Topics in this issue include:

      System Updates

·         NEW: SMART Click Migration: Deal Management System (DMS)

·         New June 26 Date for Submission of Additional Client Master Data

·         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

·         CME Group Delivery Dates for March 2015 - Last Delivery Date change for the March 2015 2yr/3yr/5yr Treasury Note contracts

·         Last Delivery Date change for March 2015 2-Yr (TUH5), 3-Yr (3YRH5) and 5-Yr (FVH5) Treasury Note Futures Contracts

      Events & Announcements

·         Credit Event Advisory - CME Clearing Credit Event Processing for RadioShack Corporation - March 5, 2015

·         Product Listing Schedule Expansion: Australian Coking Coal (Platts) Low Vol Futures

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

·         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.

CME Group Delivery Dates for March 2015 - Last Delivery Date change for the March 2015 2yr/3yr/5yr Treasury Note contracts

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

Last Delivery Date change for March 2015 2-Yr (TUH5), 3-Yr (3YRH5) and 5-Yr (FVH5) Treasury Note Futures Contracts

Previously, the product calendar on the CME Group website ( http://www.cmegroup.com/trading/calendar/ ) erroneously showed Monday, April 6, 2015 to be the last delivery day for 2-Year Treasury Note futures for March 2015 delivery (TUH5), 3-Year Treasury Note futures for March 2015 (3YRH5), and 5-Year Treasury Note futures for March 2015 delivery (FVH5).

Upon review, the Exchange has revised the product calendar, in accordance with Exchange rules, to show correctly that Friday, 3 April, is the last delivery day for such futures contracts.

The following excerpts from CBOT Rulebook Chapter 22 for 2-Year Treasury Note futures define the schedule of contract critical dates for delivery:

21103. DATE OF DELIVERY

Delivery of contract grade U.S. Treasury notes may be made by a short Clearing Member upon any business day of the contract delivery month that the short Clearing Member may select. The contract delivery month shall be defined so as to commence on, and to include, the first business day of the contract’s named month of expiration, and to extend to, and to include, the third business day following the last business day of the contract’s named month of expiration.

21104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

Deliveries against expiring contracts shall be by book-entry transfer between accounts of Clearing Members at qualified banks (Rule 21109.) in accordance with 31 CFR Part 306--General Regulations Governing U.S. Securities, Subpart O--Book-Entry Procedure, and 31 CFR Part 357--Regulations Governing Book-Entry of U.S. Treasury Bonds, Notes and Bills Held in Legacy Treasury Direct®. Deliveries against an expiring contract can be made no earlier than the first business day of the contract’s named month of expiration, and no later than the third business day following the last business day of the contract’s named month of expiration (Rule 21103.). All deliveries must be assigned by the Clearing House."

The corresponding contract terms and conditions for 3-Year and 5-Year Treasury Note futures (CBOT Rulebook Chapters 39 and 20) are closely similar.

For this purpose, Good Friday is a business day:

·         Most important, it will is a scheduled trading day in CBOT Treasury futures and option contracts, on which daily settlement prices will be made for all such contracts, subject to a scheduled early close at 11:15 am ET (10:15 am CT).  See http://www.cmegroup.com/tools-information/holiday-calendar/ )

·         It is a regular day of business for the nation’s banking system. See http://www.newyorkfed.org/aboutthefed/holiday_schedule.html

·         SIFMA have recommended that it should be a regular business day for US fixed income securities markets, subject to a scheduled early close at noon ET. See http://www.sifma.org/services/holiday-schedule/#us2015

Because it is the 3^rd business day of April, Friday, April 3, 2015 is the contractual last delivery day for TUH5, 3YRH5 and FVH5.

Credit Event Advisory - CME Clearing Credit Event Processing for RadioShack Corporation - March 5, 2015

The ISDA Determinations Committee has announced that an auction will be held in respect to RadioShack Corporation on Thursday, March 5, 2015.

The Credit Event Final Processing Date for this credit event will be held on the next valid business day following the Auction Final Price Determination Date (“Auction Date”). This means, if the auction is successful on Thursday, March 5, 2015, the Credit Event Final Processing Day will be held on Friday, March 6, 2015.

Credit Event Final Processing Date – The date, on or shortly after the Auction Final Price Determination Date, on which the final cash compensation and coupon amounts are calculated and the open interest is moved to the new version of the affected indices.

The last day of trading for the current version of the affected indices will be on the Auction Final Price Determination Date, Thursday, March 5, 2015. The first day of trading for the new version of the affected indices will be on the Credit Event Final Processing Date, Friday, March 6, 2015.

The new versions of the affected indices are listed below:

·         CDXHY14V8.SR.XR.USD

·         CDXHY15V8.SR.XR.USD

·         CDXHY16V8.SR.XR.USD

·         CDXHY17V8.SR.XR.USD

·         CDXHY18V5.SR.XR.USD

·         CDXHY19V4.SR.XR.USD

·         CDXHY20V4.SR.XR.USD

·         CDXHY21V4.SR.XR.USD

·         CDXHY22V4.SR.XR.USD

·         CDXHY23V3.SR.XR.USD

The Auction Settlement Date will be held on Monday, March 9, 2015.

Auction Settlement Date – The date on which the final cash compensation is settled. CME Clearing settles the final cash compensation amount two business days after the Auction Final Price Determination Date.

Additional advisory notices will be published detailing the Credit Event Final Processing in New Release and Auction results.

If you have questions, please contact the CME Client Services Team at onboarding@cmegroup.com.

Product Listing Schedule Expansion: Australian Coking Coal (Platts) Low Vol Futures

Product Listing Schedule Expansion

Effective Sunday, March 8, 2015, for trade date Monday, March 9, 2015, and pending all relevant CFTC regulatory review periods, please be advised that NYMEX will expand the listing of contract months for the product listed below on Open Outcry and available for submission for clearing on CME ClearPort.

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.

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