Topics in this issue include:

      System Updates

·         NEW: CME Secured FTP Availability – January 24, 2015

·         Saturday, January 31, 2015 SFTP Test

·         CME Secured FTP Availability

·         **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

      Events & Announcements

·         NEW: CDS Production Advisory – New CME SDS Margin Model and iTraxx Clearing Services

·         NEW: Interest charge for Swiss Franc (CHF) deposits – January 22, 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: CDS Production Advisory – New CME SDS Margin Model and iTraxx Clearing Services

Please be advised that beginning on Monday, February 2, 2015, CME Clearing will implement the new CME CDS Margin Model and launch the Markit iTraxx Europe and the Markit iTraxx Crossover benchmark indexes into Production.

CME Clearing will expand the product set to include the Markit iTraxx Europe index with 3, 5, 7 and 10-year maturities and the Markit iTraxx Crossover index with 5-year maturity, for both Series 17 through 22.

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

NEW: Interest charge for Swiss Franc (CHF) deposits – January 22, 2015

Effective January 22, 2015, please be advised that CME Clearing (CME) will be changing the rate that clearing member firms are charged for Swiss Franc (CHF) deposits held at CME.

The new charge will be 100 bps (1.0%) and may be subject to change in future months, depending on market conditions. This charge will occur during the first week of the following month.

For more information please contact CME Clearing at 312-207-2594.

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