Topics in this issue include:
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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.
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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 4th, 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.
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Please note CME Clearing will deploy SGD denominated swaps to the Production environment Tuesday, October 1,, 2013. This deployment will include:
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.
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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.
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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 28th, 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:
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 28th.
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:
For any questions or concerns, please contact CME Clearing at 312-648-3888.
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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:
* 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.
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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.
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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.
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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.
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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:
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
To access the settlement page click on the link below and select “Deliverable Currency Settlement Prices.”
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.
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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.
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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.
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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.
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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:
These changes will be available in the New Release environment for testing on Wednesday, September 25.
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Effective Sunday, November 10th for trade date Monday, November 11th, 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.
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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.
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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.
*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.
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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.
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Effective Monday, October 21st 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.
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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.
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