Chadv13-224 - CME Group

CME Clearing Notice: May 13, 2013

- To
- Clearing Member Firms
- From
- CME Clearing
- #
- 13-224
- Notice Date
- 17 May 2013
- Effective Date
- 17 May 2013

Topics in this issue include:

Critical System Updates
Deliveries
Events & AnnouncementsM

Critical System Updates

NEW: Price Format changes for Euro FX/GBP (RP) and Euro FX/JPY (RY) Futures

As previously announced, CME Group will allow a reduced tick increment for calendar spread trades for Euro FX/GBP Cross Rate (RP) and Euro FX/JPY Cross Rate (RY) effective May 20^th 2013. As a result of this change, the price format will change on the text version of the Settlement Price File and SPAN file. The changes are currently in the New Release Environment and will become effective in Production May 20th, 2013.

Settlement Price Format	Current Production	Production May 20th
Euro FX/GBP Cross Rate (RP)	84865	848650
Euro FX/JPY Cross Rate (RY)	13223	132230

Strike Price Removal for Henry Hub Natural Gas European Financial Option

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

Strike Interval Change for Henry Hub Natural Gas European Option

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

Testing for CME Europe

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:

http://www.cmeclearingeurope.com/clearing/clearing-member-notices.html

Clearing Notice 13-35 is located at:

http://www.cmeclearingeurope.com/clearing/files/cmece-margin-change-advisory-13-35.pdf

Appendix 1 to Clearing Notice 13-35 is located at:

http://www.cmeclearingeurope.com/clearing/files/appendix-1-to-13-35.pdf

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

Group Email: ClearingSupport_London@cmeclearingeurope.com

Deliveries

CME Group Delivery Dates for May 2013

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.

NEW: Kansas City Board of Trade (KCB) Delivery Integration Plan Reminder and Testing Update

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 3, 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. For further information on the conversion of receipts process please refer to the following Special Executive report dated April 15, 2013:

http://www.cmegroup.com/rulebook/files/ser_6620-_kcbt_wheat_receipt_conversion_-_04-15-13.pdf

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.

Storage for HRW Wheat receipts will be managed between clearing firms and clearing agents of facilities. However, clearing firms may manage the storage paid through date of inventory in Deliveries Plus. Storage for HRW receipts must be current up to the first calendar day of each contract delivery month. For the July 2013 contracts, the storage must be paid through June 30, 2013.

NEW: Deliveries Plus - Live Cattle Migration Update

Please be advised the migration of the live cattle application to Deliveries Plus has been delayed. For the June 2013 live cattle contract, clearing firms should use the existing live cattle application. Beginning with the August 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 .

2013 Live Cattle Stockyard and Slaughter Plants

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.

Events & Announcements

NEW: Change to Interest Rate Swap Price Curve

Please be advised that beginning Monday, May 20, 2013, CME Clearing will utilize a revised price curve for the CME cleared Interest Rate Swap Products.

The price curve currently used for CME cleared OIS swaps utilizes OIS swap inputs for tenors zero to 30 years. The curve is utilized to settle cleared OIS swaps and in the margin model.

The revision will use the OIS curve for tenor inputs zero to two years – but use a basis curve of OIS/Libor for tenor inputs for after two years out to 30 years. The change is designed to incorporate the most liquid instruments currently available for curve construction.

The impact of the proposed change to the pricing of currently cleared OIS Swaps is minimal.

If you should have any questions please contact Jay Zhu at 212-299-2597 or at jay.zhu@cmegroup.com

NEW: Swap Counterparty Legal Entity Identifier

Commodity Futures Trading Commission (“Commission” or “CFTC”) Regulation 45.6 requires that each counterparty to a swap must be identified in all recordkeeping and swap data reporting by means of a single Legal Entity Identifier or “LEI”. 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. [Please note that this requirement does not apply to futures, including block futures, transactions. In addition, this requirement does not at this time apply to natural persons and non-US persons.]

There are two methods by which CME Clearing Members may include an LEI/CICI on swaps submitted for clearing at CME Clearing.

(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 swap 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 LEI/CICI with CME Clearing. This value will be automatically included in every subsequent and past trade submitted for clearing by that particular market participant.

CME Clearing Members are reminded that the compliance date for use of the appropriate LEI/CICI has passed and that all swap counterparty data submitted to CME Clearing must contain an appropriate LEI/CICI at the time of submission.

CME Clearing Members and swap market participants with questions may contact either:

CME OTC Registration Team

1.212.299.2670

US Toll Free – 1.800.438.8616

London Toll Free – 0800.898013

OTCRegistration@cmegroup.com

CME Client Services Team

1.312.338.7112

onboarding@cmegroup.com

Category 3 Collateral Limit Expansion

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.

Contact Information

CME Group Contacts
cmegroup.com Inquiries	Customer Service	(800) 331-3332
General Information	Products & Services	(312) 930-8213
General Information	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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