• CME Clearing Notice: February 27, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-085
      • Notice Date
      • 01 March 2012
      • Effective Date
      • 27 February 2012

    • Topics in this issue include:
      *      Deliveries
       
      Critical System Updates
      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 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.
       
      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 March 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      Events & Announcements
      1st Quarter 2012 Eligible Stocks (Data from October 1st thru December 31st, 2011)
      CME’s performance bond requirements consist of three tiered amounts. The core performance bond requirement represents that portion of the total performance bond requirement, which must be satisfied using the most liquid forms of collateral. Core collateral includes all types of collateral currently accepted; recognizing the current restriction on the use of Letters of Credit and U.S. Government Agency securities whereby a clearing member may meet the first five million dollars of its core requirement and 50% of the remainder of the core requirement using Letters of Credit and U.S. Government Agencies. Reserve and concentration performance bond requirements are set from time to time and are equal to that portion of the total performance bond requirement, which may be met using reserve and concentration collateral. Reserve and concentration collateral includes all core collateral plus shares of stock eligible for the Stock Program. There is no limitation on the amount of Letters of Credit or U.S. Government Agencies used to satisfy the reserve and concentration performance bond requirements.
      The clearing level performance bond requirements in Stock Index Futures are displayed in the table on the following page.
       
      Product
      Core
      Reserve
      Total P.B. Requirement
      S&P 500 (SP)
      $14,000
      $6,000
      $20,000
      E-Mini S&P 500(ES)
      $2,800
      $1,200
      $4,000
      S&P 500/ Barra Growth Index (SG)
      $6,000
      $4,000
      $10,000
      S&P 500/Barra Value Index (SU)
      $8,000
      $2,000
      $10,000
      S&P MidCap 400 (MD)
      $24,000
      $6,000
      $30,000
      E-Mini S&P MidCap 400 (ME)
      $4,800
      $1,200
      $6,000
      Nasdaq 100 (ND)
      $6,300
      $7,700
      $14,000
      E-Mini Nasdaq 100 (NQ)
      $1,260
      $1,540
      $2,800
      Big Dow (DO)
      $10,500
      $7,000
      $17,500
      Dow (11)
      $4,200
      $2,800
      $7,000
      Mini-Dow (YM)
      $2,100
      $1,400
      $3,500
      Nikkei 225 Stock Index (NK)
      $3,188
      $1,063
      $4,250
       
       
      All clearing members with positions in the S&P 500 products will have both core and reserve performance bond requirements and may be subject to concentration performance bond requirement. Clearing members are not required to participate in the Stock Program or to make any other changes in their collateral on deposit to satisfy their reserve and concentration performance bond requirement.
      CME has selected the Depository Trust & Clearing Corporation (DTCC) as the depository for the Stock Program. In order to participate in the program, clearing members must have an account at DTCC. For those firms familiar with the DTCC system, the CME’s account has “Repo” status.
      Clearing members with an account at DTCC can originate free pledges of securities to the CME account or request the release of pledged securities from the account at the CME. CME staff has direct access to DTCC’s system to view clearing member pledges and approve release requests. Release transactions are not finalized until CME has approved the transactions. Clearing members have the opportunity to pledge securities in the morning to facilitate the release of a.m. cash calls at the intra-day performance bond cycle, or to request the release of pledged securities. The deadline for morning transactions is 10:30 a.m. CST. Clearing members have an additional opportunity to pledge securities in anticipation of increases in their overnight performance bond requirements until approximately 1:30 p.m. CST.
      The eligible stocks for the Stock Program include a subset of the stocks in the S&P 500. On a quarterly basis, CME will review the daily volume statistics for the S&P 500 stocks over the prior calendar quarter. The guidelines of the stock qualification process are enumerated below:
      1)     All stocks, which are for parent or affiliate companies of any clearing member, will be automatically excluded from participation in the program. Such stocks will be designated with an eligibility code of “P,” a V Rating of 0 and allowable maximum shares of 0 on the Official Stock Pledge Table.
      2)     All stocks, which had daily trading volume of fewer than 100,000 shares per day on two-thirds of the days in the preceding quarter, will be excluded from that quarter’s Stock Program and designated with a V Rating of 8 and allowable maximum shares of 0 on the Official Stock Pledge Table.
      3)     All stocks which had daily trading volume ranging from 100,000 - 199,999 shares per day on two-thirds of the days in the preceding quarter will be accepted in the Stock Program with a limit on the number of shares accepted in any single clearing member origin of 50,000 shares and designated with a V Rating of 7 on the Official Stock Pledge Table.
      4)     All stocks which had daily trading volume ranging from 200,000 - 499,999 shares per day on two-thirds of the days in the preceding quarter will be accepted in the Stock Program with a limit on the number of shares accepted in any single clearing member origin of 100,000 shares and designated with a V Rating of 6 on the Official Stock Pledge Table.
      5)     All stocks which had daily trading volume ranging from 500,000 - 999,999 shares per day on two-thirds of the days in the preceding quarter will be accepted in the Stock Program with a limit on the number of shares accepted in any single clearing member origin of 250,000 shares and designated with a V Rating of 5 on the Official Stock Pledge Table.
      6)     All stocks which had daily trading volume ranging from 1,000,000 – 1,999,999 shares per day on two-thirds of the days in the preceding quarter will be accepted in the Stock Program with a limit on the number of shares accepted in any single clearing member origin of 500,000 shares and designated with a V Rating of 4 on the Official Stock Pledge Table.
      7)     All stocks which had daily trading volume ranging from 2,000,000 – 4,999,999 shares per day on two-thirds of the days in the preceding quarter will be accepted in the Stock Program with a limit on the number of shares accepted in any single clearing member origin of 1,000,000 shares and designated with a V Rating of 3 on the Official Stock Pledge Table.
      8)     All stocks which had daily trading volume ranging from 5,000,000 – 9,999,999 shares per day on two-thirds of the days in the preceding quarter will be accepted in the Stock Program with a limit on the number of shares accepted in any single clearing member origin of 2,500,000 shares and designated with a V Rating of 2 on the Official Stock Pledge Table.
      9)     All stocks which had daily trading volume in excess of 10,000,000 shares per day on two-thirds of the days in the preceding quarter will be accepted in the Stock Program with a limit on the number of shares accepted in any single clearing member origin of 5,000,000 shares and designated with a V Rating of 1 on the Official Stock Pledge Table.
      10) Any stock whose last closing price was less than $10 per share on the last business day of a calendar quarter will be excluded from the program for the entire quarter and then re-evaluated at the end of that quarter. Such stocks will be designated with an eligibility code of “PR,” a V Rating of 0 and maximum allowable shares of 0 on the Official Stock Pledge Table.
      11) Clearing members’ stock pledges will be valued at no more than 70% of market value. Stocks pledged to the CME will be priced at least on a daily basis.
      12) The performance bond value of stocks pledged to CME will be computed as the lesser of the number of shares on deposit multiplied by the closing price per share multiplied by 70%, or the maximum number of shares eligible to participate in the Stock Program for that stock multiplied by the closing price per share for that stock multiplied by 70%. If a clearing member has shares pledged to CME in excess of the maximum number of shares allowable for a given stock, the excess shares will receive zero performance bond value. Shares held at zero performance bond value are not included in CME’s computations of a clearing member’s excess collateral, and the clearing member may request the release of such shares regardless of its remaining collateral excess position.
      13) The list of eligible stocks will be made available to clearing members. The list will change quarterly or more frequently due to changes in the composition of the S&P 500 index or changes in clearing member ownership.
       
      If you need further information about the Stock Program please contact the Financial Unit at (312) 207-2594.
      An updated specification for clearing and bookkeeping processing for cleared forwards is now available on the clearing section of the CME Group website. The link is:
       
       
      The document provides functional specifications for processing for forwards:
      ·         For gold, wet freight and FX products
      ·         With either cash or collateralized mark-to-market processing
      ·         For FX forwards, with either normal or “inverse” mark-to-market calculations
      ·         Either physically-deliverable or cash-settled
      ·         With Price Alignment Interest (PAI) for forwards with cash mark-to-market
       
      It also provides technical details of attribution for forwards in FIXML product reference files, settlement price files, trade confirmation messages, and trade register files.
      For further information please contact CME Clearing at 312-207-2525.
       
      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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