• CME Clearing Notice: Monday, February 10, 2014

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 14-072
      • Notice Date
      • 13 February 2014
      • Effective Date
      • 10 February 2014
    • Topics in this issue include:
      *     Deliveries
      ·        Contact Information
      Clearing firms may use FIXML Assignment Report files to automate the option assignment process, or to automate reconciliation of CME Clearing assignments, to bookkeeping assignments. These files are found in a clearing firm’s “Outgoing” FTP directory, if they have requested that the files be created daily.
      Beginning trade date Monday, February 10, 2014, the sign of the Settlement Amount value for FIXML assignment messages within the FIXML assignment file will now reflect the true direction of money flow for the assignment. Previously, this number had always been positive (greater than zero, which in all other CME Clearing files is a “Collect” amount). In the vast majority of assignments, the monetary impact is a negative value (less than zero, a “Pay” amount). Beginning with the Monday, February 10, 2014 clearing cycle, the correct value will appear in these FIXML messages. The Settlement Amount is found within the “SETL” Amount Type block of the FIXML messages.
      See the full advisory.
      Please be reminded that beginning trade date February 10, 2014, FIXML messages will contain new Regulatory Trade ID blocks containing Unique Trade Identifiers (UTI’s). The RegTrdID block will be present on real-time Trade Capture Reports and Allocation Reports. RegTrdID blocks will also be present in Trade Register files, on Trade Capture Reports, and eligible Position Reports.
      These UTI’s will be used for European Trade Repository (ETR) reporting from Clearing Business Date February 12, 2014 processing and going forward. 
      For the full description of UTI usage for CME Clearing US, please refer to Clearing Advisory 14-023.
      For questions or further information, please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.
      Listed at this link are the relevant delivery dates for February 2014 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.
      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.
      See the full advisory.
      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.
      See the full advisory.
      Please note the holiday processing schedule at this link for Monday, February 17, 2014 in observance of President’s Day.
      Please click here to view an advisory on the above topic. The list of 1st Quarter 2014 Eligible Stocks can be found at this link.
      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. 
      See the full advisory.
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