Topics in this issue include:

      System Updates

·         **POSTPONED** Addition of the CME Account Alias to Clearing Confirm Messages **POSTPONED**

      Deliveries

·         NEW: CME Group Delivery Dates for January 2015

·         NEW: December 2014 Currency Order-To-Pay-Charges

·         December 2014 Eligible ETFs and Stocks

·         CME Group Delivery Dates for December 2014

·         USD and EUR Interest Rate Swap Futures - Delivery Process, December 2014

·         2014 Approved List of Live Cattle Stockyards & Slaughter Plants

      Events & Announcements

·         NEW: Collateral Fees Program

·         NEW: Cash Interest Pass-Through Program

·         NEW: Product Modification Summary: Addition of Block Eligibility – Euro-bob Oxy Gasoline NWE APO – December 21, 2014

·         NEW: Product Modification Summary: Extend Contract Listing – MCC Indonesian Coal – December 21, 2014

·         NEW: Product Modification Summary: Sunsetting Power Options – December 19, 2014

·         NEW: Product Modification Summary: Delist Various Energy Products – December 22, 2014

·         NEW: Product Modification Summary: Sunset Legacy Power Futures – December 19, 2014

·         UPDATED HOLIDAY SCHEDULE- December 25, 2014

·         OTC Holiday Advisory - Christmas and New Year’s Day

·         Application of Collateral Haircuts - March 2, 2015

·         BPS™ IRS Form 1099 Notification #2

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

·         Contact Information

Deliveries

NEW: CME Group Delivery Dates for January 2015

Attached are the relevant delivery dates for the January 2015 Chicago Mercantile Exchange, Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.

NEW: December 2014 Currency Order-To-Pay-Charges

The attached advisory lists the breakdown of order-to-pay charges per contract for the December 2014 currency delivery.

December 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. 

See the full advisory.

CME Group Delivery Dates for December 2014

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

USD and EUR Interest Rate Swap Futures - Delivery Process, December 2014

Please be advised that the delivery process and schedule at this link will be in effect for the December 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.

NEW: Collateral Fees Program

As a follow up to the Advisory Chadv14-393 dated October 6, 2014, below are some additional details related to the Collateral Fees program.

Clearing member collateral fees are based on the performance bond (PB) value of the assets on deposit less the value in excess of the clearing member’s PB requirement. Clearing members will not incur fees on excess collateral on deposit. The value of a clearing member’s excess collateral on deposit can be found on the clearing member’s CST610 report.

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

Asset Types Subject to Existing Fee Schedule:

·         Corporate Bonds

·         Gold

Clearing members will receive a daily csv file via ftp denoting the business date, asset account, seg type, account type, asset type, currency, PB requirement amount, custody fee rate, exchange rate of the currency denomination of the asset to USD, excess collateral on deposit and accrued collateral fees.

By the 3rd business day following month end, clearing members will receive a monthly recap report showing the daily balances.

Collateral fees will be charged as a separate line item on clearing members’ clearing related fees invoice on the 25^th day of the month for the previous calendar month’s assets.

For more information or to request changes to your clearing member setup, please contact CME Clearing by email at CHCollateralservices@cmegroup.com.

NEW: Cash Interest Pass-Through Program

As a follow up to the Advisory Chadv14-393 dated October 6, 2014, below are some additional details related to the Cash Interest Pass-Through program.

Clearing members will receive a daily csv file via ftp denoting the eligible USD cash balances, applicable interest rate and estimated daily accrued interest to be paid. Eligible USD cash balances are taken from the end of day collateral file (CMEEodCollat) file that clearing members currently receive each day via ftp.

Clearing members will also receive a monthly recap file that shows daily eligible cash balances on the 1st business day following month end. Clearing members will have until the end of the 3^rd business day of following month to propose any adjustments to eligible cash balances on which interest will be paid.  Interest will be paid between the 7^thand 10^th day of the month. Please send any adjustment requests to CHCollateralservices@cmegroup.com.

Interest will be paid to the respective account class (CSEG, NSEG, COTC) in which the balance was generated. If clearing members wish to have interest paid to a different account class please contact CME Clearing by email using the contact information provided below.

Clearing members may opt of out of the Cash Interest Pass-through Program completely or by account class by contacting CME Clearing by email using the contact information provided below.

For more information or to request changes to your clearing member setup, please contact CME Clearing by email at CHCollateralservices@cmegroup.com.

NEW: Product Modification Summary: Addition of Block Eligibility – Euro-bob Oxy Gasoline NWE APO – December 21, 2014

Effective Sunday, December 21, 2014 for trade date December 22, 2014, the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) will add block eligibility for the Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Option code 7HO. This product is currently listed on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort. 

For further details, please click here.

NEW: Product Modification Summary: Extend Contract Listing – MCC Indonesian Coal – December 21, 2014

Effective Sunday, December 21, 2014 for trade date Monday, December 22, 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 below on CME Globex and available for submission for clearing on CME ClearPort.

For further details, please click here.

NEW: Product Modification Summary: Sunsetting Power Options – December 19, 2014

After the close of business on Friday, December 19, 2014 the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) is removing listed contract months from several power products. The table below displays the last listed contract as of December 19, 2014. The products are currently listed on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort. 

For further details please click here.

NEW: Product Modification Summary: Delist Various Energy Products – December 22, 2014

Effective December 22, 2014, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) delisted the attached listed products from CME Globex, CME ClearPort and the NYMEX trading floor.

There is currently no open interest in these products.

NEW: Product Modification Summary: Sunset Legacy Power Futures – December 19, 2014

After the close of business on Friday, December 19, 2014 the New York Mercantile Exchange, Inc. (NYMEX or EXCHANGE) is removing listed contract months from several power products. The table attached displays the last listed contract as of December 19, 2014. The products are currently listed on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort.  

UPDATED HOLIDAY SCHEDULE- December 25, 2014

Please reference the holiday processing schedule at this link for Thursday, December 25, 2014 in observance of the Christmas Holiday.

OTC Holiday Advisory - Christmas and New Year’s Day

CME Clearing will be open for clearing of all cleared OTC financial products on Christmas Day, Thursday, December 25, 2014.

Please note that for all currencies, except Japanese Yen, CME Clearing will follow normal holiday processing procedures. Thus, trades will still clear real time, but will clear for the next clearing business day. For JPY-denominated trades, since Thursday, December 25, 2014 is a normal business day for Japanese Yen, CME Clearing will report and clear all JPY-denominated trades as per normal business day. 

On New Year’s Day, Thursday, January 1, 2015 CME Clearing will be closed and thus no clearing cycle will be processed for cleared OTC financial products.

For specific information on how this will impact CME Clearing’s processing and trade submission timelines, please refer to the information at this link.

Application of Collateral Haircuts - March 2, 2015

Effective on March 2, 2015, CME will begin applying cross currency haircuts to USD denominated assets that are being used to meet non-USD denominated performance bond requirements. The haircut schedule will reflect the same haircuts that currently apply to FX cash as published on http://www.cmegroup.com/clearing/financial-and-collateral-management/. This haircut accounts for the currency risk associated with assets and performance bond requirements that are denominated in different currencies. 

In addition, CME will begin applying a cross currency risk haircut for non-cash collateral similar to the cross currency haircut currently applied to cash collateral. This is in addition to any security haircut that CME currently applies to account for assets denominated in one currency to be used to meet performance bond requirements that are denominated in a different currency. The haircut schedule will reflect the same haircuts that currently apply to FX cash as published on http://www.cmegroup.com/clearing/financial-and-collateral-management/. 

For further details, please click here.

BPS™ IRS Form 1099 Notification #2

November 28, 2014 marks the end of the 2014 BPS tax year for brokerage. Please click here for the 1099 processing schedule that will be effective for the 2014 tax year.

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.

Contact Information