• Clearing Notice: Monday, November 5, 2012

      • To
      • Clearing Member Firms; Back Office Mangers
      • From
      • CME Clearing
      • #
      • 12-476
      • Notice Date
      • 08 November 2012
      • Effective Date
      • 05 November 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.
      Effective Sunday, November 4, 2012, for trade date Monday, November 5, 2012, and pending all relevant CFTC regulatory review periods, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend the listing cycles for Brent CFD products as illustrated in the table below on the NYMEX trading floor and CME ClearPort.
      Product
      Clearing Code
      Rulebook Chapter
      Current Listing Rule
      New Listing Rule Effective Trade Date November 5, 2012
      Brent CFD (Platts) vs. Brent Front Month (Platts) Futures
      1C
      319
      Daily contracts are listed for the current and next two consecutive calendar months, except where such a day is later than the day that is 25 calendar days prior to the first day of the following calendar month.
      Daily contracts shall be listed for the current week plus the next 12 consecutive weeks, except where such a day is later than the day that is 25 calendar days prior to the first day of the following calendar month.
      Brent CFD (Platts) vs. Brent Second  Month (Platts) Futures
      6W
      699
      Daily contracts are listed for the current and next two consecutive calendar months.
      Daily contracts shall be listed for the current week plus the next 12 consecutive weekly contracts.
      Brent CFD (Platts) vs. Brent Third  Month (Platts) Futures
      59
      316
      Daily contracts are listed for the current and next three consecutive calendar months.
      Daily contracts shall be listed for the current week plus the next 12 consecutive weekly contracts.
      Brent CFD (Platts) vs. Brent Front Month (Platts) Weekly Futures
      CFA
      1144
      Weekly contracts listed for the current calendar week and the next eight consecutive calendar weeks, excluding weeks where (i) the last business day of the week is later than the day that is 25 calendar days prior to the first day of the following calendar month, or (ii) the Monday and the last business day of the week fall in different calendar months.
      Weekly contracts shall be listed for the current week plus the next 12 consecutive weekly contracts, excluding weeks where (i) the last business day of the week is later than the day that is 25 calendar days prior to the first day of the following calendar month, or (ii) the Monday and the last business day of the week fall in different calendar months.
      Brent CFD (Platts) vs. Brent Second Month (Platts) Weekly Futures
      CFB
      1145
      Weekly contracts are listed for the current calendar week and the next eight consecutive weeks.
      Weekly contracts shall be listed for the current week plus the next 12 consecutive weekly contracts.
      Brent CFD (Platts) vs. Brent Third Month (Platts) Weekly Futures
      CFC
      1146
      Weekly contracts are listed for the current calendar week and the next eight consecutive weeks.
      Weekly contracts shall be listed for the current week plus the next 12 consecutive weekly contracts.
       
       
       
       
      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.
      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.
       
      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.
      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.
      Launch Date Delayed to Monday, December 3, 2012
      As a result of the storm on the U.S. East Coast and its significant impact on our customers, we are delaying the launch of new Deliverable Interest Rate Swap Futures to Monday, December 3, 2012. This move is designed to give our market participants additional time to prepare for the launch.
      About Deliverable Swap Futures
      Deliverable Swap futures are a cost-effective way to access interest rate swap exposure with the margin efficiencies and transparency of futures:
      ·         Margin savings from futures-style margining, risk offsets with Eurodollar and Treasury futures and options, automatic netting of positions and more
      ·         Coming in early 2013 - Portfolio margining with cleared OTC interest rate swaps
      ·         Ability to roll futures positions or take delivery of a CME cleared interest rate swap
      ·         Flexible execution via CME Globex, block trades, EFRPs and open outcry on the trading floor
      ·         Enables participants to trade in an OTC manner – ability to block calendar spreads with: 
      o    Lower block thresholds
      o    Longer reporting times
      o    No block surcharges

                      View block list contacts (page 17 of product overview)

      Where to Learn More:
      • Listen to the recorded Deliverable Swap Futures webcast
      • Read the product overview
      • Get the latest product updates
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      The Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is moving the launch date of the new Standard-size and E-micro-size U.S. Dollar/Offshore Chinese Renminbi (“USD/CNH”) futures contracts that were originally scheduled to be listed for trading on CME Globex® and CME ClearPort® on Sunday, November 18, 2012 for trade date Monday, November 19, 2012. Refer to Clearing Advisory “12-400” previously published on September 19, 2012.
      The revised launch date for the new Standard-size and E-micro-size USD/CNH futures contracts will be Sunday, February 24, 2013 for trade date Monday, February 25, 2013.
      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, February 24, 2013, for the trade date of Monday, February 25, 2013, 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.
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