• CME Clearing Notice: July 16, 2012

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 12-302
      • Notice Date
      • 20 July 2012
      • Effective Date
      • 20 July 2012
    • Topics in this issue include:
      ·         CDS Guaranty Fund Change
      ·         Contact Information
      Critical System Updates
      CME Clearing will be releasing a new version of PC-SPAN which will be made available beginning Sunday, July 15th. The new version (4.5.555) includes the following:
             HVaR OTC FX related fixes
             Minor bug fixes
             Reporting changes
      This version is required for correct OTC FX margin calculations. The new version is not required for other products.
      Please contact the CME Clearing Risk Hotline at clearing.riskmanagement@cmegroup.com. or 312.648.3888 if you have further questions
      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.
      CME Globex Code
      CME ClearPort Code
      Delisted Contracts
      Daily European Union Allowance (EUA) Futures
      Through contract day September 28, 2012
      In Delivery Month (IDM) EUA Futures
      Contract month September 2012
      Daily European Union Allowance (EUA) Futures
      Through contract day September 28, 2012
      IDM EUA Options
      Contract month September 2012
      IDM CER Options
      Contract month September 2012
      Emission Reduction Unit (ERU) Futures
      Contract month September 2012
      ERU Options
      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

      Compliance Officer
      Nicholas Galati
      Tel: +1 212 299 2569
      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.
      CME Clearing’s performance bond requirements consist of two amounts: the core performance bond requirement and the concentration performance bond requirements. Concentration performance bond requirements are set from time to time and are equal to that portion of the total performance bond requirement, which may be met using concentration collateral. 
      Collateral accepted by CME Clearing will be categorized as noted below. 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 here 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.
      Effective Sunday, July 22 (trade date Monday, July 23), the listing cycle for the 4-Year Eurodollar Mid-Curve options will be expanded by adding the following serial months:
             August 2012
             October 2012
      The product code is:
      Clearing Ticker Symbol
      Clearing Code
      4-Year Eurodollar Mid-Curve Options
      As part of CME Clearing’s efforts to offer consistency across CME Clearing’s OTC offerings, CME Clearing has updated the end of day cutoff timelines as reflected in the table below in the New Release Environment. These changes are effective inNew Release immediately.
      CME Clearing plans to implement these changes in the Production Environment effective at end of day on August 13th, 2012. CME Clearing plans to release additional information related to this change in advance of the August 13th production date, including an updated CME Cleared OTC CDS Operational Timeline & Report List.
      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.
      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 the advisory notice reflecting the additional OTC FX Product Released beginning Monday, July 16.
      CME Group Contacts
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