• CME Clearing Notice: February 13, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-067
      • Notice Date
      • 16 February 2012
      • Effective Date
      • 13 February 2012

    • Topics in this issue include:
      *      Deliveries
       
      Critical System Updates
      Dubai Crude Oil Swap Futures and Options Contracts Minimum Price Fluctuation Limit Reduction
      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
      As a reminder, the Production launch date for Cross-Exchange Allocations (MOS) on FECPlus, utilizing the FPL-compliant FIXML 5.0 API, is scheduled for Monday, February 27, 2012.
      This new version of the FIXML API allows two-way API messaging for taking actions on allocations within FECPlus. In order to assist our customers in preparing for this change, we have created a recommended MOS/FEC+ test script. The test script can be accessed via this link: http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/MOSFECPlus_Test_Script.pdf
      We recommend that, at the minimum, you are able to process the included scenarios, as well as your own normal business scenarios.
      If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.
      Effective Sunday, February 12, 2012, for trade date Monday, February 13, 2012, 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 the following contracts, listed on the NYMEX trading floor and CME ClearPort, as follows:
      Contract Name
      Code
      Chapter
      Current Schedule
      New Schedule
      Coal (API 2) cif ARA (Argus/McCloskey) Swap Futures
      MTF
      926
      Current year plus the next two years
      Current year plus the next four years. A new calendar year will be added following the termination of trading in the December contract of the current year.
      Coal (API 2) cif ARA (Argus/McCloskey) Option
      MTO
      927
      Current year plus the next two years
      Current year plus the next four years. A new calendar year will be added following the termination of trading in the December contract of the current year.
      Coal (API 4) fob Richards Bay (Argus/McCloskey) Swap Futures
      MFF
      928
      Current year plus the next two years
      Current year plus the next four years. A new calendar year will be added following the termination of trading in the December contract of the current year.
      Coal (API 4) fob Richards Bay (Argus/McCloskey) Option
      MFO
      929
      Current year plus the next two years
      Current year plus the next four years. A new calendar year will be added following the termination of trading in the December contract of the current year.
       
       
      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 February 3, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) delisted certain contract days currently listed for Brent CFD (Platts) vs. Brent Front Month (Platts) Swap futures (commodity code 1C; chapter 319) and certain contract weeks for Brent CFD (Platts) vs. Brent Front Month (Platts) Weekly Swap futures (commodity code CFA; chapter 1144), respectively.  As previously published in Special Executive Report (SER) 6093, dated January 25, 2012, the Exchange announced the implementation of new listing schedules for products 1C and CFA as a result of changes implemented by Platts, the final settlement index provider, to the publication schedule for the first month cash Brent crude oil price assessment.
      The new listing schedules for each of products 1C and CFA, which will become effective on trade date February 13, 2012 pending all relevant CFTC regulatory review periods, resulted in the delisting of the following products:
      Contract “1C”:
      The contract days below will be delisted effective close of business February 3, 2012.
      ·         February 2012 calendar month: contract days 13 through 17, 20 through 24, and 27 through 29.
      ·         March 2012 calendar month: contract days 8 and 9, 12 through 16, 19 through 23, and 26 through 30.
      ·         April 2012 calendar month: contract days 10 through 13, 16 through 20, 23 through 27 and 30. Please note that April 6 and April 9 are UK Bank Holidays and therefore were not originally listed.
      Contract “CFA”:
      The contract weeks below will be delisted effective close of business February 3, 2012.
      ·         February 2012 calendar month: 1 week: February 13 through 17.
      ·         March 2012 calendar month: 2 weeks: March 5 through 9 and March 12 through 16.
      ·         April 2012 calendar month: 1 week: April 10 through 13. Please note that April 9 is a UK Bank Holiday and therefore was not originally listed as part of the weekly contract.
      There is no open interest in the contracts being delisted.
      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 Monday, February 27, 2012; your Give-Up Payment System (GPS) password will be the same password used to login into CME Group’s Portal (http://connect.cmegroup.com ).
      There will no longer be separate passwords to log-in to the CME Portal and GPS. 
      There will be no other changes to the process of how you log on to GPS.
      Please note the following sign on procedures:
      1.     Log into CME Group Portal (http://connect.cmegroup.com )
      2.     Select Give-up Payment System Icon:
       
         
      3.     Log into GPS:
       
       
      If you have any questions, please call CME clearing services at 312.207.2525 or email ccs@cmegroup.com.
       
      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.
      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.
      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.
       
      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, February 20, 2012 is President’s 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 various times on Monday, and then re-open at 5pm Monday. Please check the CME Globex President’s Day Calendar above for specific times. Trades executed on CME Globex from 5pm Sunday to 10:30am Monday will clear as of business day Tuesday, February 21.
      ·         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, February 20. There will be an “A.M” inter-exchange processing cycle on its normal schedule. 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 7:00a.m Chicago time.
      Monday, February 20: A clearing business day (but somewhat special):
      ·         There will be no intraday settlement cycle on Monday, February 20.
      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, February 20 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, February 20. 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, February 17 & Tuesday, February 21.
      ·         The “SVIEF” feature for USD-denominated settlement variation will not be available for the end-of-day clearing cycle on Monday, February 20.
      ·         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, February 21, as will any USD-denominated margin calls.
      ·         Note that banking value dates determined for the end-of-day settlement cycle this Friday, February 17, 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, February 21.
      ·         Double Erosion Processing: On Tuesday, February 21, it will be a double erosion day for all firms with positions in the February 2012 NYMEX JM (PJM Peak Calendar-Month LMP Swap), VM (PJM AEP Dayton Hub Peak Calendar-Month LMP Swap) & UM (PJM Northern Illinois Hub Peak Calendar-Month LMP Swap) contracts. This means that on Tuesday, CME Clearing will calculate final erosion for both Friday, February 17th and Monday, Febraury 20th for settlement at your settlement bank on Wednesday, February 22nd.
       
      A.M. SETTLEMENT CONFIRMATIONS
      US-based settlement banks are closed on Monday, February 20, and will not provide morning settlement confirmations on that day. 
      Confirmations for amounts generated in the end-of-day settlement cycles on both Friday, February 17 and Monday, February 20 will be provided on the morning of Tuesday, February 21, 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, February 15, 2012                          Thursday, February 16, 2012
      Thursday, February 16, 2012                              Friday, February 17, 2012
      Friday, February 17, 2012                                  Tuesday, February 21, 2012
       
      Canadian dollar, Mexican peso, Euro, British pound
      Trade Date                                                        Value Date
      Wednesday, February 15, 2012                          Thursday, February 16, 2012
      Thursday, February 16, 2012                              Thursday, February 16, 2012
      Friday, February 17, 2012                                  Friday, February 17, 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, February 15, 2012                          Friday, February 17, 2012         
                  Thursday, February 16, 2012                              Tuesday, February 21, 2012
                  Friday, February 17, 2012                                  Wednesday, February 22, 2012
       
      Canadian dollar, Mexican peso, Euro, British pound
                              Business Date                                                   Value Date
      Wednesday, February 15, 2012                          Thursday, February 16, 2012
      Thursday, February 16, 2012                              Friday, February 17, 2012
      Friday, February 17, 2012                                  Tuesday, February 21, 2012
      For questions or further information: please contact CME Clearing at 312-207-2525 or CME Clearing’s Financial Unit at 312-207-2794.
       
      This link provides the advisory notice detailing the specifications for this new contract.

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