IMPORTANT MEMORANDUMTO:

Clearing Member Firms
Chief Financial Officers
Back Office Managers

FROM:

CME Group Clearing

SUBJECT:

HOLIDAY SCHEDULE – Dr. Martin Luther King, Jr., January 18, 2021

Please note the holiday processing schedule for Monday, January 18, 2021
Trading:
GLOBEX, Clearport and Trading Floor

http://www.cmegroup.com/tools-information/holiday-calendar/

Clearing Processing Cycles – January 18, 2021
Settlement Variation

Initial Margin

Settlement file

SPAN file

Reports

No ITD Cycle

No ITD Cycle

No ITD Cycle

No ITD Cycle

No Variation Movement(Prices will be carriedforward from Friday)

IM requirements
will berecalculated.

Same prices
from Friday’sFile

No ITD Cycle
Normal Delivery
Time with same
prices fromFriday’s File

Intraday Cycle(ITD)
End of Day Cycle(EOD)

All Reports
Available

MOSA Processing
MOSA will only run an “AM” cycle on Monday, January 18th. CME MOSA transactions cleared on Monday will be posted
for Tuesday’s clearing cycle.
The deadline to submit trades to the AM inter-exchange processing cycle on Monday will be its normal time of 7:00 amCST.
EROSION Processing
CME clearing will not process NYMEX Erosion on Monday, January 18thSince Martin Luther King, Jr. Day is not defined as a NERC holiday, CME Clearing will process double erosion for all firms
with positions in the NYMEX PJM contracts on Tuesday, January 19th.
CME Clearing will calculate final erosion for both Monday, January 18th and Tuesday, January 19th on Tuesday forsettlement on Wednesday, January 20th.

Monday, January 18
Tuesday, January 19ththNERC Processing
NoNo

Customer Gross Margin File Submission

NERC Holiday
NoNo

Double Erosion
NoYesCME Clearing will use the CGM file submitted on Friday, January 15th for processing on Monday, January 18th even if afirm submits a new CGM file for processing on Monday.
Processing of Performance Bond Collateral
There will be no posting of collateral transactions dated Monday, January 18th, 2021 and clearing firms will be unable todeposit or withdraw collateral on Monday, January 18th.
Please refer to IEF2 processing deadlines schedule for January 18th on the last page of this advisory.
A.M. Settlement Confirmations
Settlement variation and performance bond cash call amounts resulting from Friday, January 15th and Monday, January
18th, RTH settlement cycles will be confirmed by the settlement banks by 7:30 a.m. on Tuesday, January 19th. Settlementbanks will process cash flows resulting from Friday and Monday’s RTH settlement cycle on Tuesday, January 19th.
Futures Foreign Currency Performance Bond Cash Withdrawals
Due to the holiday, please note the value dates on foreign currency performance bond cash withdrawals will be moved out
until the next valid business date for that currency.
Futures Foreign Currency Settlement Variation
Due to the holiday, please note the value dates on foreign currency settlement variation will be moved out until the nextvalid common business date for USD & the settlement currency.
Interest Earning Facility 2 (IEF2)
Please note the following deadlines for IEF2 processing – these times are TENTATIVE and will be confirmed before theactual holiday.

BlackRock FedFund TFDXX
Dreyfus Treasury Cash Mgmt DTRXX

1/15/212:00p.m CST
2:00p.m CST

1/18/21
ClosedClosedDreyfus Gov Cash Mgmt DGCXXDeutsche Gov Money Market Series (Former DWS) ICAXX
Federated Gov Obligations GOFXX
Goldman Sachs Fin Square Treasury Solutions FEDXXGoldman Sachs Fin Square Gov FGTXXHSBC Investor Gov HGIXX

2:00p.m CST
2:00p.m CST
2:00p.m CST
2:00p.m CST
2:00p.m CST
2:00p.m CST

ClosedClosedClosedClosedClosedClosedJP Morgan Gov OGVXXJP Morgan Treasury Plus IJTXXMorgan Stanley Inst Liquidity Gov MVRXXMorgan Stanley Treasury MISXXState Street Inst Gov GVMXXUBS Select Gov Preferred SGPXX

2:00p.m CST
2:00p.m CST
2:00p.m CST
2:00p.m CST
2:00p.m CST
2:00p.m CST

ClosedClosedClosedClosedClosedClosedUBS Select Treasury Preferred STPXX

2:00p.m CST

ClosedFor questions or further information: please contact CME Clearing at 312.207.2525 or CME Clearing’s Banking andCollateral Team at 312.207.2594.