• CME Clearing Notice- October 22, 2012

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 12-459
      • Notice Date
      • 25 October 2012
      • Effective Date
      • 25 October 2012

    • NOTICE #: 12-459
      SUBJECT: CME Clearing Notice: October 22, 2012
      Topics in this issue include:
      *      Deliveries
      ·         Contact Information
       
       
      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 1, 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.
      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
      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.
      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.
      UPDATED: FECPlus FIXML 5.0 Production Deployment Schedule
      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 October 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      Listed in the linked advisory notice below are the relevant delivery dates for November 2012 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, and DME contracts.
       
      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 10:00 am 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, 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
      ·         TheCME Globex noticeabout 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 on Monday, November 5, 2012, and pursuant to CFTC regulations, CME's "Cleared OTC Customer Sequestered" regulatory class will be replaced by a new class, called "Customer Cleared Swaps." There are various regulations which will apply to these products, especially Legally Segregated Operationally Commingled ("LSOC").
      The set of CME-cleared products which when held by customers of FCM's falls into the Cleared OTC Customer Sequestered regulatory class is precisely the same which will be in the new Customer Cleared Swaps class on November 5. It consists of the following:
      ·         All Interest Rate Swaps
      ·         All Credit Default Swaps
      ·         All FX Non-Deliverable Forwards and Cash-Settled Forwards as enumerated below
      ·         Metal Forwards and seventeen commodity and energy swaps as enumerated below
      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.
      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.
      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.)
      Effective Thursday, November 8, 2012, pending regulatory review, CME Clearing will adjust the value-date convention for settling non-USD variation margin obligations for cleared interest-rate swaps. With this adjustment, the value-date for these non-dollar variation moves will be determined solely by the banking calendar of the currency in which the variation is denominated, without any reference to the USD banking calendar. This change will harmonize the value-date convention with OTC market conventions for rate swaps. CME Clearing will settle non-USD currencies on US holidays; the first holiday this will occur for is Veterans Day which is observed Monday, November 12.
      Starting November 18, CME Globex Trading Day for Equity Index Products to End at 4:15 p.m. CT
      Change to CME Globex trading hours will coordinate with switch to daily price limits for U.S. Equity Index Products
      Settlement time will remain unchanged (3:15 p.m. CT)
      Effective Sunday, November 18 (for first trade date Monday, November 19), the end of the CME Globex trading day for electronically traded equity index futures and options contracts will change from 3:15 p.m. CT to 4:15 p.m. CT. Settlement times will remain unchanged.
      Under the revised hours:
      ·         There will be a 15-minute halt in electronic trading from 3:15 p.m.to 3:30 p.m. CT.
      ·         Trading for equity index contracts listed on CME Globex will resume at 3:30 p.m. CT for the same trade date for 45 minutes, closing at 4:15 p.m. CT. This includes Fridays, meaning that the end of trading week on CME Globex will also be changed to 4:15 p.m. CT.
      ·         CME Globex trades that take place during the 3:30 p.m. - 4:15 p.m. time frame will be subject to the daily settlement prices calculated at 3:15 p.m. CT (i.e., settlement times will not change).
      ·         Trading of equity index contracts on CME Globex will be closed from 4:15 p.m. - 5:00 p.m. CT.
      ·         Trading re-opens at 5:00 p.m. on CME Globex (Sundays-Thursdays) for the new trade date.
      On October 22, 2012, and pending all relevant CFTC regulatory review periods, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) is amending the termination of trading rule for the Midwest ISO Indiana Hub 5 MW Peak Calendar-Day Real-Time Swap Futures contract (commodity code PTD, chapter 1075). The subject futures contract does not have any open interest.
       
      Currently the subject futures contract stops trading on the specified calendar day. When the peak day is not a business day, trading ceases on the previous business day. The amendment changes the termination of trading to the business day following the peak day when the following day is a business day. When the day following the peak day is not a business day, trading ceases on the last business day prior to the day which is not a business day. This action is being taken to align the subject futures contract’s termination of trading rule with that of other real-time, calendar-day futures contracts.
      The rule amendment is presented in black-line format below.
      1075.08 TERMINATION OF TRADING
      Trading shall cease on the business day following the peak day when the following day is a business day. When the day following the peak day is not a business day, trading shall cease on the last business day prior to the day which is not a business day.
      On October 15, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) delisted nineteen petroleum and refined products (23 commodity codes) as set out in the table at the link below. There was no open interest in these contracts. The product rule chapters and terms and conditions contained in Rule 588.G. (for the contracts listed on CME Globex only) and in the Position Limit, Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 (Trading Qualifications and Practices) of the NYMEX Rulebook were removed from the Exchange Rulebook.
      New Commodity Futures Trading Commission (“Commission”) Regulations regarding the protection of cleared swaps customer contracts are final and become effective on November 8, 2012. The customer protection regime for cleared swaps customers, contained in new Part 22 of Commission regulations, implements the legal segregation with operational commingling (“LSOC”) regime.
       
      In preparation for the effective date of the LSOC regime, CME Clearing proposed certain revisions to CME Rules that concern the protection of the Clearing House. Specifically, revisions are proposed to CME Rules 802, 8G802, 8H802 (Protection of the Clearing House for the Base Guaranty Fund, the IRS Guaranty Fund, and the CDS Guaranty Fund respectively). The respective Risk Committee for each guaranty fund recently approved the revisions.
       
      The revisions to CME Rules regarding the protection of the Clearing House affect the manner in which CME Clearing would manage the default of a Clearing Member clearing swaps for customers, particularly the post-default treatment of cleared swap customer accounts.
       
      The respective Risk Committees also approved revisions to CME Rules 901P, 8G04, and 8F04 regarding a Clearing Members general requirements and obligations. The revisions to the Clearing Members general requirements and obligations provide that each Clearing Member clearing swaps submit to the Clearing House a daily report of the positions and collateral of each of its cleared swaps customers.
       
      CME Clearing intends to submit the rule revisions to the Commission on October 19, 2012. Contemporaneously with the submission the rule revisions will be posted on the CME Group web site.
       
      Please carefully review the revisions to CME Rules 802, 8G802, 8H802, 901.P, 8G04, and 8H04 as they reflect the implementation of the new LSOC swaps customer protection regime and may impact each clearing member with a cleared swaps customer.
      CME Clearing will expand its Credit Default Swap product offering to include the CDX North American Investment Grade Index Series 8 (CDXIG8) in 7 and 10 year tenors. The production launch date is scheduled for Monday, October 22, 2012.
      Below is the full set of CDX North American Investment Grade Series with corresponding clearing codes available to clear at CME Clearing (each available in 3, 5, 7, and 10 year tenors except as specified below):
      ·          Series 8 (CDXIG8V5.SR.XR.USD) – CG8V5 (no 3 and 5 year tenors) -- NEW
      ·          Series 9V4 (CDXIG9V4.SR.XR.USD) – CG9V4 (no 3 year tenor) 
      ·          Series 10V4 (CDXIG10V4.SR.XR.USD)-CG10V4 (no 3 year tenor)
      ·          Series 11V2 (CDXIG11V2.SR.XR.USD)-CG11V2 (no 3 year tenor) 
      ·          Series 12V2 (CDXIG12.SR.XR.USD)-CG12V2 (no 3 year tenor) 
      ·          Series 13 (CDXIG13.SR.XR.USD)-CG13
      ·          Series 14 (CDXIG14.SR.XR.USD)-CG14
      ·          Series 15 (CDXIG15.SR.XR.USD)-CG15
      ·          Series 16 (CDXIG16.SR.XR.USD)-CG16
      ·          Series 17 (CDXIG17.SR.XR.USD)-CG17
      ·          Series 18 (CDXIG18.SR.XR.USD)-CG18
      ·          Series 19 (CDXIG19.SR.XR.USD)-CG19
      Participants may continue to test in CME Clearing’s New Release (UAT) environment (CDXIG8 was launched in NR on Thursday, October 11th). Please keep in mind that CME Clearing will continue to use mock settlement prices for the Series 8 Index in New Release through Friday October 18th. Production settlement prices will be applied to the Index in the New Release environment beginning on October 22nd, 2012.
      Should you have questions, please contact the CME Client Services Team by email at Onboarding@cmegroup.com .
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