Please be aware, at the start of business September 8, 2014, trades executed on CME ClearPort will include a new party role 200 on trade update confirmations from the Clearing FIXML API. At the request of member firms, this attribute is now being added to all trades as it is currently present on allocation messages. The attribute will be present within the RptSide block.

For example, a change/update to a CME ClearPort trade done via the user interface will have the user ID of the individual who made the update.

This new attribute should be transparent to firms processing as it is a tag being added to an already existing report side block. As a reminder, FIXML records should use the attributes necessary for internal processing, and ignore attributes considered extraneous.

Testing opportunities are currently available in the certification environment.

For questions or further information, please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.

Advisory for IRS Margin Model Parameter Change in Production

CME is incorporating an enhancement to the way it computes interest rate returns inside the margin model by moving to a shifted log approach. Shocks for each interest rate curve will be obtained by shifting up the yield curve prior to calculating log returns, effectively removing zero boundaries for fixed rate payers. The migration to this approach is also accompanied by a recalibration of the volatility floor. We piloted this enhancement with SGD last year and we are now expanding shifted log across all currencies. Another artifact of this change is that the margins between payers and receivers would become less asymmetric.

We want to ensure you have accurate information regarding our recent advisory on the shifted log enhancement that went into New Release last week.

· CME Interest Rate Swap (IRS) log return parameters went into New Release (NR) test environment on August 4^th

· The Production Date is scheduled for August 25^th, 2014

· Benefits of shifted log:

- Provides a natural transition between low rate and high rate regimes which make the margin model less reactive to regime changes while ensuring adequate margin coverage

- Less asymmetric margins between payers and receivers, resulting in better balance for a wide variety of portfolios

Please reach out to your sales representative or the Risk Research team (qr_irs@cmegroup.com or 312-648-3813) if you have any questions.

Deliveries

CME Group Delivery Dates for September 2014

Listed here are the relevant delivery dates for the September 2014 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.

CME Group Delivery Dates for August 2014

Listed here are the relevant delivery dates for the August 2014 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.

Mandatory CLS Test

In June, CME Clearing required all open positions post expiration in the CAD/USD (CD) and micro CAD/USD (MCD) futures contract to be delivered through the paired delivery process. Beginning with the September 2014 FX delivery cycle, all CLS eligible currency pairs will migrate to the paired delivery process. The paired delivery process is an assignment based process between clearing firms. Clearing firms with open long and short positions at the end of trading on last trade date will be matched against one another. The assigned clearing members will then facilitate the delivery utilizing the commitment information entered in Deliveries Plus. Similar to other assignment based processes in other futures products, clearing firms will be provided with buy/sell notification and invoice report detailing the assignment. In addition, clearing firms will be provided with a CSV instruction file in the clearing firm’s FTP folder that can be used for automating the CLS payment instruction creation process.

In preparation of the September 2014 FX Delivery cycle, a mandatory test cycle is required for all clearing members that intend to complete delivery via CLS. The test cycle will commence on Monday, August 25,^,2014 for settlement on Wednesday, August 27, 2014. Upon completion of the test, clearing firms are required to report to CME Clearing the results of the test cycle. As part of the test cycle, a CSV file will be circulated to clearing members required to participate in the test with instruction and counterparty information. Clearing members that fail to match within CLS against any assigned counter party will not be allowed to participate in the CLS delivery method in the September delivery cycle.

If any CLS participant settlement instructions have been revised or altered in anyway, please send details to Deliveries at Clearinghousedelivteam@cmegroup.com by Thursday, August 14, 2014.

If there are any further questions or concerns, please do not hesitate to contact Deliveries at 312.930.3172.

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.

Events & Announcements

NEW: HOLIDAY SCHEDULE IN OBSERVANCE OF LABOR DAY - September 1, 2014

In observance of Labor Day, please reference the linked holiday processing schedule for Monday, September 1, 2014. For questions or further information: please contact CME Clearing at 312.207.2525 or CME Clearing’s Financial Unit at 312-207-2794.

OTC Holiday Advisory- Labor Day

On Monday, September 1, 2014 (Labor Day), CME Clearing will be open to clear trades. Due to the holiday, however, there will be several impacts to CME Clearing’s processing and trade submission timelines for OTC products. For details on these impacts, please see the tables at this link.

NEW: Bundle Futures and Options Launch on September 22, 2014

CME will launch trading in Bundle futures and companion options on Sunday, September 21, 2014, for first trade date of September 22, 2014, pending completion of all regulatory review periods. Each Bundle future is for physical delivery of a standardized Bundle combination of CME Eurodollar (ED) futures. For full details on these innovative new contracts, please see: http://www.cmegroup.com/trading/interest-rates/eurodollar-bundles.html
Also please see Special Executive Report S-7160 at:

http://www.cmegroup.com/tools-information/lookups/advisories/ser/files/SER-7160.pdf

For further information, please click here.

NEW: Add AUD/USD European-Style Monthly Options to ClearPort

Effective Sunday, September 7, 2014 for trade date Monday, September 8, 2014, and pending all CFTC regulatory review periods, the Chicago Mercantile Exchange Inc. (CME or Exchange) will make available for submission for clearing through CME ClearPort European-style monthly options on the Australian Dollar/US Dollar (AUD/USD) futures contract.

Code Clearing/Globex	Title
XA / XAD	Options on Australian Dollar/U.S. Dollar (AUD/USD) futures, European, monthly

NEW: Product Listing Expansion: Add European-Style Weekly FX Options to ClearPort

Effective Sunday, September 7, 2014 for trade date Monday, September 8, 2014, and pending all CFTC regulatory review periods, the Chicago Mercantile Exchange Inc. (CME or Exchange) will make available for submission for clearing through CME ClearPort European-style weekly options on six (6) major foreign exchange (FX) futures contracts as listed in the table below. These options contracts are currently listed for trading on the CME trading floor and CME Globex.

Code Clearing/Globex	Title
AD/XA1-XA5	Options on Australian Dollar/U.S. Dollar (AUD/USD) futures, European, weekly
CD/XD1- XD5	Options on Canadian Dollar/U.S. Dollar (CAD/USD) futures, European, weekly
BP/XB1-XB5	Options on British Pound Sterling/U.S. Dollar (GBP/USD) futures, European, weekly
EC/1Q-5Q	Options on Euro/U.S. Dollar (EUR/USD) futures, European, weekly
JY/1O-5O	Options on Japanese Yen/U.S. Dollar (JPY/USD) futures, European, weekly
SF/XS1-XS5	Options on Swiss Franc/U.S. Dollar (CHF/USD) futures, European, weekly

NEW: Live Cattle Futures Daily Price Limits Change

Effective Sunday, September 7, 2014 for trade day Monday, September 8, 2014 and pending all relevant CFTC regulatory review periods, the Chicago Mercantile Exchange Inc. (CME or Exchange) will expand the daily price limits for Live Cattle Futures (Clearing Code = LE, Globex code= LE and Open Outcry code = LC) to $0.050 per pound for the final two (2) trading days of the expiring month contract.

August 2014 Eligible ETFs and Stocks

CME Clearing accepts a select number of shares of ETFs and stocks for customer and house segregated performance bond collateral for Base Guaranty Fund products. CME Clearing now accepts ETFs under its own asset type, ETF, in the C21 system. Both ETFs and stocks are category 4 assets and are capped in total at $1 billion per clearing member firm. Please refer to the Standard Acceptable Collateral and Resources website for further details regarding acceptable collateral, haircuts, and limits.

For ETF and stock acceptance criteria and a list of eligible ETFs and stocks, please see Standard Acceptable Collateral and Resources website. CME Clearing utilizes a tiering methodology based on average daily volume to determine the number of eligible shares per clearing member firm.

Tiering	Average daily volume over last 30 days	Eligible shares per CMF
Tier 1	Greater than 10,000,000	1,000,000
Tier 2	5,000,001 - 10,000,000	500,000
Tier 3	2,500,001 - 5,000,000	250,000
Tier 4	1,000,001 - 2,500,000	100,000
Tier 5	500,000 - 1,000,000	50,000
Not eligible	Less than 500,0	None

CME Clearing utilizes the Depository Trust & Clearing Corporation (DTCC) as the custodian for the ETF and Stock Programs. In order to participate in the programs, clearing members must have an account at DTCC. For those firms familiar with the DTCC system, the CME’s account has “Repo” status.

Clearing members with an account at DTCC can originate free pledges of securities to the CME account or request the release of pledged securities from the account at the CME. CME staff has direct access to DTCC’s system to view clearing member pledges and approve release requests. Release transactions are not finalized until CME has approved the transactions. Clearing members have the opportunity to pledge securities in the morning to facilitate the release of a.m. cash calls at the intra-day performance bond cycle, or to request the release of pledged securities. The deadline for morning transactions is 10:30 a.m. CST. Clearing members have an additional opportunity to pledge securities in anticipation of increases in their overnight performance bond requirements until approximately 1:30 p.m. CST.

If you need further information about the ETF and Stock Programs, please contact the Financial Unit at (312) 207-2594 or the Risk Management Group at (312) 648-3888.

UPDATED Additional Client Master Data for Margin Accounts

This advisory updates and replaces Clearing Advisory 14-087, originally published on March 3, 2014.

UPDATE #1: July 23, 2014 (ORIGINAL DATE March 27, 2014)

Some clearing firms have indicated that they may not be able to meet the October 6 deadline for submission of the additional client master data. If so, please contact MarginAccts@cmegroup.com to request an extension.

For the full text of this advisory, please click here

Contact Information

CME Group Contacts
cmegroup.com Inquiries	Customer Service	(800) 331-3332
General Information	Products & Services	(312) 930-8213
General Information	Clearing House	(312) 207-2525
CME Globex Information	CME Global Command Center
Global Account Management	U.S.	(800) 438-8616
	Europe	+0800 898 013
	Asia	+65 6532 5010
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.

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CME Clearing Notice: Monday, August 25, 2014

Critical System Updates

Party Role 200 Coming to the Clearing FIXML API for ClearPort Trades