• CME Clearing Notice: September 3, 2012

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      • Clearing Member Firms
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      • CME Clearing
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      • 12-379
      • Notice Date
      • 06 September 2012
      • Effective Date
      • 06 September 2012
    • NOTICE #: 12-379
      SUBJECT: CME Clearing Notice: September 3, 2012
      Topics in this issue include:
      *      Deliveries
      ·         Contact Information
       
      Critical System Updates
      Please be advised that CME Clearing has released a new version of the Span Position File Converter, which is available to download at cme-ch.com/pcspan. The utility, which creates XML SPAN position files from CSV files, has been enhanced to net positions. 
      For example, the old version of the utility was not able to properly convert the portfolio in myPort.csv into +60 September 2012 S&P 500 futures. Instead, to the extent that the portfolio contained similar trades of different quantity, the utility was only able to convert the 1st line item of those trades (in this example, only +100 September 2012 S&P 500 futures).
      With this enhancement, the new version of the utility is now able to convert the portfolio in this linked CSV file into +60 long September 2012 S&P 500 futures.
      Note that this utility can be used to convert exchange-traded, OTCFX, and CDS trades into XML SPAN position files.
      Also, at this link is additional documentation on the Span Position File Converter (SpanPosConvUtil.doc).
      Please contact the CME Clearing Risk Hotline at clearing.riskmanagement@cmegroup.com or 312.648.3888 if you have further questions.
       
      As previously stated in Clearing House Advisory 12-225, dated May 29, 2012, the European Commission announced the full activation of the EU Emissions Trading Scheme single registry and the Union Registry transition period for the migration of accounts from national registries into a Union Registry. The Union Registry transition period is scheduled for the period beginning June 3, 2012 through June 20, 2012.
      Although, the single registry is scheduled to be activated on June 20, the single registry will not contain all the required functionalities at that time. Transactions through the registry will be subject to a 26-hour delay. That delay will not be applicable to new account types (Trading Accounts) if they are included in a list of “trusted accounts”. According to the Union Registry, a full timetable will be communicated by July 15 with final date of implementation of delivery procedures scheduled for mid-September 2012.
      Effective immediately, GreenX will delist the September 2012 contract month for its EUA, CER and ERU contracts. In addition, the Daily EUA contracts will remain delisted through contract day September 28, 2012. The contracts which will be delisted in accordance with the table below have no open interest.
      Contract
      CME Globex Code
      CME ClearPort Code
      Delisted Contracts
      Daily European Union Allowance (EUA) Futures
      EUL
      EUL
      Through contract day September 28, 2012
      In Delivery Month (IDM) EUA Futures
      EAF
      6T
      Contract month September 2012
      Daily European Union Allowance (EUA) Futures
      EUL
      EUL
      Through contract day September 28, 2012
      IDM EUA Options
      EAX
      6U
      Contract month September 2012
      IDM CER Options
      CRY
      6P
      Contract month September 2012
      Emission Reduction Unit (ERU) Futures
      REU
      REU
      Contract month September 2012
      ERU Options
      ERO
      ERO
      Contract month September 2012
      These actions do not affect trading in any other futures or options products listed on CME Group.
      If there are any questions, please contact:
      Managing Director, Global Product Development
      Henrik Hasselknippe

      Tel: +44 20 7464 4182
      E-mail: henrik.hasselknippe@thegreenx.com

      Compliance Officer
      Nicholas Galati
      Tel: +1 212 299 2569
      E-mail:
      nicholas.galati@thegreenx.com
      UPDATED: FECPlus FIXML 5.0 Production Deployment Schedule
      In order to comply with upcoming regulatory requirements, the Post-Trade Processing migration to FECPlus, using the FPL-compliant FIXML 5.0 API, has been delayed. Following is the new deployment schedule:
       
      ·  Testing for ALL post-trade processing, including give-ups, average-priced give-ups, and cross-exchange allocations, using the FPL-compliant FIXML 5.0 API, is currently available in New Release.
      This includes both outbound and inbound messaging capabilities. FECPlus in New Release is used to manage all post-trade processing transactions. The existing FIXML 4.4 API is not used for any post-trade processing in New Release.
       
      ·  End of September: Testing for the migration of post-trade processing to FECPlus for CMECE will begin in the CMECE CERT test environment using the FPL-compliant FIXML 5.0 API. Another notice will be sent when a specific date is available.
       
      ·  Monday, January 14, 2013: Production launch date for migration of post-trade processing to FECPlus for CMECE using the FPL-compliant FIXML 5.0 API.
       
      ·  Monday, February 25, 2013: Production launch date for migration of ALL post-trade processing, including give-ups, average-priced give-ups, and cross-exchange allocations to FECPlus for CME/CBT/NYMEX/COMEX/DME using the FPL-compliant FIXML 5.0 API.
       
      In order to help the clearing community prepare for the launch, the Clearing House will publish a test script for testing Post-Trade Processing on FECPlus by Mid-September. Firms should use this high-level test script, in addition to their own test scenarios, to verify their readiness for the Production Launch.
       
      Beginning in November, the Clearing House will check in periodically with firms on their testing status and to offer assistance with testing. Please contact CME Clearing Customer Support (CCS) with any questions related to FECPlus testing or the overall FECPlus migration.
       
      For questions or further information please contact CME Clearing Customer Support (CCS) at 312-207-2525 or ccs@cmegroup.com.
       
      This link provides the stockyards and slaughter plants that have been approved for deliveries against the CME Group Live Cattle futures contract from February 1, 2012 through January 31, 2013. Delivery point information and contact numbers are listed for your reference.
      This link provides the relevant delivery dates for September 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      Beginning September 1, 2012 the new CME Clearing Deliveries Unit Fax number will be 312-604-9457. Please use this number going forward for all CME Group Deliveries-related faxes. Please update your records to denote this new number as the previous number will be decommissioned in September.
      Should you have any questions, please contact Deliveries at 312.930.3172.
       
      Effective ONLY for the August 2012 contract, the New York Mercantile Exchange (NYMEX or Exchange) will extend the Final Settlement Date for LLS (Argus) Calendar Swap (commodity code XA) from August 30, 2012 to September 10, 2012. LLS (Argus) Calendar Swap (XA) is listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.
      On Monday, October 15, 2012, CME Group will introduce an important enhancement to the clearing processing for its USDRMB futures contract – the USD Renminbi future with USD banking.
      This is the CNY contract where the contract size is 100,000 USD, the price is quoted in CNY (Chinese Renminbi Yuan) per US dollar, and the settlement variation amounts are converted from CNY back to USD by dividing by the current spot exchange rate between CNY and USD.
      Currently, the trade register report and data file for this product provide values in CNY. With the change, the values will be provided in USD, and attributes will be provided to drive the conversion of the variation amounts from one currency to another.
      The goal is of this enhancement is to simplify bookkeeping processing and reconciliation for clearing firms. This methodology will be applied to other products in the future.
      CME Group recognizes that with the Thursday, November 8, 2012 deadline for LSOC implementation fast approaching, it is important that the industry receive clear specifications from CME, sufficient to clarify important details of our implementation of LSOC. At the same time, CME remains committed to listening to the industry so that our implementation plan can incorporate sensible feedback to ease implementation burdens as much as reasonably possible.
      CME Group will implement LSOC in a two-phase process. As previously indicated, LSOC will apply to FCM clearing member firms of CME holding customer positions in cleared swaps.
      The first phase will begin on Monday, November 5, 2012. In this initial period, LSOC will be implemented in an unallocated excess mode.
      The second phase will begin on Monday, February 4, 2013. On that date, CME clearing firms may begin operating in a client-specific excess mode. Firms will have until Monday May 27, 2013 to complete the transition; beginning on that date, all CME clearing firms with customer positions in cleared swaps must operate in a client-specific mode.
      The advisory at the link below details new reporting requirements for FCMs stemming from certain CFTC regulations going into effect on November 8, 2012. There are two inter-related functional areas: Customer Gross Margining (CGM) and LSOC (Legally Segregated, Operationally Commingled). Customer Gross Margining will apply both to products which are under the futures regulatory regime and to products which are classified as cleared swaps for regulatory purposes. LSOC will apply only to cleared swaps customer accounts.
      Clearing Advisory 12-353 at this link details new reporting requirements and timelines for clearing firms stemming from CFTC regulations going into effect on November 8, 2012. Customer Gross Margining (CGM) will apply both to products which are under the futures regulatory regime and to products which are classified as cleared swaps for regulatory purposes. The original CME Group Clearing Advisory regarding CGM was published on March 29, 2012, and is Advisory Number 12-139.
      There are three key dates that firms should keep in mind relating to Customer Gross Margining, as explained below: Tuesday September 4, 2012 – the date on which CME will begin accepting daily CGM data files from firms; Monday October 8, 2012 – the date by which all firms must be submitting daily CGM data files; and Monday November 5, 2012, when CME will go live with Customer Gross Margining (four days prior to the November 8 deadline.)
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