• CME Clearing Notice: March 25, 2013

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 13-158
      • Notice Date
      • 28 March 2013
      • Effective Date
      • 28 March 2013

    •  
      Topics in this issue include:
      *      Deliveries
      ·         Contact Information
       
       
      As previously announced, CME Group will begin clearing Kansas City Board of trade (KCBT) contracts at the start of business Monday April 15, 2013.
      Therefore, at the request of member firms, CME Group Clearing Services will be offering Front End Clearing (FEC) training classes for the KCBT staff of our clearing member firms.
      These sessions will be held at the Kansas City Board of Trade in the Rod Turnbull Room located on the 3rdfloor. 
      The following training sessions will be held:
      Tuesday, April 2 and Wednesday, April 3:
      8:00 am - 10:00 am
      1:00 pm - 3:00 pm
      Please email ccs@cmegroup.comthe date and time you will be attending.
      If you have any questions please contact CME Group Clearing Services at 312.207.2525 or ccs@cmegroup.com.
      CME Clearing will be upgrading to MQ series 7.1 on Saturday March 23, 2013. This upgrade will be for both Production and Disaster Recovery connections.
      Testing will begin on Saturday, March 23, 2013 between the hours of 8:00am – 12:00pm. The testing will require firms to send a test MQM message to clearing which will be deleted after acknowledgment. Firm representatives should call the clearing services team during these testing hours at 312.207.2525.
      All firms should test their MQ connection by sending in a test message. Firms might also be required to reset their sequence numbers before the start of GLOBEX trading on Sunday.
      If you have any questions or comments, please contact CME Clearing Services Group at 312.207-2525 or via email ccs@cmegroup.com. 
      CME Clearing will shortly enhance the format of SPAN risk parameter files to allow distinguishing between a product’s settlement currency versus its price quotation currency. The settlement currency of a product is defined as the currency in which its variation or premium obligations are denominated, and the price quotation currency is defined as the currency in which its prices are quoted. 
      Until recently, these two values were always the same, but for certain FX-related products offered by CME Clearing, they may be different. In particular, they are different for CME’s non-deliverable FX forwards (for example, the USDCLP non-deliverable forward on the exchange rate between the US Dollar and the Chilean Peso), and on the CNY (full-sized) and MNY (mini) cash-settled futures on the exchange rate between the US Dollar and the Chinese Renminbi Yuan.
      Deliveries
       
       
      Listed in this linked advisory are the relevant delivery dates for April 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, and DME contracts:
      Listed below is the breakdown of order-to-pay charges per contract for the December 2012 currency delivery. CME Group assesses these charges on a pro rata basis among all longs and shorts settled outside of CLS regardless of whether your firm used an order-to-pay for any of its long transactions. The order to pay breakdown below is based on a per contract basis. There will be no OTP fees charged for the March 2013 currency delivery.
      Order to Pay Charge Per Contract
       
       
      $0.00
       
      If you have any questions, please contact the Deliveries Unit, at (312) 930-3172.
      Please be advised the migration of the live cattle application to Deliveries Plus has been delayed. For the April 2013 live cattle contract, clearing firms should use the existing live cattle application. Beginning with the June 2013 live cattle contract month, firm may use the live cattle functionality in Deliveries Plus.
      Clearing firms may still test the new live cattle application in the New Release environment. The migration of Live Cattle to Deliveries Plus offers new and improved features to clearing member firms. Some of the features include: 
      ·         Ability to manage delivery scheduling through the Delivery Schedules feature in Deliveries Plus.
      ·         Email confirmations for actions completed throughout the delivery process.
      ·         Improved firm management functionality for feedlots.
      If a firm needs to access to the New Release environment, please complete the access request form http://www.cmegroup.com/clearing/files/onlineaccess.pdf and fax to Firm Support 312.604-9450.
      If there are any questions, please contact Deliveries at 312.930.3172 or email clearinghousedelivteam@cmegroup.com .
       
      Listed in the linked advisory notice are the relevant delivery dates for March 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, and DME contracts.
      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.
       
      In conjunction with regular review of market volatility to ensure adequate collateral coverage, please find the current acceptable collateral and haircuts for CME Clearing below. CME Clearing reports no additions and the deletion of TLGP from the acceptable collateral list. Please see CME Clearing website for more details. http://www.cmegroup.com/clearing/financial-and-collateral-management/
      Should you have any questions, please contact the Risk Management department at 312-648-3888 or Financial Management group at 312-207-2594.
      Effective Sunday, April 14, 2013 for trade date Monday, April 15, 2013, 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 products listed below on the NYMEX trading floor and available for submission for clearing on CME ClearPort. CME Globex continues to list the nearest three consecutive calendar months.
      Code
      Clearing/CME Globex
      Title
      Current Listing Schedule
      New Listing Schedule (as of 4/15/13)
      PO / PO
      Platinum Option
      Nearest three consecutive calendar contract months, plus the next two months of the quarterly cycle of January, April, July, and October
      Nearest three consecutive calendar contract months, plus the next three months of the quarterly cycle of January, April, July, and October
      PAO / PAO
       
      Palladium Option
      Nearest three consecutive calendar contract months, plus the next two months of the quarterly cycle of March, June, September, and December
      Nearest three consecutive calendar contract months, plus the next three months of the quarterly cycle of March, June, September, and December
       
       
      Effective Sunday, March 31, 2013 for trade date Monday, April 01, 2013 and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) will amend the names of the products listed below on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort.
       
      Additionally, effective with the April 2013 contract month, NYMEX will change the settlement index from WTS crude oil to WTI Midland crude oil.
       
      Code
      Clearing / CME Globex
      Current Product Name
      New Product Name (as of 4/1/2103)
      FF / AFF
      WTS (Argus) vs. WTI Financial Futures
      WTI Midland vs. WTI Financial Futures
      XB / AXB
      WTS (Argus) Financial Futures
      WTI Midland Financial Futures
       
       
      Effective Monday April 8th, 2013 the Final Settlement minimum tick increment will change to .0001 for DJ-UBS Commodity Index and S&P-GSCI Futures & Options. All other product specifications including trading minimum tick will remain unchanged.
       
      The following products will be available:
      Product
      Clearing Ticker Symbol
      Clearing Code
      Current Final Settle Tick
      New Final Settle Tick
      DJ-UBS Commodity Index
      70
      70
      .001
      .0001
      S&P-GSCI Futures
      GI
      GI
      .01
      .0001
      Options on S&P-GSCI Futures
      OG
      GI
      .01
      .0001
       
      The Contract Specifications for these products are unchanged and can be located on the CME Group website at:
       
       
      Effective April 8th CME Group will be changing the minimum tick size, final settle increment, position limits and performance bond requirement for long position holders. The minimum tick size will be decreasing from the current 0.10 to the new tick size of .001. The final settlement will be decreasing from the current minimum increment tick of .01 to .0001. The position limits will be increasing to 59,000 contracts and the 100% performance bond requirement for long position holders will be eliminated.
      The following products are available:
      Product
      Clearing Ticker Symbol
      Clearing Code
      Current Tick Size
      NEW Tick Size
      Current Final Settle Incr.
      NEW Final Settle Incr.
      S&P GSCI™ ER Index Futures
      GA
      GA
      0.10
      .001
      .01
      .0001
       
      The Contract Specifications for these products are can be located on the CME Group website at:
      *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.
       
      ----------
       
      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,SEK,DKK,NOK
      5
       
      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.
       
      On Monday April 15, 2013, and pending regulatory approval, clearing processing for the Kansas City Board of Trade will be transitioned to CME Clearing. Also effective on that date, all CME and CBOT clearing member firms will become eligible to clear KCBOT products.  There will be no additional capital, membership, or permit application requirements.  
      If you are a current clearing firm at KCBOT, nothing changes for you on this transition date, other than the change to process the products through the CME clearing system rather than the KCBOT clearing system. You will continue to clear KCBOT products as you currently do.  
      If you are a CME or CBOT clearing member but not a KCBOT clearing member, and you do not wish to clear directly, then likewise you do not have to do anything different on April 15. You may continue to clear trades in KCBOT products through an omnibus relationship, exactly as you currently do. If you are a NYMEX-only or COMEX-only clearing firm, and trade KCBOT products, you must continue to clear that business on the books of a current KCBOT clearing firm.   
      If you are currently a CME or CBOT clearing firm but are not currently a KCBOT clearing firm, you may elect to begin direct clearing of KCBOT products, on or after April 15.
       
      On Monday March 25, 2013 the Final Settlement minimum tick increment will change to .0001 for DJ-UBS Commodity Indexand S&P-GSCI Futures. All other product specifications including trading minimum tick will remain unchanged.
      The following products will be available:
      Product
      Clearing Ticker Symbol
      Clearing Code
      Current Final Settle Tick
      New Final Settle Tick
      DJ-UBS Commodity Index
      70
      70
      .001
      .0001
      S&P-GSCI Futures
      GI
      GI
      .01
      .0001
       
      The Contract Specifications for these products are unchanged and can be located on the CME Group website at:
      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.
       
      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.
       
      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.
      As previously announced in Clearing Advisory 12-551, published December 19, 2012, and pending regulatory approval, clearing processing for the Kansas City Board of Trade (KCBT) will be integrated into the CME clearing systems as of Monday, April 15, 2013.
      The KCBT products are now fully live in various end-of-day datafiles published by CME Clearing, both in production and in the “New Release” testing environment. And clearing firms may begin testing clearing processing for KCBT products in that “New Release” environment beginning on Friday, March 15.
      Also, as previously announced in Clearing Advisory 13-061, published February 6, 2013, all CME and CBOT clearing member firms, will be eligible to clear the KCBT products, beginning on April 15.
      The below advisory notice details the final foreign currency settlement prices for March 2013.
       
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      Deliveries Unit
      (312) 930-3172
      Clearing Customer Service
       
      (312) 207-2525
       

       

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