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CME Clearing Notice: Monday, January 27, 2014
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- To
- Clearing Member Firms; Back Office Managers
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- From
- CME Clearing
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- #
- 14-054
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- Notice Date
- 27 January 2014
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- Effective Date
- 27 January 2014
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Topics in this issue include:· Floating Rate Notes – Acceptance for Performance Bond and Guaranty Fund Requirements at CME ClearingAn enhancement is being released on Monday, January 27th to the Asset Management system to support an automated process of checking acceptability and requesting setup of a security for pledging that does not yet exist in the foreign or domestic acceptable securities list.Instead of having to email requests to CME Clearing Financial to check if a security is acceptable to pledge, users who have access to Asset Management can now submit the CUSIP or ISIN within the application and have a result in minutes. If the security is acceptable, it will automatically be added to the list and the clearing member can then proceed with their deposit. If the security is not acceptable, a reason will be provided on that same screen.Complete details and a demonstration of the new functionality can be viewed at http://www.cmegroup.com/tools-information/webhelp/asset-management/Default.htmlFor any additional questions or details please contact CME Clearing Financial at 312-207-2594.For trades dated February 10, 2014 and going forward, all CME US Clearing real-time trade confirmation and allocation messages will carry a Regulatory Trade ID block containing a Unique Trade Identifier (UTI), supplying European Union (EU) clients with a key data element under EMIR (European Market Infrastructure Regulation) regulatory reporting. This is the same block and attribute currently used for the Unique Swap Identifier (USI), which is on some CME Clearing FIXML confirmation messages and used in connection with Dodd-Frank regulatory reporting.To assist in complying with EMIR reporting, CME is offering a delegated reporting-on-behalf-of (ROBO) service to all EU customers of CME Clearing US and CME US exchanges. For more information on the CME ROBO service, please contact us at 312-338-7112 or onboarding@cmegroup.com.Additional details on this notice can be found at this link.Please be advised CME Group will be decommissioning the following CDS settlement files on January 29, 2014 in New Release and February 3, 2014 in Production:1. 1. Fxxx_IncompleteContributions_yyyymmdd.(nr.)csv2. 2. Fxxx_MissingEntity_yyyymmdd.(nr.)csvPlease contact the OTC Valuations Team at OTCValuations@cmegroup.comwith any questions.CME Clearing has made the following update to the Account Reconciliation Reports effective immediately –Addition of Holding Account Flag – CME Clearing has added a new column to the report entitled “Holding Account”, which indicates whether a particular account is a holding (aka bunched order) account or not. If this column is set to “Y”, then the account is a holding account. If “N”, then the account is not a holding account. Please note that whether an account is a holding account or not is configurable by RAV Admins within CME Account (RAV) Manager.Please see the original advisory notice and updated file specification on page 3 of the advisory notice at this link.DeliveriesListed at this link are the relevant delivery dates for February 2014 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.Listed in the linked advisory notice are the relevant delivery dates for the December 2013 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.The Standard Freight Rate is used in carcass graded deliveries of Live Cattle to compensate the seller when the buyer requests delivery at a packing plant that is farther from the feedyard than the delivery point stockyards. In accordance with Live Cattle Rule 10103.C.8., this rate is set annually by the Exchange.Based on results from a survey of livestock trucking firms, the Standard Freight Rate for carcass graded deliveries will be $4.40 per mile per contract for all 2014 Live Cattle futures contracts. This change will become effective on February 1, 2014.The Union Registry will be closed Wednesday, January 29, 2014 (please see the following link for details: http://ec.europa.eu/clima/news/articles/news_2013122002_en.htm). As a result, the Daily European Union Allowance (EUA) futures for contract days Monday, January 27, 2014 and Tuesday, January 28, 2014 will be delisted.The January In Delivery Month European Union Allowance (EUA) (commodity code 6T) and Certified Emission Reduction Plus (commodity code CPL) monthly contracts will have an abbreviated delivery schedule to accommodate the Union Registry closure, with delivery occurring on Tuesday, January 28, 2014.As a reminder, any firm going through delivery on European Union Emission contracts needs to have a trading account at the Union Registry and have the account trusted with CME Group’s account. Please alert Clearing House Deliveries at least 10 business days prior to delivery after setting up a new trading account as the Union Registry requires a holding period of 7 business days before accounts become trusted. Please contact Clearing House Deliveries if you plan to go through delivery on these contracts and do not meet the above criteria.For questions on the above, please contact the CME Group Clearing House Deliveries at 312-930-3172 or clearinghousedelivteam@cmegroup.com.Effective February 3, 2014, the processing and reporting of long dates for CME deliverable products will change. Firms holding long positions in Live Cattle or Lumber contracts will have a new requirement to begin reporting longs dates on the first intent date of the contracts. In addition, Deliveries Plus will be made available two business days prior to the first intent date to allow firms the ability to add their long dates earlier. Firms submitting long dates during this optional two day period may submit long dates until 8:00 pm CST. Beginning on the first intent date through the last intent date of the given contracts, long dates must be added or updated by 12:00 pm CST for Lumber and 5:00 pm CST for Live Cattle.See the February 2014 Live Cattle and March 2014 Lumber schedule.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.The attached Stockyards and Slaughter Plants have been approved for deliveries against the CME Group Live Cattle futures contract from February 1, 2014 through January 31, 2015. 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 in coordination with the USDA and CME approved stockyards, the following live cattle grading capacity limits at stockyards are in effect beginning with the February 2014 live cattle delivery cycle. The capacity limits at the stockyards have been instituted to ensure stockyards have the wherewithal to grade cattle on eligible delivery days and a USDA grader is available for grading the cattle. The capacity limits are not static and are subject to change based on changes such as stockyard wherewithal or USDA grader availability.Effective Sunday, January 26, 2014 for trade date Monday, January 27, 2014, and pending all relevant CFTC regulatory review periods, please be advised that the CME, Inc. (CME or EXCHANGE) will expand the listing of contract months for the products listed at this link on CME Globex and on the trading floor.Effective Sunday, January 26, 2014 for trade date Monday, January 27, 2014, and pending all relevant CFTC regulatory review periods, please be advised that the Chicago Mercantile Exchange, Inc. (CME or EXCHANGE) will expand the listing of strike prices for the options on futures products listed at this link.CME Clearing is pleased to announce the acceptance of US Treasury Floating Rate Notes (FRNs) for Performance Bond and Guaranty Fund requirements. The US Treasury announced that starting January 2014 it will start auctioning Floating Rate Notes. FRNs will be acceptable under the CME Clearing acceptable collateral policy. FRNs will be treated like the US Treasury Note under category 1 assets.Asset ClassHaircut Based On Time to MaturityU.S Treasuries0 to less than or equal to 1 yearsGreater than 1 to less than or equal to 3 yearsGreater than 3 to less than or equal to 5 yearsGreater than 5 to less than or equal to 10 yearsGreater than 10 yearsTBILL0.5%--------FRN1.0%2.0%------TNOTE/TBOND1.0%2.0%3.0%4.5%6.0%TSTRIP11.0%11.0%11.0%11.0%11.0%For any questions, please contact the Risk Management department at 312-648-3888 or the Financial Management group at 312-207-2594Effective Sunday, January 26, 2014 for trade date Monday, January 27, 2014, and pending all relevant CFTC regulatory review periods, please be advised that the CME, Inc. (CME or EXCHANGE) will expand the listing of contract months for the product listed below on CME Globex and available for submission for clearing on CME ClearPort. See the full text of this advisory.Beginning with the February 2014 contract, the New York Mercantile Exchange is revising the expiration rule for the Mini Argus Propane (Saudi Aramco) Futures (Clearing/Globex Code MAS), from "the last business day of the contract month" to "the last business day of the month prior to the contract month". The new termination schedule will be the same as the big contract, Argus Propane (Saudi Aramco) Futures (9N), after revision.In addition, the New York Mercantile Exchange is revising the expiration rule for the Argus Propane (Saudi Aramco) Futures (Clearing/Globex Code 9N), from “the last business day of the month prior to the contract month” to “the last business day of the month prior to the contract month. Business days are based on the Singapore Public Holiday calendar”.See the full advisory.CME currently administers three different guaranty funds for IRS, CDS, and “Base” products. In conjunction with the new CFTC Regulation 39.33, CME plans to amend the types of collateral eligible to meet guaranty fund requirements in an effort to align composition with the CFTC’s definition of qualifying liquidity resources.Pending regulatory review, effective April 1, 2014, the following asset types will be acceptable collateral for any CME Clearing guaranty fund.Acceptable Guaranty Fund Collateral
- USD cash
- U.S. Treasury Bills/Notes/Bonds *
* (Time to maturity not to exceed 10 years)For more information, please contact CME Clearing Financial Unit at 312-207-2594 or CME Clearing Risk Unit at 312-648-3888.Recently, CME Group began accepting morning position adjustments via a morning PCS file. This allows for an automated solution, where traditionally, morning position adjustments were executed only via the CME Group Positions User Interface.Messages within the new file should be in the 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 possible quantity differences, is 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, with one exception: current day’s trades may not be included in the PCS positions reported in the new adjustment file, while as-of trades should be included in the file. A step should be added to the beginning of the standard process to remove the new day’s trades (but not as-of trades) if they exist.CME Group Contactscmegroup.com InquiriesCustomer Service(800) 331-3332General InformationProducts & Services(312) 930-8213Clearing House(312) 207-2525CME Globex InformationCME Global Command Center(312) 456-2391Global Account ManagementU.S.(312) 634-8700Europe44 203 379 3754Asia65 6593 5574Performance Bond InformationRisk Management Dept.(312) 648-3888Position LimitsMarket Regulation(312) 341-7970Clearing FeesClearing Fee Hotline(312) 648-5470Risk ManagementRisk Management Hotline(312) 634-3888CollateralFinancial Unit Hotline(312) 207-2594DeliveriesDeliveries Unit(312) 930-3172Clearing Customer Service(312) 207-2525
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