• Clearing Weekly Notice: Monday, May 20, 2013

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-329
      • Notice Date
      • 24 May 2013
      • Effective Date
      • 20 May 2013
    • Topics in this issue include:
      ·        Testing for CME Europe
      *     Deliveries
      ·        Contact Information
      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 20th 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 20
      Euro FX/GBP Cross Rate (RP)
      Euro FX/JPY Cross Rate (RY)    
      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 clearing advisories is located at:
      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. Appendix 1 to Clearing Notice 13-35 is located at:
      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 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.  
      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.
      New functionality and changes have been made to Deliveries Plus for Deliverable Swap Futures and will be available for testing in the New Release environment beginning the afternoon of May 22, 2013.
      Deliverable Interest Rate Swap Futures
      To support Deliverable Swap Futures, updates have been made to the intent functionality in Deliveries Plus. Firms going through a delivery of a Deliverable Interest Rate Swap future will be required to submit intents to Deliveries Plus. Deliveries Plus changes include the ability for firms to enter intents either through the user interface or via an intent upload and ability to make revisions to intent submissions through the Intent List functionality.
      Requirements for submitting intents via the “Intent Upload” are outlined in Clearing Advisory # 13-029.
      Clearing will support New Release intent entry throughout the week to simulate the 5-day submission required prior to Last Trade Date. All entries will be finalized on the Friday of each week at 10 am CST. Interest Rate Swap clearing firms will receive clearing confirms by 5:00 pm CST and Interest Rate Swap information will be available on the end of day reports.
      If there are any questions, please contact Deliveries at 312.930.3172 or email at clearinghousedelivteam@cmegroup.com .
      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
      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 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.
      Please note the holiday processing schedule for Friday May 24th through Monday May 27th, 2013 in observance of Memorial Day.
      Trading Venues:
      CME Globex
      CME ClearPort
      Trading Floors
      Friday, May 24
      Product Specific (See Notice Below)
      Normal hours
      Early Close for FX & Interest Rates
      Sunday, May 26
      Normal hours
      Normal hours
      Normal hours
      Monday, May 27
      Product Specific (See Notice Below)
      Normal hours
      For detailed information on the above, please refer to these Holiday Calendars:
      ·        CME Globex
      ·        CME ClearPort
      ·        Chicago Floor
      ·        New York Floor
      ·        Kansas City Floor
      Clearing Processing Cycles – May 27, 2013
      Settlement Variation
      Initial Margin
      Settlement File
      SPAN File
      Intraday Cycle (ITD)
      No ITD Cycle
      No ITD Cycle
      No ITD Cycle
      No ITD Cycle
      No ITD Cycle
      End of Day Cycle (EOD)
      No Variation Movement (Prices will be carried forward from Friday)
      IM requirements will be recalculated.
      Same prices from Friday’s File
      Normal Delivery Time with same prices from Friday’s File
      All Reports Available
      Strike Interval Increase
      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.
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      Risk Management Hotline
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