• CME Clearing Notice: September 2, 2013

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 13-402
      • Notice Date
      • 06 September 2013
      • Effective Date
      • 06 September 2013
      Topics in this issue include:
      *      Deliveries
      ·         Contact Information
      To accommodate regulations regarding Swap Execution Facility (SEF) trade processing, beginning trade date October 21, 2013, CME Group real-time FIXML messages and FIXML Trade Register messages will be enhanced to show new venue and trade types for these new trades. Changes made to identify SEF trades are additions to current functionality, not replacements for existing venues and trade types. The changes are as follows: 
      A new value of “S” will be used to indicate that the trade was done on a SEF venue. Attributes carrying this new value will be VenuTyp, and VenueTyp*.
      The SesSub* attribute, which has traditionally been aligned with VenuTyp and VenueTyp*, will continue to carry the value of “X” (meaning ex-pit), even though VenuTyp and VenueTyp will change for the SEF trades. Also, in some circumstances, the SesSub* value will now be “X” for SEF trades that have been done on Globex (in the past, the only possible value for SesSub was “E” for Globex trades).
      New Trade Type (TrdTyp) attributes available for SEF trades will be:
      • TrdTyp=”54” = Large Notional Off-Facility Swap
      • TrdTyp=”58” = Swap Block 
      * Note that it is our intention to remove SesSub and VenueTyp from real-time FIXML messages altogether early next year, and if you will be changing programs to accommodate the new SEF attribute values, now would be an appropriate time to switch from using SesSub as a key value in any messaging between your firm and CME Group. We will not remove the existing SesSub and VenueTyp attributes for this change, but it is advised to start preparing now, to cause the least disruption when the attributes are actually removed. 
      A chart detailing possible attribute combinations can be found in the full version of this advisory at this link, along with sample FIXML Trade Capture Reports (TrdCaptRpt). Also, you may download sample messages from file SesSubVenuTypVenueTypTrdTyp_SEF.txt, located at ftp.cmegroup.com/pub/span/data/test/FIXML. The messages in the sample file correspond to the table on the page following this, in order.
      For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      At the request of member firms, effective Sunday, September 15,2013, CME Clearing will begin sending up to the maximum 20 characters in party role 44 on the FIXML trade capture clearing confirm record. This was previously an 18 character maximum field.
      Below for your reference is the FIXML attribute record example:
      Pty: ID="12345678910" R="44"
      This will be available to test in New Release on Wednesday 09/04/2013.
      If you have any questions regarding this notice, please contact the CCS via email at ccs@cmegroup.com or via call 312.207.2525.
      Effective September 23rd, 2013, CME Clearing will be decommissioning the CME Trade Migration Utility for credit default swaps in both the New Release and Production environments.
      In the near future, CME Clearing plans to replace the utility’s functionality with a new, streamlined process. CME Clearing will distribute further information about this process later this year.
      If you have any questions regarding this notice, please contact the CME Client Services Team via email at onboarding@cmegroup.com or via telephone at 312.338.7112.
      Please be advised of the following changes regarding publishing of the CME SPAN files.
      For approximately one year, CME has published two versions of its daily SPAN risk parameter files. The main version supports the calculation of margin requirements for certain option products using the modified split allocation feature of SPAN. The alternate version, referred to as the “no mod” file, omits the parameters that drive the modified split allocation calculation.
      Effective Monday, September 23, 2013, CME Clearing will discontinue publishing the “no mod” file – the version that does not support the modified split allocation margining feature. The “no mod” files are located at: ftp.cmegroup.com/span/data/cme/nomod
      Any customers that are currently utilizing the SPAN file located in the nomod directory will need to migrate to the SPAN file published in the primary directory, ftp.cmegroup.com/span/data/cme, by Monday, September 23rd
      For more information about the modified-split allocation feature of SPAN and the margin efficiencies it provides, please see Clearing Advisory 12-259, published June 22, 2012.
      For any questions or concerns, please contact CME Clearing at 312.648.3888.
      Listed in the linked advisory notice are the relevant delivery dates for September 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX/COMEX and DME contracts.
      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.
      Effective Sunday, September 1st for trade date Tuesday, September 3rd, and pending all relevant CFTC regulatory review periods, please be advised that the CME Group, Inc. (CME) will resume the listing of contract months for the product listed at this link on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort.
      Listing of the October and December 2014 contract months had been temporarily suspended pending consideration of changes in contract specifications. These contract months will now be listed under current contract terms, which include the same changes in maximum weight, scheduling and premiums/discounts that became effective with the August 2014 contract listed on July 1. The February 2015 contract will also be listed per the normal contract listing cycle.
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