• Clearing Notice: Monday, July 8, 2013

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-318
      • Notice Date
      • 12 July 2013
      • Effective Date
      • 12 July 2013

    • Topics in this issue include:
      ·        Testing for CME Europe
      *     Deliveries
      ·        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
      ·        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:
      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.
      CME Clearing accepts shares of certain equity stocks for customer and house segregated performance bond collateral. CME Clearing implemented its Stock Program to enable clearing members to post shares of selected stock with the Clearing House to satisfy performance bond requirements. 
      CME Clearing’s performance bond requirements consist of two amounts: core performance bond requirements and concentration performance bond requirements. Concentration performance bond requirements are set from time to time and are equal to the portion of the total performance bond requirement that may be met using concentration collateral. 
       
       
       
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