• CME Clearing Weekly Notice-April 29, 2013

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-207
      • Notice Date
      • 03 May 2013
      • Effective Date
      • 29 April 2013

    • Topics in this issue include:
           Deliveries
      ·        Contact Information
       
       
      CME Clearing is making changes to Interest Rate Swap (IRS) margins in the Production environment for Japanese Yen (JPY). Starting April 29, 2013, JPY-denominated IRS will use OIS Discounting in margin computations. The base curve and scaled log return files will be updated on April 29 to reflect the additional curves.
      If you have questions, please contact the CME Risk Management Department at clearing.riskmanagement@cmegroup.com or 312-648-3888
      As 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 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.
      Effective Sunday, May 12, 2013, for trade date Monday, May 13, 2013, the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) will remove strike prices for Henry Hub Natural Gas European Financial Option (Clearing Code LN/Globex Code LNE). Specifically, NYMEX is removing 0.01 strike prices with no open interest that have never traded from CME Globex, the NYMEX Trading Floor and from CME ClearPort. Market participants can still dynamically create 0.01 strike prices on the NYMEX Trading Floor and on deals submitted for clearing on CME ClearPort.
       
      Information Contacts
      CMEGroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
       
      Clearing House
      (312) 207-2525
      Globex Information
      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
       
       
      Effective Sunday, May 12, 2013 for trade date Monday, May 13, 2013, the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) will amend the strike price interval forHenry Hub Natural Gas European Option(Clearing Code LN/Globex Code LNE). Specifically, the strike price interval will increase from the current 0.01 for pre-listed strike prices to 0.05 on CME Globex, the NYMEX Trading Floor and for submission for clearing on CME ClearPort. Dynamic strike price creation at 0.01 intervals is still available on the NYMEX Trading Floor and for submission for clearing on CME ClearPort.
       
      Information Contacts
      CMEGroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
       
      Clearing House
      (312) 207-2525
      Globex Information
      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
       
      CME Clearing Europe has published Clearing Notice 13-35, detailing the testing process in the New Release environment for the CME Europe exchange.
       
      The main CME Clearing Europe page for its clearing advisories is located at:
       
      Clearing Notice 13-35 is located at:
       
      Appendix 1 to Clearing Notice 13-35 is located at:
       
      The appendix contains detailed specifications for each CME Europe product needed for configuring the product in bookkeeping systems.
       
      For more information please contact CME Clearing Europe at:
      Group Helpdesk: +44 20 3379 3131
       
      As per the normal review of acceptable collateral and limits, CME Clearing is making the below change regarding the clearing member firm maximum limit for Category 3 collateral. The change is pending all regulatory review periods.
      Collateral accepted by CME Clearing is categorized as noted below. Currently, the maximum allowable limit for utilization of Category 3 Assets is the lesser of a) 40 % of core margin requirements and concentration requirements per origin and asset account or b) $3 billion per Clearing Member Firm across all settlement accounts.
      Effective with the RTH cycle on Friday, May 10, 2013, the maximum allowable limit for utilization of Category 3 Assets will be the lesser of a) 40 % of core margin requirements and concentration requirements per origin and asset account or b) $5 billion per Clearing Member Firm across all settlement accounts.
      Category 1 assets have no requirement type limits. Category 2 assets have a maximum allowable limit of 40% of core margin requirements and concentration requirements per Clearing Member Firm across all settlement accounts.
      Please refer to the website link below for details on individual asset type limits and product class restrictions.
      Category 1 Assets:
      • U.S. Cash
      • U.S. Treasuries
      • IEF2 Money Market Fund Program
       
      Category 2 Assets:
      • U.S. Government Agencies
      • Select Mortgage Backed Securities
      • IEF5 Specialized Cash Program
      • Letters of Credit
       
      Category 3 Assets:
      • Foreign Sovereign Debt (sub-limit of $1 billion per clearing member firm)
      • Gold (sub-limit of $500 million per clearing member firm)
      • IEF4 Specialized Collateral Program
      • Stocks
      • TIPS (sub-limit of $1 billion per clearing member firm)
       
      Call CME Clearing for availability of Foreign Cash deposits.
      Refer to the website http://www.cmegroup.com/clearing/financial-and-collateral-management/ for further detail regarding acceptable collateral, haircuts, and limits. For questions about requirements, please call Risk Management hotline at 312-634-3888 and questions about collateral can be directed to the Financial Unit hotline at 312-207-2594.
       
      As per the normal review of market volatility to ensure adequate collateral coverage, CME Clearing will implement the following change to the U.S. Treasury maturity haircut schedule effective with the close of business on Wednesday, May 8, 2013.
      Current Schedule:
      U.S. Treasuries
      U.S. Treasury Bills
      ·        0.5% haircuts applied to market value.
      U.S. Treasury Notes/Bonds
      Time to Maturity:
      ·        0-5 years - 3%
      ·        5-10 years - 4.5%
      ·        10-30 years - 6%
      U.S. Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days
       
      Revised Schedule:
      U.S. Treasuries
      U.S. Treasury Bills
      ·        0.5% haircuts applied to market value.
      U.S. Treasury Notes/Bonds
      Time to Maturity:
      ·        0-1 years - 1%
      ·        1-3 years - 2%
      ·        3-5 years - 3%
      ·        5-10 years - 4.5%
      ·        10-30 years - 6%
      U.S. Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days
       
      Should you have any questions, please contact the Risk Management department at 312-648-3888.
      Please refer to the website http://www.cmegroup.com/clearing/financial-and-collateral-management/ for further detail regarding acceptable collateral, haircuts, and limits.
       
       
      Listed in the linked advisory notice are the relevant delivery dates for May 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, Kansas City Board of Trade, NYMEX, and DME contracts.
      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
      ·        Invoicing
       
      As 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 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.
      Please be advised delivery related information for KCB Hard Red Winter Wheat (KW) is available on cmegroup.com and kcbt.com websites at the following times and locations:
      Daily Delivery Intent Notifications
      Delivery intent notifications are available daily at 4:00 pm on cmegroup.com (http://www.cmegroup.com/clearing/deliveries/ and kcbt.com (http://www.kcbt.com/wheat_futures_options.html).
      Delivery Issue and Stops Report
      Delivery issue and stop reports are available daily around 8:30 am on cmegroup.com (http://www.cmegroup.com/clearing/deliveries/) and kcbt.com (http://kcbt.com/wheat_deliveries.asp).
      If there are any questions, please contact Deliveries 312.930.3172, Chuck Savage or Aaron Howard at 816.931.8964, Joe Ott at 816.753.7500 or email KCBTDeliveries@cmegroup.com.
       
       
       
      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 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

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