• Weekly Clearing Notice: February 20, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-076
      • Notice Date
      • 23 February 2012
      • Effective Date
      • 20 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
      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.
      Please be advised that the New Release Testing Environment will be down for an extended maintenance period on Wednesday, March 7, 2011. The system will be unavailable for testing between the hours of 9:00am and 5:00pm Chicago time. The regularly scheduled weekly New Release maintenance window is between 12:00pm and 5:00pm Chicago time. On March 7th, that window starts 3 hours early.
       
      This notice is being sent well in advance so that all parties can plan accordingly. Please pass this information along to any colleagues that may be impacted by this extended maintenance window.
      Please contact us if you have any question or concerns.
      If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.
       
      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.
       
      Effective Sunday, April 1, 2012, CME Group will introduce the Risk Management Interface (RMI), an API and GUI that supports granular, pre-trade risk management for clearing firms.
      The RMI consists of two components and offers the following services:
      • RMI Application Programming Interface (API)
        • Allows Clearing Member Firms to programmatically send instructions to:
          • Block/Unblock order entry by Execution Firm and Account and Exchange and Derivative Type and Side; product designation optional
          • Query current block/unblock instructions
      • RMI Graphical User Interface (GUI)
        • A web-based user interface that allows Clearing Firms to:
          • Block/Unblock order entry at the same levels as the API
          • View current blocks
      Access to the RMI is limited to Clearing Firms’ certified proprietary and third-party risk management applications.
      The Client Impact Assessment for the RMI API is available online.
      RMI API certification via AutoCert+ is mandatory for Clearing Firms who wish to use the API. The Risk Management Interface will be available for testing in New Release on Monday, February 27.
      Order cancellation functionality will be supported at a later date; more information will be published in the CME Globex Notices.
      Please contact your Global Account Manager at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574 for additional information.
       
      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.
      Credit Event Advisory-CME Clearing Credit Event Processing for Eastman Kodak Company
      On February 22th 2012 an auction administered by Creditex and Markit resulted in a final price determination of 23.875 for Eastman Kodak. The number of accrued days since the previous coupon payment date is 31 days.
      Eastman Kodak is currently 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 new versions of the above indices are listed below with their respective Notional Percent Outstanding:
      CDXHY11V20.SR.XR.USD                    NPO 84
      CDXHY12V11.SR.XR.USD                    NPO 91
      CDXHY13V5.SR.XR.USD                      NPO 96
      CDXHY14V4.SR.XR.USD                      NPO 97
      CDXHY15V4.SR.XR.USD                      NPO 97
      CDXHY16V4.SR.XR.USD                      NPO 97
      CDXHY17V4.SR.XR.USD                      NPO 97
       
      Clearing on the current versions of the indices will be halted today at 8pm EST. The new versions of the indices will be made available for clearing start of day Thursday, February 23rd, 2012.
      The final processing date for this credit event will be Thursday, February 23rd.
      Final processing entails the following:
      ·         CME Clearing will transfer all positions in the affected indices to the new version of the respective indices.
      ·         CME Clearing will calculate the final compensation amounts and will reflect these calculations on the end of day trade registers for Thursday, February 23rd
      ·         CME Clearing will settle the credit event cash flows, in addition to all other normal variation cash flows, at each Clearing Member’s settlement bank on the morning of Friday, February 24th.
      Please contact onboarding@cmegroup.com with any questions.
      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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