• CME Clearing Notice: December 5, 2011

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 11-439
      • Notice Date
      • 08 December 2011
      • Effective Date
      • 05 December 2011

    • NOTICE #: 11-439
      SUBJECT: CME Clearing Notice: December 5, 2011
       
      Topics in this issue include:
       
      *        Deliveries
      *        Events & Announcements
       
      The Federal Open Market Committee recently announced its intention to keep the target range for the overnight federal funds rate between zero and one-quarter of one percent through mid-2013. Due to customer demand, the strike increments will change on CBOT 2-Year and 5-Year Treasury Note Options to offer greater flexibility. This change will be implemented on Sunday, December 4, 2011 for Trade date, Monday, December 5, 2011:
      ·         2-Year Note options (Serial, Quarterly and Weekly): Reduce strike price increments from 1/4 to 1/8 of one price point.
      ·         5-Year Note options (Serial, Quarterly and Weekly): Reduce strike price increments from 1/2 to 1/4 of one price point.
      ·         2-Year Note and 5-Year Note options (Serial, Quarterly and Weekly):  Redefine initial strike price arrays to comprise at-the-money (“ATM”) plus 30 strikes above ATM and 30 strikes below ATM (versus the current ATM plus 15 strikes above and 15 strikes below). 
      It is important to note that there are NO changes to Strike Decimal Locators or the formatting of the strike price; only strike price increments will change. There will be usage of implied numbers similar to the Eurodollar options where Eurodollar options strikes ending in 2 or 7 have an implied trailing 5 (truncation).
      The Clearing specifications are as follows:
      Standard Five-Year Note Standard and Weekly Options
      ·         Clearing Codes 25, FV1, FV2, FV3, FV4, FV5
      o    Options Tick = 1/64 = $15.63 rounded
      o    Strike Increment = 0.25
      o    Contract Value Factor = 1,000
       
      Exercise Prices
      Actual Price
      117.25
      TCC Format
      0001172
      Globex Format
      0001172
      SPAN Format
      001172
       
      Notes:
      ·         Strike price increments will be added in quarter 32nds or .25, where the last displayed digit of the strike price format is 2, 5, 7 or 0. The truncated implied last digit for 2 & 7 will be a trailing 5.
      ·         Strike price arrays to comprise at-the-money (“ATM”) plus 30 strikes above ATM and 30 strikes below ATM
      Standard Two-Year Note Standard and Weekly Options
      ·         Clearing Code 26. TW1, TW2, TW3, TW4, TW5
      o    Options Tick = 0.5 / 64 = $15.63
      o    Strike Increment = 0.125
      o    Contract Value Factor = 2,000
       
      Exercise Prices
      Actual Price
      117.125
      TCC Format
      0001171
      Globex Format
      0001171
      SPAN Format
      001171
       
      Notes:
      ·         Strike price increments will now be in eighth 32nds or .125. In addition to the existing last digit of the strike price format of 2, 5, and 7, the 1, 3, 6 and 8 will be valid increments. The truncated trailing implied digits will be increments of 1(25), 3(75), 6(25) and 8(75).
      ·         Strike price arrays to comprise at-the-money (“ATM”) plus 30 strikes above ATM and 30 strikes below ATM
      For both products, these changes will be apparent on both the positional-format settlement price file, and the SPAN file.  Strikes will be fully decimalized in FIXML Trade messages, FIXML settlement price files, and FIXML Trade Register files.  Strikes should be formatted in the truncated format shown in the Large Trader file submitted to CME Clearing and CFTC, and strikes should be fully decimalized for PCS data sent to CME Clearing.
       
      FIX/FAST format SecDefs:
      2-Year Note (OZT)
      1128=9_9=537_35=d_49=CME_34=7473_52=20111030162802321_15=USD_22=8_48=288403_55=N2_107=OZTU2 C1086
      _200=201209_202=108.62_207=XCBT_461=OCAFPS_462=14_562=1_711=1_311=[N/A]_305=8_309=630499_731=2_827=2_864=2_865=5_866=20110630_1145=213000000_865=7_866=20120824_
      1145=210000000_870=8_871=24_872=1_871=24_872=2_871=24_872=3_871=24_872=9_871=24_872=12_871=25_872=64_871=26_872=2_871=27_872=3_947=USD_969=0.0078125_996=CTRCT_1140=99999
      _1141=1_1022=GBX_264=3_1142=Q_1143=0.125_1146=0.0002_1147=0_1150=1.46875_1151=OZT_1180=116_5796=20111024_9787=1_9850=0.0005_10=192_
       
      ·         Listed strike price is 108.62 (tag 202)
      ·         External name strike price is 1086
      ·         Full strike price should be 108.625
      ·         If using 202 (recommended), customers should postpend “5” to all strike prices
      ·         If parsing the external name, customers should postpend “25” to all strike prices

      5-Year Note (OZF)
      1128=9 9=528 35=d 49=CME 34=6360 52=20111030162802056 15=USD 22=8 48=542921 55=0N 107=OZFF2 C1287 200=201201 202=128.75 207=XCBT 461=OCAFPS 462=14 562=1 711=1 311=[N/A] 305=8 309=51040
      731=2 827=2 864=2 865=5 866=20110923 1145=213000000 865=7 866=20111223 1145=220000000 870=8
      871=24 872=1 871=24 872=2 871=24 872=3 871=24 872=9 871=24 872=12 871=25 872=64 871=26 872=2 871=27
      872=3 947=USD 969=0.0078125 996=CTRCT 1140=99999 1141=1 1022=GBX 264=3 1142=Q 1143=0.25 1146=0.0001
      1147=0 1150=1 1151=OZF 1180=116 5796=20111020 9787=1 9850=0.001 10=165
       
      ·         Listed strike price is 128.75 (tag 202)
      ·         External name strike price is 1287
      ·         Full strike price should be 128.75
      ·         To determine the full strike price customers must postpend “5” to 2-Year Treasury strike prices where the right most byte is a 2 or 7 when using tag 202-StrikePrice.
       
      If there are any questions, please contact the Clearing House Product Team at (312) 634-1588.
      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 December 2011 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      The GreenX December 2011 Certified Emission Reduction (CER) contracts for both the Legacy and In Delivery Month contracts will soon expire. The Legacy contract, commodity code (VA), will terminate November 29, 2011 and the In Delivery Month contract, commodity code (6S) will terminate December 19, 2011. 
       
      Consequently, CME Group is reminding all GreenX Clearing Members of GreenX Rule 511, Adherence of Law, which states:
       
      “No Participant or any of its Authorized Traders or Supervised Persons shall engage in conduct in violation of Applicable Law including, but not limited to, laws and regulations relating to economic or trade sanctions, the GreenX Rules or the Clearing House Rules (insofar as the Clearing House Rules relate to the reporting or clearance of any transaction in Contracts).” 
      “Applicable Law” means, with respect to any Person, any statute, law, regulation, rule or ordinance, including laws and regulations relating to economic or trade sanctions, of any governmental or self-regulatory authority applicable to such Person, including the CEA and CFTC Regulations (GreenX Rulebook Chapter 1, Definitions.)
      Accordingly, any CERs from any country on the U.S. Office of Foreign Assets Control (OFAC) SDN – Specially Designated Nationals list or targeted countries and, thus, subject to U.S. sanctions will not be acceptable for delivery. 
       
      If there are any questions, please contact Deliveries at 312-930-3172.
      Strike Price Listing Change and Trading Month Rule Clarification for the Silver Options Contract
      Effective Sunday, December 4, 2011, for trade date Monday, December 5, 2011, the Commodity Exchange, Inc. (COMEX or Exchange) will expand the strike price listing rule for its Silver option contract (commodity code SO). 
      Also effective Sunday, December 4, 2011, for trade date Monday, December 5, 2011, the Exchange will amend Rule 116.02 (Trading Months of Silver Options) in order to clarify the contract month listing rule.
      If the underlying futures price is less than $25.00 per ounce, forty (40) strike prices in $0.05 increments above and below the at-the-money strike price will be listed; and forty (40) strike prices in $0.25 increments above and below the highest and lowest $0.05 increment, respectively, will be listed; and ten (10) strike prices in $1.00 increments above and below the highest and lowest $0.25 increment, respectively, will be listed.. 
       
      If the underlying futures price is greater than $25.00 per ounce, forty (40) strike prices in increments of $0.25 above or below the at-the-money strike price will be listed; and forty (40) strike prices in $1.00 increments above and below the highest and lowest $0.25 increment, respectively, will be listed.
       
      If the Exchange determines that trading in silver option contracts will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the price of the silver futures contract at which a new strike price will be introduced, or the period preceding the expiration of a silver option contract in which no new strike prices may be introduced.
       
       In addition, the Exchange may direct that additional strike prices be added.
       
      Silver options shall be listed for trading on the nearest five of the March, May, July, September, and December futures contracts. The nearest of the January, February, April, June, August, October, and November contract month shall be listed for trading for a period of two months from the current listed month. In addition, July and December options contract months shall be listed for sixty (60) months from the current listed month.
       
      Information Contacts
      CMEGroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
       
      Clearing House
      (312) 207-2525
      Globex Information
      Globex Control Center
      (312) 456-2391
      Performance Bond Information
      Risk Management Dept.
      (312) 648-3888
      Position Limits
      Market Regulation
      (312) 341-7970
      Clearing Fees
      Clearing Fee Hotline
      (312) 648-5470
      Effective Sunday, December 4, 2011, for trade date Monday, December 5, 2011, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will expand the listing of contract months for its Canadian Heavy Crude Oil (Net Energy) Index futures (chapter 263, commodity code WCC) contract listed on the NYMEX trading floor and CME ClearPort.
       
      The new listing schedule shall allow for the contract to be listed for the balance of the current year plus the next four (4) consecutive years. Currently, the listing period for the contract is thirty-six (36) consecutive contract months.
       
      Information Contacts
      CMEGroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
       
      Clearing House
      (312) 207-2525
      Globex Information
      Globex Control Center
      (312) 456-2391
      Performance Bond Information
      Risk Management Dept.
      (312) 648-3888
      Position Limits
      Market Regulation
      (312) 341-7970
      Clearing Fees
      Clearing Fee Hotline
      (312) 648-5470
       
      Please be advised the following Clearing House report ID prefixes will change effective Monday, December 19th, 2011. A comprehensive list of the report changes is contained within the advisory for your reference. 
       
      Report ID Prefix Changes
      Report Type
      Current Abbreviation
      New Abbreviation
      Allocate & Claim
      ACS, APS
      ACS
      Trade
      EZP, EZT, XTP, XTC, MOS, TMS
      TRD
       
      ·         Report contents have now been combined with the exception of ACS320 so that a user can access the entire report without having to download multiple parts.
       
      ·         Reports are now broken out by exchanges with a suffix added to the EREP Report ID which designates the exchange that appears on the report.
       
      In preparation for the upcoming report id changes we will provide a Production Parallel Environment starting on Tuesday, December 6th, 2011 in EREP where firm users have the opportunity to review the changes in preparation for the upcoming report migration scheduled for Monday, December 19th, 2011. Firms are encouraged to access EREP within the CME Group PROD Portals to test and certify readiness prior to the production cutover date.
      Verification of File Packaging
       
      Effective Tuesday, December 6th, 2011,CME Clearing will provide a production parallel environment to verify report changes contained within FTP transmissions.
       
      ·         Many firms depend on automated file transfers to eliminate the time-intensive task of manually retrieving and distributing individual reports. Typically, firms request custom report transmissions that are defined, bundled, and transferred direct to their firm FTP servers per their scheduling requirements.
      ·         To ease firm testing, file packages will route from EREP in parallel with the new EREP file packages which contain the aforementioned report id abbreviation changes at the same destination until the scheduled cutover. To distinguish the new EREP file packages, the suffix ‘.axspoint’ is appended to their legacy file name (Ex: F123.CBTRPT.RPTIDANDNAME.axspoint).
      ·         Firms are encouraged to review and test their files, especially if integrated with internal systems.
       
      If there are any questions, please contact CCS at (312) 207-2525 or via email at ccs@cmegroup.com
      November 30, 2011 marked the end of the 2011 BPS tax year for brokerage. The following 1099
      Processing schedule will be effective for the 2011 tax year:
       
      For information on MF Global claim process please visit:
       
       
      Deadlines
      Date
      Action
       
      Friday, December 09, 2011
       
      Deadline for initial 1099 adjustments.
       
      Monday, December 12, 2011
       
      Preliminary CME, CBT, NYMEX and COMEX 1099 Reports will be available in MRS (Member Reporting System) as report named “Prelim Broker’s Yearly Banking Summary” which will reflect initial adjustments made by December 09, 2011. In BPS, firms can run the Tax Billing Group Details report to verify their tax details.
       
      Friday, December 30, 2011
       
      Deadline for final adjustments to the Firm 1099 Reports.
       
      Tuesday, January 03, 2012
       
      Final CME, CBT, NYMEX and COMEX 1099 Reports will be available on MRS as “Final Broker’s Yearly Banking Summary”.
       
      Monday, January 09, 2012
       
      Deadline for reporting any discrepancies in 1099 Reports to the CME Clearing House.
       
      Tuesday, January 17, 2012
       
      Distribution of 1099 Statements to clearing member firms. As in past years, firms will be able to elect the CME Group to send out the statements for a fee. Details will be included on a subsequent advisory.
       
      Tuesday, January 31, 2012
       
      Deadline for clearing member firms to distribute 1099 statements to brokers.
       
      March 2012
       
      Deadline for CME sending 1099 Statement Tape to the IRS.
       
      Please ensure the appropriate staff receives a copy of this schedule.
       
      If you have any questions concerning BPS or 1099 processing, please contact:
      CME Group Clearing Services at 312.207.2525 or ccs@cmegroup.com
       
      This link provides the advisory notice detailing the specifications for this new contract.
      This link provides the advisory notice detailing the specifications for this new contract.
      This link provides the advisory notice detailing the specifications for these new contracts.

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