• CME Clearing Notice: Monday, February 18, 2013

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-089
      • Notice Date
      • 21 February 2013
      • Effective Date
      • 18 February 2013

    • Topics in this issue include:
      *      Deliveries
      ·         Contact Information
       
       
       
      CME Clearing is announcing that the FECPlus launch date, including the migration to the FIXML 5.0 API is rescheduled for Monday, April 22, 2013.
      REMINDER: 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 for CME/CBT/NYMEX/COMEX/DME.
      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.
      We strongly encourage that testing continue at the same pace leading up to the Production launch.
      CME Clearing published a test script for testing Post-Trade Processing on FECPlus (see CH Advisory #12-532). Firms should use this high-level test script, in addition to their own test scenarios, to verify their readiness for the Production Launch.
       
      Firm user training for FECPlus will be offered by the Clearing House beginning next week. The schedule for the on-site trainings will be published soon.
       
      CME Clearing will continue to check in periodically with firms on their testing status and to offer assistance with testing.
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      Please be advised that, in order to provide more transparency into end-of-day processing, a new Cash Adjustment block will be added to the FIXML Trade Register. This is scheduled for New Release on Wednesday, February 6, 2013 and for Production on Monday, February 25, 2013.
      This change will affect Futures/Options as well as CDS FIXML Trade Registers.
      Currently, corrective Cash Adjustment amounts are included in the FIXML Trade Register for Futures/Options, but they are combined with the Total Banked Amount (Amt Typ=”FMTM”), not individually displayed. With this change, corrective Cash Adjustments will display individually as Amt Typ=”CASH” Rsn=”1000”, and will still be included in the Total Banked Amount.
      For CDS, corrective Cash Adjustments are not included at all on the CDS FIXML Trade Register. With this change, corrective Cash Adjustments will display individually as Amt Typ=”CASH” Rsn=”1000”, and will be included in the Total Banked Amount (Amt Typ=”BANK”).
      This block will appear near the end of the PosRpt message with the rest of the Amount (Amt) details on the FIXML Trade Register.
      To request test cash adjustments in the New Release Environment, please contact CCS at 312-207-2525 or ccs@cmegroup.com
      Sample messages highlighting the additional block are included in the full text of this advisory at this link.
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      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 e-mail SFTPConversion@cmegroup.com
       
      As a reminder, Monday, February 25, 2013, is the 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 has created a test script for testing Post-Trade Processing on FECPlus. Firms should use this high-level test script, in addition to their own test scenarios, to verify their readiness for the Production Launch. As always, firms should test FEC+ the same way they use FEC Production functionality in order to achieve the best test.
      CME Clearing Services will be available to assist with test scenarios or to help pair up firms to test together. Please contact us with questions or concerns.
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
       
      Sioux Falls Regional Livestock (Worthing, SD) stockyard will have a special “black out” auction day on Friday, February 22, 2013 and therefore will not be able to accommodate deliveries on this day. The Deliveries application will prevent “sellers” from tendering certificates on February 13, 2013 for Live Cattle delivery on February 22, 2013 at this location.
      Please contact CME Group Deliveries at 312-930-3172 for any questions.
      New functionality has been added and changes were made to Deliveries Plus. The changes will be available for testing in the New Release Environment on the afternoon of February 13, 2013.
      Deliverable Interest Rate Swap Futures
      The intent functionality in Deliveries Plus that supports Deliverable Swap Futures was recently updated (please note this process is now different for Deliverable Swaps than other deliverable products). Firms will be required to upload intents on the user interface of Deliveries Plus via the “Intent Upload” screen for these products, and shall submit a CSV file that meets the requirements outlined in Clearing Advisory # 13-029.
      The following testing schedule will allow for clearing member submittal of Deliverable Interest Rate Swap Futures and will begin on the afternoon of February 13, 2013:
      ·         Firms may submit intent uploads Monday through Thursday from 8:00 AM CST to 8:00 PM CST.
      ·         Intents submitted on Friday may be submitted from 8:00 AM CST to 12:00 PM CST.
      ·         A delivery cycle will run every Friday and will create Interest Rate Swaps. Interest Rate Swap clearing firms will receive clearing confirms by 5:00 PM CST and Interest Rate Swap information will be available on the end of day reports.
      The listed Stockyards and Slaughter Plants at this link have been approved for deliveries against the CME Group Live Cattle futures contract from February 1, 2013 through January 31, 2014. Delivery point information and contact numbers are listed for your reference.
       
      If there are any questions, please contact the Deliveries Unit at (312) 930-3172.
      Listed in the linked advisory notice below are the relevant delivery dates for February 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, and DME contracts.
       
      Please be advised that, in order to comply with FIX protocol, five new tags will be added to the FIXML Trade Register. These additions are scheduled for New Release on Wednesday, February 27, 2013 and for Production on Monday, March 11, 2013.
      Following are details of the additions that will be made:
      Description
      FIXML Tag
      *UnitOfMeasure
      *@UOM
      UnitOfMeasureCcy
      @UOMCcy
      UnitOfMeasureQuantity
      @UOMQty
      PriceUnitOfMeasure
      @PxUOM
      PriceUnitOfMeasureCcy
      @PxUOMCcy
      PriceUnitOfMeasureQuantity
      @PxUOMQty
       
      *Note: UOM is an existing tag, but for products where Currency is the Unit of Measure, UOM will now equal Ccy and the new UOMCcy tag will indicate the applicable Currency.
       
      These tags will be available in the Instrument [Instrmnt] block on TrdCaptRpts and PosRpts on the FIXML trade registers.
       
      Sample messages highlighting the additional fields are attached.
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      As per the normal review of acceptable collateral and limits, CME Clearing is making the below changes to the diversification requirement of collateral composition used by Clearing Member Firms to meet performance bond requirements.
      Please be advised that effective Thursday, February 28, U.S. Treasury Inflation Protected Securities (TIPS) will be moved from Category 1 to Category 3 per the below schedule. Additionally, TIPS will have a sub-limit of $1 billion per firm (and affiliates).
      Clearing Member Firms are required to meet at least 20% of core performance bond requirements with Category 1 assets and are permitted to meet a maximum of 40% core performance bond requirements with each of Category 2 and Category 3 assets. Clearing member firms may use assets in any Category to meet concentration margin requirements.
      Category 1 Assets:
      • USD Cash
      • U.S. Treasuries (excluding TIPS)
      • IEF2 Money Market Mutual Funds
       
      Category 2 Assets:
      • U.S. Government Agencies
      • Select Mortgage Backed Securities
      • IEF5 Specialized Cash Program
      • Letters of Credit
       
      Category 3 Assets*:
      • U.S. Treasury Inflation Protected Securities (TIPS)
      • Physical Gold
      • Stocks
      • IEF4 Specialized Collateral Program
      ·         Select Foreign Sovereign Debt (Canada, France, Germany, Japan, Sweden, UK)
      *Note: The maximum allowable limit for utilization of Category 3 Assets will be the lesser of a) 40 % of core margin requirements and concentration requirements or b) $3 billion per Clearing Member Firm across all settlement accounts.
      Please refer to the website http://www.cmegroup.com/clearing/financial-and-collateral-management/ for further detail regarding acceptable collateral, haircuts, and limits.
      This advisory at this link provides updated information on CME’s implementation schedule for LSOC phase 2, often called "LSOC with excess", "LSOC with client-specific value reporting", or "LSOC with client-specific excess."
      CME Clearing will begin allowing firms to operate in LSOC phase 2 mode – LSOC with daily client-specific collateral value reporting – on Monday, April 22, 2013.
      There is no requirement that firms begin operating in LSOC with excess mode on that date, and we anticipate a transition process occurring over a period of several months, as firms test and go live with LSOC phase 2. CME has not established a date by which firms must convert, and may allow firms to continue operating in LSOC phase 1 mode indefinitely.
      Firms may begin testing their submissions of daily collateral value reports at any time. We expect full-scale parallel testing to begin with a subset of firms around March 1.
      CME Group will be changing the Last Trade Rules of the existing Chinese Renminbi RMB/USD futures products on February 25th. The changes will be implemented on February 25th and will take effect for the July 2014 contract and beyond. The new Last Trade Date rule will be: Trading ceases at 9:00 a.m. Beijing time on the second Beijing business day immediately preceding the third Wednesday of the contract month. NOTE: The last trading day for February 2013 thru June 2014 expiries remains unchanged as the first Beijing business day before the third Wednesday of the contract month.
      These contract changes are pending subject to certification with the Commodity Futures Trading Commission.
      On Monday April 15, 2013, pending regulatory approval, clearing processing for the Board of Trade of Kansas City Missouri, Inc. (“KCBOT”) will be transitioned to CME Clearing. CME Clearing will become the DCO for the KCBOT, and clearing processing will be transitioned into CME Clearing’s systems. 
      Also effective on that April 15 date, all CME and CBOT clearing member firms will become eligible to clear KCBOT products. There will be no additional capital, membership, or permit ownership requirements for CME and CBOT clearing members.
      For more information on this transition, please see Clearing Advisory 12-551 at: http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv12-551.pdf. Note that prior to the April 15 date, there will be minimal operational changes, and all existing KCBOT clearing processing will continue in the current KCBOT systems without modification.
      If you have any questions, please contact CME Clearing Client Services at 312-207-2525. For CME Globex market access considerations, clearing firm administrators should contact their Global Account Manager.
      To comply with applicable CFTC recordkeeping obligations, each swap trade submitted for clearing is required to include appropriate legal entity identifiers that identify the swap counterparties to the trade. The CFTC has designated the “CFTC Interim Compliant Identifier” or “CICI” available at http://www.ciciutility.org as the current required identifier system for swap transactions.
      There are two ways for market participants to address this requirement to include a legal entity identifier.
      (1)   Trade-by-trade submission: CME’s ClearPort API supports the submission of the LEI/CICI which may be supplied to CME on a cleared trade-by-trade basis. For assistance on properly populating this field, please contact CME Client Services (contact details below).
      (2)   Registration of CICIs: A market participant may contact the CME OTC Registration Team (contact details below) to register its CICI with CME Clearing. This value will be automatically included in every subsequent and past trade submitted for clearing by that particular market participant.  
      Compliance Dates for LEI/CICI Submission:
                       Registered Swap Dealers:                              December 31, 2012*
                      Registered Major Swap Participants:               February 14, 2013
                      Non-Swap Dealers/Non-MSPs:                       March 27, 2013
      Questions:
      Market participants with questions regarding this notice can contact either:
      CME OTC Registration Team
      1.212.299.2670
      US Toll Free – 1.800.438.8616
      London Toll Free – 0800.898013
      CME Client Services Team
      1.312.338.7112
       
       
      *Registered swap dealers that have not already provided a legal entity identifier/CICI to CME Clearing must do so by February 14, 2013.
       
      Effective Sunday, February 24, 2013 for trade date Monday, February 25, 2013, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will list Platinum Option (PO) and Palladium Option (PAO) on CME Globex trading platform pending CFTC review. These products will continue to be available for trading on the NYMEX trading floor and for clearing through CME ClearPort.
      In addition, the strike price increment for Palladium Options (PAO) will change from $1.00 to $5.00.
       
      ·CME Globex Codes: Platinum Option: PO; Palladium Option: PAO
      ·Clearing Codes: Platinum Option: PO; Palladium Option: PAO
      ·CME Globex Listing Schedule: 3 consecutive months
      ·Rule Chapters: Platinum Option: 360; Palladium Option: 119
      CME Group Contacts
      cmegroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
      Clearing House
      (312) 207-2525
      CME Globex Information
      CME Global Command Center
      (312) 456-2391
      Performance Bond Information
      Risk Management Dept.
      (312) 648-3888
      Position Limits
      Market Regulation
      (312) 341-7970
      Clearing Fees
      Clearing Fee Hotline
      (312) 648-5470
       
      Please be advised that effective Friday, March 8, 2013 RTH cycle CME Clearing (CME) will use price plus accrued (dirty price) for securities. Price plus accrued includes the accrued interest in the value of the security. Please note this will affect U.S. treasuries, agencies, and foreign sovereign debt. Price plus accrued does not apply to mortgage backed securities. This change in pricing methodology will not affect haircuts. Please see the CME Clearing website for acceptable collateral and applicable haircuts.
      For any questions regarding the change to price plus accrued, please contact CME Clearing Financial Unit at (312) 207-2594 or Risk Management department at (312) 648-3888.
       
      On November 30, 2012, CME Group acquired the Kansas City Board of Trade and the KCBOT Clearing Corporation. For more information please see:
      CME plans to integrate clearing processing for KCBOT on Monday, April 15, 2013, pending regulatory approval. We are aiming for this early date because clearing firms are eager to achieve the operational efficiencies which will come with clearing integration. Note that prior to that date, there will be minimal operational changes, and all existing KCBOT clearing processing will continue in the current KCBOT systems without modification.
      Friday April 12, 2013, will be the last day in which clearing processing for KCBOT occurs in the KCBOT systems. On Saturday morning April 13, the ending KCBOT positions as of Friday will be loaded into the CME clearing system, and beginning on Sunday evening April 14, clearing processing will be done in the CME clearing system.
      We are planning the transition in a manner which we believe will result in absolutely minimal impact to clearing firms and bookkeeping systems.
       
      November 30, 2012 marked the end of the 2012 BPS tax year for brokerage. The following 1099 processing schedule will be effective for the 2012 tax year:
      Date
      Action
      Friday, December 07, 2012
      Deadline for initial 1099 adjustments.
      Monday, December 10, 2012
      Preliminary CME, CBT, NYMEX and COMEX 1099 Reports will be available in MRS (Member Reporting System) as report named “Prelim Broker’s Yearly Banking Summary” which will reflect initial adjustments made by December 07, 2012. In BPS, firms can run the Tax Billing Group Details report to verify their tax details.
      Friday, December 28, 2012
      Deadline for final adjustments to the Firm 1099 Reports.
      Thursday, January 03, 2013
      Final CME, CBT, NYMEX and COMEX 1099 Reports will be available on MRS as “Final Broker’s Yearly Banking Summary”.
      Monday, January 07, 2013
      Deadline for reporting any discrepancies in 1099 Reports to the CME Clearing House.
      Thursday, January 17, 2013
      Distribution of 1099 Statements to clearing member firms. As in past years, firms will be able to elect the CME Group to send out the statements for a fee. Details will be included on a subsequent advisory.
      Thursday, January 31, 2013
      Deadline for clearing member firms to distribute 1099 statements to brokers.
      March 2013
      Deadline for CME sending 1099 Statement Tape to the IRS.
       
      Please ensure the appropriate staff receives a copy of this schedule.
      If you have any questions concerning BPS or 1099 processing, please contact: CME Group Clearing Services at 312.207.2525 or ccs@cmegroup.com.
      UPDATE – Important clarification:
      The currency market uses CNY as the currency code for the “onshore” Chinese Renminbi Yuan, and CNH as the currency code for the “offshore” Renminbi, typically held in Hong Kong. The new futures contracts described herein are denominated in CNH, the offshore Renminbi, and CME’s clearing reports and datafiles will show the currency code as CNH.
      Usage in the industry is not entirely consistent, however, and your settlement and/or delivery bank for the offshore Renminbi may refer to it using the currency code of CNY. Also please note that SWIFT requires CNY as the currency code for both the onshore and the offshore Renminbi.
       
      This advisory describes CME Group’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 CME 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 Group 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.
      CME Group plans to integrate all trade entry and clearing processing for KCBOT on Monday, April 15, 2013, pending regulatory approval. Most importantly, what this means for the trading floor community is that the legacy KCBOT “TEMS” (Trade Entry Match System) application will be replaced by the CME’’s trade processing application called “FEC” (Front End Clearing). Similar to TEMS, FEC is an internet browser based application. FEC also has many features including trade entry and correction, trade allocation and claiming (i.e. give-ups), average pricing, and ex-pit trade entry.
      CME Group Contacts
      cmegroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
      Clearing House
      (312) 207-2525
      CME Globex Information
      CME Global Command Center
      (312) 456-2391
      Global Account Management
      U.S.
      (312) 634-8700
      Europe
      44 203 379 3754
      Asia
      65 6593 5574
      Performance Bond Information
      Risk Management Dept.
      (312) 648-3888
      Position Limits
      Market Regulation
      (312) 341-7970
      Clearing Fees
      Clearing Fee Hotline
      (312) 648-5470
      Risk Management
      Risk Management Hotline
      (312) 634-3888
      Collateral
      Financial Unit Hotline
      (312) 207-2594
      Deliveries
      Deliveries Unit
      (312) 930-3172
      Clearing Customer Service
       
      (312) 207-2525

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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