CME Group Asia Customer Forum Spring 2015 Singapore April 14 Hong Kong April 16 London April 29 Chicago May 7
Disclaimer Futures and swaps trading is not suitable for all investors, and involves the risk of loss. Futures and swaps are leveraged investments, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money initially deposited for a futures and a swap position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. The information and any materials contained in this presentation should not be considered as an offer or solicitation to buy or sell financial instruments, provide financial advice, create a trading platform, facilitate or take deposits or provide any other financial products or financial services of any kind in any jurisdiction. The information contained in this presentation is provided for information purposes only and is not intended to provide, and should not be construed as, advice. It does not take into account your objectives, financial situation or needs. You should obtain appropriate professional advice before acting on or relying on this presentation. The information contained in this presentation is provided as is and without any warranty of any kind, either express or implied. CME Group assumes no responsibility for any errors or omissions. CME Group and 芝 商 所 are trademarks of CME Group Inc. The Globe logo, E-mini, E-micro, Globex, CME and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. ( CME ) CBOT and Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. ( CBOT ) ClearPort and NYMEX are trademarks of the New York Mercantile Exchange, Inc. ( NYMEX ) These may not be modified, reproduced, stored in a retrievable system, transmitted, copied, distributed or otherwise used without the written permission of the party owning these materials. CME, CBOT and NYMEX are each registered as a Recognized Market Operator in Singapore and authorized as Automated Trading Service providers in Hong Kong S.A.R. Further the information contained herein does not constitute the provision of direct access with any foreign financial instrument market or clearing services for foreign financial instrument market transactions defined under Japan s Financial Instrument & Exchange Act (Law No. 25 of 1948, as amended). CME Europe Limited is not registered or licensed to provide, nor does it purport to provide financial services of any kind in any jurisdiction in Asia including Hong Kong, Singapore or Japan. None of CME Group entities are registered or licensed to provide, nor does it purport to provide, financial services of any kind in People s Republic of China or Taiwan. This presentation is for distribution in Korea and Australia solely to professional investors, as defined in Article 9(5) of the Financial Investment Services and Capital Markets Act and related rules and in the Corporations Act 2001 (Cth) and related rules respectively, circulation should be restricted accordingly. Copyright 2015 CME Group and 芝 商 所. All rights reserved.
Product Updates Market Updates on CME Group's CBOT Agricultural Suite of Products Developments in Electronic Trading of WTI Options, including Request For Quote technology Continued Volatility in IR & FX continue to drive Volumes and Open Interest at CME Group Trends and Volume Statistics of CME Group's COMEX Copper 3
Market Updates on CME Group's CBOT Agricultural Suite of Products Nelson Low Executive Director Agricultural Commodity Products, Asia
Agricultural Products Update 2015 Q1 Updates Cocoa Futures (Physically Delivered) - Launched on 30 Mar 2015-240 lots traded on Day 1 - Strong support from trading community 2015 Q1 Roadmap Fertilizer Future (April) - Alternative to already existing Swap contracts. - Standardization European Wheat (May) - Launching on CME Inc. - Alternative to MATIF - Driven by European wheat corporates. 5
Agricultural Products Update Expanding Suite of Palm Products Our partner exchange Bursa Malaysia Derivatives products have been available on Globex since 2010 - MYR Crude Palm Oil Futures (FCPO) - USD Palm Olein Futures (FPOL) - MYR Crude Palm Oil Options (OCPO) CME suite of palm products - USD Crude Palm Oil Futures (CPO) - USD Crude Palm Oil Calendar Swaps (CPC) *cleared only - USD Palm Olein Calendar Swaps (OPS) *cleared only New palm products in the pipeline - USD Crude Palm Oil Average Price Options (to be launched in Q2) *cleared only 6
Agricultural Products Update USD CPO calendar swap launched June 2013 CPO Swaps Volume, Open Interest References the Global Benchmark Bursa Malaysia Derivatives FCPO Futures Contract Open Interest hit a record of 10,540 contracts in August Q3 2014 was a record month with 13,580 contracts cleared The suite has continued to grow in 2014, with 2014 CPO swap volumes standing at 40,920 contracts cleared, vs 25,680 lots in 2013 (annualized) representing a positive growth of +59% YOY Open Interest is spread out till Dec 2015, indicating interest in forward months New USD Palm Olein calendar swap based on the Thomson Reuters price was just launched on 3 Nov By end 2014, open interest on the Palm Olein swap stood at 240 contracts On CME Clearport and available 23 hours a day for clearing 7
Agricultural Products Update Volatility driving increased reliance on options in Q4 - Livestock options: Live Cattle +40% Lean Hogs +22% Feeder Cattle +118% - Soybean options: Soybeans +67% Meal +50% Oil +52% Trend continuing in January, with Meal +97%, Soybeans +66%, and Oil +32% vs the same period 2014 - Wheat options: Chicago SRW +44% KC HRW + 271% Non-Standard options continue to gain momentum in 2014 - Short-Dated New Crop options +12% Weekly Options +18% in 2014 8
Ag Product Suite Overall Numbers - 60% of Agricultural options were executed electronically in November - 41% of Globex volume was done via spreads in Grains and Oilseeds - 27% of Globex volume was done via spreads in Livestock Option Product ADV ADV % Change YoY Corn 74,041 7% Soybean 81,964 47% Wheat 22,943 15% Soybean Meal 11,615 15% Live Cattle 13,994 23% Hogs 12,737-5% Soybean Oil 6,685-6% KC HRW Wheat 2,813 155% Class III Milk 1,672 23% Feeder Cattle 1,548 80% 9
Globex Spread Types - Grains and Oilseeds Butterfly (options based) 6% Box 0% Christmas tree 0% Condor 1% Conversion/Reversal 4% Diagonal 2% Double 0% Vertical 61% General Spread 7% Straddle 10% Gut 0% Horizontal Option 1% Horizontal Straddle 2% Iron Butterfly 0% Risk reversal 2% Strangle 4% 10
Globex Spread Types - Livestock 11
Developments in Electronic Trading of WTI Options, including Request For Quote technology Alan Bannister Executive Director Energy Products, Asia
CME Energy Markets Update Crude Refined Natural Gas WTI (CL) North American Benchmark Brent (BZ) European Benchmark DME Oman (OQD) Middle East/Asian Benchmark Diesel (HO) New York Ultra Low Sulfur Diesel (ULSD) Benchmark Gasoline (RB) New York RBOB Gasoline Benchmark Gas (NG) US Henry Hub Natural Gas Benchmark NYMEX became part of CME Group in 2008. 13
CME Group NYMEX WTI 1 Year Chart 14 14
CME Group hosts some of world s most actively traded Energy markets 15
CME Group/NYMEX Brent Futures Contract code: BZ European benchmark Price directly influenced by Europe and Asia Financially settled on expiry against ICE Brent Index Low Transaction Cost : FREE no exchange fees Low Margin Cost : High Convenience : Due to margin offsetting Implied engine for spreads
WTI Options The period 2011 to 2014 was a period of declining volatility in oil markets. In Q3 14 volatility picked up as the price of crude tumbled. This created increased interest in the WTI options markets. 17
WTI Options have recently been moving to Globex The majority of LO now trades electronically. This is important to Asia because: Market open 23 ¼ hours/day, 5 days a week No language barrier to execution Cheaper execution than manual alternatives Minimum trade size is 1 lot, therefor may be suitable for retail traders Increased use of Request for Quote (RFQ) to execute options structures. 18
Nymex WTI - 10 year chart
Continued Volatility in IR & FX continue to drive Volumes and Open Interest at CME Group Speaker : Nelson Low Executive Director Agricultural Commodity Products, Asia
Hype around FOMC Rate hikes Driving Clients participation in Interest Rates at CME Open interest in CME Eurodollar Options has surpassed 30 million contracts 66% in puts - as market participants hedge their risk around the uncertainty of the first rate increase. The June 2015 expiration currently holds the majority of the Open Interest with 5 million+ contracts, 77% of which is in Put Options. 21
Fed Funds Futures and Options represent a direct reflection of collective marketplace insight regarding the future course of FOMC monetary policy, and trading activity has surged in 2015: Fed Funds Options traded over 34,000 contracts during the second week of February, compared to 25,533 contracts in all of 2014. Fed Funds Options Q1 2015 ADV is 12 times Q1 2014 ADV. Fed Funds Futures ADV has tripled in Q1 2015 compared to Q1 2014, with open interest doubling during this same time period. CBOT Fed Funds Futures Number of Large Open Interest Holders* 200 Source: CFTC 150 100 50 0 *The CFTC defines large open interest holders as having at least 600 open contracts in Fed Funds futures. 22
Traders are turning to 2-Year Treasury Futures and Options to position their portfolios for potential changes to FOMC policy, as evidenced by the following alltime records: A record 1.9 million contracts were traded on February 24, which was the first day of the Yellen's testimony to Congress February Futures & Options ADV hit a new record of 605,000+ contracts with Futures Q1 ADV up 61% year-over-year and Options Q1 ADV up 176% compared to last year All-time high of 276 large open interest holders, as Open Interest across 2-Year Futures and Options has grown to over 1.5 million contracts CBOT 2-Year Treasury Note Futures Number of Large Open Interest Holders* 300 250 200 150 100 50 0 Source: CFTC *The CFTC defines large open interest holders as having at least 1,000 open contracts in 2-Year Treasury Note futures. 23
Eurozone, Back in the Forefront CME Group FX futures LOIH at 990, New All-time high. Euro and the Majors as a group hit all-time highs of 249 and 799 LOIHs, respectively, March 10 24
CME Group FX Options continue to see volumes grow. March 2015 +119% on March 2014 Year to Date on 2014 volumes are +57% 25
Cleared Un-cleared Evolution of FX Market Structure Voice Hybrid Electronic/Voice Electronic Disclosed Electronic Anonymous Spot Forwards Options NDFs Spot Forwards Options Legend Today NDFs In 3-5 years Futures and Options 26
Why People are Choosing FX Futures FX Futures Pricing Central Order Limit Book (CLOB) Transparent listed Concentrated liquidity points Tight Bid-Offer Spreads, especially front month majors Liquidity provision from multitude of participants Execution Quick Execution - order can be received and acknowledged in under 500 micro seconds STP through CME Clearing houses OTC FX No/Limited Transparency Fragmented liquidity across all dates and dealers Price discovery via quotes from relationship dealers Voice trading may incur time lags / delays to execution Dealer may impose Last Look STP defined by counterparty readiness Fees Known upfront costs on a per contract basis Costs include potential wider bid/offer spreads, trading slippage, sales mark-up, and credit charge Costs unknown until time of execution Credit Mitigated credit and counterparty risk via central clearing Credit relationship varies from dealer to dealer house ISDA / CSA Negotiations No ISDA / CSA negotiations Varying credit lines / analysis over time Requirements known in advance of execution Potential CVA credit charge applied to spreads Portfolio margining benefits Collateral / Margin Margin posted upfront via accepted collateral Varying collateral / margin requirements Diverse collateral accepted May require negotiation of CSA Positions auto-netted No margin for Bilateral (but CVA charge) 1-2-day Margin period of risk (MPOR) 5-day MPOR for OTC Cleared (if mandated) Counterparty Risk Futures cleared via CME Clearing (CCP) Multiple exposures inherent in bilateral trading ahead of Minimal counterparty risk settlement Increased risk exposure if trading non-cls currency Regulation CME Listed Futures regulated by CFTC (US) & FCA / BoE (UK) Products are not currently regulated 27
Trends and Volume Statistics of CME Group's COMEX Copper Yvonne Zhang Director Metal Products, Asia
Metals liquidity in Asian hours During the Asian hours (Beijing 8am-8pm), we see approximately ~40% of CME s copper futures volume and ~30% of our silver volumes traded electronically. SHFE Open SHFE Close * Data from CME, Bloomberg 29
CME Copper Volume Dominates during the Asian Session CME Copper volumes have surpassed LME volumes from Q3-2014. Data from Feb 15 indicates that the Asia overall market share split is: SHFE (53%), CME (32%), LME (15%). Market feedback suggest that COMEX Copper is more responsive to Asian market events, more user friendly and trades easier vs. SHFE futures. It has been reported by Chinese FCMs and the media that since 17 th April 1995, the rolling correlation between SHFE and COMEX active futures contracts is 98%. * Data from CME, Bloomberg 30
CME Copper Electronic Liquidity: Consistent, Transparent, Accessible - 交 易 量 - 持 仓 量 31
CME Copper Options Volume Update Our main copper options contract (HX) has seen liquidity improvement of 129% YoY in Feb 2015,our weekly options (HXE) has also attracted consistent growth. * Data from CME 32
Gold markets maybe contracting, but there s still growth potential 20% financial investments 25% In physical circulation 45% Sovereign reserves * Statistics from World Gold Council * Picture: One of the world s oldest gold coins, the 1 st one is minted by King Alayattes in Sardis Lydia (Turkey in present day), circa 610-600 BC 33
Gold Kilo - GCK COMEX-listed Gold Kilo Futures (GCK) contract now available for trading The new COMEX-listed Gold Kilo Futures contract (GCK) offers market participants in Asia the ability to make or take delivery of gold kilo bars of minimum 9999 fineness at CME Group registered and regulated vaults. Benefits for Market Participants Include: A liquid, precise and cost-effective instrument to manage risk in the Hong Kong gold market and other regional markets Physically delivered, with delivery in Hong Kong at CME Group registered and regulated vaults True intraday price and spread transparency across the futures curve Round-the-clock spreading and arbitrage opportunities with other world gold markets Margin offsets against other benchmark COMEX products and the entire suite of CME Group contracts Bid-offer spread tightest during the Asiansession, with 7/9 market makers actively quoting 34
CME Group Customer Forum E-Trading Updates Spring 2015 Singapore April 14 Hong Kong April 16 London April 29 Chicago May 7
Agenda Market Data Platform 3.0 Drop Copy 4.0 New ilink Architecture MSGW Revised ilink Session Policy Other Upcoming CME Globex Releases - Implied Options - User Defined Instruments - Leap Second - CME STP - CME Direct Partner Exchange Updates CME Portal & SmartClick 36
MDP 3.0: Features and Benefits Currently rolling out Market Data Platform (MDP) 3.0, CME Group s next generation market data protocol All CME and Hosted Partner Exchange markets launched BVMF and MexDer channels launching in 2 nd half of the year State of the Art Technology Outperforms legacy market data feed more than 90% of the time Trade Summary message: streamlined and comprehensive match reporting with optional, anonymous order identification Simple Binary Encoding on most current industry technology standard (FIX Protocol 5.0 SP 2) for faster and more efficient delivery Event-driven market price and trade information. Nano-second timestamps (micro-second accuracy) 37
MDP 3.0: Customer Adoption by the Numbers Certified Firms Firms Listening to MDP 3.0 Channels Executing Firms Displaying their Order Numbers 202 (65%) 141 (61%) 51 (8%) 38
MDP 3.0 vs. FIX/FAST: Feed Statistics MDP 3.0 95 Avg pps 251,974 Avg bps MDP 3.0 147,831,544 Avg Daily Msg Count 38,019 Avg Peak # of Msgs 110 Mbps Avg Peak b/w FIX/FAST 139,058,784 Avg Daily Msg Count 27,182 Avg Peak # of Msgs 71 Mbps Avg Peak b/w Stats from week of 3/16/2015 39
MDP 3.0: Schedule MDP 3.0 / FF Parallel Current Order Routing Partners Available BVMF NR: Jul 2015 Prod: Aug 2015 MexDer NR: Aug 2015 Prod: Sep 2015 FF No Longer a Feed of Record End of Sep 2015 Shutdown ALL FF Channels Mid-Oct 2015 40
Agenda Market Data Platform 3.0 Drop Copy 4.0 New ilink Architecture MSGW Revised ilink Session Policy Other Upcoming CME Globex Releases - Implied Options - User Defined Instruments - Leap Second - CME STP - CME Direct Partner Exchange Updates CME Portal & SmartClick 41
Drop Copy 4.0 In Q3 2015, CME Group will introduce a new Drop Copy implementation featuring: Architectural changes to align it with the upcoming new ilink architecture New messaging Functionality changes ***Note that certification is required for all Drop Copy clients and is a prerequisite for access to Drop Copy for MSGW sessions*** Changes will include: New encapsulated message type (35=n) Enhancements to make Drop Copy consistent with ilink FIX behavior New session model with separate: - Convenience Gateway (CGW) Drop Copy Target Sessions (for CGW ilink source sessions) - Market Segment Gateway (MSGW) Drop Copy Target Sessions (for MSGW ilink source sessions) Sequence streams in Drop Copy will follow the CGW and MSGW ilink Architecture model
Messaging Overview Highlights of Message Level Changes Connectivity Management CME Group recommends a heartbeat interval of 30 seconds. Must be between 5 and 60 seconds else the logon message will not be acted upon. Message Recovery: Drop Copy to Client CME group strongly recommends the use of Enhanced Resend Request. Both basic and enhanced resend request are available for Drop Copy 4.0. Maximum limit of 2500 messages per resend request, any request exceeding the limit will result in Session Level Reject FIX Resend requests are available for messages from the current business week, only. Resend requests will only be fulfilled for messages with sending time within the past 48 hours. Real time messages will be published at the same time as the resend response messages initiated by the client system s resend request. The client system must manage sequence numbers from resend response and real time messages separately 43
Current Drop Copy Architecture: CGW Sessions DC CGW Target session OYZV2K sequences messages from multiple ilink Gateways 44
New Drop Copy 4.0 Architecture: MSGW Sessions MSGW DC Target session OMADGF sequences messages from each MSGW ilink Gateway 45
Fault Tolerance and Bandwidth Impacts Fault Tolerance Client systems must always connect and log into the designated primary gateway as long as it is available. An attempt to log into the designated backup while designated primary is available will result in a forced logout. Customers can only receive acknowledgements through their primary connections - If the primary fails, the backup is promoted to the primary role Bandwidth Impact Bandwidth impact will be minimal the new 35=n for Drop Copy 4.0 is comparable size to the current Drop Copy messaging Frequency of messaging will not change 46
Mandatory Drop Copy 4.0 Certification All current DC customers must certify for and migrate to Drop Copy 4.0 - Prerequisite for systems who wish to consume MSGW source session data - Certification required for both session models The Client Impact Document, the specifications and the FAQ are available on cmegroup.com Drop Copy 4.0 is currently available in New Release and Autocert+ for customers to test and certify their applications - In New Release, Drop Copy customers will receive new target sessions for both CGW and MSGW message sequencing 47
Production Migration Separate CGW and MSGW Target sessions Once certified, customers should contact their GAM to set up a new Drop Copy 4.0 group to migrate Customers can choose to hot-cut or to run both groups in parallel - Can only run in parallel with CGW targets - GAM will create a new production Drop Copy 4.0 group a duplicate to their existing group(s) - and provide the following information: New Drop Copy 4.0 CGW target session IDs, IPs, ports and passwords Drop Copy 4.0 will not be backwards compatible After MSGW has been implemented, customers certified for Drop Copy 4.0 can add MSGW ilink source sessions to their Drop Copy 4.0 groups - GAM will provide a new Drop Copy MSGW target session ID, port and password - A Single MSGW target session ID will have 19 IPs, one corresponding to each Drop Copy Market Segment Gateway - CGW and MSGW source sessions will be in separate target sessions, but can be part of the same Drop Copy Group 48
Production Migration Example of the Drop Copy Group Production Migration Drop Copy Group A - 2.0 Drop Copy Group A - 4.0 OYZV2K AB1 AB2 AB3 AB4 OYZV3K BC1 BC2 BC3 BC4 OYZV4K AB1 AB2 AB3 AB4 OYZV5K BC1 BC2 BC3 BC4 OMADGF EF1 EF2 EF3 EF4 Only CGW Source sessions supported Multiple CGW Drop Copy Target sessions per Drop Copy Group Drop Copy CGW Target sessions with their respective source sessions from the current Drop Copy will be copied to the new Drop Copy 4.0 group Once the New ilink architecture is launched, MSGW source sessions can be added to the Drop Copy 4.0 group, to a single Drop Copy MSGW Target session 49
Production Migration The current Drop Copy architecture will be phased out Drop Copy 4.0 Production Launch date: Q3 2015 Fees remain unchanged - The parallel, duplicated Drop Copy groups will be free of charge for 6 months from launch - Customers who continue to run in parallel beyond 6 months will be charged for the duplicate set of DC groups at the current rate of $500/month End of life of current Drop Copy architecture: TBD - The existing implementation of Drop Copy will be phased out on a date to be published in the CME Globex Notices - All customers leveraging the Drop Copy service must be certified and migrated by that date Watch CME Globex Notices for more information regarding the Production rollout and migration 50
Agenda Market Data Platform 3.0 Drop Copy 4.0 New ilink Architecture MSGW Revised ilink Session Policy Other Upcoming CME Globex Releases Implied Options User Defined Instruments Leap Second CME STP CME Direct Partner Exchange Updates CME Portal & SmartClick 51
New ilink Architecture: Market Segment Gateways Q4 Launch of New Order Routing Architecture Market Segment Gateways (MSGWs) FIFO message handling per market segment Consistent performance across ilink sessions - Single entry point for all traffic for each market New Session Access Model New Session Policy New Drop Copy solution for real-time risk management - Supports both Convenience Gateway (CGW) and Market Segment Gateway (MSGW) sessions 52
New ilink Architecture: Launch MSGW Internal Launch Internal roll out of MSGWs into the ilink Infrastructure Q3 CGWs will route through the new MSGWs No direct customer access to the MSGWs Includes a failover behavior change, which will affect all clients. Optional Direct Access to MSGWs Q4 Utilize a single Session ID, password and port across all MSGWs New sequence stream management - Determined by a combination of SessionID and MarketSegmentID Fault tolerance - Customers must log on to the exchange-defined primary MSGW first ilink messaging changes to support MSGW access and sequencing 53
New ilink Architecture: Session Model Shared SessionID Among All MSGWs CGW ilink Sessions Session EF1 will be replicated across MSGWs ilink Convenience Gateway-1 SessionID:Port AB1:9000 AB2:9001 ilink Convenience Gateway-2 SessionID:Port BC1:9000 BC2:9001 MSGW ilink Sessions IP 10.10.1.1 IP 10.10.1.2 A MSGW session will have different IPs and the same port across MSGWs MSGW sequence stream will be determined by session & Market Segment Indicator Sequenced by FIX sequence number, SessionID <and> TargetSubID MSGW-01 SessionID:Port EF1:9000 EF2:9001 EF3:9002 IP:10.10.10.1 Trading Engine 1 MSGW-02 MSGW-2 SessionID:Port EF1:9000 EF2:9001 EF3:9002 IP:10.10.10.2 IP:10.10.10.3 Trading Engine 2 MSGW-n SessionID:Port EF1:9000 EF2:9001 EF3:9002 IP:10.10.10.3 IP:10.10.10.5 Trading Engine n 54
OE Gateway MD Gateway New ilink Architecture: Timestamps Match Engine 1 MDP 3.0 introduced Globex timestamps in nanoseconds with microsecond precision Market Segment Gateway adds additional timestamps in nanoseconds with microsecond precision 1 New timestamp (1) on ilink and MDP representing when orders reach the Market Segment Gateway 1 2 3 New timestamp (1) is included in the MDP Trade Summary and order book update messages 1,2 1,3 Allows for customers to compare their timestamp at the MSGW with the aggressors timestamp and understand current system performance Participant Time ilink Tag MDP 3.0 Tag 1 60/5979 60 2 52 3 52 55
New ilink Architecture: Launch Milestones Available Now Client Impact Document New Release: MSGW for all markets Summer 2015 Autocert+ Test Suite available Q3 2015: Pre-Launch Internal MSGW rollout for all markets Mock trading sessions for customers to interact with the system and experience failover Q4 2015: Production Launch MSGW available for direct access Mock trading sessions for each production weekend launch 56
Agenda Market Data Platform 3.0 Drop Copy 4.0 New ilink Architecture MSGW Revised ilink Session Policy Other Upcoming CME Globex Releases Implied Options User Defined Instruments Leap Second CME STP CME Direct Partner Exchange Updates CME Portal & SmartClick 57
Session Policy A new policy will be rolled out in conjunction with the launch of the Market Segment Gateway (MSGW): Applies to both Convenience Gateway (CGW) and MSGW sessions The number of MSGW sessions available for each Globex Firm ID (GFID) will be capped based on the historical Average Daily Volume (ADV) A one-time charge will be assessed for new sessions at the time they are created Inactivity charges will apply for sessions that fail to meet a minimum monthly volume threshold 58
Session Policy Components Port Activation Charge Monthly Inactivity Charge Volume Tiers Excess Capacity Charge CGW / MSGW Both Both MSGW MSGW Level Applied Session ID Session ID Timeframe Measured Measurement Impact n/a n/a MSGW: $250 CGW: $125 One-time charge per session* Previous Month MSGW: < 1,000 sides CGW: < 100 sides MSGW: $1,000/month per session CGW: $100/month per session Globex Firm ID 2 Previous Quarters ADV ADV tier determines base session allocation Session ID Monthly # of sessions over tier allocation $500/month per session 59
Recent Session Policy Updates Based on recent customer feedback and to render the policy more flexible, we are making these changes: Tier assignment will be based on ADV during the greater of the last two quarters Firms who fall into a lower tier will be allowed to keep sessions above their new tier but those sessions will be subject to Excess Capacity Charges (ECC) Tiers 1 and 2 have been combined and will be allowed up to 5 MSGW sessions Session allocation during Phase 1 will be 30% of the Phase 2 tier allowance 60
Globex Firm ID MSGW Session Allowance Tiers 61
Example: Customer XYZ Trading Time Period Executing Firm ADV Q4 ADV Q1 Tier Phase 1 MSGW Allowance Phase 2 MSGW Session Allowance MSGW Sessions Subject to ECC April 1st 2015 111 - XYZ Trading 55,000 35,000 5 9 30 25 0 The above represents the first ADV calculation to identify the tier for a GFID In this case the customer would fall into tier 5 (based on highest of last 2 quarters) Time ADV) Period Executing Firm ADV Q1 ADV Q2 Tier Phase 1 MSGW Allowance MSGW Session Allowance MSGW Sessions Subject to ECC July 1st 2015 111 - XYZ Trading 35,000 150,000 7 21 70 80 10 The above represents the customer s next tier as of Q3. As illustrated, their volume has increased in Q2 thus moving them to tier 7 Time Period Executing Firm ADV Q2 ADV Q3 Tier Phase 1 MSGW Allowance MSGW Session Allowance MSGW Sessions Subject to ECC October 1st 2015 111 - XYZ Trading 150,000 23,000 7 21 70 80 10 The above represents the GFID s next quarterly calculation. In Q3 their volume dropped quite a bit, but since we look at the last 2 quarters they will remain in tier 7 Time Period Executing Firm ADV Q3 ADV Q4 Tier Phase 1 MSGW Allowance MSGW Session Allowance MSGW Sessions Subject to ECC January 1st 2016 111 - XYZ Trading 23,000 21,000 3 3 10 80 70 The above represents the next tier calculation. In this period due to consecutive quarters with low volume they are dropped to tier 3 Here they can either give back the overage of sessions (70) or keep the excess sessions and pay the ECC for all session above the new tier allowance 62
Milestones Q2 2015 Q3 2015 April: Customers will be notified by their GAM of their estimated Phase 1 and Phase 2 MSGW session allocation Based on greater ADV during Q4 2014 & Q1 2015 July: Customers notified of their estimated Phase 1 and Phase 2 MSGW session allocation Based on greater ADV during Q1 & Q2 2015 September: Customers notified of MSGW IP addresses October: Final Phase 1 and Phase 2 MSGW session allocation will be available in FADB Customers can begin requesting Phase 1 MSGW sessions up to the limits of their Phase 1 allowance Q4 2015 December/January: Customers: can request Phase 2 MSGW sessions up to their Phase 2 allowance will receive invoices for November Port Activation Charges (PAC) and Excess Capacity Charges (ECC) will be notified of potential MIC charges for November Actual Monthly Inactivity Charges will begin in January 2016 63
Agenda Market Data Platform 3.0 Drop Copy 4.0 New ilink Architecture MSGW Revised ilink Session Policy Other Upcoming CME Globex Releases Implied Options User Defined Instruments Leap Second CME STP CME Direct Partner Exchange Updates CME Portal & SmartClick 64
Implied Options Creating liquidity in spreads and back months through implied functionality Enhance options market quality and liquidity to advance migration to CME Globex Option Spread Type and Product Eligibility 8 recognized UDS strategies will be available for Implied Options: Calendar, Straddle, Strangle, Vertical, Risk reversal, Diagonal, Guts, Double Request for Quotes (RFQs) will turn on implied functionality temporarily Messaging Impacts FIX tag for implied eligibility: If option instruments are implied eligible, MDP 3.0 Security Definition with Implied Eligibility flag in Tag 872 InstAttribValue Certification Requirements None Production launch for specific markets: Q4 2015 65
Comparison to Futures Implied Functionality Feature Implied Futures Implied Options Frequency / Pace Streaming On-Demand driven by RFQs, Configured with Delay + Duration Implication Direction Complementary; INs + OUTs Complementary; INs + OUTs Implied Generations Up to 2 nd Generation 1 st Generation only Spread Scope Order Priority Exchange-Defined, Ratios, 2 Legs, 1:n ratio Customer orders always prioritized over implied orders in FIFO Markets Size priority in all others User Defined, limited to 8 strategies, 2 legs, 1:1 ratio New Aggregated Price / Time to determine priority No preference for customer orders over implied orders 66
User Defined Instruments (UDI) Allows users to dynamically create new option strikes. For options in Energy and Metals only. UDIs can only be created using CME Direct. Once created, market data will be published on MDP 3.0 and order entry through ilink will be supported Both Put and Call will be generated for the requested strike price. Only strikes which meet the product s listing characteristics will be generated. Certification not required. NR & Production: Q4 2015
Leap Second What is a Leap Second? A Leap second is a one-second adjustment that is occasionally applied to Coordinated Universal Time (UTC) to keep in synch with the mean solar time. 1 The next leap second will occur on Tuesday, June 30, 2015 during trading hours, for the first time since 1997. Previously, the leap second was added while the market was closed. CME Group is working with the industry and developing a plan to facilitate the Leap Second change. A positive leap second will be introduced at the end of June 2015. The sequence of dates for the UTC second markers will be: 2015 June 30, 23h 59m 59s (18:59:59 CDT) 2015 June 30, 23h 59m 60s (18:59:60 CDT) 2015 July 1, 0h 0m 0 (19:00:00 CDT) Watch CME Globex and OTC notices for more information. 1 http://en.wikipedia.org/wiki/leap_second 68
CME STP Key Benefits Allows free connectivity to receive all trades cleared at CME for all firm types Reduces dependency on report generation from FCM to Trading/Broker entity Ensures real-time regulatory compliance Uses an industry standard protocol and access via the Internet or leased line Greatly expands on product scope that was available in Cleared Trades API Leverages SMART Click for authentication across all legal entities For more information, please contact STP Sales at STP@cmegroup.com Planned decommission date for Cleared Trades API: July 31 st Venues Supported: CME Globex CME ClearPort Floor Trades Exchanges Supported: CME COMEX CBOT DME NYMEX CME Clearing Europe 69
CME Direct: Q2 2015 Highlights Planned Enhancements: Mobile app will allow users to either view or view & cancel orders Improved user experience for block entry for Interest Rates and FX Countdown timer for Block and EFP transactions to help meet entry requirements Usability improvements: User defined colour settings Percent change column in trading grid Grid improvements faster performance with filters and sorting Transition to SMART Click by May 17 th, 2015 Migrate your ID within CME Direct One username for all legal entities Allows for self-service across more CME tools Please contact our EASE Department for support: EASEDepartment@cmegroup.com US: +1 312 456 1560 Europe: +44 20 3379 3802 Asia: +65 6593 5536 70
CME Direct EOS Trader to CME Direct Migration Decommission goal set for Q4 2015 May 2015 release will include more robust options functionality and attractive UDS capabilities Users can migrate now at their discretion; CME will look to migrate many users from EOS Trader to CME Direct beginning in Q2 through Q4 Account permissions in CME Account Manager - One account cannot trade on both platforms - FCMs and EOS users should determine optimal approach between creating a new account for CME Direct and retiring the EOS account when ready, or transitioning current EOS account to CME Direct For more information please contact your GAM or CME Direct Sales at: - CMEDirectSales@cmegroup.com - AOL and Yahoo IM: CME_Direct COMEX DME CME Clearing Europe 71
Agenda Market Data Platform 3.0 New ilink Architecture MSGW Revised ilink Session Policy Drop Copy 4.0 Other Upcoming CME Globex Releases Implied Options User Defined Instruments Leap Second CME STP CME Direct Partner Exchange Updates CME Portal & SmartClick 72
Global Partner Updates China Financial Futures Exchange (CFFEX) Only state-approved financial derivative exchange in China. Its flagship product is CSI300 Index Futures. CME Group will provide data administration services including licensing, onboarding, invoicing, fee collection and audit on behalf of CFFEX for clients outside the People s Republic of China. CFFEX data will be distributed on its own MD channel via CME Globex in MDP 3.0 format. Go-live date is currently scheduled for Q3 2015. For additional information please contact GAMAsia@cmegroup.com. Bursa Malaysia 2014 trading volume up 17% (50,654 ADV) YoY with Crude Palm Oil Futures recording ADV of 41,285 Granted Foreign Board of Trade status by U.S. CFTC on January 22, 2015. US based customers may now leverage their direct connection to trade BMD on CME Globex. To get access directly from the US, participants should: establish a relationship directly or indirectly (through their existing FCM) with a BMD clearing member firm. obtain a new Execution Firm and ilink session, approved by BMD, that maps to a BMD clearing member. 73 73
Global Partner Updates Korea Exchange On December 8 th, KRX launched USD/KRW FX futures on CME Globex for night time trading. The FX contract is growing MoM with ADV of 83 in Jan, 536 in Feb, and 1,339 in March. Dubai Mercantile Exchange DME had a positive 2014, with trading volumes up 33% year-on-year and ADV of 8,449 lots. Trade at Marker, based on Singaporean Market close set a single day record of 4,044 lots on Jan. 20 th. MexDer Following the successful Q4 launch of the mini-ipc, MexDer s Clearinghouse is offering netting of margins for the IPC Equity Index vs. the mini contract as of March 27 t BVMF North-to-South Order Routing ADV in Q1, 2015 is over 66,000. The most heavily traded contracts are the One Day Interbank Deposit Rate (DI), US Dollar (DOL) and IBOVESPA Equity Index (IND). MGEX After a record 2014, with yearly volume up 47% from 2013, MGEX set a monthly record in February, 2015, with ADV at an all-time high of 10,392. Launched Commodity Spread Options (CSOs) on their flagship Wheat product on Jan. 31 st. For additional information about the CME Group Partnerships please contact partnerservicesmgmt@cmegroup.com 74
Agenda Market Data Platform 3.0 New ilink Architecture MSGW Revised ilink Session Policy Drop Copy 4.0 Other Upcoming CME Globex Releases Implied Options User Defined Instruments Leap Second CME STP CME Direct Partner Exchange Updates CME Portal & SmartClick 75
CME Application Portal is Evolving into a Single Point of Access For All CME Applications Individual Application Links Q1 2014 Q1 2015 2016 76
CME Application Portal Roadmap 2015 and Beyond Administration Portfolio & Risk Post Trade FirmSoft CME CORE RAV Manager Risk Management Tools Positions (Q2 2015) Web GalaxC (Q4 2015) ClearPort Deliveries Plus (Q2 2015) BAMS/C21 (Q2 2015) FEC/FEC Plus (Q2 2015) OTC Deal management system Administration Reporting BPS CoLo Portal (Q2 2015) EFS Firm Admin Dashboard GPS Membership Portal Request Center Clearport Reporting Enterprise Reporting Portal (Q2 2015) Regulatory Global Repository Services (Q2 2015) Large Trader Reporting (2015) My Profile My Information My Notifications (Q4 2015) My Affiliations (2016) Apps in bold are already in the portal 77
Thank you! Quiz Q&A 78