Topics in this issue include:

      System Updates

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

      Deliveries

·         NEW: January 2015 Eligible ETFs and Stocks

·         NEW: IRS Production Advisory for USD Data Refresh

·         CME Group Delivery Dates for January 2015

·         2014 Approved List of Live Cattle Stockyards & Slaughter Plants

      Events & Announcements

·         NEW: Implementation of Liquidity Rules 822 & 901.Q

·         Review of Collateral Haircuts Advisory

·         Change to Application of Full Value Margin Requirements for DME Oman Crude Oil Contracts

·         Collateral Fees Program

·         Cash Interest Pass-Through Program

·         Application of Collateral Haircuts - March 2, 2015

·         Contact Information

Deliveries

NEW: January 2015 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.

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.

NEW: IRS Production Advisory for USD Data Refresh

Please note CME Clearing will be refreshing USD CME Interest Rate Swaps (IRS) historical data in its Production environment. The changes will apply to all USD IRS and will be in effect as of January 12, 2015 in Production. Historical data for USD IRS will be refreshed to align historical data snap times between IRS and futures.

Additionally, CME Clearing is updating the volatility floors for Eurodollar and Treasury futures.

This data refresh was originally communicated on October 22, 2014 and has been available in our test environment since then. The original communication can be viewed at the link below.

http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv14-413.pdf

If you have questions, please contact the Risk Research team at qr_irs@cmegroup.com or 312-648-3813.

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.

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: Implementation of Liquidity Rules 822 & 901.Q

On December 23, 2014, CME received notice from the CFTC that it does not object to implementation of Proposed Rules 822 and 901.Q. Accordingly, effective February 12, 2015, CME will implement the following liquidity rules:

• CME/CBOT/NYMEX Rule 822. Liquidity Risk Management
• CME/CBOT/NYMEX Rule 901.Q. Requirement to Establish Uncommitted Repo

Regarding Rule 901.Q, CME Clearing will provide each clearing member that is a U.S. Government Securities Broker-Dealer or has a U.S. Government Securities Broker-Dealer affiliate with the master repurchase agreement for execution.

If you have any questions, please contact Suzanne Sprague (by phone at 312-930-3260; by email at suzanne.sprague@cmegroup.com) or Bryan McBlaine (by phone at 312-338-2469; by email at bryan.mcblaine@cmegroup.com).

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 below the current acceptable collateral and haircuts for CME Clearing. Please note that the changes column identified at this link indicates any near term changes to collateral and haircuts. Please see the 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.

Change to Application of Full Value Margin Requirements for DME Oman Crude Oil Contracts

In an effort to enhance capital efficiencies for clearing member firms and their customers, CME Clearing is pleased to announce a reduction in the number of business days full value margin is required for the DME Oman Crude contract. Effective with the March 2015 DME Oman Crude contract, the number of days full value margin is required will be reduced from approximately 60 days to 45 days. Please click here for additional details.

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.

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.

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.

Contact Information