• Clearing Notice: Monday, October 29, 2012

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-468
      • Notice Date
      • 29 October 2012
      • Effective Date
      • 29 October 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.
      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
      The CFTC has granted the industry a brief delay in the required implementation dates for Customer Gross Margining (CGM) and for LSOC (Legally Segregated Operationally Commingled).
      The new implementation date for Customer Gross Margining is Monday, January 14, 2013. The delay was granted to provide firms with more time to implement their CGM processes and to assess the impact on margin requirements.
      Although the go-live date has been pushed out, firms must continue to submit live CGM position data files to CME Clearing every night, by the 8pm Chicago time deadline. CME’s CGM system is now running in full parallel mode.
      The new implementation date for LSOC is Wednesday, November 14, 2012. The very brief LSOC delay was granted in response to the hurricane disruption.
      CME will first apply the special LSOC “top-up” margin requirements in the end-of-day settlement cycle on Tuesday, November 13. As soon as the resulting margin calls are met at the settlement banks on the morning of Wednesday, November 14, firms may withdraw excess collateral. The first LSOC compliance calculation done by firms will be for the payment cycle on the morning of November 14.
      Note that LSOC applies only to customer positions in cleared swaps. For more information please see CME’s LSOC web page at www.cmegroup.com/lsoc.
      For more information please contact CME Clearing at 312-207-2525.
      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.
      As of Sunday October 28th, 2012 the Clearing and CPC code for Daily European Naphtha CIF NWE (Platts) Futures will be changing to the new code NCP. NCP will be used as the CPC trade entry and back office clearing code.
      The following products will be available:
      Product
      Existing Clearing Ticker Symbol
      Existing Clearing Code
      New Clearing Ticker
      New Clearing Code
      Daily European Naphtha CIF NWE (Platts) Futures
      NCN
      NCN
      NCP
      NCP
       
       
      The Contract Specifications for these products are unchanged and can be located on the CME Group website at:
      Effective Sunday, November 4, 2012, for trade date Monday, November 5, 2012, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will expand the listing of contract months for the East-West Fuel Oil Spread (Platts) futures contract (commodity code EW, Rule Chapter 666) on CME ClearPort and the NYMEX trading floor only. The listing schedule for the futures contract, which is currently listed for the current year and next two consecutive calendar years, shall be expanded to the current year and next three (3) consecutive calendar years on the NYMEX trading floor and CME ClearPort.
      The contract will continue to be listed on CME Globex for 18 consecutive months.
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