• Changes to CME Rules 280H.02.A. and 281H.02.A. on Cash Settlement of Cleared OTC U.S. Dollar/Malaysian Ringgit and U.S. Dollar/Indonesian Rupiah Spot, Forwards and Swaps Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6758
      • Notice Date
      • 23 July 2013
      • Effective Date
      • 05 August 2013
    • The Chicago Mercantile Exchange Inc. (CME or Exchange) is amending the trading rules and regulations for the Cleared OTC U.S. Dollar/Malaysian Ringgit (USD/MYR) and U.S. Dollar/Indonesian Rupiah (USD/IDR) spot, forwards and swaps contracts in order to conform to recent changes in the benchmark fixings that underlie these contracts. Starting August 6, 2013, the fixing for the USD/MYR contracts is moving onshore to Bank Negara (i.e., the Central Bank of Malaysia), while the fixing for the USD/IDR contracts is moving to the ABS Benchmarks Administration per a recent directive by the Monetary Authority of Singapore.
       
      These modifications will become effective on Monday, August 5, 2013 for trade date Tuesday, August 6, 2013.
                                            
      Attachments 1 and 2 summarize amendments to CME Rules 280H.02.A. and 281H.02.A., respectively.
       
      Cleared OTC USD/MYR and USD/IDR contracts are listed by and subject to the rules of CME.
       
      Please direct questions regarding this notice to:
       
      Europe
      Will Patrick                              +44 20 3379 3721                   Will.Patrick@cmegroup.com
      Malcolm Baker                       +44 20 3379 3863                   Malcolm.Baker@cmegroup.com
                                                     
      U.S.
      Craig LeVeille                          +1 312 454 5301                     Craig.LeVeille@cmegroup.com
      Simon Burnham                      +1 312 930 3426                     Simon.Burnham@cmegroup.com
      Kevin McMillin                        +1 312 930 8264                     Kevin.McMillin@cmegroup.com
       


      Attachment 1
       
      Revised Rules to
      Cleared OTC U.S. Dollar/Malaysian Ringgit (USD/MYR) Spot, Forwards and Swaps
       
      (Additions are underlined; deletions are struck through.)
       
      Chapter 280H    Cleared OTC U.S. Dollar/Malaysian Ringgit (USD/MYR) Spot, Forwards and Swaps
       
      280H.02.A.        Day of Cash Settlement
       
      Each Cleared OTC Contract, for the valid value date for cash settlement in two Business Days, shall be liquidated by cash settlement at a price equal to the daily Final Settlement Price (FSP) for that day. The daily Final Settlement Price shall be equal to the "MYR PPKMMYR ABS (MYR03MYR01),” which is the “Malaysian ringgit per U.S. dollar" spot exchange rate spot rate at 11:1011:30 a.m. Singapore time (9:109:30 p.m. CT on the preceding evening), expressed as the amount of Malaysian ringgit per one U.S. dollar, for settlement in two Business Days, reported by Persatuan Pasaran Kewangan Malaysia (ACI - Malaysia), which appears on Thomson Reuters Screen MYRFIX2 Page at approximately 11:10 a.m., Kuala Lumpur time, on that Rate Calculation Datethe Association of Banks in Singapore which appears on the Reuters/Telerate Page 50157 to the right of the caption “Spot” under the column “MYR” at approximately 11:30 a.m., Singapore time (9:30 p.m. CT on the preceding evening), rounded to four (4) decimal places. This rate is used widely by the interbank foreign exchange market to cash settle non-deliverable forward contracts for Malaysian ringgit versus U.S. dollars. All open positions for that valid value date for cash settlement will be cash settled in U.S. dollars based upon the difference between the Final Settlement Price for the valid value date for cash settlement and the original trade price as submitted for clearing times the notional value of the transaction in USDs divided by Final Settlement Price. In the event, this U.S. dollar amount is positive, then the Clearing House shall debit the seller’s clearing member account and credit the buyer’s clearing member account for this amount in U.S. dollars. In the event, this U.S. dollar amount is negative, then the Clearing House shall debit the buyer’s clearing member account and credit the seller’s clearing member account for this amount in U.S. dollars.
       
      For example, if the "MYR PPKMMYR ABS (MYR03MYR01),” for the valid value date for cash settlement in two Business Days, is as follows: MMMMM, DD - YYYY is 3.012300 MYR per USD,” and the original trade price submitted for clearing by clearing firms of the buyer and seller was 3.030801 MYR per USD for a notional amount of 100,000 USD, then the Clearing House on the Business Day following the valid value date for cash settlement shall debit the clearing members account for the buyer with US$614.18 (i.e., 3.012300 MYR per USD – 3.030801 MYR per USD = (-0.018501 MYR per USD x 100,000 USD) / 3.012300 MYR per USD) = -$614.18.). Similarly, the Clearing House on the Business Day following the valid value date for cash settlement shall credit the clearing member account for the seller with US$614.18.
       
      In the event that the "MYR PPKMMYR ABS (MYR03MYR01)” Malaysian ringgit per U.S. dollar rate is not published on a valid date for cash settlement, then Force Majeure shall be in effect.


      Attachment 2
       
      Revised Rules to
      Cleared OTC U.S. Dollar/Indonesian Rupiah (USD/IDR) Spot, Forwards and Swaps
       
      (Additions are underlined; deletions are struck through.)
       
      Chapter 281H    Cleared OTC U.S. Dollar/Indonesian Rupiah (USD/IDR) Spot, Forwards and Swaps
       
      281H.02.A.        Day of Cash Settlement
       
      Each Cleared OTC Contract, for the valid value date for cash settlement in two Business Days, shall be liquidated by cash settlement at a price equal to the daily Final Settlement Price (FSP) for that day. The daily Final Settlement Price shall be equal to the "IDR VWAPIDR ABS (IDR03IDR01),” which is the “Indonesian rupiah per U.S. dollar" spot exchange rate spot rate at 11:30 a.m. Singapore time (9:30 p.m. CT on the preceding evening), expressed as the amount of Indonesian rupiah per one U.S. dollar, for settlement in two Business Days, reported by ABS Benchmarks Administration Co Pte. Ltd. (or its successor as administrator or sponsor of that rate), which appears on Thomson Reuters Screen ABSFIX01 Page at approximately 11:30 a.m., Singapore time, on that Rate Calculation Datethe Association of Banks in Singapore which appears on the Reuters/Telerate Page 50157 to the right of the caption “Spot” under the column “IDR” at approximately 11:30 a.m., Singapore time (9:30 p.m. CT on the preceding evening), rounded to two (2) decimal places. This rate is used widely by the interbank foreign exchange market to cash settle non-deliverable forward contracts for Indonesian rupiah versus U.S. dollars. All open positions for that valid value date for cash settlement will be cash settled in U.S. dollars based upon the difference between the Final Settlement Price for the valid value date for cash settlement and the original trade price as submitted for clearing times the notional value of the transaction in USDs divided by Final Settlement Price. In the event, this U.S. dollar amount is positive, then the Clearing House shall debit the seller’s clearing member account and credit the buyer’s clearing member account for this amount in U.S. dollars. In the event, this U.S. dollar amount is negative, then the Clearing House shall debit the buyer’s clearing member account and credit the seller’s clearing member account for this amount in U.S. dollars.
       
      For example, if the "IDR VWAPIDR ABS (IDR03IDR01),” for the valid value date for cash settlement in two Business Days, is as follows: MMMMM, DD - YYYY is 8612.00 IDR per USD,” and the original trade price submitted for clearing by clearing firms of the buyer and seller was 8682.45 IDR per USD for a notional amount of 100,000 USD, then the Clearing House on the Business Day following the valid value date for cash settlement shall debit the clearing members account for the buyer with US$818.04 (i.e., 8612.00 IDR per USD – 8682.45 IDR per USD = (-70.45 IDR per USD x 100,000 USD) / 8612.00 IDR per USD) = -$818.04.). Similarly, the Clearing House on the Business Day following the valid value date for cash settlement shall credit the clearing member account for the seller with US$818.04.
       
      In the event that the "IDR VWAPIDR ABS (IDR03IDR01)” Indonesian rupiah per U.S. dollar rate is not published on a valid date for cash settlement, then Force Majeure shall be in effect.

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