• CME Clearing Notice: Monday, May 28, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-229
      • Notice Date
      • 28 May 2012
      • Effective Date
      • 28 May 2012
    • Topics in this issue include:
      ·         UK Government Securities
      *      Deliveries
      ·         Contact Information
      Please be advised that effective immediately CME Clearing (CME) will now use Crest as the settlement platform for UK government securities. Crest is the local settlement platform in the UK for trading and settlement of UK government securities. Please contact CME Clearing at the contact information listed below for Crest delivery instructions.
      The following table depicts acceptable foreign sovereign debt at CME Clearing and the relevant settlement platform:
      Canadian Depository system (CDS)
      Euroclear Brussels
      Euroclear Brussels
      Bank of Japan
      Euroclear Brussels
      Additionally, please be advised that SAME DAY settlement of UK government securities must be entered into the Asset Management system prior to 8:00 a.m. Central Time. Otherwise, please enter the next business day (in both countries) for the relevant settlement date.
      CME Clearing has updated its foreign sovereign debt standard settlement instruction forms for member firms to provide their delivery instructions. If you previously had instructions on file for UK government securities at Euroclear, you will need to fill out the relevant form for Crest and fax or email the form to CME Clearing.
      Please visit the CME Group website for the form and to find more information on acceptable collateral. For additional inquiries with regards to acceptable foreign sovereign debt, please contact CME Clearing:
      Fax: 312-930-3187
      Phone: 312-207-2594
      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.
      On Saturday June 2nd, CME ClearPort will be shifting from the current RAV (Risk Account Value) algorithm to SPAN (Standard Portfolio Analysis of Risk) as the algorithm used to calculate credit usage in RAV Manager for ClearPort trades. This change will become effective at the Sunday evening ClearPort open on June 3rd. 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. For example, in the current RAV calculation, an outright future is charged at 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 inter commodity spread rates are defined in the current RAV calculation. The SPAN algorithm takes into account both intra commodity 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.
      Please be advised that CME Clearing will introduce the banking of daily price alignment interest (PAI) for credit default swaps in the production (live) environment on Monday, June 11, 2012.
      This means that at end of day Monday, June 11, 2012, CME Clearing will calculate price alignment interest on all open CDS positions in production for settlement the morning of Tuesday, June 12, 2012.
      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.
      Please be advised that CME Clearing is updating CDS margin related parameters in the New Release Environment. Effective May 31, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be set to 7 for Consumer Goods Single Names and 5 for Consumer Services Single Names in the New Release Environment. Only portfolios that contain Consumer Goods or Consumer Services Single Names will be impacted by the DST change. Additionally, the Curve parameter for all Single Names will change to 1.5.
      Contact the CME Client Services Group at onboarding@cmegroup.com if you have any questions.
      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 June 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      The European Commission has announced the full activation of the EU Emissions Trading Scheme single registry and migration of thousands of EU ETS accounts from national registries into the new Union Registry. The Union Registry transition period is scheduled for June 3, 2012 through June 20, 2012. During this time, the operation of national registries and the Union Registry will be suspended and account holders will not be able to access registry accounts - including allowances held in these accounts; transfers will not be allowed through the registry(ies). Consequently, deliveries of certain Green Exchange LLC (GreenX) products will be affected during the Union Registry transition period. As a result, effective immediately, GreenX is delisting certain contract days and contract months in accordance with the table below.
      This 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.
      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.com
      CME 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.
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