• CME Clearing Notice: January 9, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-017
      • Notice Date
      • 12 January 2012
      • Effective Date
      • 09 January 2012

    • Topics in this issue include:
      *        Deliveries
      *        Events & Announcements
       
      The EUR Swap parameters for the Liquidity Add-On charge previously approved by the Interest Rate Swaps Risk Committee, as part of our margining regime, is described in the below table. These parameters are subject to periodic recalibration.
      For multi-currency portfolios, Liquidity Add-Ons will now be applied based on the naked margin requirement for EUR and USD Swaps within a Clearing Member’s House Account and each individual Customer Account in our New Release environment beginning on January 11, 2011.
      For further details on calculation methodology please contact the CME Client Service Team at Onboarding@cmegroup.com or reference the previously posted CME OTC IRS Liquidity Add-On Implementation Advisory sent on Friday, October 28th, 2011.
      Monday, January 23, 2011 is the target for going live with the EUR Liquidity Add-On, subject to a successful test period.
      EUR Liquidity Margin Add-On Table
      Margin Lower Bound( ≥) – Mln €
      Margin Upper Bound (≤)- Mln €
      Multiplier
      0
      230
      0
      230
      400
      0.4
      400
      800
      0.8
      800
      1500
      1.0
      1500
      2300
      1.15
      2300
      ∞
      1.25
      Report ID Changes
      The following Clearing House report id abbreviations will change effective Monday, January 23rd, 2012.
      Report Type
      Current Abbreviation
      New Abbreviation
      Allocate & Claim
      ACS, APS
      ACS
      Trade
      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 continue to provide a Production Parallel Environment where firm users have the opportunity to review the changes in preparation for the upcoming report migration scheduled for Monday, January 23rd, 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
      CME Clearing will continue to 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
      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 January 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      Harmonization of Intraday Processing for NYMEX and COMEX Products
      On Monday, February 13, 2012, we will begin including current-day trades in NYMEX and COMEX products in the normal intraday settlement cycle. This will ensure that the New York products are treated in the exact same manner at intraday as the Chicago (CME and CBOT) products.
      The intraday cutoff – 11:00am Chicago time – will not be altered. With this change, the variation and premium on current day NYMEX and COMEX trades cleared up to 11:00am will be brought into the intraday settlement cycle, and the updated position quantities resulting from these trades will be included in the intraday margin calculation.
      CME Clearing’s plan to make this change was previously communicated several times, most recently in Advisory 11-302, published August 25, 2011. A report, the “NYMEX Intraday What-If Report” (CPB991) has been available since that time which can be used to estimate how your firm’s intraday settlements will be affected.
      For more information please contact CME Clearing’s Risk Department at 312-648-3888.
      For updated trading schedules during the holiday, please refer to the links below.
      ·         CME Group Trading Floor
      ·         CME Globex
      ·         NYMEX Trading Floor
      ·         NYMEX ClearPort
      This coming Monday, January 16, 2012 is Martin Luther King, Jr. Day, a US federal holiday. As such, it is quite typical of CME Clearing’s processing for most US federal holidays going forward:
      An ‘Exchange Holiday’: 
      ·         The Chicago and New York trading floors are closed. 
      ·         CME Globex will open normally on Sunday at 5pm Chicago, but will close at 10:30am Monday, and then re-open at 5pm Monday. Trades done on CME Globex from 5pm Sunday to 10:30am Monday will clear as of business day Tuesday January 17.
      ·         CME ClearPort will be open as normal. CDS and OTC FX trades will clear as of business day Monday, and trades in other ClearPort products will clear as of business day Tuesday.
      Clearing Processing for Interest-Rate Swaps: 
      Trades may be cleared according to their normal schedule for interest-rate swaps. USD-denominated rate swaps will be brought into Tuesday’s clearing cycle for the first time, while rate swap trades denominated in EUR, GBP and CAD will be brought into Monday’s clearing cycle. Because it’s a USD banking holiday on Monday, the USD-denominated price alignment interest calculated at end-of-day this Friday will cover four calendar days. On Monday USD price alignment interest will be zero.
      Clearing Processing for Credit-Default Swaps:
      Trades may similarly be cleared according to their normal schedule for CME’s USD-denominated credit default swaps, but these will be brought into Tuesday’s clearing cycle. There is no price submission for CDS on Monday. Exactly as with USD-denominated rate swaps, price alignment interest calculated at end-of-day Friday will cover four calendar days, and PAI on Monday will be zero.
      Clearing Processing for OTC FX Products: Trades may be cleared in any CME OTC FX product on Monday, for Monday’s clearing business date.
      Inter-Exchange Processing with the Singapore Exchange (SGX):
      Inter-exchange processing pursuant to the Mutual Offset Agreement with the Singapore Exchange (SGX) will be normal on Monday January 16. There will be both “A.M.” and “P.M.” inter-exchange processing cycles, on their normal schedules. The CME side of inter-exchange transfers cleared on the Monday, however, will be brought into Tuesday’s clearing cycle.
      The deadline to submit trades to the A.M. inter-exchange processing cycle on Monday will be its normal time of 7:00am Chicago time.
      Monday January 16: A clearing business day (but somewhat special):
      ·         There will be no intraday settlement cycle on Monday January 16.
      ·         Settlement price files and SPAN files will be published at end-of-day on Monday, but settlement prices for all products except OTC FX will be identical to their values as of Friday.
      ·         There will be an end-of-day settlement cycle on Monday. 
      ·         Because there will be no new trades and no new prices for normal Exchange products on the Monday, there will be no settlement variation or option premium requirements for these products generated on the Monday. Performance bond requirements for normal Exchange products on Monday may be slightly different from Friday’s values due to the passage of time.
      ·         There will be no new settlement variation requirements on the Monday for USD-denominated credit default swaps and performance bond requirements for these positions will not change from their Friday values.
      ·         There will be no new settlement variation requirements on the Monday for USD-denominated interest-rate swaps, but there will be new variation requirements for interest-rate swaps denominated in currencies other than USD, in particular for EUR, GBP and CAD. And performance bond requirements for the combined portfolio will be updated on Monday.
      ·         CME Clearing is not open on Monday January 16 for deposits or withdrawals of collateral. Haircut percentages applied to securities deposited as collateral will change slightly on the Monday from their Friday values due to the passage of time, however. These will be reflected on clearing reports generated for end-of-day Monday, and have the potential to result in margin calls or releases for value date Tuesday.
      ·         The “Interest-Earning Facility” (IEF) will be closed for all transactions on Monday January 16. No purchases or redemptions will be allowed for the IEF-2, IEF-3, IEF-4 or IEF-5 programs on the Monday. Processing deadlines will be normal on Friday January 13 and Tuesday January 17.
      ·         The “SVIEF” feature for USD-denominated settlement variation will not be available for the end-of-day clearing cycle on Monday January 16.
      ·         Banking value dates will be determined as normal in the end-of-day settlement cycle for Monday. Settlement variation amounts denominated in EUR, GBP, CAD or USD will be for value date Tuesday January 17, as will any USD-denominated margin calls.
      ·         Note that banking value dates determined for the end-of-day settlement cycle this Friday January 13, will take the Monday USD banking holiday into account. The value date for USD-denominated variation and margin calls generated at end-of-day Friday, for example, will be Tuesday January 17.
      A.M. Settlement Confirmations
      US-based settlement banks are closed on Monday, January 16, and will not provide morning settlement confirmations on that day. 
      Confirmations for amounts generated in the end-of-day settlement cycles on both Friday January 13 and Monday January 16, will be provided on the morning of Tuesday January 17, by their normal deadline of 7:30am Chicago time. Payments for USD settlement transactions generated at end-of-day on Friday and/or Monday will similarly be processed on Tuesday morning.
      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 requested on Wednesday, Thursday or Friday of this week:
      Swiss franc, Australian dollar, New Zealand dollar, Swedish krona, Norwegian krone, Japanese yen, Turkish lira:
      Trade Date                                                                            Value Date
      Wednesday, January 11, 2012                                         Thursday, January 12, 2012
      Thursday, January 12, 2012                                             Friday, January 13, 2012
      Friday, January 13, 2012                                   Tuesday, January 17, 2012
      Canadian dollar, Mexican peso, Euro, British pound:
      Trade Date                                                                            Value Date
      Wednesday, January 11, 2012                                         Thursday, January 11, 2012
      Thursday, January 12, 2012                                             Thursday, January 12, 2012
      Friday, January 13, 2012                                   Friday, January 13, 2012
      Foreign Currency Settlement Variation
      Please note the following value dates for foreign currency settlement variation on Wednesday, Thursday or Friday of this week.
      Swiss franc, Australian dollar, New Zealand dollar, Swedish krona, Norwegian krone, Japanese yen, Turkish lira
                      Business Date                                                                      Value Date
                      Wednesday, January 11, 2012                                         Friday, January 13, 2012
                      Thursday, January 12, 2012                                             Tuesday, January 17, 2012
                      Friday, January 13, 2012                                   Wednesday, January 18, 2012
      Canadian dollar, Mexican peso, Euro, British pound
                      Business Date                                                                      Value Date
      Wednesday, January 11, 2012                                         Thursday, January 12, 2012
      Thursday, January 12, 2012                                             Friday, January 12, 2012
      Friday, January 13, 2012                                   Tuesday, January 17, 2012
      For questions or further information, please contact CME Clearing at 312-207-2525 or CME Clearing’s Financial Unit at 312-207-2794.
      On Tuesday, January 17, 2012 the CME will distribute 1099 Statements to all member firms. Firms have the option to pick the statements up or have the CME Group Document Processing Center mail these on their behalf.
      Picking Your 2011 1099 Statements Up:
      The statements will be available for pickup at the DPC Customer Service Window located on the 2ND floor South Tower of the CME Center at 20 S Wacker, Chicago IL, 60606 between the hours of 9:00 a.m. and 4:00 p.m.
      For security purposes we ask that each firm's Back Office Manager obtain an Officers signature to pre-register the individual who will be picking up the 1099 Statements. The form, posted to the web, should be completed and faxed to the CME Clearing House by January 17, 2012. Additionally, we are requiring that individuals picking up 1099 Statements display their CME Group ID cards.
      Mailing Your 2011 1099 Statements:
      Please be aware that the creation of the 2011 1099 statements will be in a format which will require special envelopes.Firms have a choice to either distribute the 1099’s to the brokers or have CME Group Document Processing Center complete this for a fee. The cost of this service is $0.25 per envelope plus postage, subject to a minimum charge of $5.00 or you can purchase the envelopes 24 @ $4.00. If firms elect DPC to mail the statements, firm copies can be mailed to the firm’s clearing house or available for pick up.
      Please e-mail betty.hanning@cmegroup.com or ronald.burton@cmegoup.com for either of the services offered and they will forward a service request form for you to complete. Arrangements for these services must be made by January 27, 2012. Questions can be directed to Betty Hanning at 312-930-3450 or Ron Burton at 312-930-3451.
      Please pre-register those individuals authorized to pick up 1099’s.
      Note: Individuals not pre-registered will not be given 1099 reports
      The deadline for retrieving these reports is Thursday January 28, 2011.
      If you have any questions concerning 1099 processing, please contact the CME Clearing House at (312) 207- 2525 or email to ccs@cmegroup.com. Thank you.
      Effective Monday January 23, 2012, CME Clearing will begin offering FIXML exercise report to complement the currently available FIXML option assignment report. This will provide firms with enhanced straight through processing capabilities for both types of data. The reports will be available for testing in New Release beginning December 27, 2011.
      For the initial phase, the message format will be as follows:
      Field Name
      FIXML Attribute Name
      Data Type
      Description
      Supported Values/Notes
      PosMntRpt
      Message ID
      RptID
      String
      Unique identifier for this position report
       
      Transaction Type
      TxnTyp
      int
      Identifies the type of position transaction
      1 = Exercise
      2 = Do Not Exercise (**The value “2” will not be available until Phase II.)
      Action
      Actn
      int
      Maintenance Action to be performed.
      1 = New - used to increment the overall transaction quantity
      Clear Date
      BizDt
      LocalMktDate
      The Clearing Business Date covered by this request
       
      Settlement Session ID
      SetSesID
      String
      Identifies a specific settlement session
      EOD = End Of Day
       

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