NOTICE #: 15-013

SUBJECT: CME Clearing Notice: Week of Monday, January 12, 2015

Topics in this issue include:

      System Updates

·         NEW: Saturday, January 31^st SFTP Test

·         NEW: CME Secured FTP Availability

·         IRS Production Advisory for USD Data Refresh

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

      Deliveries

·         CME Group Delivery Dates for January 2015

·         2014 Approved List of Live Cattle Stockyards & Slaughter Plants

·         NEW: Union Registry Closure on Tuesday 13 January 2015 and Wednesday 14 January 2015, Delisting of Daily European Union Allowance (EUA) Contracts

·         NEW: Contrary Option Instructions Report Availability and New Expired Cash Settlement Price Feature

      Events & Announcements

·         NEW: HOLIDAY SCHEDULE – Dr. Martin Luther King, Jr., January 19, 2015

·         NEW: OTC Holiday Advisory – Martin Luther King Day

·         NEW: Product Modification Summary: Delisting 4 Energy Futures - January 5, 2015

·         January 2015 Eligible ETFs and Stocks

·         Implementation of Liquidity Rules 822 & 901.Q

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

·         Application of Collateral Haircuts - March 2, 2015

·         Contact Information

Deliveries

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: Union Registry Closure on Tuesday 13 January 2015 and Wednesday 14 January 2015, Delisting of Daily European Union Allowance (EUA) Contracts

Please be advised the Union Registry will be closed Tuesday, January 13, 2015 and Wednesday 14 January 14, 2015 (Please see the following link for details: http://ec.europa.eu/clima/news/articles/news_2014120501_en.htm).

As a result, the Daily European Union Allowance (EUA) – commodity code EUL – futures for contract days Friday, January 9, 2015, Monday, January 12, 2015, and Tuesday, January 13, 2015 will be delisted.

As a reminder, any firm going through delivery on European Union Emission contracts needs to have a trading account at the Union Registry and have the account trusted with CME Group’s account. Please alert Clearing House Deliveries at least 10 business days prior to delivery after setting up a new trading account as the Union Registry requires a holding period of 7 business days before accounts become trusted. Please contact Clearing House Deliveries if you plan to go through delivery on these contracts and do not meet the above criteria.

For questions on the above, please contact CME Group Clearing House Deliveries at 312-930-3172 or clearinghousedelivteam@cmegroup.com.

NEW: Contrary Option Instructions Report Availability and New Expired Cash Settlement Price Feature

Effective January 12, 2015, CME Clearing will make available on www.cmegroup.com the final cash settlement prices for CME, CBOT, COMEX, and NYMEX exchanges in a csv format for expired contracts. Two files will be available. A daily file that will display the final settlement prices for expired contracts for the current business day which will update daily every 30 minutes. The second file will provide the final settlement prices for the past 30 days. The data will be made available on the Deliveries homepage under Cash Settlements. For additional information please click here.

NEW: HOLIDAY SCHEDULE – Dr. Martin Luther King, Jr., January 19, 2015

Please note the holiday processing schedule at this link for Monday, January 19, 2015.

NEW: OTC Holiday Advisory – Martin Luther King Day

On Monday, January 19, 2015 (Martin Luther King 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: Product Modification Summary: Delisting 4 Energy Futures - January 5, 2015

Effective Monday, January 5, 2015, the New York Mercantile Exchange, Inc. (Exchange) delisted the following product from CME Globex, CME ClearPort and the NYMEX trading floor.

There is currently no open interest in this product.

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.

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.

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.

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