System Updates

EREP Report ID and File Package Updates - July 11, 2015

Effective Saturday, July 11, 2015, CME Clearing will implement EREP report ID and file package changes, as described in the full notice.

“Test” Product Available on CME Globex

Trading and clearing firms have requested that CME make “test” products available on the CME Globex production environment, as a means of verifying production connectivity. Pursuant to these requests, CME will make available one “test” product on CME Globex.

The “test” product will be available in the pre-open state only, in the normal pre-open time from 4:45pm to 4:59pm Chicago time from Monday through Thursday, and from 4:00pm to 4:59pm on Sundays. No trade executions will occur. Trading firms may, however, use the test product to verify that they can place and cancel orders.

The “test” product code will be 0MD (zero followed by the letters MD), and the product will be defined as a clone of the E-mini S&P MidCap 400 futures contract, except that the margin rate will be specified as $1. The contract will be present in the daily SPAN file, settlement price file, and futures product reference file.

The test product will be available in CME’s “New Release” testing environment beginning on Sunday, June 14, 2015 and in the production environment beginning on Sunday, July 19, 2015.

Full details are available in CME Globex Notice from June 8, 2015.

For more information please contact CME Clearing at 312-207-2525.

CME Account Manager Introducing Automated OTC Account Setup

On Monday, June 15, 2015, CME Clearing began a phased approach to automating the account set-up process. Benefits include:

• Decreased turnaround times for setting up new OTC accounts.
• Eventual removal of the Consolidated Account Sheet.
• Increased Clearing Firm control of the account set-up process.

Please note: This change does not affect Portfolio Margining, CME Clearing Europe, or New Release account set-ups. These processes will continue to require a Consolidated Account Setup Sheet.

CME Clearing will implement this upgrade in two phases:

Phase 1: Monday, June 15, 2015 - Launched

CME Clearing will no longer provide mapping documentation to affirmation platforms.

• Clearing Member Firms will need to communicate account/alias mappings to the desired platforms. To assist with this change, CME Clearing publishes account-level mapping data in the PlatformMapping_XXX_YYYYMMDD.csv file, where “XXX” is the Clearing Member Firm ID. This file is published daily between 5:00 and 5:30 pm Central Time (CT) to the secure FTP.
• CME Clearing also publishes the Account Reconciliation file, AccountRecon_XXX_YYYYMMDD.csv, which contains all details needed for platform account setups.

Phase 2: Monday, June 29, 2015

CME Clearing will no longer require Clearing Member Firms to send the Consolidated Account Setup Sheet for OTC account creation.

• Information formerly communicated through the Consolidated Account Setup Sheet will now be entered directly into CME Account Manager.

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  • CME Clearing will finalize the account creation within 24 hours of the account being entered into CME Account Manager.

• Once the account is fully setup, it will display in your “Platform File” as eligible to be mapped and will be marked as complete on your Account Reconciliation file.

Please Note: The process of adding new accounts to CME Account Manager will not change. The procedure is outlined within the “Creating a New Account” topic in the CME Account Manager WebHelp.

Phase 3: Monday, July 13, 2015

Effective Sunday, July 12, 2015 (trade date Monday, July 13, 2015), all Clearing Member Firms will be required to enable accounts for the CME Portfolio Margining program via CME Account Manager only. This provides a more efficient set-up process, as Clearing Firms will no longer need to contact CME Client Services Team for these setups.

Firms may begin enabling accounts for the CME Portfolio Margining program via CME Account Manager starting Sunday, June 21 (trade date Monday, June 22).

Additional Information

·         Portfolio Margining should only be enabled for the Futures account and not the IRS account.

·         CME Clearing will backload all historical portfolio margin accounts into CME Account Manager.

To use the Portfolio Margining option

·         Set the Portfolio Margining option and the Margin/Master Account on the Account Setup page.

o    The Margin/Master Account should be equal to the Margin/Master Account of the interest rate swap account.

·         Filter by Portfolio Margining on the Account Search and Credit Controls Search pages. Account and credit controls search results show whether this option is enabled.

For more information, access the Creating Accounts or Credit Controls topics.

Additional information including platform mapping file examples are available here.

If you have any questions, please contact Client Services at +1 312 338 7112. 

Using FIA Tech OCR System for Submitting Additional Client Data, and Final September 30 Compliance Date

We are pleased to announce that clearing firms using the FIA Tech system to meet the CFTC’s mandate for automated Ownership & Control Reporting (OCR) may also use this system to satisfy CME Clearing’s requirement for additional client data for risk and default management.

FIA Tech has enhanced their OCR system to allow firms to specify the CGM account for each trading account. For futures accounts, this is the account ID that the firm uses when submitting Customer Gross Margining (CGM) position files to CME Clearing, and for swaps accounts, it is the analogous value used for rolling up trading accounts to the beneficial owner level for margining.

In addition to specifying the CGM account for each trading account, firms will create a Margin Accounts Master (MAM) file from their bookkeeping system, in the standard FIXML format, and transmit this file to FIA Tech. This file need not have any of the additional client data, but it will provide an automated means to identify client accounts with positions cleared at CME Clearing. FIA Tech will then use the data from the MAM file to generate the full set of additional client data and transmit this to CME.

Sungard also has enhanced its GMI bookkeeping system to generate the MAM file, so for firms using both GMI and FIA Tech, the only work required should be to provide the CGM account for each trading account, and to generate and transmit the MAM file to FIA Tech each day.

Note that the use of the FIA Tech system is optional. As previously announced, firms may directly submit the required additional client data for risk and default management to CME Clearing. For futures accounts, data may be submitted using either the Margin Accounts Master file or by adding it to the Customer Gross Margining position file. For swaps accounts, data may be submitted using either the Margin Accounts Master file or by adding it to LSOC Collateral Value Report datafiles. Firms planning to directly submit this data to CME Clearing, but not yet doing so, may begin at any time.

Because many firms have requested the ability to leverage the FIA Tech system for providing the additional client data, the final data for compliance with this reporting requirement is being reset to match the OCR deadline of Wednesday, September 30, 2015.

For more information please see Clearing Advisory 15-049 and Clearing Advisory 14-127.

CME Clearing may be reached at 312-207-2525. FIA Tech may be reached at ocr.support@fia-tech.com.

Leap Second Event

This advisory describes CME Clearing’s procedures for handling the “Leap Second Event” scheduled to take place at 18:59:59 CDT (19:59:59 EDT), Tuesday, June 30, 2015 (trade date Wednesday, July 1, 2015). The Leap Second Event is a one-second clock adjustment that is periodically applied to Coordinated Universal Time (UTC) by the International Earth Rotation Service to keep in synch with mean solar time. See additional information at http://tycho.usno.navy.mil/leapsec.html.

CME Clearing’s system clock(s) will be synchronized with UTC during the Leap Second Event timeframe. CME Clearing applications are largely unaffected and will be available during the leap second timeframe. Firms are encouraged, however, to complete their end of day processing before 18:55:00 Central time. And there will be minor changes to the end of day timings:

·         Any PCS or CGM datafiles submitted between 18:55:00 and 19:05:00 Central time will be held and will be processed at 19:05:00.

·         The normal end of day 19:00:00 Central time deadline for completion of trade processing will be extended to 19:20:00. This includes the deadline for completion of futures transfers for portfolio margining between interest-rate futures and interest-rate swaps.

·         The deadline for submitting PCS files for CME and CBOT products will be extended from 19:30:00 to 19:45:00 Central time. The deadline for submitting PCS files for NYMEX and COMEX is unaffected and remains at 18:00:00 Central time.

·         The deadline for submitting CGM files is unaffected and remains at 20:00:00.

For information and about CME Globex impacts, see the Frequently Asked Questions (FAQ).

Additionally, the FIA Market Technology Division is working closely with exchanges, vendors, and front end trading system providers worldwide to ensure the Leap Second Event occurs and passes in a seamless manner. See additional information from the FIA.

If you have any questions, please contact CME Clearing at (312) 207-2525, or ccs@cmegroup.com.

Deliveries

CME Group Delivery Dates for July 2015

Please see this link for the relevant delivery dates for the July 2015 Chicago Mercantile Exchange Inc., Chicago Board of Trade, NYMEX, COMEX, and DME contracts.

If you have any questions, please contact CME Clearing Deliveries at (312) 930-3172 or clearinghousedelivteam@cmegroup.com

Events & Announcements

UPDATED: HOLIDAY SCHEDULE- July 3, 2015 Independence Day (Observed)

Please reference the updated holiday processing schedule for Friday, July 3, 2015 in observance of Independence Day.

OTC Holiday Advisory- Independence Day

On Friday, July 3, 2015 (Independence Day observed), CME Clearing will be open to clear trades.

Please note, that Friday, July 3, 2015 is not a holiday in the US Banking calendar, meaning that CME Clearing will not treat it is a holiday for processing interest rate swap transactions. On July 3, 2015, however, CME Clearing will use the same curve from July 2, 2015 for ITD and EOD processing. This means that for existing trades, there will be no price change and no new variation margin requirements.

Friday, July 3, 2015, is a holiday in the SIFMA US calendar, meaning that we will invoke normal holiday processing for US dollar denominated credit default swap contracts. Please note, however, that CME Clearing will generate new initial margin requirements at end of day July 3, 2015.

Please see the impacts to CME Clearing’s processing schedule.

Canadian Provincial Debt, Australian Sovereign Debt, and Singapore Sovereign Debt

CME Clearing (CME) announces the addition of Australia and Singapore to our list of acceptable foreign sovereign debt. CME also announces the addition of Canadian provincial debt from Ontario and Quebec. Australian and Singapore sovereign debt, and Canadian provincial debt are acceptable for Base, CDS, and IRS performance bond requirements and are part of Category 4 assets for Base and IRS and Category 3 assets for CDS. These additions to our acceptable collateral list will be effective July 20, 2015, pending regulatory approval.

Please see the applicable haircuts and limits.

Contact Information