• CME Clearing Notice: Monday, October 21, 2013

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-498
      • Notice Date
      • 24 October 2013
      • Effective Date
      • 21 October 2013

    • Topics in this issue include:
      *     Deliveries
      ·        Contact Information
       
       
       
      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.
      Please be advised that effective Sunday, October 20, 2013, CME Clearing will be enhancing its real-time FIXML Clearing Member Firm messaging FIXML 5.0 API to include Clearing Firm (Party Role 4) on all outbound AllocRpt messages sent to the executing firm. This tag is not required to be submitted for successful parsing of inbound messages from firms to CME Clearing.
      Please note this is an existing tag that is currently included with other types of messages.
      This change will be made available for testing in New Release on Thursday, October 17, 2013. 
      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.
      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.
       
      CME will postpone the Seventh Month CL TAS Removal from Listing Rules on Monday, October 21, 2013, as previously announced in this advisory notice.
      The postponement is resulting from the lapse in appropriations and the curtailment of CFTC regulatory review activity,
      The new implementation date for the Seventh Month CL TAS Removal from Listing Rules will be determined subsequent to resumption of regulatory review activity at the CFTC.
      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
       
       
       
      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.
       
      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 Clearing (CME) is pleased to announce the latest addition to its Cash with Interest Program
      (IEF5). Wells Fargo Bank, N.A. will be a provider of this service to CME Clearing beginning October 21, 2013.
      Clearing member firm cash that has been designated as IEF5 will reside in CME’s account at
      Wells Fargo Bank, N.A, with the ‘benefit’ accruing to IEF5 participants.
      CME will provide compensation on cash balances in the Wells Fargo Bank, N.A. IEF5 program at the rate of 6 basis points. This rate is subject to change on occasion. Clearing firms will be notified in advance of any change in the rate.
      In addition, a program limit will be in place for a single clearing members firm’s total investment in the Wells Fargo Bank, N.A. IEF5 program. This limit will be set at $750 million per clearing member firm.
      General facts regarding Cash with Interest Program (IEF5):
      •        Cash is maintained in an interest bearing demand deposit account or trust account.
      •        Funds may be commingled with other funds made available to the treasury of the bank for general funding purposes.
      •        Does not have a regulatory capital charge or Clearing House performance bond haircut.
      •        Funds are 100% liquid.
      •        Is not a money market mutual fund or an investment.
      •        Is not guaranteed by CME or the participating banks.
      •        IEF5 is a Category 2 asset type, and is capped at 40% of core margin requirement.
       
      For any questions regarding this notification, please contact Michael Auriemma at 312-634-8399 or Michael.Auriemma@cmegroup.com.
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