Chicago Mercantile Exchange
Clearing House Advisory Notice
99-110
December 17, 1999
IMPORTANT MEMORANDUM
TO: Clearing Member Firms
Attention: Chief Financial Officers
Back Office Managers
FROM: Clearing House Department
SUBJECT: CLEARING HOUSE HOLIDAY SCHEDULE – THURSDAY, DECEMBER 23, 1999 and FRIDAY, DECEMBER 24, 1999, CHRISTMAS EVE DAY
On Thursday, December 23, 1999 all agricultural and currency products will close at 12:00 noon. Interest rate products will close at 12:10 p.m. and equity products will close at their regular times.
All processing schedules for the Clearing House remain unchanged for Wednesday, December 23, 1999.
The CME will be closed for trading on Friday, December 24, 1999. However, U.S. banks are open on Friday, December 24, 1999. The Clearing House will be staffed on the morning of Friday, December 24, 1999 to facilitate banking and asset management processing. Please refer to the schedule below.
A. INTRA-DAY VARIATION AND PERFORMANCE BOND SCHEDULE
The Clearing House will not conduct Intra-Day ("ITD") or End
of Day ("RTH") settlement cycles on Friday, December 24, 1999.
Settlement variation and performance bond cash call/release amounts resulting from the Thursday, December 23, 1999 RTH settlement cycle will be confirmed by settlement banks by 6:40 a.m. on Friday, December 24th. Settlement banks will process cash flows resulting from Thursday's RTH settlement cycle on Friday, December 24, 1999.
B.
CME-OCC
CROSS MARGIN PROGRAM PROCESSING
Cross-margin firm pay/collect amounts resulting from the Thursday, December 23, 1999 RTH settlement cycle will be confirmed by settlement banks by 6:40 a.m. on Friday, December 24th. Settlement banks will process cross margin firm cash flows resulting from business cleared at the CME and at the OCC on Thursday, December 23, 1999 for settlement on Friday, December 24, 1999, as per normal.
C. COMMON BANKING
Consistent
with the deadlines in section G, firms participating in the CME/BOTCC common
banking program will be able to process collateral deposit transactions on
Friday, December 24, 1999. Firms participating in the CME/BOTCC common
banking
program will also be able to process collateral release transactions per
section G, but only for collateral previously allocated to the CME. Collateral
reallocation transactions between the CME and BOTCC will not be processed on
Friday, December 24, 1999.
D. MONEYCHANGER VALUE DATES
Please note the following value dates for MoneyChanger transactions:
Trade Date Value Date
Thursday, December 23, 1999 Friday, December 24, 1999
Friday, December 24, 1999, MoneyChanger is closed.
E. MONEYCHANGER DEADLINES/RATES
The
CME MoneyChanger service will not be available on Friday, December 24, 1999.
Any orders to buy or sell foreign currency entered after 12:00 noon Thursday, December 23rd and before 1:54:59
p.m. on Monday, December 27, 1999 will be executed on Monday, December 27,
1999, at rates of 2:00 p.m. on Monday, December 27, 1999.
F. DEPOSITS OF PERFORMANCE BOND COLLATERAL
U.S. banks are open on Friday, December 24th. The bank confirmation deadline for clearing firms to receive same day performance bond credit for Treasury security deposits on Friday, December 24th is 10:00 a.m. CST. The deadline for clearing firms to submit Treasury security withdrawal instructions to the Clearing House for same day processing will be 9:30 a.m. CST. For purposes of the CME-OCC cross-margin program, the CME and the OCC will also support a 9:30 a.m. CST deadline for cross-margin firm submission of Treasury security deposit/withdrawal instructions.
G. A.M. SUBMISSION DEADLINES FOR FRIDAY DECEMBER 24, 1999
9:00a.m. Clearing
firm notification to banks of pending Treasury deposits
9:30a.m. Treasury,
Foreign Currency, Stock or Letters of Credit deposit or withdrawal transactions
must be submitted to the Clearing House via C21 or through submission of the
appropriate form
10:00a.m. Bank
confirmation to Clearing House
H. FOREIGN CURRENCY PERFORMANCE BOND CASH WITHDRAWALS
Please note the
following value dates on foreign currency performance bond cash withdrawals:
Request Date Value Date
Thursday,
December 23, 1999 Friday, December 24, 1999
Friday, December 24, 1999 Monday, December 27, 1999
I. FOREIGN CURRENCY SETTLEMENT VARIATION
Please note the following value dates for foreign currency settlement variation.
Trade
Date Value Date
Wednesday,
December 22, 1999 Friday, December 24, 1999
Thursday,
December 23, 1999 Monday, December 27, 1999
Additionally please note the following value date
adjustment for Japanese yen due to a Japanese banking holiday on Thursday
December 23, 1999 in celebration of the Emperor's Birthday:
Trade Date Value
Date
Tuesday,
December 21, 1999 Friday, December 24, 1999
J. INTEREST EARNING FACILITY (IEF)
Please note the following adjustments to IEF processing.
IEF settlement elections for the RTH cycle on Thursday, December 23,1999, will be set to “zero” for all firms. Clearing Firm IEF settlement elections will be automatically reset by the Clearing House for the ITD settlement cycle on Monday, December 27,1999.
Clearing firms must submit IEF purchase or redemption transactions to the Clearing House by 10:00a.m. on Thursday, December 23, 1999
No IEF purchases / redemptions will be allowed on Friday, December 24,
1999.
K. GLOBEX˛
GLOBEX˛
will close on Thursday, December 23,1999, at 3:15 p.m. Trades executed on
GLOBEX˛ by 3:15p.m.on Thursday, December 23,1999 will follow normal settlement
conventions, and be confirmed by settlement banks by 6:40a.m. Friday, December
24,1999.
M. SIMEX
There will be AM and PM Inter-Exchange processing cycle
on Thursday, December 23, 1999.
On Friday, December 24, 1999, there will be an AM
Inter-Exchange cycle only. There will be
no PM cycle. The deadline to submit trades to the AM Inter-Exchange
processing cycle on December 24, 1999, is 7:30 a.m. Normal Inter-Exchange processing will resume on Monday, December
27, 1999.
N.
SPANŇ FILES
CME SPAN files will be produced on Thursday, December
23, 1999 as per normal. CME SPAN files
will not be produced on Friday, December 24, 1999.
If you have questions on any of the above, please call
Tim Golomb, Financial Manager, at (312) 930-3194, or Charlene Benodin,
Financial Supervisor, at (312) 930-3165.
Any questions regarding SIMEX processing
schedules may be directed to Mark Cox, Clearing Operations Analyst, and (312)
648-8699.