Topics in this issue include:

      System Updates

·         NEW: PC-SPAN Version 4.5 Build 575B

·         FECPlus Phase 2: Electronic Trade Migration (ETM) *UPDATE* - November 2, 2014

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

      Deliveries

·         CME Group Delivery Dates for October 2014

·         2014 Approved List of Live Cattle Stockyards & Slaughter Plants

      Events & Announcements

·         NEW: October 2014 Eligible ETFs and Stocks

·         NEW: OTC Holiday Advisory: Columbus Day, October 13, 2014

·         NEW: Product Modification Summary - Delist Four CME Stock Index Futures/Options on Futures Contracts

·         NEW: Cash Interest Pass-Through & Collateral Fees, January 2, 2015

·         NEW: Product Modification Summary: Delist Short Term Gold Options- October 6, 2014

·         NEW: Product Sunset: CBOT Dow Jones Industrial Average Index Futures ($25 Multiplier)

·         CME Haircut and Cross Currency Haircut files

·         Review of Collateral Haircuts Advisory

·         Product Modification: Extend the listing of the U.S. Midwest Hot-Rolled Coil Steel Futures (HR) – October 19, 2014

·         HOLIDAY SCHEDULE IN OBSERVANCE OF COLUMBUS DAY

·         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.

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: October 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. For further information, please click here.

NEW: OTC Holiday Advisory: Columbus Day, October 13, 2014

On Monday, October 13^th 2014 (Columbus 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 in this link.

NEW: Product Modification Summary - Delist Four CME Stock Index Futures/Options on Futures Contracts

Effective Monday, October 6, 2014, the Chicago Mercantile Exchange, Inc. (CME) delisted the following four CME Stock Index Futures and Options on Stock Index futures contracts from CME Globex.

In addition, the Options on Standard and Poor's Midcap 400 Stock Price Index Futures will be delisted from open outcry trading.

There is currently no open interest in these products.

NEW: Cash Interest Pass-Through & Collateral Fees, January 2, 2015

On January 2, 2015, the CME Inc. Clearing House (“CME Clearing”) will institute changes to its collateral acceptance program which will result in clearing members being charged for the below asset types when posting collateral to meet client and house performance bond requirements.  CME Clearing has decided to charge these fees due to the custody costs applied to CME Clearing by its custodians and liquidity costs associated with recently implemented CFTC clearing house regulations.

CME will impose a fee of 4 basis points (annualized) on the below asset types used to meet client and house performance bond requirements. For clearing members that are eligible* to participate in CME Clearing’s committed credit facility (directly or through an affiliate) and do so, CME will impose a reduced fee of 1 basis point (annualized).  For clearing members that are not eligible, and do not have any affiliates that are eligible, to participate in CME Clearing’s committed credit facility, CME will impose a reduced fee of 1 basis point (annualized).

Example: A 4 basis point fee on $100 of collateral on deposit would equal 4 cents per annum in fees and a 1 basis point fee on $100 in collateral on deposit would equal 1 cent per annum in fees. 

These fees will apply to collateral posted to meet performance bond requirements for both client and house accounts.  No fees will be imposed on collateral in excess of performance bond requirements.

Asset Types Subject to New Fee Schedule:

• Exchange Traded Funds
• Foreign Sovereign Debt
• Mortgage Backed Securities
• Stocks
• Treasury Inflation Protection Securities
• U.S. Treasury Securities
• U.S. Government Agency Securities
• U.S. Treasury STRIPS

Fees will be calculated on daily balances and charged monthly.

Please note, CME Clearing currently charges fees for the below asset types used to meet performance bond requirements and is not changing those fees.

Asset Types Subject to Existing Fee Schedule:

• Corporate Bonds (IEF4)
• Gold

CME will also begin passing through interest on US dollar cash posted as collateral to meet performance bond requirements (excluding CME/OCC cross margin accounts), guaranty fund requirements, and clearing membership requirements. CME will pass through interest on US dollar cash deposits using a rate published on CME Group’s website.  Interest will be calculated on daily balances and paid monthly. 

For questions regarding the fee schedule, interest pass through or committed credit facility, please contact Suzanne Sprague (312-930-3260; suzanne.sprague@cmegroup.com) or Bryan McBlaine (312-338-2469; bryan.mcblaine@cmegroup.com).

*Eligible clearing members will receive invitations to participate in the committed credit facility during the annual renewal process during the second half of each calendar year.

NEW: Product Modification Summary: Delist Short Term Gold Options- October 6, 2014

Effective Monday, October 6, 2014, the Commodity Exchange, Inc. (Exchange) delisted the following 31 products from CME Globex, CME ClearPort and Open Outcry.

There is currently no open interest in these products.

NEW: Product Sunset: CBOT Dow Jones Industrial Average Index Futures ($25 Multiplier)

Effective October 6, 2014, the Board of Trade of the City of Chicago (CBOT) will remove contract months from March 2015 onwards for the CBOT Dow Jones Industrial Average Index Futures ($25 Multiplier) contract.

There is currently no open interest beyond the March 2015 contract month in this product.

CME Haircut and Cross Currency Haircut files

CME Clearing is pleased to announce the availability of two new CSV-format datafiles which provide information about haircut percentages applied to assets deposited as collateral to cover initial margin (performance bond) requirements and guarantee fund requirements. Clearing member firms may use these datafiles to automate the reading of CME Clearing’s haircut percentages into their collateral management systems.

For the full text of this advisory, please click here.

Review of Collateral Haircuts Advisory

In conjunction with the regular review of market volatility to ensure adequate collateral coverage, please find details here regarding the current acceptable collateral and haircuts for CME Clearing.

Product Modification: Extend the listing of the U.S. Midwest Hot-Rolled Coil Steel Futures (HR) – October 19, 2014

Effective Sunday, October 19, 2014 for trade date Monday, October 20, 2014, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange (EXCHANGE) will expand the listing of contract months for the product listed here on CME Globex and available for submission for clearing on CME ClearPort.

HOLIDAY SCHEDULE IN OBSERVANCE OF COLUMBUS DAY

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

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

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

Complete the User Feedback Survey

Contact Information