• CME Clearing Notice: March 26, 2012

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      • Clearing Member Firms; Bookkeeping Managers
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      • CME Clearing
      • #
      • 12-140
      • Notice Date
      • 29 March 2012
      • Effective Date
      • 26 March 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 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
      In response to requests from the Clearing community, the schedule for FEC+ has been amended. Below is the deployment schedule for FECPlus for the remainder of the year:
      • Testing for the FPL-compliant FIXML 5.0 API for ALL post-trade processing, including give-ups, average-priced give-ups, and cross-exchange allocations, is currently available in New Release. This includes both outbound and inbound messaging capabilities. FECPlus in New Release will be used to manage all post-trade processing transactions. The existing FIXML 4.4 API will no longer function for any post-trade processing in New Release.
      • Thursday, May 3, 2012: Testing for the migration of ClearPort trades to FECPlus will begin in New Release. With this change, all ClearPort trades, including CDS and OTCFX, will no longer be posted to existing FEC in New Release. There will be NO API messaging changes for these trades.
      • Monday, June 4, 2012: Production launch date for migration of ClearPort trades, including CDS, to FECPlus.
      • Monday, June 11, 2012: Production launch date for CMECE for ALL post-trade processing, including give-ups, average-priced give-ups, and cross-exchange allocations using the FPL-compliant FIXML 5.0 API.
      • Monday, July 30, 2012: Production launch date for CME/CBT/NYMEX/COMEX for ALL post-trade processing, including give-ups, average-priced give-ups, and cross-exchange allocations using the FPL-compliant FIXML 5.0 API.
      • Q3 2012: Electronic Trades will be migrated to FECPlus. Specific dates will be disseminated as they become available.
      If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.
       
      Effective Sunday, April 15, 2012, for trade date Monday, April 16, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will reduce the minimum price fluctuation for the natural gas contracts, listed in the table below, from $0.0025 per MMBtu to $0.0001 per MMBtu.
      The Exchange shall provide notification to the Commodity Futures Trading Commission of the amendments to the respective “Products and Fluctuations” rules for these contracts, in order to reflect the reduction of the minimum price fluctuation, within one week following the effective date of this change.
      Contract Name
      Code
      Henry Hub Natural Gas Index (Platts Gas Daily / Platts IFERC) Futures
      IN
      Texas Eastern, WLA Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      C2
      Tennessee 800 Leg Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      L4
      Tennessee 500 Leg Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Y7
      Dominion Natural Gas Index Swap (Platt Gas Daily/Platts IFERC) Futures
      IH
      Florida Gas Zone 3 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Q9
      Columbia Gulf, Mainline Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      L2
      NGPL STX Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      N6
      Southern Natural, Louisiana Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      M8
      Transco Zone 4 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      B2
      Algonquin City-Gates Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      N7
      CenterPoint Natural Gas Index Swap (Platts Gas Daily / Platts IFERC) Futures
      II
      Permian Natural Gas Index (Platts Gas Daily / Platts IFERC) Futures
      IL
      Demarc Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      DI
      MichCon Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Y8
      NGPL TexOk Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      OI
      Waha Natural Gas Index (Platts Gas Daily / Platts IFERC) Futures
      IY
      Tennessee Zone 0 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Q4
      Ventura Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      VI
      PG&E Citygate Natural Gas Index Swap (Platts Gas Daily/IFERC) Futures
      IK
      OneOk, Oklahoma Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      C7
      NGPL Mid-Con Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      IW
      Dawn Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      IO
      ANR Okahoma Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      IQ
      ANR, Louisiana Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      M6
      TETCO M-3 Natural Gas Index Swap (Platt Gas Daily/Platts IFERC) Futures
      IX
      TCO Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Q1
      SoCal Natural Gas Index Swap (Platt Gas Daily/IFERC) Futures
      IF
      SoCal City-Gate Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      N5
      Transco, Zone 6 Natural Gas Index Swap (Platt Gas Daily/Platts IFERC) Futures
      IT
      Panhandle Natural Gas Index (Platts Gas Daily / Platts IFERC) Futures
      IV
      CIG Rockies Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Z8
      Malin Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      V8
      Florida Gas, Zone 2 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      C3
      Chicago Natural Gas Index (Platts Gas Daily / IFERC) Futures
      IS
      Transco Zone 1 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      C4
      Texas Eastern, ELA Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      M9
      TETCO STX Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Q2
      Texas Gas, Zone SL Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      S7
      Texas Gas Zone 1 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      N4
      San Juan Natural Gas Index Swap (Platt Gas Daily/Platts IFERC) Futures
      IJ
      Rockies Natural Gas Index Swap (Platt Gas Daily/Platts IFERC) Futures
      IR
      Sumas Natural Gas Index Swap (Platt Gas Daily/Platts IFERC) Futures
      IU
      Southern Star, Tx.-Okla.-Kan. Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      C9
      Questar Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      N8
      Trunkline ELA Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      M7
      Transco Zone 3 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      Y6
      Transco Zone 2 Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      L7
      Houston Ship Channel Natural Gas Index Swap (Platts Gas Daily / Platts IFERC) Futures
      IP
      Columbia Gulf, Louisiana Natural Gas Index Swap (Platts Gas Daily/Platts IFERC) Futures
      S9
       
      Please refer questions on this subject to:
      Research and Product Development
      Brad Leach
      (212) 299-2609
      Adila Mchich
      (212) 299-2270
       
      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 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 Software Developent Kit (Core Functionality and Message Specification) for the RMI API is available online.
      The WebHelp that details how to use the RMI GUI is also 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.
      Please note effective Friday, March 23rd, 2012 EREP will implement an enhancement that will allow firm users the option to restrict reports from appearing that contain no data. 
      • Deployment is scheduled for 4:15 p.m.
       
      • EREP will be down for 5 to 10 minutes during the deployment
       
      • EREP will default to display all reports if the user does not check the box to “Show Only Reports With Data” on the “Search Report” page
       
      • If the user would like to restrict the reports which appear they will need to click the check box during each session to prevent reports from appearing with no data
       
      If there are any questions, please contact CCS at (312) 207-2525 or via email at ccs@cmegroup.com
       

       

      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
      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
      Please note that on Good Friday CME Clearing will run a normal clearing processing day for CME, CBOT, NYMEX, COMEX and DME exchanges. 
      Below are highlights of Good Friday clearing processes:
      Clearing will run and Intraday and End of Day cycles on their regular timeframes for CME, CBOT, NYMEX, COMEX and DME exchanges.
      Firms are expected to submit their PCS and Large Trader file at their scheduled times.
      Clearing reports and data files will be available.
      Good Friday is NOT a valid Delivery processing day. There will be NO Delivery processing for CME, CBOT, NYMEX, COMEX or DME Products.
      Firms can submit option exercise and assignments at their normal times for Interest Rates products only.
      There will be NO Exercise or Assignment for NYMEX or COMEX products.
      Final erosion for the April 5 PJM contract will be completed on Friday, April 6. 
      OTC CDS and OTC IRS will trade and clear on Good Friday per normal.
       
      Links to holiday trading schedules:
      On Thursday, April 5, 2012 Clearing and banking schedules remain unchanged.
      The April 2012 FX serial options, Weekly EOM options and Live Cattle options will expire on Thursday, April 5, 2012. Clearing will hold a walk-in out-trade session beginning at 3:00 p.m. 
      Please be reminded that “contrary instructions” not to exercise in-the-money options or to exercise out-of-the-money options DO NOT APPLY to FX options.
      The out-trade reconciliation print times and final reconciliation deadlines will adhere to their normal schedules. Early/final SPAN and price settlement files will be available at its normal time on Thursday, April 5, 2012.
       
      On Friday, April 6, 2012:
      IMPORTANT: The April 2012 Week 1 Mid-curve and 1yr Mid-curve options will expire on Friday, April 6, 2012. Clearing will hold a call-in out-trade session beginning at Noon. 
      For settlement purposes, all CME and CBOT agricultural, Weather and Equity products will be marked to their prior settlement prices from Thursday, April 5, 2012. Similarly, all NYMEX, COMEX and DME products will be marked to their prior day settlement prices.
      Final erosion for the April 5 PJM contract will be completed on Friday, 4/6. 
      CME interest rate and currencies, as well as CBOT financials will be settled according to normal settlement procedures. CME Group reserves the right to re-settle market prices in the event of extreme market movement.
      A.         BANKING AND SPAN CYCLES
      The intra-day and end-of-day banking and settlement cycles will occur at their normal times on Thursday, April 5, 2012 and Friday, April 6, 2012. 
      SVIEF settlement elections for the RTH cycle on Thursday, April 5, 2012, will be set to “zero” for all firms. SVIEF settlement elections will also be set to “zero” for all firms for the ITD cycle on Friday, April 6, 2012. Clearing firm SVIEF settlement elections will be automatically reset by the CME Clearing for the RTH settlement cycle on Friday, April 6, 2012.
      Settlement variation and performance bond cash call/release amounts resulting from the Thursday, April 5th RTH settlement cycle will be confirmed by settlement banks by 7:30 a.m. on Friday, April 6, 2012. Settlement banks will also process cash flows resulting from Thursday’s RTH settlement cycle on Friday, April 6, 2012.
      B.         DEPOSITS OF PERFORMANCE BOND COLLATERAL
      All schedules remain unchanged for Friday, April 6, 2012. Moneychanger processing is to be determined.
       
      C.        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:
       
      Swiss franc, Australian dollar, New Zealand dollar, Swedish krona, Norwegian krone, & Turkish lira
      Trade Date                                                        Value Date
      Wednesday, April 4, 2012                                  Thursday, April 5, 2012
      Thursday, April 5, 2012                                      Tuesday, April 10, 2012
      Friday, April 6, 2012                                           Tuesday, April 10, 2012
       
      Japanese Yen
      Trade Date                                                        Value Date
      Wednesday, April 4, 2012                                  Thursday, April 5, 2012
      Thursday, April 5, 2012                                      Friday, April 6, 2012
      Friday, April 6, 2012                                          Monday, April 9, 2012
       
      Canadian dollar & Mexican peso
      Trade Date                                                        Value Date
      Wednesday, April 4, 2012                                  Wednesday, April 4, 2012
      Thursday, April 5, 2012                                      Thursday, April 5, 2012
      Friday, April 6, 2012                                          Monday, April 9, 2012
       
      Euro & British Pound
      Trade Date                                                        Value Date
      Wednesday, April 4, 2012                                  Wednesday, April 4, 2012
      Thursday, April 5, 2012                                      Thursday, April 5, 2012
      Friday, April 6, 2012                                          Tuesday, April 10, 2012
       
      D.        FOREIGN CURRENCY SETTLEMENT VARIATION
      Please note the following value dates for foreign currency settlement variation.
                             
      Swiss franc, Australian dollar, New Zealand dollar, Swedish krona, Norwegian krone, & Turkish lira
      Business Date                                                      Value Date
      Wednesday, April 4, 2012                                  Tuesday, April 10, 2012
      Thursday, April 5, 2012                                      Tuesday, April 10, 2012
      Friday, April 6, 2012                                          Tuesday, April 10, 2012
                             
      Japanese Yen
      Business Date                                                   Value Date
      Wednesday, April 4, 2012                                  Friday, April 6, 2012     
      Thursday, April 5, 2012                                      Monday, April 9, 2012
      Friday, April 6, 2012                                          Tuesday, April 10, 2012
       
      Canadian dollar & Mexican peso
      Business Date                                                   Value Date
      Wednesday, April 4, 2012                                  Thursday, April 5, 2012
      Thursday, April 5, 2012                                      Monday, April 9, 2012
      Friday, April 6, 2012                                          Monday, April 9, 2012
       
      Euro & British Pound
      Business Date                                                   Value Date
      Wednesday, April 4, 2012                                  Tuesday, April 10, 2012
      Thursday, April 5, 2012                                      Tuesday, April 10, 2012
      Friday, April 6, 2012                                          Tuesday, April 10, 2012
       
      E.        A.M. SETTLEMENT CONFIRMATIONS
      Your settlement bank will provide an a.m. settlement confirmation for both U.S. dollars and foreign currency transactions on Friday, April 6, 2012 by 7:30 a.m. Chicago time. Payment for U.S. dollar settlement transactions from RTH cycle of Thursday, April 5, 2012, will also occur on Friday, April 6, 2012.
      F.         INTEREST EARNING FACILITY 2 (IEF2)
      Please note the following deadlines for IEF2 processing:
       
      Deadlines for Funds                                         4/5/12                           4/6/12
      *BlackRock                                                                         2:30 p.m.                               TBD       
      Cash Funds: Prime                                                                           
      FedFund
      TempCash
      TempFund
       
      *Dreyfus                                                                               2:30 p.m.                              TBD
      Institutional Cash Advantage                                                             
      Treasury & Agency Cash Mgmt
       
      *DWS                                                                                     2:30 p.m.                              TBD       
      Gov Cash                                                                             
      Money Market Series
       
      Federated                                                                             2:30 p.m.                               TBD
      Prime Obligations Fund                    
       
      FFI                                                                                          2:30 p.m.                               TBD       
      Select Institutional Fund    
       
      *Goldman Sachs                                                                                2:30 p.m.                               TBD
      Fin Square Money Market Fund                                                      
      Financial Square Prime Obligations Fund
       
      *HSBC                                                                                   2:30 p.m.                               TBD       
      Government                                                                                        
      Money Market                                                                     
       
      *JPMorgan                                                                           2:30 p.m.                               TBD
      Liquid Assets Money Market                            
      Prime Money Market
       
      *Morgan Stanley                                                                 2:30 p.m.                               TBD
      Institutional Liquidity Gov Portfolio                                                                                 
      Institutional Liquidity Prime Portfolio
       
      RBC                                                                                       2:30 p.m.                               TBD
      Prime Money Market
       
      SSgA                                                                                      2:30 p.m.                               TBD
      Prime Money Market Portfolio
       
      Wells Fargo                                                                          2:30 p.m.                               TBD       
       Advantage Heritage Money Market Fund                                     
       
      *Same closing time for all funds unless otherwise noted.
      **Fund closing times are subject to change.
       
      G.         INTEREST EARNING FACILITY 3; 4; 5 (IEF3/IEF4/IEF5)
      IEF3/IEF4/IEF5 processing will follow normal banking schedules for Thursday, April 5th and will be closing at 9:00a.m.on Friday, April 6th.
       
      H.        INTER-EXCHANGE PROCESSING
      There will be AM and PM Inter-Exchange processing cycles on both Thursday, April 5th and Friday, April 6th. For any related issues, please call (312) 207-2525.
       
      CME Clearing will expand its Credit Default Swap product offering to include the CDX North American High Yield Index Series 18 (CDXHY18) in 5year tenor.  The production launch date is scheduled for Tuesday, March 27, 2012.  
       
      Series 18 has the following Reference Entity changes from Series 17:
       
      Constituent Additions (Preliminary)
      ·         Sealed Air Corporation
      ·         Pactiv Corporation
      ·         Norbord Inc.
      ·         PHH Corporation
      ·         United States Steel Corporation
      ·         Deluxe Corporation
      ·         Kinder Morgan, Inc
       
      Constituent Removals (Preliminary)
      ·         Eastman Kodak Company
      ·         The PMI Group, Inc.
      ·         Dynegy Holdings LLC
      ·         Starwood Hotels & Resorts Worldwide, Inc.
      ·         Textron Financial Corporation
      ·         El Paso Corporation
      ·         Kinder Morgan Kansas

      Please note that the Reference Entity changes above are conditional and can be changed by Markit through Monday, March 26th. 
       
      Below is the full set of  CDX North American High Yield Series with corresponding clearing codes available to clear at CME Clearing (available in the 5 year tenor, only):
       
      ·         Series 11V20 (CDXHY11V20.SR.XR.USD) - CY11VT   
      ·         Series 12V11 (CDXHY12V11.SR.XR.USD) - CY12VK
      ·         Series 13V5 (CDXHY13V5.SR.XR.USD) - CY13V5
      ·         Series 14V4 (CDXHY14V4.SR.XR.USD) - CY14V4
      ·         Series 15V4 (CDXHY15V4.SR.XR.USD) - CY15V4
      ·         Series 16V4 (CDXHY16V4.SR.XR.USD) - CY16V4
      ·         Series 17V4 (CDXHY17V4.SR.XR.USD) - CY17V4
      ·         Series 18 (CDXHY18.SR.XR.USD) - CY18 - NEW
         
      Participants that wish to test before launch may do so in CME Clearing’s New Release (UAT) environment beginning Friday, March 23.   Please keep in mind that CME Clearing will be using mock settlement prices for the Series 18 Index in New Release on March 23 and 26th.  Production settlement prices will be applied to the Index in the New Release environment beginning March 27.
       
      Should you have questions, please contact the CME Client Services Team at Onboarding@cmegroup.com or by telephone at 312-338-7112.
       
      As per the normal review of acceptable collateral and limits, CME Clearing is making the below changes regarding expansion and diversification requirements of collateral composition used by clearing member firms to meet performance bond requirements.
      Collateral accepted by CME Clearing will be categorized as noted below. Effective with the RTH cycle on Friday, April 13, 2012, clearing member firms are permitted to meet a maximum of 40% core performance bond requirements with each of Category 2 and Category 3 assets. Also, Category 3 assets have a hard dollar limit of $3 billion per clearing member firm across settlement accounts. Category 1 assets have no requirement type limits. Please refer to the website link below for details on individual asset type limits and product class restrictions.
      Clearing member firms that do not use assets in Category 3 should contact the Financial Unit for utilization of assets in Category 2 according to a 40% limit for U.S. Government Agencies, Mortgage Backed Securities, and TLGP, as well as a 40% limit for IEF5 and Letters of Credit.
      Additionally, CME Clearing will no longer differentiate utilization of assets for reserve performance bond requirements. The core performance bond requirement will envelope requirements previously categorized as reserve performance bond requirements. The reserve requirement will be phased out beginning with the RTH on Friday, April 13, 2012. There is no change to CME Clearing’s policy for concentration performance bond requirements. Each clearing member firm will be subject to core performance bond requirements and concentration performance bond requirements as applicable.
      Category 1 Assets:
      • U.S. Cash
      ·         U.S. Treasuries
      ·         IEF2 Money Market Fund Program (limits and diversification requirements within IEF2 program remain in effect)
      Category 2 Assets:
      ·         U.S. Government Agencies
      ·         Select Mortgage Backed Securities
      ·         TLGP
      ·         IEF5 Specialized Cash Program
      ·         Letters of Credit
      Category 3 Assets*:
      ·         Physical Gold
      ·         Select U.S. Equities from the S&P 500
      ·         IEF4 Specialized Collateral Program**
      ·         Select Foreign Sovereign Debt - Canada, France, Germany, Sweden, UK
       
      Please call CME Clearing for availability of Foreign Cash deposits. 
      *Note: The maximum allowable limit for utilization of Category 3 Assets will be the lesser of a) 40 % of core margin requirements and concentration requirements per origin and asset account or b) $3 billion per Clearing Member Firm across all settlement accounts.
      **Note: Although CME Clearing is operationally ready to support the new IEF4 collateral acceptance structure, final legal documentation with custodians is pending.
      Please refer to the website http://www.cmegroup.com/clearing/financial-and-collateral-management/ for further detail regarding acceptable collateral, haircuts, and limits. For questions about requirements, please call Risk Management hotline at 312-634-3888 and questions about collateral can be directed to the Financial Unit hotline at 312-207-2594.
      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.
      Effective Monday May 7, 2012, the CFTC is requiring the use of “initial to maintenance ratios” for non-hedge customer positions in cleared swaps. These will work in a manner exactly analogous to the way they have long worked for futures.
       
      So for example, suppose a non-hedge (“spec”) customer holds positions at your FCM in CME’s cleared interest-rate swaps, and the minimum initial margin (“performance bond”) requirement for that customer is calculated by CME Clearing as $1,000,000. Suppose further that the initial to maintenance ratio for IRS is set by CME Clearing as 1.10.
       
      This means that the “maintenance” requirement level that you must assess for the customer is $1,000,000 and the “initial” requirement level is $1,100,000. (1.10 times the maintenance level.)
       
      On the first day that the non-hedge customer holds CME-cleared IRS positions at your FCM, the higher “initial” requirement level applies. Thereafter, as long as the customer has enough collateral on deposit to meet the lower “maintenance” requirement, no margin call need be issued. But if on any particular day the customer’s collateral level falls below the maintenance level, then the higher “initial” requirement level applies, and the customer must deposit collateral to come back up to that higher level.
       
      Exactly as with any other parameter of the margin calculation process, CME Clearing will publish advisory notices detailing what the initial to maintenance ratios will be for each swaps asset class.
       
      Every night, CME Clearing provides FCM’s with datafiles showing the margin requirement levels for each customer’s portfolio. These datafiles have now been enhanced to show both the maintenance and the initial requirement levels. For record layouts, please see:
       
      Note that the datafiles will show the higher initial requirement level for all accounts, since CME Clearing will not know which accounts are hedge and which are not. If the account is not hedge, the firm must read and use both the maintenance and initial requirement levels, and apply the normal logic to determine which requirement level applies and whether a deficit exists. If the account is hedge, then you need to read only the maintenance requirement level.
       
      If you wish to calculate the requirement levels yourself, the initial to maintenance ratios are published in machine-readable form in the various risk parameter files.
      In the New Release testing environment, the change will take effect for interest-rate swaps on Wednesday, April 18. For CDS and FX, the change will be made in New Release on Friday April 6. And again, as noted above, the change takes effect in production for all swap products on Monday, May 7.
       
      For more information, please contact CME Clearing at 312-648-3888.
       
      Technical Details For CDS and FX:
       
      The initial to maintenance ratio is on the OVPT combined commodity in the end-of-day CDS risk parameter files available on the Firm FTP Server in the pub/cmd/cmf directory. For example, the file cds.risk.cmf.20120320.s.xml.zip contains the CDS risk parameter file for March 20. A corresponding New Release file would be in pub/cmd and is named cds.nr.risk.20120320.s.xml.zip.
       
      To find the ratio, search for the ccDef element further containing the element <cc>OVPT</cc>. The initial to maintenance ratio can then be read from the <adjRate> element with rate ID 5 and base rate 2. For example:
      <adjRate>
      <r>5</r>
      <baseR>2</baseR>
      <val>1.100000</val>
      </adjRate>
       
      For FX, the process is exactly analogous, except that there is a combined commodity, and hence an initial to maintenance ratio, for each currency pair. The files will be in the pub/span/fx directory. The production file for March 20 would be named cme.fx.risk.20120320.s.xml.zip, and the corresponding New Release file would be named cme.fx.NR.risk.20120320.s.xml.zip.
       
      For IRS:
      The risk parameter files are located on the Firm FTP Server in the pub/irs directory. The initial to maintenance ratios are provided in the file IRS_IM_Ratio.csv. The corresponding New Release file would be IRS_IM_Ratio.NR.csv. The data is provided by currency of denomination of the swaps. For example:
      CO,Prod_Type,Cur,IM_Ratio
      CME,IRS,CAD,1.10
      CME,IRS,CHF,1.10
      CME,IRS,EUR,1.10
      CME,IRS,GBP,1.10
      CME,IRS,JPY,1.10
      CME,IRS,USD,1.10
       
      NEW PRODUCT: NY ULSD (Argus) vs. Heating Oil Spread Balmo Swap Futures
      This link provides the advisory notice reflecting the contract specifications for this new contract.
      NEW PRODUCT: MGEX-CBOT Wheat Spread Options
      This link provides the advisory notice reflecting the contract specifications for this new contract.
      NEW PRODUCT: Freight Route TC6 (Baltic) Swap Futures
      This link provides the advisory notice reflecting the contract specifications for this new contract.

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