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CME Clearing Notice: Monday, March 24, 2014
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- To
- Clearing Member Firms
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- From
- CME Clearing
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- #
- 14-131
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- Notice Date
- 28 March 2014
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- Effective Date
- 28 March 2014
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Topics in this issue include:
· NEW: Additional Client Master Data for Margin Accounts
· NEW: FECPlus Migration Phase 2: Electronic Trade Management (ETM)
· NEW: EREP and MRS Production Login Changes
· Additional Client Data in CGM and LSOC Submissions
· NEW: CME Group Delivery Dates for April 2014
· March 2014 Currency Delivery Reminders
· NEW: March 2014 Current Order-to-Pay Charges
· CME Group Delivery Dates for March 2014
· USD Interest Rate Swap Futures- Delivery Process, March 2014
· 2014 Approved List of Live Cattle Stockyards & Slaughter Plants
· March 2014 Final Foreign Currency Settlement Prices
· NEW: Guaranty Fund Asset Acceptance Changes
· NEW: Review of Collateral Haircuts Advisory
· NEW: OTC Holiday Advisory- Good Friday
· Guaranty Fund Asset Acceptance Changes
Critical System Updates
NEW: Additional Client Master Data for Margin Accounts
This advisory updates and replaces Clearing Advisory 14-087, originally published on March 3, 2014.
CME Clearing is requiring firms to begin providing daily reports of certain additional client information at the margin account level. “Margin account” means the level at which a client’s multiple trading accounts are aggregated for margining.
The additional data, which like all client data is held in strict confidence, will be used for risk management purposes both in the normal course of business and to assist with default management. The information will help with the porting of client portfolios in the event of a clearing firm default. The submission of the data on a daily basis will ensure that CME Clearing has the most current information from the clearing firm. Note that the additional data requested does not include SSN’s or other sensitive information, only basic client contact data.
Data should be provided for individual margin accounts for both futures and swaps – at the level of margin accounts as represented in Customer Gross Margining (CGM) datafiles and in LSOC Collateral Value Report (CVR) datafiles. To make the submission as easy as possible for clearing firms, we are providing a choice of file formats. For further details, please click here.
NEW: FECPlus Migration Phase 2: Electronic Trade Management (ETM)
Please be aware that the next phase of the FECPlus migration, Electronic Trade Management (ETM), is now underway. With this migration, all electronic trades for all CME Group markets will now display in FECPlus. Pit trades, manually entered Ex-Pit trades, and Transfers will not be affected and will continue to be available in FEC Classic.
We are tentatively scheduling a launch date for ETM migration in mid-July, 2014. Please click here for further details.
NEW: "Credit Approval Token" Attribute Will be Added to Some FIXML Trade Capture Reports Effective April 14, 2013
Effective trade date April 14, 2014, a new FIXML attribute, “Credit Approval Token,” will be added to the Report Side (RptSide) block of FIXML Trade Capture Report confirmation and Trade Register messages resulting from trades reported on Swap Execution Facilities (SEFs). This new attribute informs consumers of the messages that credit pre-approval has occurred for these CDS and FX SEF trades. For more details, please see this link.
NEW: EREP and MRS Production Login Changes
Please note effective Saturday, April 5, 2014 all users accessing the Production Enterprise Reporting Portal (EREP) and Member Reporting System (MRS) via the CME Group Portal will be required to login a second time after clicking on the portal link.
Additional Client Data in CGM and LSOC Submissions
CME Clearing is requiring firms to begin providing certain additional client information in daily submissions of Customer Gross Margining (CGM) and LSOC Collateral Value Report (LSOC CVR) data files. This additional data, which like all client data is held in strict confidence, will be used for risk management purposes both in the normal course of business and in the event of a default.
Firms may begin including this data on April 1, 2014, and the data must be included by Monday, September 8, 2014.
Additional details can be found here.
Deliveries
NEW: CME Group Delivery Dates for April 2014
Listed at this link are the relevant delivery dates for the April 2014 Chicago Mercantile Exchange Inc., Chicago Board
of Trade, NYMEX, COMEX, and DME contracts.March 2014 Currency Delivery Reminders
The March 2014 currency delivery cycle begins Monday, March 17, 2014. Clearing member firms should enter their currency intentions into the Deliveries System available through the CME Portal. For the full text of this advisory, please click here.
NEW: March 2014 Current Order-to-Pay Charges
Listed at this link is the breakdown of order-to-pay charges per contract for the March 2014 currency delivery. CME Group assesses these charges on a pro rata basis among all longs and shorts settled outside of CLS regardless of whether your firm used an order-to-pay for any of its long transactions. The order to pay breakdown below is based on a per contract basis.
NEW: Euro-Denominated Deliverable Interest Rate Swap Futures Testing and Delivery Intent Template Requirements
Please be advised that for the new Euro-denominated Deliverable Swap Futures (http://www.cmegroup.com/trading/interest-rates/deliverable-interest-rate-swap-futures.html), delivery testing is now available for the June 2014 contracts in the New Release environment. FCMs wishing to test should contact CME Clearing Deliveries to coordinate at 312-930-3172 or clearinghousedelivteam@cmegroup.com. For further details, please click here.
CME Group Delivery Dates for March 2014
See the delivery dates for the March 2014 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.
USD Interest Rate Swap Futures- Delivery Process, March 2014
Please be advised that the linked delivery process and schedule will be in effect for the March 2014 delivery cycle. All times are Central Standard Time unless otherwise noted.
2014 Approved List of Live Cattle Stockyards & Slaughter Plants
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.
March 2014 Final Foreign Currency Settlement Prices
Attached here are the final foreign currency settlement prices for March 2014.
http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv14-111.pdf
Events & Announcements
NEW: Guaranty Fund Asset Acceptance Changes
On January 24, 2014, CME Clearing notified Clearing Member Firms of its plan to limit the collateral types available for the CME Clearing guaranty funds to USD cash and U.S. Treasury Bills/Notes/Bonds* via Clearing Advisory Notice 14-041. As noted in that advisory, these changes are designed to allow CME Clearing to better comply with the liquidity requirements of CFTC Regulation 39.33. However, CME Clearing has decided to extend the deadline for the changes to April 14, 2014, in light of the flexibility provided by the CFTC’s ongoing no-action relief from the requirements of Regulation 39.33 from the CFTC, as well as to allow Clearing Member Firms an additional window to comply with the new requirements.
Please note that these changes will apply to all CME Clearing guaranty funds as of April 14, 2014, pending regulatory review, but will not be applicable to any guaranty fund for security-based swaps without approval from the Securities & Exchange Commission.
For more information, please contact CME Clearing Financial Unit at 312-207-2594 or CME Clearing Risk Unit at 312-648-3888.
* (Time to maturity not to exceed 10 years)
NEW: Review of Collateral Haircuts Advisory
In conjunction with regular review of market volatility to ensure adequate collateral coverage, please find the current acceptable collateral and haircuts for CME Clearing at this link. 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 the Financial Management group at 312-207-2594.
NEW: OTC Holiday Advisory- Good Friday
At this link is the OTC Holiday Schedule for Good Friday.
Guaranty Fund Asset Acceptance Changes
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.
Contact Information
CME Group Contacts
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Financial Unit Hotline
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Deliveries Unit
(312) 930-3172
Clearing Customer Service
(312) 207-2525
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