• CME Clearing Notice: February 6, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-053
      • Notice Date
      • 08 February 2012
      • Effective Date
      • 06 February 2012

    • Topics in this issue include:
      *      Deliveries
       
      Effective Sunday, February 12, 2012, for trade date Monday, February 13, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will reduce the minimum price fluctuation limit for the three Dubai crude oil swap futures and option contracts, below, listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.
      Contract
      Code
      Chapter
      Brent-Dubai (Platts) Swap Futures
      DB
      697
      Dubai Crude Oil (Platts) Calendar Swap Futures
      DC
      511
      Dubai Crude Oil (Platts) Average Price Option
      AH
      516
       
      The Commodity Futures Trading Commission (CFTC) will be notified of the reduction of the minimum price fluctuation limits during the week of February 20, 2012 via the weekly notification procedures set out in Part 40 of the CFTC Regulations.
      (underline reflects addition; strikethrough reflects deletion)
      Chapter 697 – Brent-Dubai (Platts) Swap Futures
      697.05. PRICES AND FLUCTUATIONS
      Prices shall be quoted in U.S. dollars and cents per barrel. The minimum price fluctuation shall be $0.001 per barrel. There shall be no maximum price fluctuation.
       
      Chapter 511 – Dubai Crude Oil (Platts) Calendar Swap Futures
      511.05 PRICES AND FLUCTUATIONS
      Prices shall be quoted in U.S. dollars and cents per barrel. The minimum price fluctuation shall be $0.001 per barrel. There shall be no maximum price fluctuation.
       
      Chapter 516 – Dubai Crude Oil (Platts) Average Price Option
      516.07 PRICES
      Prices shall be quoted in dollars and cents per barrel. The minimum price increment will be $0.001 per barrel.  A cabinet trade may occur at the price of $0.001 per barrel or $1.00, however, if it results in the liquidation of positions of both parties to the trade.
      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
      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 2nd, 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 2nd, 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
      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.
      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.
      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.
      The ISDA Determinations Committee has announced that an auction, or series thereof, will be held in respect of Eastman Kodak Company on February 22, 2012. See the following: http://www.isda.org/credit/.
      Eastman Kodak Company is referenced in the following CME cleared CDX North American High Yield Indices:
      CDXHY11V19.SR.XR.USD
      CDXHY12V10.SR.XR.USD
      CDXHY13V4.SR.XR.USD
      CDXHY14V3.SR.XR.USD
      CDXHY15V3.SR.XR.USD
      CDXHY16V3.SR.XR.USD
      CDXHY17V3.SR.XR.USD
      The CME final processing date for this credit event will be the business day following the final price determination date. This means, if the auction is successful on February 22, 2012, then the CME final processing day will be February 23, 2012.
      The current version of the index will be tradable through the final price determination date. The new version of the index will be made available for trading start of day on the business day following the final price determination date. 
      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.

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