• CME Clearing Notice: Monday, October 15, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-447
      • Notice Date
      • 18 October 2012
      • Effective Date
      • 15 October 2012
    • Topics in this issue include:
      *      Deliveries
      ·         Contact Information
       
       
      Clearing member firms using the Legacy WAN environment are required to complete the conversion to the new server and, if necessary, convert from FTP to SFTP by March 1, 2013.
      The Legacy WAN environment includes the following addresses:
      ·         FTP: 198.212.145.45
      ·         SFTP: 198.212.145.46
      The new environment is available at the following addresses using SFTP:
      ·         Production: 167.204.41.33
      ·         Disaster Recovery: 167.204.21.33
      We recommend the use of a non-production file name convention when sending a test file.
      For clearing member firms that have not converted to the new SFTP IP address by March 1st, 2013, a $ 5,000 monthly maintenance fee will be assessed to use the old FTP server.
      We request that each clearing member firm, and any other organization connecting via FTP, to please provide CME Clearing with contact information (name, phone number and email) of the primary and back-up contacts for this conversion effort. Once firms have tested and converted activity to the new environment, credentials will be removed from the legacy server.
      For further information or assistance please contact Clearing Services at (312) 207-2525 or
      The start date for CMECE testing has been finalized. Following is the updated FEC+ 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.
      ·         Thursday, September 26: 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.
      ·         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.
      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 Services (CCS) with any questions related to FECPlus testing or the overall FECPlus migration.
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      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.
      Effective Monday, October 15th, Production FEC+ will be enhanced to provide full anonymity for all CME ClearPort and ITP trades, including CDS and OTCFX trades.
       
      Currently in FEC+, the Opposite Firm field will display as blank for CME ClearPort and ITP trades unless the CMF is on both sides of the trade. With the full anonymity enhancement, the Opposite Firm field will always display as blank.
       
      This enhancement only applies to FEC+. Manually-entered transactions within FEC Classic, such as EFP/R/S, Blocks and Transfers will continue to display the opposite firm in all cases.
       
      Testing in the New Release environment for this change will be available beginning Thursday, October 4th.
       
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      Pursuant to Clearing House advisory 12-414 (available at http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-414a.pdf), CME Clearing intends to provide CME Clearing Members the following tools to help facilitate their compliance with CFTC regulation 1.74 effective October 1, 2012. 
      The full set of functionality available as of October 15th is described in the linked full advisory notice below.
      CME Clearing will implement the following changes in the New Release testing environment as it pertains to timing of acceptance for OTC IRS and CDS.
       Asset Class
      New Release (UAT) Date
       
      Credit
      Disabling of FEC+ 60 Minute Timer
      Wednesday, October 10th 2012
      Credit
      Re-Enabling of FEC+ 60 Minute Timer
      Wednesday, October 17th 2012
      Rates
      Enabling of DMS 60 Minute Timer
      Wednesday, October 17th 2012
       
      To summarize, for Credit, CME Clearing will no longer reject trades which are pending longer than 60 minutes in the New Release testing environment beginning today, October 10th. There will be no time limit enforced for credit or rates clearing in the New Release testing environment until following the regularly scheduled maintenance window on Wednesday, October 17th. Following the October 17th maintenance, the 60 minute timer will be in place for firms to test the timing of trade acceptance for both credit and rates. If no action is taken to accept/reject a trade within the 60 minute time frame following the October 17th deployment, CME Clearing will reject the trade for clearing. 
       Please note that these changes are being made to replicate the Production environment as it stands for October 15th. Please reference the advisory located at: http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-414a.pdffor further details regarding Production implementation of this functionality. 
      Please contact onboarding@cmegroup.com or 312 338 7112 with any questions. 
      Please be advised that CME Clearing is updating CDS margin related parameters for Single Names in the New Release Environment. Effective October 15, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be as following: 
      ·         Basic Materials = 5
      ·         Oil & Gas = 5
      ·         Telecommunications = 5
      ·         Financials = 5 
      Only portfolios that contain Basic Materials, Oil & Gas, Telecommunications and Financials Single Names will be impacted by the DST change.    
      Contact the CME Client Services Group at onboarding@cmegroup.comif you have any questions.
       
       
      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 October 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
       
      This advisory describes CME’s new physically delivered FX futures on the exchange rate between the US Dollar and the Offshore Chinese Renminbi. These are referred to as Standard USD Offshore Renminbi (USD/CNH) Futures and E-micro USD Offshore Renminbi (USD/MNH) Futures. The Globex and clearing product codes for the two new futures are CNH and MNH, respectively.
       
      Effective on Sunday, November 18, 2012, for the trade date of Monday, November 19, 2012, CME is launching new Standard-size and E-micro-size U.S. Dollar/Offshore Chinese Renminbi (USD/CNH) Futures contracts on CME Globex and CME ClearPort. These futures contracts feature physical delivery of Offshore Chinese Renminbi (CNH), priced in interbank terms of Offshore Chinese Renminbi per U.S. dollar with associated daily settlement variation banked in Offshore Chinese Renminbi, and fungible (offsetting) on a 10 to 1 basis between the micro and the full-sized contracts.
       
      These two new contracts are in addition to CME’s other currently listed U.S. dollar vs. Chinese Renminbi products: Chinese Renminbi/U.S. Dollar futures and options priced in American-terms of U.S. dollars per Chinese Renminbi with daily pays and collects in U.S. dollars (product code = RMB), and Standard-size and E-micro-size U.S. Dollar/Chinese Renminbi futures (product codes, respectively, CNY and MNY) priced in interbank terms of Chinese Renminbi per U.S. dollar, but with daily implied pays and collects in RMB converted and banked into U.S. dollars. These currently listed dollar/Renminbi products are unchanged and continue to be listed for trading after introduction of the new contracts.
       
      From a clearing and bookkeeping point of view, there are no systems changes to trade, position or settlement processing associated with the two new products. On the Trade Register file and report, for example, the products will appear exactly like any other future, with variation amounts denominated in CNH. Additionally, in the daily settlement banking process, the money will be in CNH, the offshore Chinese Renminbi.
       
      The products will be margined in SPAN normally. The margin currency as defined in SPAN will be CNH. As with any initial margin (performance bond) requirement, the requirement may be met with any assets, denominated in any currency, which CME Clearing accepts. Page 2 #12-400/September 19, 2012
      Settlement Banking
      Firms which will clear these new products must establish accounts at CME-approved settlement banks for banking of settlement variation amounts denominated in Offshore Renminbi. Note that CME also accepts Offshore Renminbi cash as performance bond collateral. CNH-denominated settlement variation amounts will be banked on a T+2 value-date convention. Normal “combined cash flow” processing will be used to minimize banking transactions. In other words, for firms receiving CNH (“variation collects”), the currency will be deposited as performance bond collateral rather than paid to the firm; and for firms owing CNH (“variation pays”), the cash will be taken from CNH collateral on deposit to the extent possible.
       
      Delivery Processing
      The CNH and MNH contracts’ delivery will occur on the business day following the third Wednesday of the contract month. For each contract, trading will cease at 11:00 a.m. Hong Kong time on the first Hong Kong business day preceding the third Wednesday of the contract month. This corresponds to 9:00pm Chicago time (or 10:00pm Chicago time when daylight savings time is in effect). Delivery commitments are due to the Clearing House by 10:00 am Chicago time on Tuesday. Wire transfers denominated in USD and orders-to-pay denominated in USD or CNH will be due to CME’s US agent bank by 1:00pm Chicago time on Wednesday. Wire transfers denominated in CNH are due to CME’s agent bank by 12 midnight on Tuesday. Delivery will occur on Thursday. Note that these new contracts are not CLS eligible. Any firm involved in a delivery will be required to submit wire transfer instructions or orders-to-pay to satisfy the delivery. Sellers must deliver the CNH from an offshore Chinese Renminbi account at a commercial bank in Hong Kong, and buyers must similarly take delivery at such an account.
       
      Testing opportunities: These new products will be available in the New Release testing environment starting October 22, 2012.
       
      For more information, contact CME Clearing at 312-207-2525, and please see:
      ·         CME’s web pages on the new Offshore Renminbi contracts, at: www.cmegroup.com/trading/fx/usd-renminbi-futures.html
      ·         TheCME Globex noticeabout the new contracts,at:http://www.cmegroup.com/tools-information/lookups/advisories/electronic-trading/20120914.html
      ·         The Clearing Advisory 12-185, published April 30.2012, regarding Offshore Renminbi as performance bond collateral, at: www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-185.pdf
       
      Effective on Monday, November 5, 2012, and pursuant to CFTC regulations, CME's "Cleared OTC Customer Sequestered" regulatory class will be replaced by a new class, called "Customer Cleared Swaps." There are various regulations which will apply to these products, especially Legally Segregated Operationally Commingled ("LSOC").
      The set of CME-cleared products which when held by customers of FCM's falls into the Cleared OTC Customer Sequestered regulatory class is precisely the same which will be in the new Customer Cleared Swaps class on November 5. It consists of the following:
      ·         All Interest Rate Swaps
      ·         All Credit Default Swaps
      ·         All FX Non-Deliverable Forwards and Cash-Settled Forwards as enumerated below
      ·         Metal Forwards and seventeen commodity and energy swaps as enumerated below
      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.)
       
       
       
      Effective Thursday, November 8, 2012, pending regulatory review, CME Clearing will adjust the value-date convention for settling non-USD variation margin obligations for cleared interest-rate swaps. With this adjustment, the value-date for these non-dollar variation moves will be determined solely by the banking calendar of the currency in which the variation is denominated, without any reference to the USD banking calendar. This change will harmonize the value-date convention with OTC market conventions for rate swaps. CME Clearing will settle non-USD currencies on US holidays; the first holiday this will occur for is Veterans Day which is observed Monday, November 12.
      Starting November 18, CME Globex Trading Day for Equity Index Products to End at 4:15 p.m. CT
      Change to CME Globex trading hours will coordinate with switch to daily price limits for U.S. Equity Index Products
      Settlement time will remain unchanged (3:15 p.m. CT)
      Effective Sunday, November 18 (for first trade date Monday, November 19), the end of the CME Globex trading day for electronically traded equity index futures and options contracts will change from 3:15 p.m. CT to 4:15 p.m. CT. Settlement times will remain unchanged.
      Under the revised hours:
      ·         There will be a 15-minute halt in electronic trading from 3:15 p.m.to 3:30 p.m. CT.
      ·         Trading for equity index contracts listed on CME Globex will resume at 3:30 p.m. CT for the same trade date for 45 minutes, closing at 4:15 p.m. CT. This includes Fridays, meaning that the end of trading week on CME Globex will also be changed to 4:15 p.m. CT.
      ·         CME Globex trades that take place during the 3:30 p.m. - 4:15 p.m. time frame will be subject to the daily settlement prices calculated at 3:15 p.m. CT (i.e., settlement times will not change).
      ·         Trading of equity index contracts on CME Globex will be closed from 4:15 p.m. - 5:00 p.m. CT.
      ·         Trading re-opens at 5:00 p.m. on CME Globex (Sundays-Thursdays) for the new trade date.
      CME Clearing will delay the production launch of the CDX North American Investment Grade Index Series 8 (CDXIG8), originally scheduled for Monday, October 15th, 2012. Participants will still be able to test in CME Clearing’s New Release (UAT) environment beginning Thursday, October 11th.  Please keep in mind that CME Clearing will be using mock settlement prices for the Series 8 Index in New Release. 
        
      Should you have questions, please contact the CME Client Services Team by email at Onboarding@cmegroup.com.
       
      Please be advised the following functionality is scheduled for production on Monday, October 15, 2012. The functionality is also currently available for testing in New Release. 
      Deliveries Plus
      Inclusion of functionality to facilitate delivery of Corn, Soybeans, and Wheat (Big and Mini) due to the introduction of fungibility in these products.
      The functionality includes:
      ·         Emails for any conversion performed
      o    Any residual pay or collects resulting from a conversion will be noted on emails that are generated. Any pay or collect amount will be debited or credited on a firm’s variation account the business day following the conversion.
      o    The residual will be displayed as a storage charge on the Trade Registers.
      o    Flexibility to select notified and registered inventory to satisfy contract ratio requirements for intents in YC, YK, YW and MGC.
      FEC Plus
      Introduction of anonymity for all ClearPort and ITP trades submitted to FEC. 
       
      Currently in FEC+, the Opposite Firm field will display as blank for ClearPort and ITP trades unless the CMF is on both sides of the trade. With the full anonymity enhancement, the Opposite Firm field will always display as blank.  
       
      SPECIAL NOTE:
      Anonymity is not inclusive of manually entered trades in FEC Classic, such as EFP/R/S/, Blocks and Transfers as well as API transfers
      If there are any questions, please contact CCS at 312.207.2525 or Deliveries at 312.930.3172.
       
      This link provides the advisory notice reflecting the contract specifications for this new contract.
      This link provides the advisory notice reflecting the contract specifications for this new contract.
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