• CME Clearing Notice: June 13, 2013

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 13-276
      • Notice Date
      • 13 June 2013
      • Effective Date
      • 13 June 2013

    •  
      Topics in this issue include:
      ·         Testing for CME Europe
      *      Deliveries
      ·         Contact Information
       
       
      Please be advised that on June 3rd, 2013 CME Clearing released a new version of PC-SPAN® software. This version offers improvements to regular split allocation calculations for futures and options products. It is available for download by registered PC-SPAN users at www.cme-ch.com.
      For futures and options, this upgrade will be required effective June 15th, 2013 as CME Clearing will start utilizing regular split allocation for some of its products.  Please note that if you use PC-SPAN solely for the calculation of initial margin for credit default swap products, you are not required to upgrade. Also, there are no changes in the Risk Parameter file formats in conjunction with this release and there are no changes to CDS margin calculations.
      Please contact the CME Clearing Risk Hotline at clearing.riskmanagement@cmegroup.comor 312-648-3888 for more 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.
      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
      Deliveries
       
      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.
      Please be advised that the delivery process and schedule at this link will be in effect for the June 2013 delivery cycle. All times of day are Central Standard Time unless otherwise noted.
      If there are any questions, please contact Deliveries at 312.930.3172 or email clearinghousedelivteam@cmegroup.com.
      The June 2013 currency delivery cycle begins Monday, June 17, 2013. Clearing member firms should enter their currency intentions into the Deliveries System available through the CME Portal. 
      Detailed currency delivery procedures are available on cmegoup.com at the following link: 
      Final settlement prices are made available in the Deliveries system and by clicking select “Deliverable Currency Settlement Prices” from the Settlement Page.
      Additionally, please be reminded the Offshore Chinese Renminbi (CNH) and E-micro Offshore Chinese Renminbi (MNH) contracts are eligible for June 2013 delivery. If you plan on making or taking delivery of these contracts, please arrange to set up a delivery test with Clearing as soon as possible. 
      For additional information regarding CNH & MNH deliveries, please refer to advisory Chadv13-160as well as the CME Group currency delivery procedures. 
      Firms can obtain a copy of CME’s banking instructions for all currency contracts by contacting Deliveries.
      For questions, please contact Deliveries at 312-930-3172.
      CME Clearing has amended the Deliverable Swap Future testing period for the week of June 3, 2013 – June 7, 2013. There will be daily swap creation on June 5th, 6th, & 7th based off intents entered in the New Release environment. On these days all entries will be finalized at 12:00 p.m. CST and Interest Rate Swap clearing firms will receive clearing confirms by 5:00 p.m. CST, as well as IRS information on the end of day reports. 
      As a reminder, Deliveries Plus has new functionality for DSF intent entry as outlined on Advisory Notice 13-235.
      If there are any questions, please contact Deliveries at 312.930.3172 or email at clearinghousedelivteam@cmegroup.com .
      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.
      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.
       
      On Monday June 17, 2013 the Final Settlement date for the following products will be updated. All other product specifications will remain unchanged.
       
      The following products will be updated:
      Product
      Clearing Ticker Symbol
      Clearing Code
      Current Final Settle Date Rule
      New Final Settle Date Rule
      Brent Crude Oil Average Price Option
      BA
      BA
      Last trade date 
      1st business day of the month after the contract month
      Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Option
      7HO
      7HO
      Last trade date. if that is not a business day then it is the business day after
      2nd business day after the last trade date
      Gasoil Average Price Option
      F7
      F7
      Last trade date
      5th business day after the last trade date
      European Naphtha Cargoes CIF NWE (Platts) Average Price Option
      NWE
      NWE
      Last trade date
      2nd business day after last trade date
      Singapore Fuel Oil 180cst (Platts) Average Price Option
      EC5
      EC5
      2nd business day after the last trade date
      5th business day after last trade date  
      Singapore Jet Kerosene (Platts) Average Price Option
      EN2
      EN2
      2nd business day after the last trade date
      Same as Underlying Future
       
      With the launch of the below Interest Rate Swap currency products, CME Clearing, pursuant to CME Rule 820, has decided to expand the types of cash it accepts as performance bond (margin) to include Czech Koruna, Danish Krone, Hong Kong Dollar, Hungarian Forint, Mexican Peso, Polish Zloty, Singapore Dollar and South African Rand. The currencies will only be permitted to meet performance bond requirements in the local currency for the Interest Rate Swap products. The haircuts for each of the currencies are provided below.
      Currency
      Haircut
      Czech Koruna
      10%
      Danish Krone
      5%
      Hong Kong Dollar
      5%
      Hungarian Forint
      10%
      Mexican Peso
      10%
      Polish Zloty
      10%
      Singapore Dollar
      5%
      South African Rand
      15%
       
      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. 
      Effective Sunday, June 16, 2013 for trade date Monday, June 17, 2013, and pending all relevant CFTC regulatory review periods, please be advised that The New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) is amending the name of the product listed below on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort.
      Globex Code
      Clearing Code
      Current Product Name
      New Product Name
      88
      88
      Northwest Europe Fuel Oil High-Low Sulfur Spread (Platts) BALMO Futures
      1% Fuel Oil Cargoes FOB NWE (Platts) vs. 3.5% Fuel Oil Barges FOB Rdam (Platts) BALMO Futures
       
      The Union Registry will be closed Monday, July 1, 2013 through Sunday, July 7, 2013 due 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.
      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
      1.212.299.2670
      US Toll Free – 1.800.438.8616
      London Toll Free – 0800.898013
      1.312.338.7112
       
       
      CME Group Contacts
      cmegroup.com Inquiries
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      Risk Management Hotline
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      Financial Unit Hotline
      (312) 207-2594
      Deliveries
      Deliveries Unit
      (312) 930-3172
      Clearing Customer Service
       
      (312) 207-2525
       

       

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