NOTICE #: 14-372

SUBJECT: CME Clearing Notice: Week of Monday, September 22, 2014

Topics in this issue include:

      System Updates

·         NEW: CDS Production Advisory- 2013 ISDA Credit Definitions and Index Annex Dates Postponement

      Deliveries

·         CME Group Delivery Dates for October 2014

·         CME Group Delivery Dates for September 2014

·         NEW: September 2014 Currency Order-to-Pay Charges

·         USD and EUR Interest Rate Swap Futures –Delivery Process, September 2014

·         2014 Approved List of Live Cattle Stockyards & Slaughter Plants

      Events & Announcements

·         NEW: HOLIDAY SCHEDULE IN OBSERVANCE OF COLUMBUS DAY

·         NEW: Product Delisting: Chinese Renminbi / Japanese Yen Futures and Options

·         FECPlus Migration Phase 2: Electronic Trade Management (ETM) *UPDATE*

·         UPDATED: September 2014 Final Foreign Currency Settlement Prices

·         Product Modification Summary for Clearing Firms, Bookkeeping Software Providers, ISVs: Short-Dated New Crop Options

·         September 2014 Eligible ETFs and Stocks

·         3rd REVISION: Modification of the Variable Tick Range on E-mini NASDAQ 100 & NASDAQ 100 futures

·         Gasoil 7F Price Flux change (Globex, NX Pit) and extend listing cycle

·         Bundle Futures and Options Launch on September 22, 2014

·         UPDATED Additional Client Master Data for Margin Accounts

·         Feedback Requested on System Information

·         Contact Information

Deliveries

CME Group Delivery Dates for October 2014

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

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.

NEW: September 2014 Currency Order-to-Pay Charges

Listed below is the breakdown of order-to-pay charges per contract for the September 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.

If you have any questions, please contact the Deliveries Unit, at (312) 930-3172.

USD and EUR Interest Rate Swap Futures –Delivery Process, September 2014

Please be advised that the delivery process and schedule will be in effect for the September 2014 delivery cycle.

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.

NEW: HOLIDAY SCHEDULE IN OBSERVANCE OF COLUMBUS DAY

Please reference the linked holiday processing schedule for Monday, October 13, 2014 in observance of Columbus Day.

NEW: Product Delisting: Chinese Renminbi / Japanese Yen Futures and Options

Effective September 22, 2014 the Chicago Mercantile Exchange, Inc. (CME or Exchange) delisted the following Chinese Renminbi/Japanese Yen futures and options from CME Globex and CME ClearPort.

There is currently no open interest in these products:

FECPlus Migration Phase 2: Electronic Trade Management (ETM) *UPDATE*

At the request of clearing member firms, to allow more time for testing, the FECPlus Electronic Trade Migration (ETM) will be postponed from the planned Monday, September 22, 2014 launch date. We will be announcing the new release date in the next week.

ETM Testing

We encourage firms to continue testing during this time. Testing will be conducted in the Certification environment exclusively.

ETM Training

Any firms seeking a demo can contact us directly at CCS@CMEGroup.com to set one up either in person or online.

If you have any questions or require further information please contact CME Clearing Services (CCS) at 312-207-2525 or email CCS@CMEGroup.com.

UPDATED: September 2014 Final Foreign Currency Settlement Prices

Please click here for the updated September 2014 Final Foreign Currency Settlement Prices.

Product Modification Summary for Clearing Firms, Bookkeeping Software Providers, ISVs: Short-Dated New Crop Options

Effective Sunday, September 21, for trade date Monday, September 22, 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 contract months for the products listed below on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort.

September 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. 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.

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.

For further details, please click here.

3rd REVISION: Modification of the Variable Tick Range on E-mini NASDAQ 100 & NASDAQ 100 futures

Effective Sunday, September 21, 2014 for trade date Monday, September 22, 2014, and pending all relevant CFTC regulatory review periods, please be advised that the Chicago Mercantile Exchange, Inc. (CME or EXCHANGE) will amend the variable tick range for Options on E-mini NASDAQ 100 Index futures and Options on NASDAQ 100 Index futures to 5.00 points from 3.00 points.

    · Please note that the Trading tick remains same, just the premium range is changing from 3 to 5 points.

For further details, please click here.

Gasoil 7F Price Flux change (Globex, NX Pit) and extend listing cycle

Effective Sunday September 21, 2014 with first trade date Monday September 22, 2014, and pending all CFTC regulatory review periods, the Chicago Mercantile Exchange Inc. (“CME”) proposes to amend the Prices and Fluctuations rule for the European Gasoil (100mt) Bullet Futures contract for trades on CME Globex and the NYMEX trading floor. The minimum price fluctuation shall be amended to $0.05 per metric ton for outright and spread transactions. Prices shall be quoted in US dollars and cents per metric ton and the minimum price fluctuation for settlement shall be $0.05 per metric ton.

For full text of this advisory, please click here.

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.

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

Feedback Requested on System Information

CME Group would like to hear about your experience using our client systems development and user resources. Please complete a short survey for the following:

·         Client Systems Wiki

·         WebHelp systems

·         Videos

Your valuable input will help identify areas for future enhancement or improvement.

Complete the User Feedback Survey

Contact Information