Topics in this issue include:

      Critical System Updates

·         NEW: SFTP Connectivity Conversion Deadline – March 1st 2013

·         FECPlus FIXML 5.0 Production Deployment Schedule

·         SPAN Position File Converter Upgrade Available

·         Delisting of September 2012 Contract Months for Six Emissions Futures and Options Contracts and Contract Days through September 28, 2012 for the Daily Emission Contract

·         UPDATED: FECPlus FIXML 5.0 Production Deployment Schedule

      Deliveries

·         List of Live Cattle Stockyards and Slaughter Plants

·         CME Group Delivery Dates for September, 2012

·         NEW  REVISED: September 2012 Final Foreign Currency Settlement Prices

      Events & Announcements

·         NEW: Clearing Processing for USD Offshore Chinese Renminbi (CNH) Futures and E-Micro USD/Offshore Chinese Renminbi (MNH) Futures to Launch Sunday, November 18, 2012

·         5:1 Offset CBOT Mini-sized Agriculture Futures Effective Monday, September 17, 2012

·         Discontinuation of POS595 Clearing Report Beginning October 1, 2012

·         Final Settlement Date Change for LLS (Argus) Swap on NYMEX

·         Trade Register Improvement for CME Group’s USDRMB Futures Contract

·         CME Clearing’s LSOC Implementation Plan

·         Reporting Requirements Regarding Gross Customer Margining

·         Customer Gross Margining Update and Timelines

·         Contact Information

Critical System Updates

Clearing member firms using the Legacy WAN environment are required to complete the conversion to the new server and, if necessary, convert from FTP to SFTP by March 1st 2013.

The Legacy WAN environment includes the following addresses:

· FTP: 198.212.145.45

· SFTP: 198.212.145.46

The new environment is available at the following addresses using SFTP:

· Production: 167.204.41.33

· Disaster Recovery: 167.204.21.33

We recommend the use of a non-production file name convention when sending a test file.

Please be advised, that for clearing member firms that have not converted to the new SFTP IP address by March 1st, 2013, a $ 5,000 monthly maintenance fee will be assessed to use the old FTP server.

We request that each clearing member firm, and any other organization connecting via FTP, to please provide CME Clearing with contact information (name, phone number and email) of the primary and back-up contacts for this conversion effort. Once firms have tested and converted activity to the new environment, credentials will be removed from the legacy server.

For further information or assistance please contact Clearing Services at (312) 207-2525 or

E-mail SFTPConversion@cmegroup.com

The start date for CMECE testing has been finalized. Following is the updated FEC+ deployment schedule:

·         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.

This includes both outbound and inbound messaging capabilities. FECPlus in New Release is used to manage all post-trade processing transactions. The existing FIXML 4.4 API is not used for any post-trade processing in New Release.

·         Thursday, September 26: Testing for the migration of post-trade processing to FECPlus for CMECE will begin in the CMECE CERT test environment using the FPL-compliant FIXML 5.0 API.

·         Monday, January 14, 2013: Production launch date for migration of post-trade processing to FECPlus for CMECE using the FPL-compliant FIXML 5.0 API.

·         Monday, February 25, 2013: 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/DME using the FPL-compliant FIXML 5.0 API.

In order to help the clearing community prepare for the launch, the Clearing House will publish a test script for testing Post-Trade Processing on FECPlus by Mid-September. Firms should use this high-level test script, in addition to their own test scenarios, to verify their readiness for the Production Launch.

Beginning in November, the Clearing House will check in periodically with firms on their testing status and to offer assistance with testing. Please contact CME Clearing Services (CCS) with any questions related to FECPlus testing or the overall FECPlus migration.

For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.

Please be advised that CME Clearing has released a new version of the Span Position File Converter, which is available to download at cme-ch.com/pcspan. The utility, which creates XML SPAN position files from CSV files, has been enhanced to net positions.

For example, the old version of the utility was not able to properly convert the portfolio in myPort.csv into +60 September 2012 S&P 500 futures. Instead, to the extent that the portfolio contained similar trades of different quantity, the utility was only able to convert the 1st line item of those trades (in this example, only +100 September 2012 S&P 500 futures).

With this enhancement, the new version of the utility is now able to convert the portfolio in this linked CSV file into +60 long September 2012 S&P 500 futures.

Note that this utility can be used to convert exchange-traded, OTCFX, and CDS trades into XML SPAN position files.

Also, at this link is additional documentation on the Span Position File Converter (SpanPosConvUtil.doc).

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.

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

In order to comply with upcoming regulatory requirements, the Post-Trade Processing migration to FECPlus, using the FPL-compliant FIXML 5.0 API, has been delayed. Following is the new deployment schedule:

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.

This includes both outbound and inbound messaging capabilities. FECPlus in New Release is used to manage all post-trade processing transactions. The existing FIXML 4.4 API is not used for any post-trade processing in New Release.

End of September: Testing for the migration of post-trade processing to FECPlus for CMECE will begin in the CMECE CERT test environment using the FPL-compliant FIXML 5.0 API. Another notice will be sent when a specific date is available.

Monday, January 14, 2013: Production launch date for migration of post-trade processing to FECPlus for CMECE using the FPL-compliant FIXML 5.0 API.

   Monday, February 25, 2013: 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/DME using the FPL-compliant FIXML 5.0 API.In order to help the clearing community prepare for the launch, the Clearing House will publish a test script for testing Post-Trade Processing on FECPlus by Mid-September. Firms should use this high-level test script, in addition to their own test scenarios, to verify their readiness for the Production Launch.

Beginning in November, the Clearing House will check in periodically with firms on their testing status and to offer assistance with testing. Please contact CME Clearing Customer Support (CCS) with any questions related to FECPlus testing or the overall FECPlus migration.

For questions or further information please contact CME Clearing Customer Support (CCS) 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 September 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.

The link provides the revised the final foreign currency settlement prices for Canadian dollar; E-micro USD/CAD; E-micro CAD/USD; Turkish lira and EC/TRY Cross Rate.

This advisory describes CME’s new physically delivered FX futures on the exchange rate between the US Dollar and the Offshore Chinese Renminbi. These are referred to as Standard USD Offshore Renminbi (USD/CNH) Futures and E-micro USD Offshore Renminbi (USD/MNH) Futures. The Globex and clearing product codes for the two new futures are CNH and MNH, respectively.

Effective on Sunday, November 18, 2012, for the trade date of Monday, November 19, 2012, CME is launching new Standard-size and E-micro-size U.S. Dollar/Offshore Chinese Renminbi (USD/CNH) Futures contracts on CME Globex and CME ClearPort. These futures contracts feature physical delivery of Offshore Chinese Renminbi (CNH), priced in interbank terms of Offshore Chinese Renminbi per U.S. dollar with associated daily settlement variation banked in Offshore Chinese Renminbi, and fungible (offsetting) on a 10 to 1 basis between the micro and the full-sized contracts.

These two new contracts are in addition to CME’s other currently listed U.S. dollar vs. Chinese Renminbi products: Chinese Renminbi/U.S. Dollar futures and options priced in American-terms of U.S. dollars per Chinese Renminbi with daily pays and collects in U.S. dollars (product code = RMB), and Standard-size and E-micro-size U.S. Dollar/Chinese Renminbi futures (product codes, respectively, CNY and MNY) priced in interbank terms of Chinese Renminbi per U.S. dollar, but with daily implied pays and collects in RMB converted and banked into U.S. dollars. These currently listed dollar/Renminbi products are unchanged and continue to be listed for trading after introduction of the new contracts.

From a clearing and bookkeeping point of view, there are no systems changes to trade, position or settlement processing associated with the two new products. On the Trade Register file and report, for example, the products will appear exactly like any other future, with variation amounts denominated in CNH. Additionally, in the daily settlement banking process, the money will be in CNH, the offshore Chinese Renminbi.

The products will be margined in SPAN normally. The margin currency as defined in SPAN will be CNH. As with any initial margin (performance bond) requirement, the requirement may be met with any assets, denominated in any currency, which CME Clearing accepts. Page 2 #12-400/September 19, 2012

Settlement Banking

Firms which will clear these new products must establish accounts at CME-approved settlement banks for banking of settlement variation amounts denominated in Offshore Renminbi. Note that CME also accepts Offshore Renminbi cash as performance bond collateral. CNH-denominated settlement variation amounts will be banked on a T+2 value-date convention. Normal “combined cash flow” processing will be used to minimize banking transactions. In other words, for firms receiving CNH (“variation collects”), the currency will be deposited as performance bond collateral rather than paid to the firm; and for firms owing CNH (“variation pays”), the cash will be taken from CNH collateral on deposit to the extent possible.

Delivery Processing

The CNH and MNH contracts’ delivery will occur on the business day following the third Wednesday of the contract month. For each contract, trading will cease at 11:00 a.m. Hong Kong time on the first Hong Kong business day preceding the third Wednesday of the contract month. This corresponds to 9:00pm Chicago time (or 10:00pm Chicago time when daylight savings time is in effect). Delivery commitments are due to the Clearing House by 10:00am Chicago time on Tuesday. Wire transfers denominated in USD and orders-to-pay denominated in USD or CNH will be due to CME’s US agent bank by 1:00pm Chicago time on Wednesday. Wire transfers denominated in CNH are due to CME’s agent bank by 12 midnight on Tuesday. Delivery will occur on Thursday. Note that these new contracts are not CLS eligible. Any firm involved in a delivery will be required to submit wire transfer instructions or orders-to-pay to satisfy the delivery. Sellers must deliver the CNH from an offshore Chinese Renminbi account at a commercial bank in Hong Kong, and buyers must similarly take delivery at such an account.

Testing opportunities: These new products will be available in the New Release testing environment starting October 22, 2012.

For more information: For more information, contact CME Clearing at 312-207-2525, and please see:

·         CME’s web pages on the new Offshore Renminbi contracts, at: www.cmegroup.com/trading/fx/usd-renminbi-futures.html

·         The CME Globex notice about the new contracts, at: http://www.cmegroup.com/tools-information/lookups/advisories/electronic-trading/20120914.html

·         The Clearing Advisory 12-185, published April 30.2012, regarding Offshore Renminbi as performance bond collateral, at: www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-185.pdf

Effective Monday, September 17, 2012, CME Clearing will allow firms to execute offset transactions in the CBOT Mini-sized Agricultural futures. The offset ratio will be five Mini-sized future contracts to one Full-sized future contract. In order to allow the Mini-sized future contracts to be offset with their respective Full-sized future contracts, the delivery specifications for the Mini-sized Agricultural future contracts will be modified so that on any day during the delivery period; only deliveries in multiples of five contracts will be allowed for Mini-sized Agricultural future contracts. On last intent day, any quantity of Mini-sized future contracts may be tendered for delivery.

The rule amendments are described is SER S-6350 and can be located online at http://www.cmegroup.com/rulebook/files/ser_6350_Mini-Big_Offset_v4.pdf .

Similar to other offset transactions, firms are required to enter those transactions in Front End Clearing (FEC) any time before 7:00 p.m. CST. Any transactions entered after 7:00 PM CST will be processed the next business day. On the Last Trade Day, if an offset is entered after 7:00 p.m. the offset will not be processed.

In addition to implementing offsets between the Mini and Full-sized future contracts, the Exchange has extended the daytime trading hours for CBOT Mini-sized Agricultural futures to 2:30 p.m.

For questions or concerns on executing please contact CME Clearing Deliveries Unit at (312) 930-3172.

Effective Monday, October 1, 2012, CME Clearing will no longer generate the POS595 report (the Non Give-up Trade Register) which is currently generated for CME, CBOT NYMEX and COMEX exchanges. After that date, the report will not be available in EREP or included in the reports package firms receive via FTP.

Please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com if you have further questions or concerns.

Effective ONLY for the August 2012 contract, the New York Mercantile Exchange (NYMEX or Exchange) will extend the Final Settlement Date for LLS (Argus) Calendar Swap (commodity code XA) from August 30, 2012 to September 10, 2012. LLS (Argus) Calendar Swap (XA) is listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

On Monday, October 15, 2012, CME Group will introduce an important enhancement to the clearing processing for its USDRMB futures contract – the USD Renminbi future with USD banking.

This is the CNY contract where the contract size is 100,000 USD, the price is quoted in CNY (Chinese Renminbi Yuan) per US dollar, and the settlement variation amounts are converted from CNY back to USD by dividing by the current spot exchange rate between CNY and USD.

Currently, the trade register report and data file for this product provide values in CNY. With the change, the values will be provided in USD, and attributes will be provided to drive the conversion of the variation amounts from one currency to another.

The goal is of this enhancement is to simplify bookkeeping processing and reconciliation for clearing firms. This methodology will be applied to other products in the future.

CME Group recognizes that with the Thursday, November 8, 2012 deadline for LSOC implementation fast approaching, it is important that the industry receive clear specifications from CME, sufficient to clarify important details of our implementation of LSOC. At the same time, CME remains committed to listening to the industry so that our implementation plan can incorporate sensible feedback to ease implementation burdens as much as reasonably possible.

CME Group will implement LSOC in a two-phase process. As previously indicated, LSOC will apply to FCM clearing member firms of CME holding customer positions in cleared swaps.

The first phase will begin on Monday, November 5, 2012. In this initial period, LSOC will be implemented in an unallocated excess mode.

The second phase will begin on Monday, February 4, 2013. On that date, CME clearing firms may begin operating in a client-specific excess mode. Firms will have until Monday May 27, 2013 to complete the transition; beginning on that date, all CME clearing firms with customer positions in cleared swaps must operate in a client-specific mode.

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-360.pdf

The advisory at the link below 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.

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-139.pdf

Clearing Advisory 12-353 at this link details new reporting requirements and timelines for clearing firms stemming from CFTC regulations going into effect on November 8, 2012. Customer Gross Margining (CGM) will apply both to products which are under the futures regulatory regime and to products which are classified as cleared swaps for regulatory purposes. The original CME Group Clearing Advisory regarding CGM was published on March 29, 2012, and is Advisory Number 12-139.

There are three key dates that firms should keep in mind relating to Customer Gross Margining, as explained below: Tuesday September 4, 2012 – the date on which CME will begin accepting daily CGM data files from firms; Monday October 8, 2012 – the date by which all firms must be submitting daily CGM data files; and Monday November 5, 2012, when CME will go live with Customer Gross Margining (four days prior to the November 8 deadline.)