• CME Clearing Notice: January 16, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-028
      • Notice Date
      • 20 January 2012
      • Effective Date
      • 16 January 2012
    • Topics in this issue include:
      *        Deliveries
      *        Events & Announcements
      ·         CDS Margin Parameter Change
      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 €
      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
      XTP, XTC, MOS, TMS
      ·         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.
      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
      Supported Values/Notes
      Message ID
      Unique identifier for this position report
      Transaction Type
      Identifies the type of position transaction
      1 = Exercise
      2 = Do Not Exercise (**The value “2” will not be available until Phase II.)
      Maintenance Action to be performed.
      1 = New - used to increment the overall transaction quantity
      Clear Date
      The Clearing Business Date covered by this request
      Settlement Session ID
      Identifies a specific settlement session
      EOD = End Of Day
      Please be advised that CME Clearing is updating CDS margin related parameters in the New Release Environment. Effective January 17, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be set to 5 for Utilities Single Names and 4 for Healthcare Single Names in the New Release Environment. Only portfolios that contain Utilities or Healthcare Single Names will be impacted.      
      In response to requests from clearing firms, and in conjunction with an initiative of the Futures Industry Association (FIA), CME Group is planning to introduce a new field to allow clearing firms to identify on each trade in books, the source of the order which resulted in that trade. This in turn will allow firms to charge appropriately differentiated rates for orders entered directly by customers versus orders phoned into an order desk, as well as other order distinctions a firm may want to recognize for differentiating customer fees and commissions.
      The formal name of the new field is the Execution Source Code. More typically, it is called the Rate Identifier, and it is informally referred to as the Voice/Director Indicator. In summary:
      ·         The new field may be submitted on Globex orders.
      ·         Submitted values will be provided to clearing firms on all FIXML trade confirmation messages and allocation messages generated by CME Clearing. Note that when a trade is given up, the original value submitted with the trade will flow along with the give-up.
      ·         The values will be carried with the trade into the Give-up Payment System (GPS), where they can be used to drive processing at different rates according to the different values.
      FIA has defined the following set of values for the indicator:
       A            Phone simple
      B             Phone complex
      C             FCM-provided screen
      D             Other-provided screen
      E             Client-provided platform controlled by FCM
      F              Client-provided platform direct to exchange
      G             FCM API or FIX
      H             Algo Engine
      J              Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)
      W            Desk – Electronic
      X             Desk – Pit
      Y              Client – Electronic
      Z              Client – Pit
      An existing FIX attribute called the Customer Order Handling instruction will be used for this purpose. On iLink messages for CME Globex, this is FIX tag 1031. In FIXML, the attribute name is CustOrdHdlInst. For example: CustOrdHdlInst=”W”
      The new field is expected to be available in CME’s “New Release” testing environment for CME Globex and clearing in the second quarter of 2012, and available in production also in the second quarter (exact dates will be announced soon).   FIXML message samples are available at:
      For the CME Globex notice, please see:
      For more information, please contact CME Clearing at 312-207-2525.
      The ISDA Determinations Committee has determined that a Bankruptcy Credit Event occurred with respect to Eastman Kodak Company. See the following: http://www.isda.org/credit/.  The Event Determination Date is January 19th, 2012 and the number of days that CME Clearing will use to calculate the coupon payment will be 31 days.
      The Eastman Kodak Company is referenced in the following CME cleared CDX North American High Yield Indices:
      The initial processing date for this credit event will be January 20th, 2012.
      Note: Since CME Clearing only offers index contracts there will be no single-name contract affected by this Credit Event, nor will there be a recovery swap made available for clearing on this single name.
      Another advisory notice will be published detailing next steps in the settlement process and re-versioning of the affected indices.
      Please contact onboarding@cmegroup.com with any questions regarding this update.
      This link provides the updated advisory notice reflecting the inclusion of position limits for this contract.