• UPDATED: OTC Holiday Advisory-Good Friday

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-121
      • Notice Date
      • 27 March 2013
      • Effective Date
      • 29 March 2013
    • *Please note special update regarding price alignment interest processing for CDS products below
       
      In advance of the Good Friday holiday, CME Clearing wishes to remind clearing member firms of the processing procedure for price alignment interest for USD CDS products.
       
      Given that Friday, March 29th, 2013 is a SIFMA (CDS) holiday, but a valid USNY business day, CME Clearing will complete the following PAI processing for CDS products –
      ·         At end of day Thursday, March 28th, 2013 – CME Clearing will calculate 1 day of price alignment interest on all EOD reports. This is because the next calendar day (Friday, March 29th) is a valid USNY banking day.
      ·         At end of day Friday, March 29th (Good Friday) – CME Clearing will calculate 3 days of price alignment interest on all EOD reports.
      o   This means that Friday’s EOD CDS reports will be identical to Thursday’s EOD CDS reports except for price alignment interest. Friday’s EOD CDS reports will contain an updated price alignment interest calculation.
       
      If you have any questions, please contact the CME Client Services Team by email at onboarding@cmegroup.com or by telephone at 312-338-7112.
       
       
      Please be advised that CME Clearing will be observing the Good Friday holiday on Friday, March 29, 2013.
       
      For specific information on how this will impact CME Clearing’s processing and trade submission timelines for interest rate swaps (IRS) and credit default swaps (CDS), please refer to the tables below.
       
       Trade Submission and Variation Margin Settlement:
       
      Please take special note of the following:
      ·         For USD IRS products, Friday, March 29th is a normal business day.
      ·         For USD CDS products, Friday, March 29th is a holiday.
       
      Trade Date
      Asset Class
      Currency
      Clear Date
      Upfront Fee Settlement Date
      Friday,
      March 29th, 2013
      IRS
      USD
      Friday, March 29th 
      Monday, April 1st 
      CAD
      Monday, April 1st 
      Tuesday, April 2nd
      EUR, GBP
      Tuesday, April 2nd
      Wednesday, April 3rd
      AUD, CHF,DKK,NOK,SEK
      Tuesday, April 2nd
      Thursday, April 4th
      JPY
      Friday, March 29th 
      Tuesday, April 2nd
       
      CDS
      USD
      Monday, April 1st 
      Tuesday, April 2nd
       
      Since Friday, March 29th, and Monday, April 1st 2013 is a EUR and GBP holiday (Good Friday), any EUR and GBP swaps submitted on Friday, March 29th, 2013 will clear on Tuesday, April 2nd. For USD IRS and JPY currencies it will be business as usual.
       
      For CDS trades, Friday March 29th, 2013 is a holiday, thus any CDS trades entered on Friday, March 29th, 2013 will be cleared on Monday, April 1st, 2013.
       
       OTC FX holiday information will be sourced from COPP CLARK.
       
       Price Alignment Interest:
       
      The table below provides information related to PAI calculation for Good Friday.
       
      Close of Business Date
      Currency
      Number of Days for PAI
      Thursday, March 28, 2013
      USD, JPY
      1
      CAD
      4
      EUR, AUD, CHF, GBP,CAD,SEK,DKK,NOK
      4
       
      Initial Margin Calculations:
       
      Close of Business Date
      Product
      Currencies
      Will CME generate new IM requirements?
      Friday,
      March 29th, 2013
      IRS
      USD, EUR, CAD, AUD, CHF, GBP, JPY,SEK,DKK,NOK
      Yes
      CDS
      USD
      No
       
      OTC FX
      All Currency Pairs
      Yes
       
      EOD Reporting:
       
      Please refer to the table below for CME Clearing’s plans to produce end of day reporting in both the New Release and Production environments for Good Friday holiday.
       
      Date
      Product
      Environment
      EOD Reports Produced?
      Friday,
      March 29th, 2013
      CDS
      Production
      Yes
      CDS
      New Release (UAT)
      Yes
      IRS
      Production
      Yes
      IRS
      New Release (UAT)
      Yes
      OTC FX
      Production
      Yes
      OTC FX
      New Release (UAT)
      Yes
       
      CDS Price Submission:
       
      Date
      CDS Price Submission Schedule
      Thursday, March 28, 2013
      Early close (2:00pm EST)
      Friday, March 29th, 2013
      No price submission required.
       
      On Thursday, March 28th, 2013, CME Clearing will be following the schedule outlined below -
      ·         Publication of early CDS settlement price file: 12:30 p.m. ET (11:30 a.m. CT)
      ·         Publication of Preliminary Dealer Feedback Files: 1:05pm ET (12:05pm CT), 1:35pm ET (12:35pm CT), 2:05pm ET (1:05pm CT)
      ·         Dealer Price Submission Deadline: 2:35 p.m. ET (1:35 p.m. CT)
      ·         Publication of Final PQA Dealer Feedback Files: 2:45 p.m. ET (1:45 p.m. CT)
      ·         Publication of final CDS settlement price file: 3:30 p.m. ET (2:30 p.m. CT)
       
      If you have questions, please contact the CME Client Services Team at onboarding_clearing@cmegroup.com.
       
      Regards,
      CME Clearing

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