• CME Clearing Notice: July 2, 2012

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      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-279
      • Notice Date
      • 05 July 2012
      • Effective Date
      • 02 July 2012

    • Topics in this issue include:
      *      Deliveries
      ·         NEW-CDS Guaranty Fund Change
      ·         Contact Information
       
      As previously stated in Clearing House Advisory 12-225, dated May 29, 2012, the European Commission announced the full activation of the EU Emissions Trading Scheme single registry and the Union Registry transition period for the migration of accounts from national registries into a Union Registry. The Union Registry transition period is scheduled for the period beginning June 3, 2012 through June 20, 2012.
      Although, the single registry is scheduled to be activated on June 20, the single registry will not contain all the required functionalities at that time. Transactions through the registry will be subject to a 26-hour delay. That delay will not be applicable to new account types (Trading Accounts) if they are included in a list of “trusted accounts”. According to the Union Registry, a full timetable will be communicated by July 15 with final date of implementation of delivery procedures scheduled for mid-September 2012.
      Effective immediately, GreenX will delist the September 2012 contract month for its EUA, CER and ERU contracts. In addition, the Daily EUA contracts will remain delisted through contract day September 28, 2012. The contracts which will be delisted in accordance with the table below have no open interest.
      Contract
      CME Globex Code
      CME ClearPort Code
      Delisted Contracts
      Daily European Union Allowance (EUA) Futures
      EUL
      EUL
      Through contract day September 28, 2012
      In Delivery Month (IDM) EUA Futures
      EAF
      6T
      Contract month September 2012
      Daily European Union Allowance (EUA) Futures
      EUL
      EUL
      Through contract day September 28, 2012
      IDM EUA Options
      EAX
      6U
      Contract month September 2012
      IDM CER Options
      CRY
      6P
      Contract month September 2012
      Emission Reduction Unit (ERU) Futures
      REU
      REU
      Contract month September 2012
      ERU Options
      ERO
      ERO
      Contract month September 2012
      These actions do not affect trading in any other futures or options products listed on CME Group.
      If there are any questions, please contact:
      Managing Director, Global Product Development
      Henrik Hasselknippe
      Tel: +44 20 7464 4182
      E-mail: henrik.hasselknippe@thegreenx.com

      Compliance Officer
      Nicholas Galati
      Tel: +1 212 299 2569
      E-mail:       nicholas.galati@thegreenx.com
       
      UPDATED: FECPlus Testing and Production Deployment Schedule
      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 Release. NO 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.
       
      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 July 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
       
      Effective Sunday, July 1, 2012, CME Clearing will remove the Exchange-For-Swap (EFS) identifier for all CBOT exchange futures executed in accordance with CME Rule 538 (“Exchange for Related Positions”). This change applies only to CBOT futures at this time. CME products were removed from EFS eligibility in October of 2010. CME Clearing will continue to support EFS transactions for NYMEX and COMEX products for the time being.
      The EFS transaction type has been harmonized into, and falls under, the Exchange for Risk (EFR) transaction referenced in Rule 538. EFR transactions are privately negotiated transactions (PNT) and include the simultaneous exchange of an Exchange futures position for a corresponding OTC swap or other OTC instrument. In addition, CBOT exchange products will continue to be eligible for Exchange for Physical (EFP) and Exchange of Options for Options (EOO) privately negotiated transactions. Please refer to Market Regulation Advisory RA1006-5 for additional information.
      In FIXML, an EFS transaction is represented as a TrdTyp=”12”. CME Clearing will reject any CBOT exchange privately negotiated futures message sent as an EFS beginning July 1, 2012. The trade will subsequently need to be resubmitted with a valid transaction type to CME Clearing.
      If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com or CME Market Regulation at (312) 930-3333.
       
      Effective Sunday, July 1, 2012, for trade date Monday, July 2, 2012, and pending all relevant CFTC regulatory review periods, the Commodity Exchange, Inc. (COMEX or Exchange) will amend its Short-Term Gold option contract (Chapter 1067, codes L01-L31) to exercise into the Gold futures contract. The contract is available for trading on CME Globex and the COMEX trading floor and for submission for clearing on CME ClearPort.
       
      For updated trading schedules during the holiday, please refer to the links below.
      Wednesday, July 4, 2012 is the Independence Day holiday, a US federal holiday. As such, it is quite typical of CME Clearing’s processing for most US federal holidays going forward:
      An ‘Exchange holiday’: 
      ·          The Chicago and New York trading floors are closed. 
      ·          CME Globex will open normally on Tuesday, July 3rd but will close at various times on Wednesday and then re-open on Wednesday at various times. Please check the CME Globex Fourth of July Holiday Schedule  above for specific times. Trades executed on CME Globex from Tuesday to 10:30am Wednesday will clear as of business day Thursday, July 5th.
      ·         CME ClearPort will be open as normal. CDS and OTC FX trades will clear as of business day Wednesday, and trades in other CME ClearPort products will clear as of business day Thursday, July 5th.
       
      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.
       
      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.
      The Commodity Futures Trading Commission (CFTC) recently adopted new Regulation 1.73, Clearing Futures Commission Merchant Risk Management, that imposes certain risk management obligations upon futures commission merchants (FCMs) and non-futures commission merchant (non-FCMs) (See, parallel CFTC Regulation 23.609) clearing members of CME Clearing.
       
      In conjunction with regular review of market volatility to ensure adequate collateral coverage, please find the current acceptable collateral and haircuts for CME Clearing below. CME Clearing reports the addition of Japanese Government Bonds for Futures, CDS, and IRS and Offshore Chinese Renminbi for Futures to the acceptable collateral list. Please see the table below for haircut information. Please see CME Clearing website for more details. http://www.cmegroup.com/clearing/financial-and-collateral-management/
       
      Should you have any questions, please contact the Risk Management department at 312-648-3888 or Financial
      Management group at 312-207-2594.
       
      CME Clearing has revised the methodology used to calculate each CDS Clearing Member’s contribution to the CDS Guaranty Fund. Effective immediately, CME Clearing will calculate each CDS Clearing Member’s CDS Guaranty Fund contribution using a thirty (30) day trailing average for the calculation.
      CDS Clearing Members’ CDS Guaranty Fund contribution amount using the thirty (30) day average will reflected in the next Guaranty Fund Calculation.
       
      This link provides updated 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.
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