• CME Clearing Notice: October 14, 2013

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 13-487
      • Notice Date
      • 18 October 2013
      • Effective Date
      • 18 October 2013

    • Topics in this issue include:
      *      Deliveries
      ·         Contact Information
       
       
      Beginning trade date October 21, 2013, CME Clearing will add attributes VenuTyp and SEF LEI (if applicable) to all outgoing FIXML Giveup API messages to firms. Formerly, only Trade Capture Reports (TrdCaptRpt, TrdCaptRptAck) messages carried VenuTyp and SEF LEI. 
      In most cases, the VenuTyp value will be the same as the SesSub value. CME Clearing outlined New VenuTyp attributes for SEF trades on September 12, 2013, in Clearing Advisory 13-400. 
      CME Clearing circulated SEF LEI information on October 3, 2013, in Clearing Advisory 13-460 
      The new VenuTyp attribute is available for testing now in the New Release environment. Sample messages appear in the full version of this advisory at this link. 
      For questions or further information, please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      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.
       
       
      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.
      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.
      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
       
      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.
      The listed Stockyards and Slaughter Plantsat this linkhave 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.
      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.
      Subsequent to our letter to customers on October 1, 2013, regarding the potential impacts of the government shutdown, and the inability of USDA/AMS to release the Class and Component Prices, it is currently our understanding that going forward the Upper Midwest Federal Order will continue to release both the weekly and monthly prices as scheduled. Therefore, it is our intention that the final settlement of the CME Milk (Class III & Class IV), Cheese, Butter, Whey and Nonfat Dry Milk futures and options contracts will occur on Wednesday, October 30, 2013, as scheduled.  
      In order to access the weekly and final settlement data for the October contracts please see your Federal Milk Order website. If your Federal Marketing Order does not have the information, you can link to the Upper Midwest Order at http://www.fmma30.com 
      Please contact CME Clearing at 1.312.930.3172 orclearinghousedelivteam@cmegroup.comwith any questions.
      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.
       
      CME Clearing is closely monitoring the developments related to the US reaching its debt ceiling. Anticipating possible market moves specific to this event, CME will increase margin for all OTC IRS portfolios by applying the Event Risk margin add-on of 12% to the base margins. The additional margin will be implemented across four days with the first 3% increment beginning the margin cycle for end of day Wednesday October 16th.
      The CME Financial Safeguards package is designed to cover many market shock scenarios. Due to the additional uncertainty brought by the debt ceiling debate, CME specifically targeted tail scenarios in the OTC IRS portfolio and assessed the impact to the base margins. The analysis incorporated the tail scenarios into the margin methodology with increased probability relative to generic risk scenarios, which suggested an average margin increase of 12% across cleared OTC IRS portfolios. This is a temporary measure and is subject to review depending on market conditions. It will be rolled back upon resolution of market uncertainty stemming from this specific event risk.
      For further details, please contact the CME Risk Hotline: 312-648-3888
      Please be advised that CME Clearing will remove the temporary 3% margin add-on for cleared OTC IRS portfolios. The change is effective as of the October 17, 2013 settlement cycle.
      For further details, please contact the CME Risk Hotline: 312-648-3888
      Effective Sunday, October 20, 2013 for trade date Monday, October 21, 2013, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) will de-list the seventh month of the Crude Oil TASfrom CME Globex, Open Outcry and CME ClearPort.
      With this change, the first, second, and third active maturities for Crude Oil TAS futures will be listed.
      Code
      Clearing / Globex
      Title
      Current Listing Schedule
      New Listing Schedule
      CL/CLT
      Crude Oil TAS
      Months 1, 2, 3 and 7
      Months 1, 2 and 3
       
       
       
      Effective October 21, 2013, the New York Mercantile Exchange, Inc. (Exchange) delisted the following products from CME Globex and CME ClearPort:
      Name
      Clearing Code
      Globex Code
      In Delivery Month Certified Emission Reduction (CER) Futures
      6S
      CRE
      In Delivery Month Certified Emission Reduction (CER) Option
      6P
      CRY
       
      There is currently no open interest in this product.
      CME Clearing accepts shares of certain equity stocks for customer and house performance bond collateral.  CME Clearing implemented its Stock Program to enable clearing members to post shares of selected stock with the Clearing House to satisfy performance bond requirements.
      CME Clearing’s performance bond requirements consist of two amounts: core performance bond requirements and concentration performance bond requirements. Concentration performance bond requirements are set from time to time and are equal to the portion of the total performance bond requirement that may be met using concentration collateral. 
      For the full text of this advisory, please click here.
      To view the list of 4th Quarter 2013 Eligible Stocks, please click here.
      Subject to regulatory review and approval and with consideration to any governmental shutdown, effective for start of business Monday December 9, 2013, the Kansas City Hard Red Winter Wheat contract will have their DCM (Designated Contract Market) converted from Kansas City Board of Trade (KCB) to Chicago Board of Trade (CBT). Therefore, they will cease being products of the Kansas City Board of Trade, and begin being products of the Chicago Board of Trade. The affected products are:
       
      ·         KW – KC Hard Red Winter Wheat Futures
      ·         KW – KC Hard Red Winter Wheat Options on Futures
      ·         KWO – KC Hard Red Winter Wheat Short-Dated New Crop Options
      ·         OK1 through OK5 – KC Hard Red Winter Wheat Weekly Options
      ·         KWS – KC Hard Red Winter Wheat Swaps
      ·         MKW – MGEX-KC Wheat Inter-market spread Options
      ·         KAW – AUD Hard Red Winter Wheat Swaps

      For further details please click here.
      In accordance with the CFTC Guidance regarding "Swaps Straight Through Processing," issued on September 26, 2013, and the subsequent no action relief letters issued on the evening of September 30, 2013 regarding Regulation §1.73, CME Clearing is notifying all market participants of the workflows that will be employed for trades submitted by all temporarily registered swap execution facilities (“SEFs”) until the no action relief terminates on November 1, 2013.
      CME Clearing: OTC Swaps STP Update
       
      All existing workflows for trade submission to CME Clearing by SEFs and affirmation platforms whether directly connected or through middleware will continue to be supported until November 1, 2013 when the no action relief issued September 30, 2013 respecting futures commission merchants (“FCMs”) requirement to comply with Commission Regulation 1.73(a)(2)(i) and (a)(2)(ii), and temporarily registered swap execution facilities (“SEFs”) requirement to comply with Commission Regulation 37.702(b), expires. 
      Until November 1, 2013, a swap will be deemed submitted to clearing at such time as both the trade information from the SEF and the affirmation from the clearing members has been received. CME will notify the SEF and clearing member[s] of acceptance or rejection of the swap within 10 seconds. 
      All off-facility trades (trades not submitted from SEFs) will continue to be supported using the existing workflows.
      Guidance on workflows post November 1st will be provided in a subsequent notice.
       
      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.
      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. 
       
      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.
      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
       
      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. 
      Please direct any questions to CME Clearing Financial at 312-207-2594 orchfin@cmegroup.com.
      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.
      CME Group Contacts
      cmegroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
      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
       

       

CME Group is the world’s leading 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.

© 2025 CME Group Inc. All rights reserved.