Topics in this issue include:

      System Updates

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

·         NEW: USD and EUR Interest Rate Swap Futures - Delivery Process, March 2015

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

      Events & Announcements

·         NEW: March 2015 Eligible ETFs and Stocks

·         NEW: Interest charge for Swedish Krona (SEK) deposits - March 16, 2015

·         NEW: Interest charge for Euro (EUR) deposits - March 9, 2015

·         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

·         Contact Information

Deliveries

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.

NEW: USD and EUR Interest Rate Swap Futures - Delivery Process, March 2015

Please be advised that the linked delivery process and schedule will be in effect for the March 2015 delivery cycle. All times are Central Standard Time unless otherwise noted.

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.

NEW: March 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 Swedish Krona (SEK) deposits - March 16, 2015

Effective March 16, 2015, please be advised that CME Clearing (CME) will be charging clearing member firms for Swedish Krona (SEK) deposits held at CME.

The charge will be 75 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.

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

NEW: Interest charge for Euro (EUR) deposits - March 9, 2015

Effective March 9, 2015, please be advised that CME Clearing (CME) will be changing the rate that clearing member firms are charged for Euro (EUR) deposits held at CME.

The new charge will be 20 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.

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.

Contact Information