Chadv13-462 - CME Group

CME Clearing Notice: September 30, 2013

- To
- Clearing Member Firms
- From
- CME Clearing
- #
- 13-462
- Notice Date
- 04 October 2013
- Effective Date
- 04 October 2013

Topics in this issue include:

Critical System Updates

· NEW: Addition of Legal Entity Identifier (LEI) to SEF FIXML Confirmation Messages

· NEW: CDS Liquidity Margin Methodology Change in Production

· NEW: IRS SGD Production Advisory

· NEW: Morning Position Adjustment File (PCS) Processing Available Beginning October 21, 2013

· NEW: CME SPAN File Update: Discontinuation of the No Mod version of the SPAN file

· Change to Venue Identifiers in FIXML for SEF Trade Reporting Coming October 21, 2013

Deliveries

· NEW: CME Group Delivery Dates for October 2013

· 2013 Live Cattle Stockyard and Slaughter Plants

· NEW: Update on 2013 October 2013 Live Cattle Deliveries

· NEW: October 2013 Currency Delivery Reminders- Last Trade Date

· NEW: Deliveries Plus-Live Cattle Migration Update and Enhanced Long Date Reporting Functionality

· Reminder- Deliverable Interest Rate Swap Futures Delivery Intent Template Requirements

Events & Announcements

· NEW: Member Customer Margin for Cleared OTC Positions

· NEW: Minimum Price Increment Change for Henry Hub Contracts

· NEW: Calendar Spread Options Product Listing Schedule Expansion

· NEW: Product Modification Summary: Product Delisting, Effective Monday, September 30, 2013

· NEW: Listing Additional Contact Months for RINs Products on Globex

· NEW: Review of Collateral Haircuts Advisory

· NEW: Foreign Currency Settlements Missing SSIs

· NEW: CME to Allow Excess LSOC Collateral Value to Cover Variation Margin Losses

· Contact Information

Critical System Updates

NEW: Addition of Legal Entity Identifier (LEI) to SEF FIXML Confirmation Messages

In addition to the new Venue Type attribute added to Swap Execution Facility (SEF) FIXML confirmation messages (Advisory Notice 13-400) coming October 21, 2013, a SEF Legal Entity Identifier (LEI) Party Block will also be included in Trade Capture Report messages.

CME Group will use this new venue and the new block only for SEF trades. Currently, CDS and IRS trades are not affected by this change. In addition, any new swaps trades will utilize new product codes, distinguishing them from their futures counterparts.

The new LEI Party ID will be a maximum of 20 characters in length, and be found in a Party Block with Role=”73” as shown in the sample message on the following page. Party Role “73” means “SEF,” and Source “N” means “LEI.” The LEI for the CME SEF is “SNZ2OJLFK8MNNCLQOF39”. Trades matched on other SEF’s will have LEI’s representing those platforms. Please also keep in mind that there are different types of LEI’s; be sure to qualify these as SEF LEI’s.

For questions or further information, please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.

NEW: CDS Liquidity Margin Methodology Change in Production

Please be advised that a change in calculating the liquidity factor of the margin methodology for CDX Index Credit Default Swap contracts will become effective in Production as of October 4^th, 2013, RTH.

The new liquidity factor will be a function of the market risk exposure modeled through portfolio SDV01 and the basis risk exposure modeled through portfolio RSDV01. Additionally, a DST (Duration/Series/Tenor) based floor liquidity charge will be introduced.

This change will be supported by the current version of PC-SPAN, which is the most up-to-date version available (no upgrades are necessary for customers using the latest version).

Please contact the CME Clearing Risk Hotline at clearing.riskmanagement@cmegroup.com or 312.648.3888 if you have further questions.

NEW: IRS SGD Production Advisory

Please note CME Clearing will deploy SGD denominated swaps to the Production environment Tuesday, October 1,^,2013. This deployment will include:

SGD margin data files and VWAP index support
To account for negative zero rates that Singapore dollar Swap Offer Rate (SOR) has experienced, CME will shift the data by 4% before computing the returns.

CME has concurrently filed a change with the CFTC which will be effective in accordance with the CFTC Regulation 40.6 timeframes.

Please contact the CME Client Services Team at onboarding@cmegroup.com or 312.338.7712 with any questions/concerns.

NEW: Morning Position Adjustment File (PCS) Processing Available Beginning October 21, 2013

Beginning trade date October 21, 2013, CME Group will begin accepting morning position adjustments via a morning PCS file. This will allow for an automated solution, where currently positions may be adjusted only via the CME Group Positions User Interface.

Messages within the new adjustment file should be in same format as the nightly PCS file, and may be submitted even if there has been no change in position. The only difference between the nightly file and the morning file, other than quantities, will be the name of the file itself. The naming convention for the morning PCS file is:

PCSADJ.CMF_xxx.xml, where “xxx” is the firm number submitted in the nightly file.

CME Group will accept files with a BizDt representing either the current (morning) or prior (most recent night cycle) Clearing Business Date. This means that, other than the file name, the standard PCS process may be used to create the morning adjustment file. Current day’s trades may not be included in the PCS positions reported in the new adjustment file. A step should be added to the standard process to remove the new day’s trades (but not as-of trades) if they exist.

The file will not be accepted after 8am each morning. Files submitted after Friday night’s processing will be processed between Sunday afternoon startup and the regular 8am (Chicago) cutoff time Monday mornings. That is, you will not see morning position adjustments on Saturdays.

For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.

NEW: CME SPAN File Update: Discontinuation of the No Mod version of the SPAN file

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, October 28^th, 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/pub/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, October 28^th.

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, at:

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/Chadv12-259.html

For any questions or concerns, please contact CME Clearing at 312-648-3888.

Change to Venue Identifiers in FIXML for SEF Trade Reporting Coming October 21, 2013

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.

Deliveries

NEW: CME Group Delivery Dates for October 2013

Listed at this link are the relevant delivery dates for the October 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.

2013 Live Cattle Stockyard and Slaughter Plants

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: Update on 2013 October 2013 Live Cattle Deliveries

In light of our letter to customers the morning of October 1, 2013 regarding the potential impacts of a government shutdown, we can now confirm both live and carcass grading performed by USDA graders will be available as needed for all live cattle deliveries against the October 2013 Live Cattle Contract.

Information on the specific programs within the USDA AMS which will be impacted can be found by following this link: http://www.usda.gov/documents/usda-ams-shutdown-plan.pdf.

Until further notice, for any cattle deliveries occurring during the government shutdown, the most recently issued reports by the USDA for adjustment factors will be used for calculating final invoice amounts for live and carcass deliveries.

We will continue to monitor the situation as it relates to any potential changes to the delivery or final settlement procedures for the October 2013 Live Cattle futures and options contracts and provide updates accordingly.

Please contact CME Deliveries at 1.312.930.3172 orclearinghousedelivteam@cmegroup.com, Matt Herrington, Manager Commodity Research & Product Development at 312.338.2787, or David Lehman, Managing Director, Commodity Research & Product Development at 312.930.1875 with any questions.

NEW: October 2013 Currency Delivery Reminders- Last Trade Date

Last Trading Date

Last trading date for October 2013 MXN/USD, ZAR/USD and both USD/CNH (Standard-Sized and E-micro U.S. Dollar/Offshore Chinese Renminbi) futures contracts will be Friday October, 11, 2013 as Foreign Exchange trading is closed on Monday, October 14, 2013 (Columbus Day).

The delivery dates for October 2013 MXN/USD, ZAR, USD, USD/CNH and USD/MNH futures contracts will remain unchanged as Wednesday, October 16, 2013.

FX Delivery Procedures

Detailed currency delivery procedures are available on cmegroup.com at the following link:

http://www.cmegroup.com/clearing/files/clearing-house-currency-delivery-processing-procedures.pdf

Payment Reminder

Currency payments are due into CME’s agent bank delivery account by 10:00 a.m. local time in the currency’s country of origin. A Clearing firm’s failure to adhere to deadlines may result in fines and fees being assessed per Rule 743.A.Late or Inaccurate Delivery.

Settlement Prices

Final settlement prices are made available in the Deliveries system and on www.cmegroup.com.

To access the settlement page click on the link below and select “Deliverable Currency Settlement Prices.”

http://www.cmegroup.com/clearing/deliveries/index.html

Firms can obtain a copy of CME’s banking instructions for all currency contracts by contacting Deliveries.

If there are any additional questions, please contact Deliveries at 312-930-3172.

NEW: Deliveries Plus-Live Cattle Migration Update and Enhanced Long Date Reporting Functionality

Live Cattle Migration:

Please be advised, starting with the October 2013 contract, CME Live Cattle will be migrated to Deliveries Plus. The migration offers new and improved features to Clearing Member Firms. Some of the features include:

· Ability to manage delivery scheduling through the Delivery Schedules section.

· Email confirmations for actions completed throughout the delivery process.

· Improved firm management functionality for feedlots.

Beginning on September 30, 2013, firms must submit long dates in Deliveries Plus either manually or by utilizing the long date file.

Users needing access to CME products in Deliveries Plus can contact CME Firm Support at 312.930.3444 or FirmSupport@cmegroup.com.

Long Date File Enhanced Functionality:

Clearing Member Firms utilizing FTP file uploads to report long dates may now combine their CME, CBOT, and KCB Wheat long dates onto a single file. As a reminder, CMFs submitting long date files must name the file PFTP.FXXXDLV.DATA (with XXX as CMF number) and use the following format: http://www.cmegroup.com/clearing/files/delivery_long_date_layout.pdf.

CMFs desiring to send more than one long date file at a time may do so by using the following file names (keeping XXX as the CMF number regardless of the data on the file or the number extension):

PFTP.FXXXDLV.01.DATA

PFTP.FXXXDLV.02.DATA

Firms submitting long date files may use a “zero out” record for each exchange (CME, CBOT, and KCB Wheat) at the top of the file to clear prior holdings. Please see the second page of the above long date file format link for proper “zero out” record formats.

Long date files can be submitted at any time, however the files are only swept into the Deliveries Plus system starting at 2:00p.m. CST and every 15 minutes thereafter, until 8:00 p.m. CST each business day.

To test long date file submissions in the New Release testing environment, please contact Deliveries at 312.930.3172 to coordinate. All long dates file submissions for testing must include the word “test” in the file name, e.g. PFTP.FXXXDLVTEST.DATA.

If there are any questions, please contact Deliveries at 312.930.3172 or clearinghousedelivteam@cmegroup.com.

Reminder- Deliverable Interest Rate Swap Futures Delivery Intent Template Requirements

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.

Events & Announcements

NEW: Member Customer Margin for Cleared OTC Positions

CME Clearing has received a number of requests for guidance as to the applicability to cleared OTC positions of the lower “clearing” or “maintenance” margin level as a customer-exchange member account under Regulation 39.13(g)(8)(ii).

Regulation 39.13(g)(8)(ii) requires the collection of initial margin from customers, for non-hedge positions, at a level greater than 100% of the DCO initial margin requirement for each product and swap portfolio. The CFTC, on September 14, 2012, issued a clarification letter regarding the interpretation of Regulation 39.13(g)(8)(ii). The clarification letter, generally, provided that the CFTC intended to preserve the historic practice of permitting lower margin levels (clearing/maintenance) for hedge accounts or customer-exchange member accounts. The reasoning provided for this margin treatment was that member customers are “professional traders and are subject to stricter standards and a higher level of review than ordinary public customers.

Therefore, CME Clearing will extend the clearing/maintenance margin level for cleared OTC positions in the account(s) of CME corporate membership holders (CME Rule 106.J–Equity Member; 106.H–Trading Member Firm; 106. I–Affiliate Member Firm; 106.R–Electronic Corporate Member; 106.S–Family of Funds Member).

For more information please contact CME Risk at (312) 648-3888.

NEW: Minimum Price Increment Change for Henry Hub Contracts

Effective Sunday, October 20, 2013 for trade date Monday, October 21, 2013 and pending all relevant CFTC regulatory review periods, please be advised that NYMEX, Inc; (NYMEX Exchange, or EXCHANGE) will amend the minimum price increments and Decimal Place Locators (DPLs) for the following products:

Clearing Code	Title	Current Trading DPL	New Trading DPL	Current Clearing DPL	New Clearing DPL	Current Min Tick	New Min Tick
NN	Henry Hub Natural Gas Last Day Financial Futures	3	4	3	4	0.001	0.0001
NP	Henry Hub Natural Gas Penultimate Financial Futures	3	4	3	4	0.001	0.0001
HH	Henry Hub Natural Gas Look-Alike Last Day Financial Futures	3	4	3	4	0.001	0.0001
HP	Henry Hub Natural Gas Look-Alike Penultimate Financial Futures	3	4	3	4	0.001	0.0001
NNT	Henry Hub TAS	3	4	3	4	0.001	0.0001
HHT	Henry Hub Natural Gas Look-Alike Last Day Financial Futures TAS	3	4	3	4	0.001	0.0001

These changes will be available in the New Release environment for testing on Wednesday, September 25.

NEW: Calendar Spread Options Product Listing Schedule Expansion

Effective Sunday, November 10^th for trade date Monday, November 11^th, and pending all relevant CFTC regulatory review periods, please be advised that CME Group, Inc. (CBOT) will expand the listing of contract months for the products listed below on CME Globex and Open Outcry.

Code Clearing / Globex	Title	Current Listing Schedule	New Listing Schedule (as of Monday, October 21st)
PYC / CZC	Corn Calendar Spread Options: Consecutive Months	The nearby three successive futures calendar spreads.	The nearby five successive futures calendar spreads.
ZSC / CZS	Soybean Calendar Spread Options: Consecutive Months	The nearby three successive futures calendar spreads.	The nearby seven successive future calendar spreads
MYC / CZM	Soybean Meal Calendar Spread Options: Consecutive Months	The nearby three successive futures calendar spreads.	The nearby eight successive future calendar spreads
COY / CZL	Soybean Oil Calendar Spread Options: Consecutive Months	The nearby three successive futures calendar spreads.	The nearby eight successive future calendar spreads
WZC / CZW	Wheat Spread Options: Consecutive Months	The nearby three successive futures calendar spreads.	The nearby five successive futures calendar spreads.

NEW: Product Modification Summary: Product Delisting, Effective Monday, September 30, 2013

Effective September 30, 2013, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) delisted Midwest ISO Indiana Hub 5 MW Peak Calendar-Month Day-Ahead Swap (Clearing Code MII/Globex Code MII) from CME Globex and CME ClearPort.

There is currently no open interest in this product.

NEW: Listing Additional Contact Months for RINs Products on Globex

Effective Monday, September 30, 2013 for trade date Tuesday, October 1, 2013, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) will expand the listing of contract months for the products listed below on CME Globex. The listing for Open Outcry and for submission for clearing on CME ClearPort remains as is.

Code Clearing / Globex	Title	Current Globex Listing Schedule	New Globex Listing Schedule (as of 9/28/13)
D62 / D62	D6 Ethanol RINs (Argus) 2012 Futures	1 Month	6 Months
D63 / D63	D6 Ethanol RINs (Argus) 2013 Futures	1 Month	6 Months
D64 / D64	D6 Ethanol RINs (Argus) 2014 Futures	1 Month	6 Months*
D52 / D52	D5 Advanced Biofuel RINs (Argus) 2012 Futures	1 Month	6 Months
D53 / D53	D5 Advanced Biofuel RINs (Argus) 2013 Futures	1 Month	6 Months
D42 / D42	D4 Biodiesel RINs (Argus) 2012 Futures	1 Month	6 Months
D43 / D43	D4 Biodiesel RINs (Argus) 2013 Futures	1 Month	6 Months

*If these products are extended on Globex in September, the contract months for the D64 will be F4-G4, if the contracts are extended in October, the listed contract months will be F4-H4. There will then be one additional month listed each month, until 6 months are reached on Globex. Thereafter list the most current 6 months.

NEW: Review of Collateral Haircuts Advisory

In conjunction with regular review of market volatility to ensure adequate collateral coverage, please find the current acceptable collateral and haircuts for CME Clearing below. Effective October 1, 2013, Singapore dollar will be acceptable collateral for IRS and will only be applied to meet its respective currency requirement. Please note that the changes column found below 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.

NEW: Foreign Currency Settlements Missing SSIs

Effective Monday, October 21^st RTH settlement cycle, clearing members who have foreign currency variation settlements but have not provided a valid bank account and/or granted CME debit authority will have their FX variation converted to a USDE amount and netted with their existing USD variation settlement.

A 1% fee will be subtracted from the USDE converted amount to account for exchange rate fluctuations when CME has to then purchase/sell the foreign currency the following day. This fee is subject to change depending on exchange rate volatility and periodic reviews by the collateral risk committee.

This new process will apply to settlement variation pays as well as collects.

A new CST640 report will be created each night to show these movements when they happen.

Please direct any questions to CME Clearing Financial at 312-207-2594 orchfin@cmegroup.com.

NEW: CME to Allow Excess LSOC Collateral Value to Cover Variation Margin Losses

On Monday, October 21, 2013, CME Clearing will introduce an important enhancement to its LSOC offering for clearing firms which have elected to operate in the "with-excess" mode. In particular, firms will be able to use a client’s excess LSOC value to cover a client’s variation loss, to the extent that the needed cash is on deposit in the currency in which the variation loss is denominated. Please click here to continue reading.

Contact Information

CME Group Contacts
cmegroup.com Inquiries	Customer Service	(800) 331-3332
General Information	Products & Services	(312) 930-8213
General Information	Clearing House	(312) 207-2525
CME Globex Information	CME Global Command Center	(312) 456-2391
Global Account Management	U.S.	(312) 634-8700
	Europe	44 203 379 3754
	Asia	65 6593 5574
Performance Bond Information	Risk Management Dept.	(312) 648-3888
Position Limits	Market Regulation	(312) 341-7970
Clearing Fees	Clearing Fee Hotline	(312) 648-5470
Risk Management	Risk Management Hotline	(312) 634-3888
Collateral	Financial Unit Hotline	(312) 207-2594
Deliveries	Deliveries Unit	(312) 930-3172
Clearing Customer Service		(312) 207-2525

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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.