• CME Clearing Notice: September 16, 2013

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 13-427
      • Notice Date
      • 20 September 2013
      • Effective Date
      • 20 September 2013

    • Topics in this issue include:
      *      Deliveries
      ·         Contact Information
       
       
      Please be advised that beginning Monday, September 23, 2013, CME Clearing will revise the settlement file for the CME cleared USD Interest Rate Swap Products (filename: IRS_USD_CURVE_YYYYMMDD) to reflect only the actual tenor points used to price interest rate swaps. 
      The revision will remove the following tenor points: 
      Swap.USD.3M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.6M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.9M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.1Y.FEDFUNDS.1D/LIBOR.3M.LIBOR01
       Swap.USD.18M.FEDFUNDS.1D/LIBOR.3M.LIBOR01
      Swap.USD.2Y.FEDFUNDS.1D/LIBOR.3M.LIBOR01
        
      If you have any questions please contact the CME Client Services Group atonboarding@cmegroup.comor (312)-338-7112.
      Please be advised that beginning Monday, September 23, 2013, CME Clearing is updating the format of the IRS Curve files. The update will only affect the order of some of the curve points in the Curve files. The change will impact the files listed below:
       
      IRS_AUD_CURVE_YYYYMMDD
      IRS_CAD_CURVE_YYYYMMDD
      IRS_EUR_CURVE_YYYYMMDD
      IRS_GBP_CURVE_YYYYMMDD
      IRS_JPY_CURVE_YYYYMMDD
      IRS_NZD_CURVE_YYYYMMDD
      IRS_USD_CURVE_YYYYMMDD
       
      See email distribution advisory for the latest file format changes.
       
      If you have any questions please contact the CME Client Services Group at onboarding@cmegroup.comor (312)-338-7112.
       
      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.
      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.
      Deliveries
       
      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.
      Please be advised that the linked delivery process and schedule will be in effect for the September 2013 delivery cycle.  All times are Central Standard Time unless otherwise noted.
       
      The September 2013 currency delivery cycle begins Monday, September 16, 2013. Clearing member firms should enter their currency intentions into the Deliveries System available through the CME Portal. The relevant procedures are listed in the full text of this advisory at this link.
       
      Please be advised firms going through a delivery of Deliverable Interest Rate Swap futures will need to submit intents to Deliveries Plus. For Deliverable Interest Rate Swap futures, firms may upload delivery intents via a .csv file or manually add them. Both are done on the Intents section of Deliveries Plus.
       
      Firms may test the intent functionality in the New Release environment.
       
      If there are any questions, please contact Deliveries at 312.930.3172 or clearinghousedelivteam@cmegroup.com.
      The file requirements are provided in the full text of this advisory at this link.
      Listed below is the breakdown of order-to-pay charges per contract for the September 2013 currency delivery. CME Group assesses these charges on a pro rata basis among all longs and shorts settled outside of CLS regardless of whether your firm used an order-to-pay for any of its long transactions. The order to pay breakdown below is based on a per contract basis. 
       
       
      Order-to-Pay Charge Per Contract
      TE
      EUR/TRY Cross Rate
      $0.62
      TY
      Turkish Lira
      $0.54
      Z
      PLN/EUR Cross Rate
      $0.39
       
       
       
       
       
      If you have any questions, please contact the Deliveries Unit, at (312) 930-3172.
       
       
      Effective 09/23/2013, CME Group will modify the KCBT Wheat Calendar Swap (KWS) price format from fractional to decimal. The change will make the KCBT Wheat Calendar Swap price format consistent with the existing grain swaps such as the Corn Calendar Swap (CCS). This change applies to trade and settlement price display, specific examples below.
       
       
       
                                                                                         Existing format                                                      Format Effective 09/23
      Minimum Price Fluctuation
      ¼ cent (.0025)
      .0025
      Value Per Tick
      $12.50
      $12.50
      Print Trade Register
      7.00 3/4
      7.0075      
      Settlement/SPAN file
      7007
      70075
      FIXML
      7.0075
      7.0075
      FEC
      7.007
      7.0075
       
       
      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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