NOTICE #: 15-046

SUBJECT: CME Clearing Notice: Week of Monday, February 9, 2015

Topics in this issue include:

      System Updates

·         FIXML Delivery Transfer Message Enhancements Coming March 17, 2015

·         New Web Browser Standards

      Deliveries

·         CME Group Delivery Dates for February 2015

·         Approved List of Live Cattle Stockyards & Slaughter Plants - February 1, 2015

      Events & Announcements

·         NEW: HOLIDAY SCHEDULE - President’s Day, February 16, 2015

·         NEW: OTC Holiday Advisory - Presidents' Day - February 16, 2015

·         NEW: February 2015 Eligible ETFs and Stocks

·         NEW: Interest Charge for Danish Krone (DKK) Deposits

·         NEW: Change to Standard Settlement Instructions to send JPY Cash to CME for Margin

·         NEW: Monthly-to-Daily Conversion for Power Contracts begins on May 29, 2015

·         NEW: REVISED Credit Event Advisory- Credit Event declared for RadioShack Corporation

·         NEW: Credit Event Advisory- Credit Event declared for Caesars Entertainment Operating Co.

·         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 February 2015

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

Approved List of Live Cattle Stockyards & Slaughter Plants - February 1, 2015

The attached Stockyards and Slaughter Plants have been approved for deliveries against the CME Group Live Cattle futures contract from February 1, 2015 through January 31, 2016. Delivery point information and contact numbers are listed for your reference.

Also a reminder that effective February 2, 2015, the standard freight rate for live cattle carcass deliveries will be decreased to $4.10 per mile per contract. 

If there are any questions, please contact the Deliveries Unit at (312) 930-3172.

For additional details, please click here.

NEW: HOLIDAY SCHEDULE - President’s Day, February 16, 2015

Please note the attached holiday processing schedule for Monday, February 16, 2015 in observance of President’s Day.

NEW: OTC Holiday Advisory - Presidents' Day - February 16, 2015

On Monday, February 16, 2015 (Presidents’ 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.

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

NEW: February 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: Interest Charge for Danish Krone (DKK) Deposits

Effective February 9, 2015, please be advised that CME Clearing (CME) will be charging clearing member firms for Danish Krone (DKK) deposits held at CME.

The charge will be 50 bps 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.

NEW: Change to Standard Settlement Instructions to send JPY Cash to CME for Margin

Effective January 26, 2015 the Standard Settlement Instructions (SSIs) to send JPY Cash to CME for margin credit have changed. Before sending any JPY cash to CME, please send an email to chfin@cmegroup.com or call 312-207-2594 to obtain the new SSIs. 

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

NEW: Monthly-to-Daily Conversion for Power Contracts begins on May 29, 2015

Beginning with the June 2015 contract month and pending regulatory approvals, we are introducing an important enhancement in the way that the majority of monthly NYMEX power contracts are processed at maturity. Please see Special Executive Report 7253RR at: http://www.cmegroup.com/tools-information/lookups/advisories/ser/files/SER-7253RR.pdf

Currently, the last day of trading for these monthly cash-settled contracts is the last business day of the contract month. With this change, the monthly contracts will terminate trading prior to the start of the contract month and positions in the monthly contracts will be transformed automatically into strips of positions in the corresponding daily contracts, thereby allowing individual daily positions to be managed separately.

For questions or further information, please contact CME Clearing Services (CCS) at 312-207-2525 or ccs@cmegroup.com.

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

NEW: REVISED Credit Event Advisory- Credit Event declared for RadioShack Corporation

The ISDA Determinations Committee has determined that a Bankruptcy Credit Event occurred with respect to RadioShack Corporation. See the following: <<<http://dc.isda.org/>>>.

RadioShack Corporation is referenced in the following CDX North American High Yield Indices:

·         CDXHY14V6.SR.XR.USD

·         CDXHY15V6.SR.XR.USD

·         CDXHY16V6.SR.XR.USD

·         CDXHY17V6.SR.XR.USD

·         CDXHY18V3.SR.XR.USD

·         CDXHY19V2.SR.XR.USD

·         CDXHY20V2.SR.XR.USD

·         CDXHY21V2.SR.XR.USD

·         CDXHY22V2.SR.XR.USD

·         CDXHY23.SR.XR.USD

The Event Determination Date is Friday, February 6, 2015. The Initial Processing Date for this Credit Event will be Tuesday, February 10, 2015.

Note: Since CME Clearing only offers index contracts there will be no single-name contract affected by this Credit Event, nor will there be a recovery swap made available for clearing on this single name.

Additional advisory notices will be published detailing the Auction and Final Processing dates. If you have questions, please contact the CME Client Services Team at onboarding@cmegroup.com.

NEW: Credit Event Advisory- Credit Event declared for Caesars Entertainment Operating Co.

The ISDA Determinations Committee has determined that a Bankruptcy Credit Event (“Credit Event”) occurred with respect to Caesars Entertainment Operating Co.  See the following: <<<http://dc.isda.org/>>>. 

Caesars Entertainment Operating Co. is referenced in the following CDX North American High Yield Indices:

·         CDXHY14V6.SR.XR.USD

·         CDXHY15V6.SR.XR.USD

·         CDXHY16V6.SR.XR.USD

·         CDXHY17V6.SR.XR.USD

·         CDXHY18V3.SR.XR.USD

·         CDXHY19V2.SR.XR.USD

·         CDXHY20V2.SR.XR.USD

·         CDXHY21V2.SR.XR.USD

·         CDXHY22V2.SR.XR.USD

·         CDXHY23.SR.XR.USD

The Event Determination Date will be Thursday, January 15, 2015.  The Initial Processing Date for this Credit Event will be Wednesday, February 11, 2015. 

Event Determination Date (EDD) – The date on which the credit event was deemed to have occurred. The Event Determination Date is the key date that drives processing and the economics of the contract.

Credit Event Initial Processing Date – The date on which the daily coupon accrual will be calculated through the Event Determination Date. The coupon accrual will still be calculated into the daily variation margin until the Credit Event Final Processing Date.

Note: Since CME Clearing only offers index contracts there will be no single-name contract affected by this Credit Event, nor will there be a recovery swap made available for clearing on this single name.

Additional advisory notices will be published detailing the Auction and Final Processing dates. If you have questions, please contact the CME Client Services Team at onboarding@cmegroup.com.

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