• CME Clearing Notice: June 4, 2012

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      • Clearing Member Firms; Back Office Managers
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      • CME Clearing
      • #
      • 12-239
      • Notice Date
      • 07 June 2012
      • Effective Date
      • 04 June 2012
    • Topics in this issue include:
      *      Deliveries
      ·         Contact Information
      Effective Trade Date June 4, 2012 CME Group will be decreasing minimum fluctuation and increasing Decimal Precision on the following Dow Jones Commodity Index products.
      Decimal Precision
      Minimum Fluctuation
      Cleared OTC Dow Jones-UBS Commodity Index Swap
      From .001 To .0001
      From .001 To .0001
      Dow Jones-UBS Commodity Index 2 Month Forward
      From .001 To .0001
      From .001 To .0001
      Dow Jones-UBS Commodity Index 3 Month Forward
      From .001 To .0001
      From .001 To .0001
      CME Clearing will postpone several FECPlus implementation dates in order to allow time for additional testing. Following is the UPDATED deployment schedule for FECPlus in chronological Order:
      ·         Testing for ALL post-trade processing, including give-ups, average-priced give-ups, and cross-exchange allocations, using the FPL-compliant FIXML 5.0 API, is currently available in New Release.
      ·         Testing for the migration of CME ClearPort trades to FECPlus for CME Clearing Europe (CMECE) is currently available in the CMECE Certification Test Environment (CMECE CERT)NO API messaging changes for these trades.
      ·         Testing for the migration of CME ClearPort and other Trading Platform trades to FECPlus for CME/CBT/NYMEX/COMEX is currently available in the Certification Test Environment (CERT). NO API messaging changes for these trades.
      ·         Thursday, June 28, 2012: Testing for the migration of CDS and OTCFX trades to FECPlus will begin in New ReleaseNO API messaging changes for these trades.
      ·         Monday, July 2, 2012: Production launch date for migration of CME ClearPort trades to FECPlus for CMECE. NO API messaging changes.
      ·         Monday, July 30, 2012: Production launch date for migration of CME ClearPort and other Trading Platform trades to FECPlus for CME/CBT/NYMEX/COMEX, including CDS and OTCFX. NO API messaging changes.
      ·         Tentatively scheduled for Mid-July: 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. At least one month of test time will be provided prior to launch.
      ·         Tentatively scheduled for Late August: Production launch date for migration of ALL post-trade processing to FECPlus for CMECE using the FPL-compliant FIXML 5.0 API.
      ·         Tentatively scheduled for Early October: 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.
      If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.
      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.
      Beginning Thursday, May 31, 2012 Deliveries Plus will have new features and reports available for clearing member firms to test. Below is a list of features and reports available:
      Deliveries Plus
      • Functionality to support delivery of Black Sea Wheat contracts
        • Long Date reporting is not required for Black Sea Wheat
        • Ability for Buyer and Sellers to enter multiple intents by customer for multiple ports on one screen
        • Ability for Buyers to select a port preference on the buy side intent
        • Posting Report available in Deliveries Plus UI
      • Search Filter – Exchange dropdown placed first in search filters
      • New Reports
        • XDLV303 Demand Report
        • ZDLV520 Full Value Margin Reconciliation
      Clearing member firms wanting to test the delivery of Black Sea Wheat, please contact Deliveries at 312.930.3172.
      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.
      As previously announced, CME Group anticipates in the near future migrating all GreenX products to a CME Group exchange, delisting them from the Green Exchange and listing them on the NYMEX exchange. The date of this migration is dependent upon receipt of an order from the CFTC permitting such a migration.
      The sole impact of this change to clearing and bookkeeping systems is that the exchange acronym of the various products will change from GEX to NYMEX.  There are no product code changes, firm change or other impacts.  There will cease to be a separate Green Exchange settlement price file, and the daily SPAN files will no longer contain data for a separate Green Exchange.
      The change will be made effective in the New Release testing environment on June 18, and firms may begin testing their systems with this change at that time.  For more information please contact CME Clearing Operations at (312)-207-2525 or via email toccs@cmegroup.com.
      When Corn, Soybean, and Wheat calendar swaps were listed for clearing in 2009, expirations were listed as far out as their corresponding futures contracts were consecutively listed. The futures market listing cycle has expanded since that time. CME Group Research and BLM Staff recommend that CBOT agricultural calendar swap expirations be listed for clearing as far out as corresponding futures contracts are consecutively listed. For Corn, Soybean, and Wheat calendar swaps, this would be 34 consecutive expirations listed once per year.  
      The following products will have the expanded listings effective for Trade Date June 23, 2012:
      Clearing Ticker Symbol
      Clearing Code
      CBOT Soybean Calendar Swap
      CBOT Corn Calendar Swap
      CBOT Wheat Calendar Swap
      The Contract Specifications for these products are unchanged and can be located on the CME Group website.
      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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