Trading at Settlement and Matched Order Transactions

This Advisory Notice supersedes NYMEX & COMEX Market Regulation Advisory Notices RA0909-4 from March 5, 2009, and RA0909-4 from September 24, 2009.  This Advisory Notice is being reissued based on additions and deletions to the list of products eligible for Trading at Settlement (“TAS”) pursuant to Rule 524 (“Trading at Settlement (“TAS”) and Matched Order (“MO”) Transactions”).  The products being added and deleted from the list of TAS-eligible products is set forth in today’s release of CME Group Special Executive Report S-5058.  The changes will be effective on December 21, 2009. 

All market participants are reminded that misuse of TAS (including TAS block trades) or MO trades to acquire a position in order to unfairly affect or attempt to unfairly affect a settlement price may 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 or MO trades will include review of such positions acquired by market participants and whether the offset of those positions during the close was disruptive, collusive, and/or caused or attempted to cause aberrant price movement during the close. 

The list of commodities and contract months in which TAS and MO transactions may take place begins below and continues on page 2 of this Advisory Notice.  The text of Rule 524 appears on page 3.

Trading at Settlement (“TAS”) Transactions

TAS transactions may take place in the following futures contract months:

Pit-Traded Contracts

Light Sweet Crude Oil – spot (except on the last trading day), 2^nd, 3^rd and 7^th months

Brent Crude Oil Last Day Financial – spot (except on the last trading day)

New York Harbor No. 2 Heating Oil – spot (except on the last trading day), 2^nd and 3^rd months

Henry Hub Natural Gas – spot (except on the last trading day), 2^nd and 3^rd months

RBOB Gasoline – spot (except on the last trading day), 2^nd and 3^rd months

Gulf Coast Gasoline – spot (except on the last trading day)

Gulf Coast Ultra Low Sulfur Diesel (ULSD) – spot (except on the last trading day)

NYMEX Crude Oil Backwardation/Contango (B/C) Index – spot (except on the last trading day)

NYMEX Crude Oil MACI Index – spot (except on the last trading day)

CME Globex Contracts

Commodity

Code on                                   Name & Contract Months                                   Cleared Product

CME Globex

     CLT               Light Sweet Crude Oil                                                                      CL

                          spot (except on the last trading day), 2^nd, 3^rd and 7^th months               

     BZT               Brent Crude Oil Last Day Financial                                                  BZ

                          spot (except on the last trading day)

     BBT               Brent Crude Oil Penultimate Financial                                             BB

                          Spot, 2^nd and 3^rd months                                                                   

     HOT               New York Harbor No. 2. Heating Oil                                                 HO

                          spot (except on the last trading day, 2^nd and 3^rd months

     NGT               Henry Hub Natural Gas                                                                    NG

                          spot (except on the last trading day), 2^nd and 3^rd months

     RBT               RBOB Gasoline                                                                                RB

                          spot (except on the last trading day), 2^nd and 3^rd months

     LRT               Gulf Coast Gasoline                                                                         LR

                          spot (except on the last trading day)

     LUT               Gulf Coast Ultra Low Sulfur Diesel (ULSD)                                       LU

                          spot (except on the last trading day)

     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)

     XKT               NYMEX Crude Oil Backwardation/Contango (B/C) Index                  XK

                          spot (except on the last trading day)

     XCT               NYMEX Crude Oil MACI Index                                                         XC

                          spot (except on the last trading day)

     RET               REBCO                                                                                            RE

                          spot (except on the last trading day), 2^nd and 3^rd months

Matched Orders (“MO”)

MO transactions may take place in the following pit-traded futures contract months:

Copper – spot and next four consecutive months

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

Nancy Minett, Director, 212.299.2940

Russell Cloughen, Associate Director, 212.299.2880

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.

Text of Rule 524

Trading at Settlement (“TAS”) and Matched Order (“MO”) Transactions

The Exchange shall determine the commodities, contract months and time periods during which TAS 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 transactions on Globex may take place at any time the applicable contracts are available for       trading on Globex.

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.   Matched Order (“MO”) Transactions

The following shall govern MO transactions:

1.   The price of the MO will be the settlement price for that contract.

2.   Only Market on Close (“MOC”) orders are eligible to trade as an MO.  Members may execute an          MOC order during an eligible MO time period as an MO unless specific instructions to the contrary       are provided, and such instructions are denoted on the order.  Failure to enter specific instructions         when placing the MOC order will forfeit a customer’s right to cancel the MOC, in whole or in part, if    the order or any portion of the order has been previously executed.  An MOC order executed as an MO must be reported to the customer as an MO upon execution.  An order entered as an MO will be       executed during the closing period as an MOC 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.

3.   Members must identify an MOC order executed as an MO on their trading record.