Chadv12-047 - CME Group

In response to customer requests, please be advised that beginning January 23, 2012, the following new repeating blocks values will be added to the Futures and Options FIXML Product Reference files (when applicable):

· Trade/Settlement Price Can Be Negative Indicator (futures/combos file only), new Attribute Type “36”

· Strike Price Can Be Negative Indicator, new Attribute Type “37”

In addition, the forwards (CME OTC FX, COMEX Gold Bullion, and NYMEX Freight forwards) included in the Futures Product Reference files will have a new attribute, “Final Settlement Currency (FnlSettlCcy), denoting the currency which will pertain to the given forward contract, either daily or at final settlement. Also, two new valuation methods have been defined, to further define a forward. “FWDC” means “Forward, Cash-Settled Daily, Standard Currency Convention,” and “FWDCI” means “Forward, Cash-Settled Daily, and Inverse Currency Convention.”

The Product Reference Files, as always, are located at ftp.cmegroup.com/pub/fprf, and have a naming convention of “cmeg.EXCHANGE.PRODUCT_TYPE.prf.YYYYMMDD.xml.zip, where:

EXCHANGE is cbt, cme, comex, dme, gex, or nymex
PRODUCT_TYPE is combo, fut, or opt

· YYYYMMDD is the Century, Year, Month and Day for the file (note, the Business Date (note that BizDt within each file is the next processing day after the date in the file name, as the Product Reference files are a set-up for the next day’s processing).

Samples of the new tag, values, and blocks occur on the following pages.

Should you have any questions, please contact CCS at 312-207-2525.

Example of a Future Product that could Trade or Settle at a Negative Price:

New repeating Attribute Type 36 Block, when negative trade or settlement prices are allowed:

</Instrmt>

</InstrmtExt>

</BaseTrdgRules>

</SecTrdgRules>

</MktSegGrp>

</MarginDataGrp>

</SecDef>

Example of an Option Product that could have Negative Strike Prices

New repeating Attribute Type 37 Block, when negative strike prices are allowed:

</Undly>

</DerivInstrmt>

</BaseTrdgRules>

</SecTrdgRules>

</MktSegGrp>

</DerivSecDef> …

</DerivSecList>

Example of an OTC Product With New Valuation Method and Final Settlement Currency Attribute

New attribute “Final Settlement Currency,” and new Valuation Method, “Forward, Cash-Settled Daily, Inverse Convention:”

</Instrmt>

</InstrmtExt>

</BaseTrdgRules>

</SecTrdgRules>

</MktSegGrp>

</ProdClsfnGrp>

</MarginDataGrp>

</SecDef>

FTP Connectivity Conversion Deadline-April 2, 2012

As many of you are aware, we successfully completed Phase I conversion of our FTP and SFTP (secured FTP) system which targeted all firms using our legacy Internet connection architecture.

Next we will address the conversion of all clearing member firm WAN (Leased Line) connections from the legacy to the new CME infrastructure.

Clearing firms using the Legacy environment will be required to complete their conversion to the new server and, if necessary, convert from FTP to SFTP by April 2^nd, 2012.

The Legacy WAN environment includes the following addresses.

FTP: xxx.xxx.xxx.45
SFTP: xxx.xxx.xxx.46

The new environment is in place and is reachable at the following addresses using SFTP:

Production: xxx.xxx.xx.33

Disaster Recovery: xxx.xxx.xx.33

Please call Clearing Services at the number below for the new IP addresses.

We recommend a non-production file name convention be used when sending a test file.

Please be aware, firms that have not converted to the new SFTP IP address by April 2^nd, 2012 will incur a monthly maintenance fee to use the old FTP server. Updated notices will follow to outline fees.

We ask that each clearing member firm and any organization connecting FTP, to please provide us contact information (name, phone number and email) of the primary and back-up contacts for this conversion effort. Once firms have tested and converted activity to the new destination, credentials will be removed from the legacy server.

For further information or assistance please contact Clearing Services at (312) 207-2525 or

E-mail SFTPConversion@cmegroup.com

Delisting Singapore Gasoil Contracts

Effective close of business, January 27, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will delist contract months beyond the December 2012 contract for each of the three contracts listed below. Contract months currently listed beyond the December 2012 contract have no open interest. The three contracts are currently listed for trading on the NYMEX trading floor and for submission for clearing through CME Clearport.

Delisted Contracts
Contract	Code	Chapter	Current Listing Schedule	New Schedule Effective Close of Business January 27, 2012
Singapore Gasoil 0.05% Sulfur (Platts) Swap Futures	SZF	861	36 months	Last listed month is December 2012. Stop listing beyond December 2012 contract month
Singapore Gasoil 0.05% vs. 0.5% Sulfur Spread (Platts) Swap Futures	SZZ	863	36 months	Last listed month is December 2012. Stop listing beyond December 2012 contract month
Singapore Gasoil 0.05% Sulfur (Platts) BALMO Swap Futures	SZL	865	1 month + next month (generated 10 days prior to the beginning of the month)	Continue generating until November 2012 such that the last listed month is December 2012 contract

Please be reminded that Platts, the final settlement index provider for these contracts announced that effective January 2, 2013, Platts will lower the sulfur specification of their “Singapore Gasoil” assessment from the current 0.5% (5,000 ppm) to 0.05% (500 ppm) sulfur content.

The Exchange already offers a Singapore Gasoil 0.5% outright (chapter 669, commodity code SG) and BALMO (chapter 496, commodity code VU) whose specifications will be modified upon the implementation of the lower the sulfur specification by Platts in January 2013. Consequently, the Exchange will stop listing contract months for contracts SZF (outright) and SZL (BALMO) beyond December 2012, in order to avoid listing duplicate contracts. With respect to the spread contract, Singapore Gasoil 0.05% vs. 0.5% Sulfur Spread (Platts) Swap Futures (SZZ), which will also stop listing beyond December 2012, upon implementation of the lower sulfur specifications by Platts in January 2013, both legs of the spread will become identical and therefore will eliminate the need for a spread contract.

Deliveries

Updated List of Live Cattle Stockyards and Slaughter Plants

This link provides the stockyards and slaughter plants that have been approved for deliveries against the CME Group Live Cattle futures contract from February 1, 2012 through January 31, 2013. Delivery point information and contact numbers are listed for your reference.

If there any questions, please contact the Deliveries Unit at (312) 930-3172.

CME Group Delivery Dates for January 2012

This link provides the relevant delivery dates for February 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.

Events & Announcements

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.

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv11-302.pdf

For more information please contact CME Clearing’s Risk Department at 312-648-3888.

Distribution of 1099 Statements

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 2^ND 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.

Crude Oil and Gasoline Financial Futures on CME Globex

Please be advised that the addition of CME Globex as a venue for Crude Oil financial futures (chapter 691, commodity code WS) and RBOB Gasoline financial futures (chapter 555, commodity code RT), previously scheduled for trade date Monday, December 12, 2011, has been rescheduled. The new effective date, pending all relevant CFTC regulatory review periods, shall be Sunday, January 22, 2012 for trade date Monday, January 23, 2012.

The listing schedule for WS is current year and next 8 consecutive years. The listing schedule for RT is 36 consecutive months. WTI Crude Oil financial futures (WS) and RBOB Gasoline financial futures (RT) will continue to be available for trading on the NYMEX trading floor and for clearing through CME ClearPort.

Information Contacts
cmegroup.com Inquiries	Customer Service	(800) 331-3332
General Information	Products & Services	(312) 930-8213
General Information	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

FIA “Rate Identifier” Indicator Coming Soon

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:

ftp://ftp.cmegroup.com/pub/span/util/RateIdentifierExamples.zip

For the CME Globex notice, please see:

http://www.cmegroup.com/tools-information/lookups/advisories/electronic-trading/20120116.html#VOI

For more information, please contact CME Clearing at 312-207-2525.

New Cash with Interest Program (IEF®5) Provider

CME Clearing (CME) is pleased to announce the latest addition to its Cash with Interest Program (IEF5). Deutsche Bank AG will be a provider of this service to CME Clearing beginning January 23, 2012.

Clearing member firm cash that has been designated as IEF5 will reside in CME’s account at Deutsche Bank AG, New York Branch, with the ‘benefit’ accruing to IEF5 participants. Deutsche Bank AG, New York Branch deposits are not FDIC insured.

CME will provide compensation on cash balances in the Deutsche Bank AG IEF5 program at the rate of 9 basis points. This rate is subject to change on occasion. Clearing firms will be notified in advance of any change in the rate.

In addition, a program limit will be in place for a single clearing members firm’s total investment in the Deutsche Bank AG IEF5 program. This limit will be set at $500 million per clearing member firm.

Some facts regarding Cash with Interest Program:

Cash account maintained on the banks’ trust ledger.
Funds may be commingled with other funds derived from trust activities and made available to the treasury of the bank for general funding purposes.
Does not have a regulatory capital charge or Clearing House performance bond haircut.
Funds are 100% liquid.
Is not a money market mutual fund or an investment.
Is not guaranteed by CME or the banks.
The CME Clearing has set clearing member firm limits for all participants in the Cash with Interest (IEF5) program as following:

50% of Core requirement
100% Reserve requirement
100% Concentration requirement

For any questions regarding this notification, please contact Michael Auriemma at 312-634-8399 or Michael.Auriemma@cmegroup.com.

New Gold Custodian Provider

CME Clearing (CME) is pleased to announce an addition to our gold custodian providers. Deutsche Bank AG London Branch will provide gold custodian services on behalf of CME Clearing starting January 27, 2012.

There is a 15% haircut applied to market value of gold and a firm limit of $500 million. A firm can utilize gold to meet up to 20% of core performance bond, 50% of reserve, and 50% of concentration requirement. At this time, gold can only be used to meet house account (NSEG) requirements.

CME will pass through storage, insurance, and handling fees assessed by Deutsche Bank. To initiate the process of depositing gold, a firm needs to execute a title transfer agreement specified by CME Clearing. In addition, firms need to complete a “Gold Collateral Movement Form” before depositing or withdrawing gold from a CME gold custodian.

Operational Information

Bank: Deutsche Bank AG London

SWIFT BIC: DEUTGB2LBUL

Account: 0250971-0000-XG6-000-SPX (Unallocated)

Account Name: CME Group House

Reference: CME Clearing Member Name

For any questions regarding this notification or gold forms, please contact CME Clearing Financial Unit at (312) 207-2594.

FECPlus FIXML 5.0 Testing Finalized Messaging Specifications

Please be advised that the finalized version of the FPL-compliant FIXML 5.0 post-trade processing message specifications have been posted on CMEGroup.com. Please refer to the FEC+ FIXML API section on the Clearing System Documentation Directory to access the finalized specifications. Please follow this link to the specifications page: http://www.cmegroup.com/clearing/systems-operations/technical-standards.html

Please note: no major changes were made to the post-trade processing specifications from the previously distributed document, aside from corrections to the sample FIXML messages. Additionally, the documentation has been split into 3 sections for easier usability. Finally, the Change Summary Document remains separate.

For more details, please refer to Clearing Advisory Notice 12-007, published January 6, 2012 for FECPlus testing and deployment schedule.

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-007.pdf

If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs).
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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CME Clearing Notice: January 30, 2012