• CME Clearing Notice: July 5, 2013

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 13-311
      • Notice Date
      • 05 July 2013
      • Effective Date
      • 05 July 2013
    • Topics in this issue include:
               Testing for CME Europe
      *      Deliveries
               Long Date Reporting Reminder
               Contact Information
      Please be advised that effective Sunday, July 14, 2013, CME Clearing will be enhancing its real-time FIXML Clearing Member Firm messaging API to include @AllocID2, which represents allocation level specific identifiers assigned by CME ClearPort.  The attribute will only appear on the trade confirmations when one side is allocated to more than one account through ClearPort. The AllocID2 is currently echoed back to platforms which submit trades into ClearPort, and can be used to assist in reconciling clearing statuses of individual allocations. 
      Please note this is a new tag and will be added in the RptSide block of the FIXML message.  The ID will appear on the cleared trade confirmation with the following format: 
      <RptSide Side="1" ClOrdID="C1779052" InptSrc="CPC" InptDev="API" CustCpcty="4" SesID="RTH" SesSub="X" AgrsrInd="Y" AllocID="456347563" AllocID2="3847638746"
      This change will be made available for testing in New Release on Friday, July 5th, 2013. 
      If you have any questions or require further information please contact CME Clearing 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 July 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, Kansas City Board of Trade, NYMEX, and DME contracts.
      For CBOT Grains and Financials, CME Live Cattle and Lumber, and KC Wheat, deliveries are assigned according to oldest original trade date. FCMs holding long positions in these products during the delivery period must keep an accurate record of their long positions by original trade date in the Deliveries system. FCMs may utilize two methods for reporting longs; manual entry on the Deliveries system GUI or submitting a file through CME’s FTP server.
      For manual entry, FCMs can add holdings using their CMF/TMF/Origin combination along with quantity and original trade date for open positions. There is also an optional field for a customer account number. Once entered, the record will remain until it is assigned for delivery or removed by the FCM.
      Please be advised the KCB Hard Red Winter Wheat (KW) delivery process is now fully integrated in Deliveries Plus. Beginning with the July 2013 Hard Red Winter Wheat (KW) contract, clearing firms may use Deliveries Plus to manage the delivery process for HRW Wheat deliveries. The functionality in Deliveries Plus includes:
                Wheat registration
                Long date reporting
                Intent Submission
                Assignment Processing
      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:
      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.
      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 that beginning July 15, 2013, CME Clearing will utilize a revised set of parameters for the margining of CME cleared Interest Rate Swap Products. 
      The current margin model utilizes 1,260 business days (scenarios). 
      The IRS margin model will change parameters through an extended look back of margins beyond 1,260 scenarios. The change, pending regulatory review, will preserve key historical dates from the 2008 financial crisis. 
      If you have questions, please email the Risk Research team at QRT@cmegroup.comor call 312-338-2069
      In conjunction with regular review of market volatility to ensure adequate collateral coverage, please find the current acceptable collateral and haircuts for CME Clearing at this link. Effective July 15th ITD cycle, Mexican peso and Turkish lira will only be applied to meet their respective currency requirements. Please note that the changes column found at the link above indicates any near term changes to collateral and haircuts. 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.
      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
      US Toll Free – 1.800.438.8616
      London Toll Free – 0800.898013
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