ·         price manipulation or attempted price manipulation
      ·         wash trading
       
       
      ·         conduct substantially detrimental to the interests or welfare of the exchange
       
      Any Market Regulation Department investigation of suspected manipulative pricing involving TAS, TAM or MO trades will include review of such positions acquired by market participants and whether the offset of those positions during the close or during the time period used to determine a marker price was disruptive, collusive, and/or caused or attempted to cause aberrant price movement during these periods. 
       
      2.         Entry of TAS and TAM Orders on CME Globex
       
      Rule 524 permits the initiation of TAS and TAM orders into CME Globex only subsequent to the beginning of each group’s pre-open state and during the time period the applicable contracts are available for TAS or TAM trading on CME Globex. The initiation of any TAS or TAM order on CME Globex outside of these time periods is strictly prohibited.
       
      Any market participant who initiates the entry of a TAS or TAM order prior to receipt of the market status message will be subject to disciplinary action by a panel of the Business Conduct Committee, notwithstanding that the order may have been rejected by the CME Globex system. Sanctions for noncompliance may include a fine, disgorgement of any profits realized as a result of any orders accepted by CME Globex which were initiated prior to receipt of the security status message and/or a suspension of access to the market. Market participants must ensure that they have appropriate protocols in place to ensure that TAS and TAM orders are not initiated prior to receipt of the security status message.
       
      3.         TAS and TAM Calendar Spreads
       
      Intra-commodity calendar spreads in the nearby month/second month spread, the second month/third month spread and the nearby month/third month spread in Light Sweet Crude Oil, New York Harbor ULSD Heating Oil, Henry Hub Natural Gas and RBOB Gasoline futures may be executed on CME Globex or on the trading floor and priced at TAS. 
       
      Intra-commodity calendar spreads in the nearby month/second month spread, the second month/third month spread and the nearby/third month spread in Light Sweet Crude Oil, New York Harbor ULSD Heating Oil, RBOB Gasoline and Brent Crude Oil Last Day Financial futures may be executed on CME Globex and priced at TAM.
       
      The pricing of the legs of a TAS or TAM calendar spread will be calculated as follows:
       
      • The nearby leg of the spread will always be priced at the settlement or marker price, as applicable, for that contract month. 
       
      • The far leg of the spread will be priced at the settlement or marker price, as applicable, for that contract minus the allowable TAS or TAM price increment traded (negative 10 through positive 10), except in circumstances where the traded TAS or TAM price is the actual settlement or marker price of the contract. 
       
                  Example 1: 
       
      An April 2013/May 2013 Light Sweet Crude Oil calendar spread trades at
      TAS -1 (minus 1). Assume the April contract settles at 93.13 and the May contract settles at 93.57.
       
      The April leg will be priced at the April settlement price of 93.13. The May leg will be priced at 93.58, which is the May settlement price of 93.57 minus the TAS price increment of -1 (93.57 minus -.01 = 93.58).
                 
                  Example 2: 
       
      A March 2013/April 2013 New York Harbor ULSD Heating Oil calendar spread trades at TAM +/- 0. Assume the March marker price is 3.1042 and the April marker price is 3.1018.
       
      The March leg will priced at the March marker price of 3.1042. The April leg will priced at 3.1018, which is the April marker price.
       
                  Example 3:      
                             
      A March 2013/May 2013 Henry Hub Natural Gas calendar spread trades
      at TAS +3. Assume the March contract settles at 3.291 and the May contract settles at 3.406.
       
      The March leg will be priced at the March settlement price of 3.291. The May leg will be priced at 3.403, which is the May settlement price of 3.406 minus the TAS price increment of +3 (3.406 minus +.003 = 3.403).
       
      4.         TAS on Gold, Silver and Copper Futures
       
      TAS transactions are allowed in the active contract month in Gold and Silver futures trading in the pit or on CME Globex and in the first active contract month in Copper futures trading on CME Globex. TAS transactions are not allowed in any pit-traded Copper futures contract month.
       
      In Gold futures, TAS trades are permitted in the following active contract months: February, April, June, August, and December. Accordingly:
       
                      When the February contract becomes spot, the April contract becomes the TAS-eligible month;
                      When the April contract becomes spot, the June contract becomes the TAS-eligible month;
                      When the June contract becomes spot, the August contract becomes the TAS-eligible month;
                      When the August contract becomes spot, the December contract becomes the TAS-eligible month; and
                      When the December contract becomes spot, the February contract becomes the TAS-eligible month.
                       
      In Silver and Copper futures, TAS trades are permitted in the following active contract months: March, May, July, September and December. Accordingly: 
       
                      When the March contract becomes spot, the May contract becomes the TAS-eligible month;
                      When the May contract becomes spot, the July contract becomes the TAS-eligible month;
                      When the July contract becomes spot, the September contract becomes the TAS-eligible month;
                      When the September contract becomes spot, the December contract becomes the TAS-eligible month; and
                      When the December contract becomes spot, the March contract becomes the TAS-eligible month.
       
       
      5.         MO Transactions in Pit-Traded Copper Futures
       
      MO transactions in Copper futures are open outcry trades competitively executed in the Copper futures pit where the trade is priced at that day’s settlement price for the contract. MO transactions in Copper futures are eligible to be executed in the spot month and the next six consecutive contract months. Additionally, with the exception of the post close session, members may execute an MO order at any time the Copper futures pit is open for trading, provided that the order is placed as an MO order. Regular trading hours for open outcry trading in the Copper futures pit are from 8:10 a.m. until 1:00 p.m. Eastern Time (“ET”).
       
      Instructions to execute the order as an MO must be denoted on the order and members must identify an order executed as an MO on their trading record. 
       
      An order entered as an MO will be executed by the floor broker as a Market on Close order if the order is not previously executed as an MO or specifically designated to be executed only as an MO. An instruction to execute an order only as an MO must be communicated at the time the order is placed.
       
      6.         TAS-Eligible Products and Contract Months
       
      Pit-Traded Contracts
       
      Light Sweet Crude Oil (CL)
                     spot (except on the last trading day), 2nd, 3rd and 7th months
                     nearby/second month, second/third month and nearby/third month calendar spreads
       
      Brent Crude Oil Last Day Financial (BZ)
                     spot (except on the last trading day)
                     2nd and 3rd months (beginning trade date March 18, 2013)
       
      New York Harbor ULSD Heating Oil (HO)
                     spot (except on the last trading day), 2nd and 3rd months
                     nearby/second month, second/third month and nearby/third month calendar spreads
       
      Henry Hub Natural Gas (NG)
                     spot (except on the last trading day), 2nd and 3rd months
                     nearby/second month, second/third month and nearby/third month calendar spreads
       
      Henry Hub Natural Gas Last Day Financial (NN)
                     spot (except on the last trading day), 2nd and 3rd months
       
      Henry Hub Natural Gas Look-Alike Last Day Financial (HH)
                     Spot (except on the last trading day), 2nd and 3rd months
       
      RBOB Gasoline (RB)
                     spot (except on the last trading day), 2nd and 3rd months
                     nearby/second month, second/third month and nearby/third month calendar spreads
       
      European Gasoil (100mt) Bullet (7F)
                     spot (except on the last trading day), 2nd and 3rd months
      Pit-Traded Contracts - continued
       
      COMEX Gold (GC)
                     February, April, June, August and December contract months (first active month only)
       
      COMEX Silver (SI)
                     March, May, July, September and December contract months (first active month only)
       
       
      CME Globex Contracts
       
      For compliance and enforcement purposes, the start of a TAS pre-open period is defined by receipt of the security status message indicating that the group has transitioned to the pre-open state and the end of a TAS trading session is defined by receipt of the security status message indicating that group is closed.
       
      TAS orders may not be entered into CME Globex from the end of a TAS trading session until receipt of the security status message indicating that the group has transitioned to the pre-open state.
       
      Commodity
      Code on           Product Name and Contract Months                                           Cleared Product
      CME Globex
       
           CLT              Light Sweet Crude Oil                                                                       CL
                              spot (except on the last trading day), 2nd, 3rd and 7th months and
                              nearby/second month, second/third month and nearby/third month calendar spreads      
       
           BZT              Brent Crude Oil Last Day Financial                                                    BZ
                              spot (except on the last trading day)
                              2nd and 3rd months (beginning trade date March 18, 2013)
       
           BBT             Brent Crude Oil Penultimate Financial                                              BB
                              Spot, 2nd and 3rd months                                                                    
       
           HOT             New York Harbor ULSD Heating Oil                                                   HO
                              spot (except on the last trading day, 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
                                                              
           NGT             Henry Hub Natural Gas                                                                      NG
                              spot (except on the last trading day), 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads      
       
           NNT             Henry Hub Natural Gas Last Day Financial                                        NN
                              spot (except on the last trading day), 2nd and 3rd months
          
           HHT             Henry Hub Natural Gas Look-Alike Last Day Financial                       HH
                              spot (except on the last trading day), 2nd and 3rd months
       
           RBT             RBOB Gasoline                                                                                 RB
                              spot (except on the last trading day), 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
      Commodity
      Code on           Product Name and Contract Months                                           Cleared Product
      CME Globex
       
           7FT              European Gasoil (100mt) Bullet                                                         7F
                              spot (except on the last trading day), 2nd and 3rd months
       
           KTT              NYMEX Coffee                                                                                   KT
                              spot (except on the last trading day)
       
           CJT              NYMEX Cocoa                                                                                   CJ
                              spot (except on the last trading day)
       
           TTT              NYMEX Cotton                                                                                  TT
                              Spot (except on the last trading day)
          
           YOT             NYMEX No. 11 Sugar                                                                        YO
                              spot (except on the last trading day)
       
           RET             REBCO                                                                                              RE
                              spot (except on the last trading day), 2nd and 3rd months
       
           GCT             COMEX Gold                                                                                     GC
                              February, April, June, August and December contract months (first active month             only)
       
           SIT               COMEX Silver                                                                                   SI
                              March, May, July, September and December contract months (first active month             only)
       
           HGT             COMEX Copper                                                                                 HG
                              March, May, July, September and December contract months (first active month             only)
       
      7.         TAM-Eligible Products and Contract Months on CME Globex
       
      For compliance and enforcement purposes, the start of a TAM pre-open period is defined by receipt of the security status message indicating that the group has transitioned to the pre-open state and the end of a TAM trading session is defined by receipt of the security status message indicating that group is closed.
       
      TAM orders may not be entered into CME Globex from the end of a TAM trading session until receipt of the security status message indicating that the group has transitioned to the pre-open state.
       
      Commodity
      Code on           Product Name and Contract Months                                           Cleared Product
      CME Globex
      London Markers
       
           CLL              Light Sweet Crude Oil                                                                       CL
                              spot, 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
       
      London Markers - continued
       
           BZL              Brent Crude Oil Last Day Financial                                                    BZ
                              spot, 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
       
           HOL             New York Harbor ULSD Heating Oil                                                   HO
                              spot, 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
                                                              
           RBL             RBOB Gasoline                                                                                 RB
                              spot, 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
       
      Singapore Markers
       
           CLS             Light Sweet Crude Oil                                                                       CL
                              spot, 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
       
           BZS             Brent Crude Oil Last Day Financial                                                    BZ
                              spot, 2nd and 3rd months and
                              nearby/second month, second/third month and nearby/third month calendar spreads
       
       
      Questions regarding this Advisory Notice may be directed to the following individuals in Market Regulation:
      Nancy Minett, Executive Director, Investigations, 212.299.2940
      Neil Mazer, Lead Investigator, Investigations, 212.299.2874
      Robert Sniegowski, Senior Director, Rules & Regulatory Outreach, 312.341.5991
       
       
      For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com. 
       
       


       
      8.         Text of Rule 524
       
      Trading at Settlement (“TAS”), Trading at Marker (“TAM”) and Matched Order (“MO”) Transactions
      The Exchange shall determine the commodities, contract months and time periods during which TAS, TAM and MO transactions shall be permitted.
      524.A.   Trading at Settlement (“TAS”) Transactions
      The following shall govern TAS transactions:
      1.   TAS transactions executed in the pit must be made open and competitively pursuant to the  requirements of Rule 521 during the hours designated for pit trading in the particular contract and must be identified as such on the member’s trading records.
      2.   TAS orders may be entered on Globex at any time the applicable contracts are available for TAS trading on Globex and during each TAS contract’s prescribed pre-open time period. The initiation of any TAS order on Globex outside these time periods is prohibited. 
      3.   TAS-eligible commodities and contract months may be executed as block trades pursuant to the requirements of Rule 526 except that TAS block trades may not be executed on the last day of           trading in an expiring contract.
      4.   TAS transactions may be executed at the current day’s settlement price or at any valid price increment ten ticks higher or lower than the settlement price.             
      524.B.   Trading at Marker (“TAM”) Transactions
      The following shall govern TAM transactions:
      1.   TAM orders may be entered on Globex at any time the applicable contracts are available for TAM trading on Globex and during each TAM contract’s prescribed pre-open time period. The initiation  of any TAM order on Globex outside these time periods is prohibited.
      2.   TAM-eligible commodities and contract months may be executed as block trades pursuant to the requirements of Rule 526.
      3.   TAM transactions may be executed at the current day’s applicable marker price or at any valid price  increment ten ticks higher or lower than the applicable marker price.
      524.C.   Matched Order (“MO”) Transactions
      MO transactions are open outcry trades competitively executed pursuant to Rule 521 where the price of the trade is that day’s settlement price for the contract.
      The following shall govern MO transactions:
      1.   Members may execute an MO at any time during pit trading hours except during the post close session. Members may execute an order as an MO provided the order is placed as an MO and such instructions are denoted on the order. An order entered as an MO will be executed during the closing period as a Market on Close order if not previously executed as an MO or specifically designated to be executed only as an MO. An order specifically designated for execution only as an MO must be designated as such at the time the order is placed. 
      2.   Members must identify an order executed as an MO on their trading record.
       

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