The December 2008 currency delivery cycle begins Monday, December 15, 2008. Clearing member firms should enter their currency intentions into the Deliveries System available through the CME Portal.
A. CONTINUOUS LINKED SETTLEMENT
CLS is mandatory starting with the June 2005 delivery cycle for all foreign currency deliveries exceeding $25 million per currency pair. CLS is not mandatory if the foreign currency delivery is less than $25 million per currency deliveries.
Clearing member firms with a foreign currency delivery obligation in excess of $25 million per currency pair failing to use CLS will be subject to an assessment fee of $25 per million for any currency exceeding the threshold.
All CLS transactions must be entered into CME Deliveries System by 11:00 a.m. (CST) on the last day of trading. All transactions must be entered into the firm’s CLS system by 5:00 p.m. (CST) on Monday, December 15, 2008. The deadline for CLS transactions including Canadian Dollars to match in the CLS system is 1:00 p.m. (CST), Tuesday, December 16, 2008. A clearing member firm failing to match a transaction by the deadline will be required to submit an order-to-pay in the appropriate amount for the value of the delivery by 3:00 p.m. (CST) on Tuesday, December 16, 2008.
*SPECIAL CLS NOTES
· When entering trades into CLS the firm should not invert the CME settlement price. This may result in a difference of currency amounts that may cause the CLS trade to be unmatched.
· If a firm enters multiple transactions into CLS then a firm should enter the same number of commitments into the Deliveries System.
· Changes to any currency transactions must be made in both the firm’s CLS system and CME’s Deliveries System. A firm failing to indicate the change in both systems will result in an unmatched transaction.
· Currency amounts must be equal in the CLS system and the Deliveries System. If the amounts are not equal the transaction will not match.
· The CME Counterparty BIC for currency futures deliveries is XCMEUS4C.
C. ORDERS-TO-PAYS FOR CITIBANK
Firms who are sending Orders-To-Pays to Citibank should send their Orders-To-Pay using SWIFT BIC CITIUS33DFU. If a firm is unable to send the order to pay to CITIUS33DFU and must send it to CITIUS33 please indicate in reference field 20 of the message Chicago Mercantile Exchange before the transaction number. This will aid in locating the message to satisfy a firm’s currency delivery requirement.
* We advise not to send USD via Chips as we cannot guarantee the opposing currency will be paid with good value.
D. CURRENCY DELIVERY TIMELINE
Following is the timeline for the December 2008 currency delivery:
· Monday, December 15, 2008 - Commitments are due for all contracts except Canadian Dollar by 11:00 a.m. (CST) and all CLS transactions except Canadian Dollar should be matched by 5:00 p.m. (CST).
· Tuesday, December 16, 2008 - Commitments are due for the Canadian Dollar by 10:00 a.m. (CST) Orders-to-pay are due to the agent banks by 1:00 p.m. (CST). For questions regarding Orders-to-pay please contact the Financial Unit at 312-207-2594. All CLS transactions including Canadian Dollar should be matched.
· Wednesday, December 17, 2008 – Payments of U.S. Dollar and Foreign Currencies are due to the corresponding agent banks by 10:00 AM local time to the specific agent bank. Deliveries Staff will be in contact with the agent banks during the entire delivery process. It is important to have a qualified individual aware of and in a position to answer any questions at any time during delivery.
If there are any questions, please contact Deliveries at (312) 930-3172.