• CME Clearing Notice: November 21, 2011

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      • CME Clearing
      • #
      • 11-428
      • Notice Date
      • 23 November 2011
      • Effective Date
      • 23 November 2011

    • NOTICE #: 11-428
      SUBJECT: CME Clearing Notice: November 21, 2011
       
      CME Clearing is introducing this new weekly CME Clearing Notice advisory format intended to provide a broader view into upcoming system updates and announcements. This week, we are publishing on Wednesday due to the upcoming holiday. Going forward, CME Clearing intends to publish this weekly advisory every Thursday.
       
      Topics in this issue include:
       
      *      Deliveries
       
      Please be aware, effective Monday, November 21st, 2011, FTP transmissions will cut over to EREP generated file packages. This includes decommission of legacy Virtual Print System (VPS) functionality. Firms will only be able to retrieve their clearing reports from the secured FTP server. Note that no file name changes are affected.
      Please contact CME Clearing at (312) 207-2525 or via email at ccs@cmegroup.com with 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 October 1, 2011 through January 31, 2012. Delivery point information and contact numbers are listed for your reference.
      If there any questions, please contact the Deliveries Unit at (312) 930-3172.
      This link provides the relevant delivery dates for November 2011 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      This link provides the relevant delivery dates for December 2011 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      Thanksgiving Holiday Clearing Schedule-Thursday, November 24, 2011
      For trading schedules during the holiday, please refer to the links below.
       
       
       
       
       
      BANKING, SPAN AND OUT-TRADE PROCESSING CYCLES
      On Wednesday, November 23, 2011, the out-trade print times and final reconciliation deadlines will adhere to their normal schedules.   SPAN files and settlement price files will be published according to the normal schedule.
       
      The intra-day and end-of-day banking and settlement cycles will occur at their normal times on Wednesday, November 23, 2011.    There will be no ITD or RTH banking and settlement cycle processing on Thursday, November 24, 2011.
       
      The U.S. bank holiday will also prohibit the usage of November 24, 2011 as a “Settle date” for any and all foreign sovereign debt transactions. SVIEF will be turned off for both the intra-day and RTH cycles on Thursday, November 24, 2011. Settlement Variation in Interest Earning Facility (SVIEF) will be turned on for the intra-day cycle on Friday, November 25, 2011.
       
      Settlement variation and performance bond cash call/release amounts resulting from the Wednesday, November 23, 2011 RTH settlement cycle will be confirmed by settlement banks by 7:30 a.m. on Friday, November 25, 2011. Settlement banks will process cash flows resulting from Wednesday’s RTH settlement cycle on Friday, November 25, 2011.
       
      As securities near their maturity date, the values of these assets change, which results in a change to their Performance Bond values at CME. With this, you may see change in the asset values on deposit with CME come Friday morning after the holiday.
       
      Also, decrease in the values of these collateral assets from Wednesday to Thursday may result in PB call/release, which would be banked Friday morning. These PB calls/releases would be banked in addition to the regular RTH settlements for Friday.
       
      Friday, November 25, 2011
      Deadlines for trade data submissions, out-trade corrections, position adjustments, options exercise notices, delivery intents and PCS remain unchanged.
       
      The exchange will produce out-trade reports at their regularly scheduled times.
       
      SPAN files will be produced on Friday, November 25, 2011 according to the normal schedule. 
       
      EROSION HOLIDAY PROCESSING
      Please be advised that due to a PJM processing holiday on Thursday, November 24th and Friday, November 25th, CME Clearing will not calculate final erosion on Friday, November 25th, 2011 for the November JM, UM and VM monthly contracts.  Instead, CME Clearing will calculate the final erosion for these contracts separately on Monday, November 28th, 2011, which will appear on your trade registers as a cash adjustment the evening of November 28th, 2011 and will be banked the morning of Tuesday, November 29th, 2011. Pending erosion for Friday, November 25th, 2011 and final erosion for Monday, November 28th, 2011 will not be impacted.
       
      CME Clearing will distribute a spreadsheet to your firm on Monday, November 28th, 2011 which will detail the final variation amount that you can expect to see that evening.
       
      Please contact CME Clearing at (312) 207-2525 or via email (ccs@cmegroup.com) should you have questions.
       
      DEPOSITS OF PERFORMANCE BOND COLLATERAL
      The U.S. bank holiday will prohibit the posting of transactions dated Thursday, November 24, 2011. Consequently, clearing firms will be unable to deposit or withdraw collateral on Thursday, November 24, 2011.
       
      FOREIGN CURRENCY PERFORMANCE BOND CASH WITHDRAWALS
       
      Due to the holiday’s effects on transaction processing, please note the following value dates on foreign currency performance bond cash withdrawals:
      Swiss franc, Australian dollar, New Zealand dollar, Swedish krona, Norwegian krone, Japanese yen, Turkish lira
      Trade Date
      Value Date
      Wednesday, November 23, 2011
      Friday, November 25, 2011
       
      Canadian dollar, Mexican peso, Euro, British pound
      Trade Date
      Value Date
      Wednesday, November 23, 2011
      Wednesday, November 23, 2011
       
      FOREIGN CURRENCY SETTLEMENT VARIATION
       
      Please note the following value dates for foreign currency settlement variation.
      Swiss franc, Australian dollar, New Zealand dollar, Swedish krona, Norwegian krone, Japanese yen, Turkish lira
      Trade Date
      Value Date
      Wednesday, November 23, 2011
      Friday, November 25, 2011
      Friday, November 25, 2011
      Tuesday, November 29, 2011
       
      Canadian dollar, Mexican peso, Euro, British pound
      Trade Date
      Value Date
      Wednesday, November 23, 2011
      Friday, November 25, 2011
      Friday, November 25, 2011
      Monday, November 28, 2011
       
      A.M. SETTLEMENT CONFIRMATIONS
      The CME Group is closed on Thursday, November 24, 2011. Your settlement bank will provide an a.m. settlement confirmation for both U.S. dollars and foreign currency transactions on Friday, November 25, 2011 by 7:30 a.m. Payment for U.S. dollar settlement transactions from RTH cycle of Wednesday, November 23rd will also occur on Friday, November 25, 2011.
       
      INTEREST EARNING FACILITY (IEF2)
      Please note the following adjustments to IEF2 processing:
       
      Deadline for Funds
       
      11/23/11
      11/24/11
      11/25/11
      *BlackRock
      2:30pm
      Closed
      2:30pm
      Cash Funds: Prime
       
       
       
      FedFund
       
       
       
      TempFund
       
       
       
      *Dreyfus
      2:30pm
      Closed
      2:30pm
      Institutional Cash Advantage
       
       
       
      Treasury & Agency Cash Mgmt
       
       
       
      *DWS
      2:30pm
      Closed
      11:30pm
      Gov Cash
       
       
       
      Money Maket Series
       
       
       
      Federated
      2:30pm
      Closed
      2:00pm
      Prime Obligations Fund
       
       
       
      FFI
      2:30pm
      Closed
      2:30pm
      Select Institutional Fund
       
       
       
      *Goldman Sachs
      2:30pm
      Closed
      3:00pm
      Fin Square Money Market Fund
       
       
       
      Financial Square Prime Obligations Fund
       
       
       
      *HSBC
       
       
       
      Government
      2:30pm
      Closed
      12:30pm
      Prime Money Market
      2:30pm
      Closed
      1:30pm
      *JPMorgan
       
       
       
      Prime Money Market
      2:30pm
      Closed
      2:30pm
      *Morgan Stanley
      2:30pm
      Closed
      2:00pm
      Institutional Liquidity Gov Portfolio
       
       
       
      Institutional Liquidity Prime Portfolio
       
       
       
      RBC
      2:30pm
      Closed
      1:00pm
      Prime Money Market Portfolio
       
       
       
      SSgA
      2:30pm
      Closed
      12:00pm
      Prime Money Market Portfolio
       
       
       
      State Street
      2:30pm
      Closed
      2:00pm
      Institutional Liquid Reserves
       
       
       
      UBS
      2:30pm
      Closed
      2:00pm
      Select Prime
       
       
       
      Select Treasury
       
       
       
      Wells Fargo
      2:30pm
      Closed
      2:00pm
      Advantage Heritage Money Market Fund
       
       
       
       
      *Same closing time for all funds unless otherwise noted.
      **Fund closing times are subject to change.
      No IEF2 purchases / redemptions will be allowed on Thursday, November 24, 2011.
       
      INTEREST EARNING FACILITY 3; 4; 5 (IEF3/IEF4/IEF5)
      IEF3/IEF4/IEF5 processing will follow the usual schedule coinciding with regular banking activity for Wednesday, November 23, 2011 and Friday, November 25, 2011.
       
      No IEF3/IEF4/IEF5 purchases / redemptions will be allowed on Thursday, November 24, 2011.
       
      If you have questions on financial operational deadlines, please call the Financial Unit, (312) 207-2594. 
       
      INTER-EXCHANGE PROCESSING
      There will be an AM and PM Inter-Exchange processing cycle on Wednesday, November 23, 2011.
       
      On Thursday, November 24, 2011, 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 Thursday, November 24, 2011 is 7:00 a.m. Normal Inter-Exchange processing will resume on Friday, November 25, 2011. For any SGX related issues, please call (312) 207-2525.
      This link provides the advisory notice detailing the specifications for the Canadian Heavy Crude Oil Index Average Price Option contract.
      This link provides the advisory notice detailing specifications for the NYMEX RED Compliant Biodiesel contract.

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