• CME Clearing Notice: May 27, 2013

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      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 13-254
      • Notice Date
      • 31 May 2013
      • Effective Date
      • 31 May 2013
      Topics in this issue include:
      ·         Testing for CME Europe
      *      Deliveries
      ·         Contact Information
      Beginning on clearing date Monday, June 17, 2013 several small changes will be evident on the FIXML Trade Register files for CBT, CME, COMEX, and NYMEX (KCBT and DME are included in CBT and NYMEX, respectively). 
      The changes are related solely to trade messages that result from exercise and assignment processing.
      For FIXML Trade Registers 
      Trade Capture Report messages (TrdCaptRpt’s) that are present as the result of exercise and assignment processing will now show several attributes that while not new in FIXML, are now present, and with different values than in current Production FIXML Trade Registers. Specifically, you will see: 
      ·         VenuTyp=”C” – meaning “generated from clearing”
      ·         VenueTyp=”C” (*)
      ·         SesSub=”C” – meaning “generated from clearing”
      ·         PxSubTyp=”1” – meaning “Final”
      ·         AgrsrInd -- for exercises only, this value will now be “Y”. Formerly, this value was always “N” for both exercises and assignments.  
      *If you have not done so already, please move to using VenuTyp (no “e” in “Venue”), if you currently use this attribute. CME Group will deprecate the use of this attribute in the future, and it is advised to switch ahead of time, rather than waiting for a deadline. 
      No changes are expected on the print-format Trade Register.
      The new features are available in the New Release environment, so that you may do testing with your own firm data if desired, leading up to the June 17, 2013 date. You are encouraged to run trades and exercises through your New Release environment, and examine the output, to be sure that your systems are not disrupted by the changes. 
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      Please be advised that in response to customer requests, CME Clearing is adding a new tag to the FIXML 5.0 API. This enhancement is scheduled for deployment in the New Release environment on Wednesday June 4, 2013, and in Production on Monday June 17, 2013.
      The new tag will be identified as “Previous Executing Firm”, and it will be sent in Party Role 201: Pty/@R=”201” – Previous Executing Firm.
      Additionally, this tag will only be sent for re-allocations (sub-allocations), and only when the Executing Firm is also the Claiming Firm (Pty/ID = Pty/Alloc/ID), e.g. allocating to self.
      Please see the below example which describes how this tag is applied:
      Firm A Originally Executes a trade
      Firm A allocates to Firm A: tag not present
      Firm A allocates to Firm B: tag not present
      Firm B allocates to Firm B: AllocRpt/Pty[R=”201”]@ID=”Firm A”
      *Firm B allocates to Firm B (again): AllocRpt/Pty[R=”201”]@ID=”Firm A”
      Firm B allocates to Firm C: tag not present
      Firm C allocates to Firm C: AllocRpt/Pty[R=”201”]@ID=”Firm B”
      *Firm C allocates to Firm C (again): AllocRpt/Pty[R=”201”]@ID=”Firm B”
      *Note: This tag will be present for all subsequent self re-allocations
      The following message sample contains the new tag:
      <?xml version="1.0" encoding="UTF-8"?><FIXML v="5.0 SP2" xv="109" cv="CME.0001"><AllocRpt ClrDt="2013-05-16" TxnTm="2013-05-16T11:16:36-05:00" InptDev="UI" InptSrc="GBX" TrdTyp="0" RptTyp="16" AvgPx="99.7" RptID="13E998FCF9C0001C4F376111636875" MLegRptTyp="1" LastUpdateTm="2013-05-16T11:16:36.875-05:00" Side="1" Stat="6" TransTyp="0" Qty="15" TrdDt="2013-05-16" SesSub="E" SesID="RTH" MtchID="13E998FCF9C0001C4F36E" PostTrdTyp="0" ExecOrClaimInd="1"><Hdr Snt="2013-05-16T11:16:36-05:00" SID="CME" TID="010" SSub="CME" TSub="CME"/><OrdAlloc ClOrdID="20130516PTS0K5P"/><Instrmt Sym="GEU3" ID="ED" CFI="FFDCSO" SecTyp="FUT" MMY="20130900" MatDt="2013-09-16" Mult="2500" Exch="CME" PxQteCcy="USD"/><Pty ID="CME" R="22"/><Pty ID="010" R="1"/><Pty ID="99A" R="12"/><Pty ID="VINAY1" R="44"/><Pty ID="CME" R="21"/><Pty ID="998" R="201"/><Alloc IndAllocID2="100018" CustCpcty="4" Qty="15" TrdID2="13E998FCF9C0001C4F376"><Pty ID="CME" R="21"/><Pty ID="010" R="38"><Sub ID="1" Typ="26"/></Pty><Pty ID="010" R="4"/><Pty ID="CME" R="22"/><Pty ID="010" R="1"/><Pty ID="CUSTACCT3" R="24"><Sub ID="1" Typ="26"/></Pty></Alloc></AllocRpt></FIXML>
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      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
      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.
      Listed in the linked advisory notice are the relevant delivery dates for June 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 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 this Special Executive report dated April 15, 2013
      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.
      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 .
      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 the Union Registry will be closed Monday, July 1, 2013 through Sunday, July 7, 2013due to the Union Registry’s banking process. The banking process involves the conversion of Phase 2 allowances to Phase 3 allowances.  As a result of the Union Registry’s closure beginning July 1, 2013 through July 7, 2013, delivery in the Daily European Union Allowance (EUA) futures (commodity code EUL) contract days Thursday, June 27, 2013 through July 4, 2013 cannot take place. As such, the Exchange will delist EUL contract days Thursday, June 27, 2013 through July 4, 2013 for which there is no open interest.  
      In addition, there will be no impact to the delivery timeline for any other June 2013 deliverable emission contracts. Please see the advisory for contract timelines. 
      As a reminder, any firm going through delivery must have a “trading account” at the Union Registry and must have the account trusted with CME Group’s account. If a clearing firm anticipates delivery and has a trading account that is not trusted with CME Group, please alert Deliveries at least 10 business days prior to a contract’s intent date.  This will allow enough time for the accounts to be trusted due to the Union Registry’s holding period of 7 business days before accounts become trusted. 
      For further information on the Union Registry’s upcoming closure, please refer to the Climate Action Notification
      If there are any questions, please contact Deliveries at 312-930-3172 or clearinghousedelivteam@cmegroup.com.
      Pursuant to Eris Exchange Submission #2013-2013-11 to the Commodity Futures Trading Commission, CME Clearing will reduce the notional value of Eris Exchange Flex and Standard Swap Futures contracts from current $1,000,000 to $100,000 on Monday, June 3, 2013. Additionally, Eris open interest for close of business May, 31, 2013 will be adjusted in clearing to reflect the new notional value. Finally, the margin rates and spread ratios will be amended to reflect this change. To help firms with this process, below are details of the anticipated steps related to this change: 
      Eris Open Interest Adjustment: 
      At the close of business Friday, May 31, 2013 and following the completion of end of day clearing cycle, CME Clearing will adjust Eris open interest in clearing only. Positions will be multiplied by a factor of 10. Example: A customer with 10 long Eris Standard positions and 5 short Eris Flex positions will receive 100 long Standards and 50 short Flex positions in clearing after the conversion is completed. No clearing confirms or reports will be provided following the adjustments. Firms can check their adjusted positions in CME Positions after 2:00 pm (CST) Sunday, June 2, 2013.  
      Margin rates and ratios: 
      CME Clearing will modify Performance Bond rates and spread ratios to be effective Monday, June 3, 2013. An updated Performance Bond advisory will be published on Friday, May 31, 2013 to reflect the modified Performance Bond rates and spread ratios. 
      For more information, please contact ccs@cmegroup.comor via phone at 312 207 2525.
      Effective Sunday, June 2, 2013 for trade date Monday, June 3, 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. Please click here for more details.
      On Monday June 3, 2013 the Final Settlement dates for the existing contracts as well as the Settlement date rule going forward will be changed for the following products as listed below. All other product specifications will remain unchanged.
      The following products will be updated:
      Clearing Ticker Symbol
      Clearing Code
      Current Final Settle Date Rule
      New Final Settle Date Rule
      Brent Last Day Contract (FUT)
      5th business day after the last trade date
      1 business day after last trade date
      Brent Calendar Swap (FUT)
      5th business day after the last trade date
      1 business day after last trade date
      WTI-Brent Calendar Swap (FUT)
      2nd business day after the last trade date
      1 business day after last trade date
      NY RBOB GAS VS Brent Crude (FUT)
      2nd business day after the last trade date
      1 business day after last trade date
      Heating Oil VS Brent Crack Spread (FUT)
      2nd business day after the last trade date
      1 business day after last trade date
      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
      CME Client Services Team
      US Toll Free – 1.800.438.8616
      London Toll Free – 0800.898013
      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 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.
      Effective Sunday, June 2, 2013, for trade date Monday, June 3, 2013, the Commodity Exchange Inc. (COMEX or EXCHANGE) will increase the strike price interval forSilver Options (Clearing Code SI/Globex Code SI).  Specifically, the strike interval will increase from the current 0.05 to 0.25 on CME Globex, the COMEX Trading Floor and for submission for clearing on CME ClearPort. In the event that Silver prices fall to below $10/troy ounce, COMEX will list $0.10 strike price increments in addition to the $0.25 increments.
      Specifically, the listing convention will expand from six to twenty strike prices above and below the at-the-money option for the COMEX trading floor and CME Globex. For options cleared through CME ClearPort, strikes prices can be added on an as needed basis in addition to the regular strike price listing schedule.
      CME Group Contacts
      cmegroup.com Inquiries
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      CME Global Command Center
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      Global Account Management
      (312) 634-8700
      44 203 379 3754
      65 6593 5574
      Performance Bond Information
      Risk Management Dept.
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      Position Limits
      Market Regulation
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      Clearing Fee Hotline
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      Risk Management
      Risk Management Hotline
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      Financial Unit Hotline
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      Deliveries Unit
      (312) 930-3172
      Clearing Customer Service
      (312) 207-2525