Topics in this issue include:

      System Updates

·         NEW: Monthly-to-Daily Power Conversion Testing Scheduled for March 31 – April 1, 2015

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

·         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

·         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: HOLIDAY SCHEDULE - Good Friday, April 3, 2015

·         NEW: OTC Holiday Advisory – Good Friday and Easter

·         NEW: Updated March 2015 Final Foreign Currency Settlement Prices

·         NEW: REVISED CDS Product Advisory - Markit iTraxx European Series 23

·         NEW: CDS Product Advisory - CDX North American Investment Grade Index Series 24

·         March 2015 Eligible ETFs and Stocks

·         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.

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: HOLIDAY SCHEDULE - Good Friday, April 3, 2015

Please note the holiday processing schedule at this link in observance of Good Friday on April 3, 2015. 

NEW: OTC Holiday Advisory – Good Friday and Easter

Please be advised that on Friday, April 3, 2015 (Good Friday) 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 full text of this advisory at this link.

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

NEW: Updated March 2015 Final Foreign Currency Settlement Prices

Please see the updated advisory at this link regarding March 2015 Final Foreign Currency Settlement Prices.

NEW: REVISED CDS Product Advisory - Markit iTraxx European Series 23

CME Clearing will expand its Credit Default Swap product offering to include the Markit iTraxx European Series 23. This series will be added to the product reference file one day prior to the launch date in both New Release and Production.

Participants that wish to test before launch may do so in CME Clearing’s New Release (UAT) environment beginning Wednesday, March 18, 2015. Please keep in mind that CME Clearing will be using mock settlement prices for the Markit iTraxx European Series 23 in New Release through Thursday, March 19, 2015. Production settlement prices will be applied to the Index in the New Release environment beginning Friday, March 20, 2015.

The Reference Entity changes for the Markit iTraxx European Series 23 can be found at the following link:

http://www.markit.com/NewsInformation/NewsAnnouncementsFile?CMSID=655166e83ce8489bbd1f255e713e888b

**Please note that the Reference Entity changes above are provisional and can be changed by Markit till publication of the final annex for the Markit iTraxx European Series 23.

Below are the Markit iTraxx European Series 23 product name and corresponding product code available to clear at CME Clearing:

·         Series 23 (ITX23.SR.MM.EUR) – ITX23 – NEW

·         Series 23 (ITXXO23.SR.MM.EUR) – IX23 – NEW

If you have any questions, please contact the CME Client Services Team at Onboarding@cmegroup.com or by telephone at 312-338-7112.

NEW: CDS Product Advisory - CDX North American Investment Grade Index Series 24

CME Clearing will expand its Credit Default Swap product offering to include the CDX North American Investment Grade Index Series 24. This series will be added to the product reference file one day prior to the launch date in both New Release and Production.

Participants that wish to test before launch may do so in CME Clearing’s New Release (UAT) environment beginning Wednesday, March 18, 2015. Please keep in mind that CME Clearing will be using mock settlement prices for the Series 24 Index in New Release through Thursday, March 19, 2015. Production settlement prices will be applied to the Index in the New Release environment beginning Friday, March 20, 2015.

CDX North American Investment Grade Index Series 24 has the following Reference Entity changes from Series 23:

Additions:

• Apache Corporation
• Canadian Natural Resources Limited
• Domtar Corporation
• Enbridge Inc.

Removals:

• Avon Products, Inc.
• Genworth Holdings, Inc.
• M.D.C. Holdings, Inc.
• Safeway Inc.

**Please note that the Reference Entity changes above are provisional and can be changed by Markit till publication of the final annex for the CDX North American Investment Grade Index Series 24.

Below are the CDX North American Investment Grade Index Series 24 product name and corresponding product code available to clear at CME Clearing:

• Series 24 (CDXIG24.SR.XR.USD) – CG24 – NEW

If you have any questions, please contact the CME Client Services Team at Onboarding@cmegroup.com or by telephone at 312-338-7112.

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.

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