• CME Clearing Notice: Week of Monday, September 29, 2014

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 14-387
      • Notice Date
      • 01 October 2014
      • Effective Date
      • 01 October 2014

    • Topics in this issue include:

            System Updates

      ·         NEW: FECPlus Phase 2: Electronic Trade Migration (ETM) *UPDATE* - November 2, 2014

      ·         NEW: New Release Price Quality Auction Testing iTraxx Indices – September 29, 2014

      ·         NEW: Enhancements to the CDS Margin Model to Support iTraxx Indices in New Release

      ·         CDS Production Advisory- 2013 ISDA Credit Definitions and Index Annex Dates Postponement

            Deliveries

      ·         NEW: REVISED: CME Group Delivery Dates for October 2014

      ·         2014 Approved List of Live Cattle Stockyards & Slaughter Plants

            Events & Announcements

      ·         NEW: CME Haircut and Cross Currency Haircut files

      ·         NEW: Review of Collateral Haircuts Advisory

      ·         NEW: Product Modification: Extend the listing of the U.S. Midwest Hot-Rolled Coil Steel Futures (HR) – October 19, 2014

      ·         NEW: Product Delisting: Live Cattle Weekly Options

      ·         NEW: Product Modification: Delist Lean Hog CSO Products – 9.29.2014

      ·         HOLIDAY SCHEDULE IN OBSERVANCE OF COLUMBUS DAY

      ·         UPDATED Additional Client Master Data for Margin Accounts

      ·         Feedback Requested on System Information

      ·         Contact Information

       

      System Updates

      NEW: FECPlus Phase 2: Electronic Trade Migration (ETM) *UPDATE* - November 2, 2014

      Please be aware the new deployment date for the FECPlus Eletronic Trade Migration will be at the close of business day Friday, October 31, 2014 for start of business Sunday, November 2, 2014. As a reminder, this change will move all GLOBEX executed trades from the FEC to the FECPlus system.

      ETM Testing

      We encourage firms to continue testing during this time. Testing will be conducted in the Certification environment exclusively.

      ETM Training

      Any firms seeking a demo can contact us directly at CCS@CMEGroup.com to set one up either in person or online. 

      If you have any questions or require further information please contact CME Clearing Services (CCS) at 312-207-2525 or email CCS@CMEGroup.com.

      NEW: New Release Price Quality Auction Testing iTraxx Indices – September 29, 2014

      Please be advised CME will open testing of the Price Quality Auction (PQA) system for the iTraxx Indices in New Release (testing environment) on Monday, September 29, 2014.

      Please find additional details here.

      NEW: Enhancements to the CDS Margin Model to Support iTraxx Indices in New Release

      Please be advised that the benchmark Markit iTraxx Europe index and the Markit iTraxx Crossover index contracts will become eligible for margining in New Release (testing environment) on Monday, September 29, 2014.

      Additionally, a new report based on the Clearing Member positions in New Release (testing environment) titled CDSMR3_nnn_ccyymmdd.nr.csv (“CDSMR3”) will be available to clearing member firms starting on Monday, September 29, 2014. The CDS MR3 contains the initial margin requirement broken down by performance bond account. More specifically, clearing member firms that hold positions in both USD and EUR denominated credit default swap contracts will see a currency-specific margin in addition to a single USD-equivalent margin requirement for their portfolio. There will be no impacts to the CDS Margins Summary report at this time. For specifications of these margin data files, including the CDS MR3, please refer to the below link:

      http://www.cmegroup.com/clearing/files/PBRequirementsDatafiles.pdf

      For questions about the new model or how to calculate margins with the new model, please contact cme.core@cmegroup.com.

      For questions about the CDS MR3 report, please contact the CME Client Services Team at onboarding@cmegroup.com.

      CDS Production Advisory- 2013 ISDA Credit Definitions and Index Annex Dates Postponement

      Please be advised that the protocol effective date for the 2014 ISDA Credit Derivatives Definitions has been postponed to October 6, 2014. After close of business on October 3, 2014 all static data updates to reflect the 2014 ISDA Credit Derivatives Definitions on the Product Reference File will be completed in Production. As of October 6, 2014 all indices will reference the CME Rules which incorporate the 2014 ISDA Credit Derivatives Definitions.

      In addition, to be consistent with the protocol, Markit will publish the new series of the CDX IG and CDX HY with an annex date of October 6, 2014 and October 9, 2014 respectively. CME Clearing will update the new series for the CDX IG and the CDX HY as follows:

      CDX North American Investment Grade Series 23

      ·         First day of trading will be October 6, 2014

      ·         All trades cleared on the new series beginning October 6, 2014 will reference the CME Rules which incorporate the 2014 ISDA Credit Derivatives Definitions

      ·         The new series will be added to the Product Reference File after close of business on September 19, 2014, but will be set to not-clearable

       CDX North American High Yield Series 23

      ·         First day of trading will be October 9, 2014

      ·         All trades cleared on the new series beginning October 9, 2014 will reference the CME Rules which incorporate the 2014 ISDA Credit Derivatives Definitions

      ·         The new series will be added to the Product Reference File after close of business on September 26, 2014, but will be set to not-clearable

      **Please note the effective date for these new series will remain as September 22, 2014 to ensure a full coupon.

      If you have any questions, please contact the CME Client Services Team at Onboarding@cmegroup.com or by telephone at 312-338-7112.

      Deliveries

      NEW: REVISED: CME Group Delivery Dates for October 2014

      Listed here are the REVISED relevant delivery dates for the October 2014 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.

      2014 Approved List of Live Cattle Stockyards & Slaughter Plants

      The attached Stockyards and Slaughter Plants have been approved for deliveries against the CME Group Live Cattle futures contract from February 1, 2014 through January 31, 2015. Delivery point information and contact numbers are listed for your reference.

      See the full advisory.

      If there are any questions, please contact the Deliveries Unit at (312) 930-3172.

      Events & Announcements

      NEW: CME Haircut and Cross Currency Haircut files

      CME Clearing is pleased to announce the availability of two new CSV-format datafiles which provide information about haircut percentages applied to assets deposited as collateral to cover initial margin (performance bond) requirements and guarantee fund requirements. Clearing member firms may use these datafiles to automate the reading of CME Clearing’s haircut percentages into their collateral management systems.

      For the full text of this advisory, please click here.

      NEW: Review of Collateral Haircuts Advisory

      In conjunction with the regular review of market volatility to ensure adequate collateral coverage, please find details here regarding the current acceptable collateral and haircuts for CME Clearing.

      NEW: Product Modification: Extend the listing of the U.S. Midwest Hot-Rolled Coil Steel Futures (HR) – October 19, 2014

      Effective Sunday, October 19, 2014 for trade date Monday, October 20, 2014, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange (EXCHANGE) will expand the listing of contract months for the product listed here on CME Globex and available for submission for clearing on CME ClearPort.

      NEW: Product Delisting: Live Cattle Weekly Options

      Effective September 29, 2014 the Chicago Mercantile Exchange, Inc. (CME or Exchange) delisted these Livestock Weekly options from CME Globex and the CME trading floor.

      There is currently no open interest in these products.

      NEW: Product Modification: Delist Lean Hog CSO Products – 9.29.2014

      Effective September 29, 2014 the Chicago Mercantile Exchange, Inc. (CME or Exchange) delisted these Lean Hog CSO options from CME Globex and the CME trading floor.

      There is currently no open interest in these products.

      HOLIDAY SCHEDULE IN OBSERVANCE OF COLUMBUS DAY

      Please reference the linked holiday processing schedule for Monday, October 13, 2014 in observance of Columbus Day.

      UPDATED Additional Client Master Data for Margin Accounts

      This advisory updates and replaces Clearing Advisory 14-087, originally published on March 3, 2014.

      UPDATE #1: July 23, 2014 (ORIGINAL DATE March 27, 2014)

      Some clearing firms have indicated that they may not be able to meet the October 6 deadline for submission of the additional client master data. If so, please contact MarginAccts@cmegroup.com to request an extension.

      For the full text of this advisory, please click here

      Feedback Requested on System Information

      CME Group would like to hear about your experience using our client systems development and user resources. Please complete a short survey for the following:

      ·         Client Systems Wiki

      ·         WebHelp systems

      ·         Videos

      Your valuable input will help identify areas for future enhancement or improvement.

      Complete the User Feedback Survey

      Contact Information

      CME Group Contacts

      General Information

      Products & Services

      (312) 930-8213

      Clearing House

      (312) 207-2525

      CME Globex Information

      CME Global Command Center

       

      Global Account Management

      U.S.

      (800) 438-8616

      Europe

      +0800 898 013

      Asia

      +65 6532 5010

      Performance Bond Information

      Risk Management Dept.

      (312) 648-3888

      Position Limits

      Market Regulation

      (312) 341-7970

      Clearing Fees

      Clearing Fee Hotline

      (312) 648-5470

      Risk Management

      Risk Management Hotline

      (312) 634-3888

      Collateral

      Financial Unit Hotline

      (312) 207-2594

      Deliveries

      Deliveries Unit

      (312) 930-3172

      Clearing Customer Service

       

      (312) 207-2525