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CME Clearing Notice: April 15, 2013
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- To
- Clearing Member Firms; Back Office Managers
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- From
- CME Clearing
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- #
- 13-190
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- Notice Date
- 22 April 2013
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- Effective Date
- 15 April 2013
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Topics in this issue include:· Minimum Price Increment Change for U.S. Midwest Domestic Hot-Rolled Coil Steel Index Average PriceAs a reminder, the Post-Trade Processing FECPlus launch date, including the migration to the FIXML 5.0 API, for CME, CBT, KCB, NYMEX, COMEX, and DME is scheduled for Monday, April 22, 2013.With this conversion, the remaining post-trade processing functions, including give-ups and average-priced give-ups, will be migrated to the FECPlus web application. Additionally, all post-trade processing messaging will use the FPL-compliant FIXML 5.0 API.Below is the link for the advisory notice containing the schedule for the Deployment Weekend, including timeline and checkpoints:CME Clearing is making changes to IRS margins in the Production environment for GBP. Starting April 15, 2013, GBP-denominated Interest Rate Swaps will use OIS Discounting in margin computations. The base curve and scaled log return files will be updated on April 15 to reflect the additional curves.If you have questions, please contact the CME Risk Management Department at clearing.riskmanagement@cmegroup.com or 312-648-3888As previously announced and pending final regulatory approval, clearing processing for the Kansas City Board of Trade will be integrated into the CME clearing system, for business day Monday, April 15, 2013.Accordingly, firms and clients should begin using CME's SPAN file for margining customer positions in KCBT products, on that April 15 date.In preparation for the April 15th, 2013 first day of clearing Kansas City Board of Trade (KCB), we are requesting clearing member firms notify us if they would like the default value in the FIXML tag “Exch” be “flipped” from KCB to CBT for book keeping confirm records. Additionally, please indicate which queues this change should apply.This change will not affect anything other than the FIXML clearing confirm record and there is no need to respond if the Exch attribute should remain KCB.If there are any questions regarding this request please contact us at (312) 207-2525 or 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.Beginning with the July 2013 Hard Red Winter Wheat (KW) contract, the HRW Wheat delivery process will be fully integrated into Deliveries Plus. The functionality will allow clearing firms to manage the delivery process through the user interfaces. The functionality will include the following:· Wheat registration· Long date reporting· Intent Submission· Assignment Processing· Reports· InvoicingAs part of the integration, paper wheat receipts will be converted into electronic receipts through E-Grain. Any firm anticipating delivery in the July 2013 contract month must convert the paper receipts to electronic. Beginning June 1, 2013, clearing firms holding paper receipts can submit original receipts to the Kansas City Board of Trade Office located at 4800 Main Street, Suite 303, Kansas City, MO 64112 for conversion. The paper receipts will be cancelled and a new electronic receipt will be provided. A separate notification from Market Regulation will be sent in the coming weeks with further information on the electronic conversion process.In addition, firms submitting long dates via the long date file will be able to submit KCB Hard Red Winter Wheat long dates under exchange CBT on the file. The file will be processed and long dates will be stored under the KCB product exchange.Please be advised the linked delivery process and timeline will be in effect for delivery of the Offshore Chinese Renminbi (CNH) and E-micro Offshore Chinese Renminbi (MNH) contracts.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: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 .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.This past Monday, April 15, 2013, clearing processing for the Kansas City Board of Trade (“KCBT”) was integrated into CME Clearing.Accordingly, all margin calculations for customer portfolios including positions in KCBT products, must now be done using the CME SPAN file.The separate KCBT SPAN file will be discontinued, and will no longer be available, after this coming Monday, April 22, 2013.As previously described, the KCBT products are provided in the CME SPAN file with an exchange acronym of CBT. The product codes are KW for Kansas City Hard Red Winter Wheat futures and options (with a SPAN combined commodity code of KCW) and KWS for the Kansas City HRW Wheat calendar swap contract. For more information please see Clearing Advisory 13-159 at:For more information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.CME Clearing’s performance bond requirements consist of two amounts: core performance bond requirements and concentration performance bond requirements. Concentration performance bond requirements are set from time to time and are equal to the portion of the total performance bond requirement that may be met using concentration collateral.Collateral accepted by CME Clearing will be categorized as noted below. Clearing member firms may meet a maximum of 40% core performance bond requirements with Category 2 assets, and a maximum of 40% core performance bond requirements with Category 3 assets. Also, Category 3 assets have a hard dollar limit of $3 billion per clearing member firm across settlement accounts. Category 1 assets have no requirement type limits. Please refer to the website link below for details on individual asset type limits and product class restrictions.Beginning on Monday April 22, clearing firms may obtain at any time, an up-to-date datafile enumerating each specific collateral asset on deposit with CME Clearing. For each asset, in addition to face value, the report provides haircutted market value both in the currency of denomination and converted to USD-equivalent.We expect that clearing firms will find this capability useful for collateral reconciliation and LSOC collateral value reporting.Currently, this datafile is available three times daily: (a) the “intraday file”, produced at approximately 1pm Eastern, and reflecting amounts on deposit as of the completion of the intraday settlement cycle, (b) the “evening file”, produced at approximately 6pm, and reflecting collateral on deposit after all intraday collateral transactions and revaluations, and (c) the “end-of-day file”, produced at approximately 11pm Eastern, and reflecting amounts on deposit as they will be after the completion of the end-of-day settlement cycle.With the new “on-demand” ability, firms will be able, at any time during the window for collateral transactions, be able to obtain an up-to-date file as of the point they request it.Full technical details, including file format and request mechanism, are available at:For more information or to request that your firm be set up for on-demand collateral files, please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.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 amend the minimum price increment for U.S. Midwest Domestic Hot-Rolled Coil Steel Index Average Price Option. The minimum tick is changing from 1.00 to 0.25.Code
Clearing / GlobexTitleCurrent Tick RuleNew Tick Rule
(as of 4/15/2013)HRO / HROU.S. Midwest Domestic Hot-Rolled Coil Steel Index Average Price Option1.000.25As previously announced and pending final regulatory approval, CME Clearing will begin clearing Kansas City Board of Trade (KCBT) contracts at the start of business Monday April 15th 2013. The products included in this conversion include Hard Red Winter Wheat Futures, Hard Red Winter Wheat Options, and Hard Red Winter Wheat Calendar Swaps (Cleared Only). Clearing specifications for these products are referenced at this link.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.CodeClearing/CME GlobexTitleCurrent Listing ScheduleNew Listing Schedule (as of 4/15/13)PO / POPlatinum OptionNearest three consecutive calendar contract months, plus the next two months of the quarterly cycle of January, April, July, and OctoberNearest three consecutive calendar contract months, plus the next three months of the quarterly cycle of January, April, July, and OctoberPAO / PAOPalladium OptionNearest three consecutive calendar contract months, plus the next two months of the quarterly cycle of March, June, September, and DecemberNearest three consecutive calendar contract months, plus the next three months of the quarterly cycle of March, June, September, and DecemberThis 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 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.CME Group Contactscmegroup.com InquiriesCustomer Service(800) 331-3332General InformationProducts & Services(312) 930-8213Clearing House(312) 207-2525CME Globex InformationCME Global Command Center(312) 456-2391Global Account ManagementU.S.(312) 634-8700Europe44 203 379 3754Asia65 6593 5574Performance Bond InformationRisk Management Dept.(312) 648-3888Position LimitsMarket Regulation(312) 341-7970Clearing FeesClearing Fee Hotline(312) 648-5470Risk ManagementRisk Management Hotline(312) 634-3888CollateralFinancial Unit Hotline(312) 207-2594DeliveriesDeliveries Unit(312) 930-3172Clearing Customer Service(312) 207-2525
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