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CME Clearing Notice: May 14, 2012
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- To
- Clearing Member Firms; Back Office Managers
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- From
- CME Clearing
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- #
- 12-208
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- Notice Date
- 17 May 2012
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- Effective Date
- 14 May 2012
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Topics in this issue include:Please be advised CME will be removing the 100,000 notional rounding for margin calculation of our CDS products in New Release. These changes will be taking place today with an effective date of Wednesday, May 16th 2012. CME CORE will also be modified and will have the 100k notional rounding removed for CDS products in New Release today. These changes will allow for true notional margin calculation in our NR environment as well as CME CORE.Effective Wednesday, May 16th, firms utilizing the CME ASP margin calculation service for New Release will now have to express positions in true notional quantities as opposed to units of 100,000. Similarly, for anyone currently using PC-SPAN to calculate New Release margin requirements, the position quantities used will need to switch to true notional as well.The production launch of this enhancement will be June 4th, 2012.Following is the UPDATED deployment schedule for FECPlus in chronological Order: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.Thursday, May 17, 2012: Testing for the migration of ClearPort trades to FECPlus for CME Clearing Europe (CMECE) will begin in the CMECE Certification Test Environment (CMECE CERT). NO API messaging changes for these trades.Wednesday, May 23, 2012: Testing for the migration of trades from ClearPort and other Trading Platforms to FECPlus for CME/CBT/NYMEX/COMEX will begin in the Certification Test Environment (CERT). NO API messaging changes for these trades.Thursday, May 24, 2012: Testing for the migration of CDS and OTCFX trades to FECPlus will begin in New Release. NO API messaging changes for these trades.Wednesday, June 6, 2012: Testing for the migration of ALL post-trade processing to FECPlus for CMECE will begin in CMECE CERT using the FPL-compliant FIXML 5.0 API.Monday, June 11, 2012: Production launch date for migration of trades from ClearPort to FECPlus for CMECE. NO API messaging changes.Monday, July 2, 2012: Production launch date for migration of trades from ClearPort and other Trading Platforms to FECPlus for CME/CBT/NYMEX/COMEX including CDS and OTCFX. NO API messaging changes.Monday, July 2, 2012: Production launch date for migration of ALL post-trade processing to FECPlus for CMECE using the FPL-compliant FIXML 5.0 API.Monday, July 30, 2012: Production launch date for migration of ALL post-trade processing, including give-ups, average-priced give-ups, and cross-exchange allocations to FECPlus for CME/CBT/NYMEX/COMEX using the FPL-compliant FIXML 5.0 API.Q3 2012: Migration of Electronic Trades to FECPlus. Specific dates and details will be disseminated as they become available.The effective date for CME ClearPort shifting from the current RAV (Risk Account Value) algorithm to SPAN (Standard Portfolio Analysis of Risk) as the algorithm used to calculate credit usage for CME ClearPort trades has changed from May 5, 2012 to June 2, 2012. SPAN calculates performance bond requirements by analyzing potential market scenarios and is the main margining tool employed by CME Clearing. There are some significant differences between the current RAV algorithm and the SPAN algorithm. In the current RAV calculation, an outright future is charged its maintenance margin rate while an option is calculated by taking the underlying future’s maintenance margin rate and multiplying it by the option’s delta. Intra-commodity spread rates are available; however, no intercommodity spread rates are defined in the current RAV calculation. The SPAN algorithm takes into account both intra-charges and inter-commodity spread rates as well as volatility, time to expiration and a variety of other factors with regard to calculating margins on options.Please note that at firm requests, we are adding a new field, the Trade Management Firm ID (also known as the TMF) to the Trade Register (POS591) report.The TMF can be thought of as the primary firm number used for managing trades posted to a specific position account for products of a particular exchange. The new field appears below the exchange on the left hand side of the report. For example: TMF: 123. This is the same value that is provided on the FIXML Trade Register report as party role 1.Note that only the print report is affected. The FIXML Trade Register file is not altered in any way.The new field is now present on the POS591 report available in the New Release testing environment, and available for viewing on the Enterprise Reporting Portal (EREP). It will be added to the production version of the report on Monday, June 11th.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.This link provides the relevant delivery dates for May 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.The ISDA Determinations Committee has determined that a Bankruptcy Credit Event occurred with respect to Residential Capital, LLC. See the following: <<< http://www.isda.org/credit/>>>. The Event Determination Date is May 14th, 2012 and the number of days that CME Clearing will use to calculate the coupon payment will be 56 days.Residential Capital, LLC is referenced in the following CME cleared CDX North American High Yield Indices:CDXHY11V20.SR.XR.USDCDXHY12V11.SR.XR.USDCDXHY13V5.SR.XR.USDCDXHY14V4.SR.XR.USDCDXHY15V4.SR.XR.USDCDXHY16V4.SR.XR.USDCDXHY17V4.SR.XR.USDCDXHY18.SR.XR.USDThe initial processing date for this credit event will be May 16th, 2012.Effective Sunday, May 20, 2012, for trade date Monday, May 21, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will reduce the minimum price fluctuation limit, from .01 to .001 and the DPL from 2 to 3, for twelve (12) petroleum swap futures contracts detailed in the advisory notice, listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.Effective for Monday, May 14, 2012, the minimum price fluctuation for CME S&P GSCI-ER cleared swaps will be decreased from 0.001 Index points to 0.0001 Index points and the Decimal Locator increased from 3 to 4. This change will apply to cleared swaps on S&P GSCI-ER Index, S&P GSCI Gold Excess Return Index, S&P GSCI Crude Oil Excess Return Index, S&P GSCI-ER Index 2 Month Forward and S&P GSCI-ER Index 3 Month Forward.CODE DESCRIPTIONSES - S&P GSCI-ER Index SwapsGDI - S&P GSCI Gold Excess Return Index SwapsGCO - S&P GSCI Crude Oil Excess Return Index SwapsSE2 - S&P GSCI-ER Index Swaps 2 Month ForwardSE3 - S&P GSCI-ER Index Swaps 3 Month ForwardThis advisory details new reporting requirements for FCMs stemming from certain CFTC regulations going into effect on November 8, 2012. There are two inter-related functional areas: Customer Gross Margining (CGM) and LSOC (Legally Segregated, Operationally Commingled). Customer Gross Margining will apply both to products which are under the futures regulatory regime and to products which are classified as cleared swaps for regulatory purposes. LSOC will apply only to cleared swaps customer accounts.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.At the request of Clearing Member Firms, we are extending the conversion deadline for WAN (Leased Line) connections from FTP to SFTP (secured FTP) until June 1st, 2012.Please reference Advisory Notice number 12-038 at this link for additional detail.Please be aware, firms that have not converted to the new SFTP IP address by June 1st, 2012 will incur a monthly maintenance fee to use the old FTP server. Updated notices will follow to outline fees.For further information e-mail SFTPConversion@cmegroup.comCME Group requested and received a 90-day extension for implementing margin changes announced yesterday in order to comply with CFTC Regulation 39.13(g)(8)(ii), as it applies to customers that are exchange members (member-customers) or omnibus accounts.During the extension period, CME Clearing will work with the CFTC to address member-customer concerns. Additionally, CME Group will keep member-customers informed during this period and provide adequate notice of any changes to margin requirements.With the extension, CME Clearing now will be required to enforce this rule as it applies to member-customers and omnibus accounts on August 5, 2012.This link provides the advisory notice reflecting the contract specifications for this new contract.This link provides the advisory notice reflecting the contract specifications for this new contract.This link provides the advisory notice reflecting the contract specifications for this new contract.CME Group Contactscmegroup.com InquiriesCustomer Service(800) 331-3332General InformationProducts & Services(312) 930-8213Clearing House(312) 207-2525CME Globex InformationCME Global Command Center(312) 456-2391Global Account ManagementU.S.(312) 634-8700Europe44 203 379 3754Asia65 6593 5574Performance Bond InformationRisk Management Dept.(312) 648-3888Position LimitsMarket Regulation(312) 341-7970Clearing FeesClearing Fee Hotline(312) 648-5470Risk ManagementRisk Management Hotline(312) 634-3888CollateralFinancial Unit Hotline(312) 207-2594DeliveriesDeliveries Unit(312) 930-3172Clearing Customer Service(312) 207-2525
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