1. finance
2. investing
3. futures trading

Cleared OTC Financial Products
Security. Neutrality. Transparency.
October 2014
© 2014 CME Group. All rights reserved.
Contents
• CME Group Overview
• Global OTC Solution
• SEF Workflows and CME Group Solutions
• Portfolio Maintenance
• CME Clearing Europe (CMECE) Overview
• Additional Information
© 2014 CME Group. All rights reserved.
CME Group: Who We Are
CME Group is the world’s leading and most diverse derivatives exchange. It’s where
companies, institutions and individuals from around the globe come to manage their
business risks, hedge against fluctuations and protect themselves against price
volatility.
Our Global Reach
ACCESS IN
150
CONNECTIONS THROUGH
Countries
11
Global
Hubs
RELATIONSHIPS WITH
12
Partner
Exchanges
© 2014 CME Group. All rights reserved.
3
Global Clearing House
Global recognition and a Qualified CCP
CME Clearing is in discussions with many regulators throughout the world regarding licensing and recognition
framework.
Regulatory Recognition for CME Group’s Global Clearing Solution
• In August 2013, global regulators including the CFTC and ESMA released cross border guidance and
set the path for mutual recognition of clearing and reporting regulations
• CME Clearing has been operating as a Recognized Overseas Clearing House (ROCH) by the UK
Financial Services Authority (FSA) since June 2007
• CME Clearing Europe is an authorised central counterparty under EMIR, supervised and regulated by
the Bank of England. It is also a QCCP for regulatory capital purposes
Qualifying CCP
• CME Clearing meets the criteria established for a Qualifying CCP (QCCP) in the U.S.
• We are currently working on licensing efforts with various global regulators
• The guidance from Basel Committee on Banking Supervision, along with necessary regulatory
authorizations, will allow global customers to treat CME as a QCCP, which in turn offers preferential
capital treatment of such exposures
© 2014 CME Group. All rights reserved.
4
CME Group’s Global Clearing and Service Capabilities
Choice based on customer demand
Agency/FCM Model
Principal Model
US Law / DFA Compliant Structure
English Law / EMIR Compliant Structure
Execution
ETD: CME MARKETS
(CME, CBOT, NYMEX)
ETD: CME Europe
Clearing
OTC: Commodities, IRS, CDS, FX
OTC*: Commodities, IRS, CDS, FX
CME CLEARING US
CME CLEARING Europe
Clearing Member
CLEARING MEMBER (FCM/DCM)
CLEARING MEMBER (Broker/Bank)
Client
US or Non-US CLIENT
European or Non-US CLIENT
* OTC Commodities and IRS are currently live. OTC FX and CDS are planned for roll out during 2015
© 2014 CME Group. All rights reserved.
5
Global OTC Solution
© 2014 CME Group. All rights reserved.
Why Customers are Choosing CME Group
Offering a superior solution to meet clients’ needs
Customer Focus
•
Global multi-asset class solution for IRS, CDS, FX, and Commodities
•
Transparency through reporting directly to customers
•
Follow-the-Sun Global Client Service Support
Margin Efficiencies
•
Customer margin is based on 5-day historical VAR methodology*
•
Capital efficiency of portfolio margining of IRS vs. Eurodollar & Treasury Futures*
Operational Flexibility
•
Ability to real-time clear trades in all time zones
•
Only clearing house to provide clients the flexibility of minimizing trade errors through the most cost-efficient solution
•
No requirement of pre-funding to clear trades in normal course of business
•
Automated position transfers
•
Compression via Coupon blending- Patent-pending innovative solution that reduces gross notional outstanding and line
items
Customer Protections
•
Offering clients the option of LSOC, LSOC with Excess, and Combined Cash Flow under LSOC with Excess within
CME Inc
•
Offering clients the option of Omnibus, Individually Segregated Account and Fully Segregated Account structures within
CME CE
* CME Inc
© 2014 CME Group. All rights reserved.
7
CME OTC Clearing: Open Interest Soars to $20 Trillion
Buy-Side Continues to Migrate IRS Clearing to CME Group
Over 470 global market participants
have now cleared more than $42 trillion in our
OTC clearing solution, including:
• 160+ Hedge Funds
Open Interest is now over $20.3 Trillionrepresenting more than 55% market share.
Cleared OTC IRS Open Interest
• 110+ Asset Managers
• 60+
Regional Banks
• 35+
Registered Swap Dealers
• 30+
Insurance Companies
• 20+
REITs
• 10+
GSEs
Other clients include Pension Funds, Endowments,
Sovereign Wealth Funds, Corporations, and
Proprietary Trading Firms
© 2014 CME Group. All rights reserved.
8
Platforms Connected to CME Clearing
Several market leading affirmation platforms and Swap Execution Facilities
are directly connected to CME Clearing
OTC Clearing Members
CME Clearing
Connectivity Partners
© 2014 CME Group. All rights reserved.
9
Cleared OTC IRS Product Scope
Existing Products
Fixed/Float*
Tenor
Index
Zero Coupon Swaps
Currency
Years
Months
USD I EUR I GBP
11
15
31
51
50 years
1
3
6
USD



LIBOR
Overnight Index Swap (OIS)
EUR



EURIBOR
USD I EUR I GBP I JPY
GBP



LIBOR

CAD
JPY


CHF
AUD

SEK

CDOR
Basis Swaps

LIBOR
USD I EUR I GBP I JPY
51 years

LIBOR
AUD I JPY
31 years

BBR
Fed Funds vs. Libor (USD)
30 years
STIBOR
DKK

CIBOR
Forward Rate Agreements (FRA)
NOK

NIBOR
USD I EUR I GBP I JPY
MXN
3 Days – 3 Years
TIIE-BANXICO
28d
NZD

BBR
HKD

HIBOR
SGD

SOR-VWAP
HUF

BUBOR
ADDITIONAL EXPANSIONS
CZK

PRIBOR
Swaptions
PLN

WIBOR
ZAR
30 years

JIBAR
© 2014 CME Group. All rights reserved.
10
Cleared OTC CDS Product Scope
Indexes
Status
3Y
5Y
7Y
10Y
Series
CDX NA IG
Y
Live
■
■
■
■
8+
CDX NA HY
Y
Live
iTraxx Main
Y
Available Soon
iTraxx Crossover
Y
Available Soon
Corporate Bond Indexes
North America
Europe*
Tenors
Mandated for
Clearing
■
■
12+
■
■
■
■
17+
17+
Single Names
Standard North American Corporates (SNAC)*
Sectors
Basic Materials
Consumer Goods
Consumer Services
Energy
Financials
Healthcare
Industrials
Technology
Telecommunication
Utilities
IG Constituents
8
21
33
10
22
10
17
7
3
7
Maturities
Tenor
Quarterly
up to 10y
Available Soon
*Pending regulatory approval
© 2014 CME Group. All rights reserved.
11
Cleared OTC FX Product Scope
12 OTC FX Non-Deliverable Forwards
Brazilian
Real
Philippine
Peso
Malaysian
Ringgit
Indian Rupee
Korean Won
Chinese
Renminbi Yuan
Indonesian
Rupiah
Taiwan Dollar
Chilean Peso
Colombian
Peso
Peruvian Sol
Russian Ruble
26 OTC FX Cash-Settled Forwards
• USD, T+2 Settlement currencies: EUR/USD, AUD/USD, GBP/USD, USD/CHF, USD/SEK,
USD/DKK, NZD/USD, USD/NOK, USD/HKD, USD/HUF, USD/ILS, USD/MXN, USD/SGD,
USD/PLN, USD/ZAR, USD/CZK, USD/THB
• USD, T+1 Settlement currencies: USD/TRY
• Non USD, T+1 settlement currencies: USD/CAD
• Non USD, T+2 settlement currencies: USD/JPY, AUD/JPY, EUR/JPY, CAD/JPY, EUR/AUD,
EUR/CHF, EUR/GBP
*All settlements in USD
© 2014 CME Group. All rights reserved.
12
Deliverable Swap Futures
Interest rate swap exposure with the added capital and operational benefits of a
standardized futures contract
USD DSF Volumes and Open Interest
Product Overview
• Deliverable Swap Futures were launched in
December 2012 with strong support from buyside firms as well as the dealer community
• Expanded our offering to include Euro DSFs in
April 2014
• YTD volumes are averaging 5,851 contracts
per day, up 40% over the same period in 2013
ADV
14,000
Open Interest
140,000
12,000
120,000
10,000
100,000
8,000
80,000
6,000
60,000
4,000
40,000
2,000
20,000
• Positions are held by all major client
segments, including asset managers,
leveraged money, and dealers
• Clients frequently make use of the delivery
mechanism for the contract, ensuring
alignment with the underlying. Approximately
25% of open positions are taken into delivery
each quarter
Non-Roll Period ADV
Roll Period ADV
Aug-14
Jul-14
Jun-14
May-14
Apr-14
Mar-14
Feb-14
Jan-14
Dec-13
Nov-13
Oct-13
Sep-13
Aug-13
Jul-13
Jun-13
Mar-13
• Open interest hit a record 131,000 contracts in
June, with 48 participants in the 10-Year and
43 in the 5-Year (as per CFTC CoT Report)
May-13
0
Apr-13
0
Open Interest
DSF Open Interest Holders (5 & 10 Year)
# of Contracts
120,000
100,000
80,000
Other
Dealers
Leveraged Money
Asset Manager
60,000
40,000
20,000
0
© 2014 CME Group. All rights reserved.
13
Reporting Capabilities
CME Group provides direct access to daily reports through a secure FTP site, which enables customers to fully
integrate key OTC data into their internal systems.
Position Reporting via the Trade Register
• End of day mark to market values for all IRS positions across all clearing members, including existing trades
and any new trades cleared that day
• Available at 4:45pm EST, so customers and their approved administrators/custodians can complete their daily
NAV reports
IRS Curve Data
• CME offers full transparency into IRS valuation, including a detailed white paper on curve construction,
enabling customers to replicate our IRS valuation curve and calculate the value of their IRS positions
• The secure FTP site provides daily IRS curve data across all currencies, including curve inputs that are used
to construct both the forecasting and discounting curves, and the curve outputs like daily forward rates and
discount factors
Client-Level Margin Files
• Gives clients access to the exact margin requirements given to the FCMs for their accounts
To set up a secure FTP site for your firm, please contact: CME Onboarding Group at onboarding@cmegroup.com or (312) 338-7112
© 2014 CME Group. All rights reserved.
14
Margin Analytics
Additional Features
• CORE: Clearing Online Risk Engine
• Ideal business user solution for Portfolio Margin Savings analysis
• Allows firms to calculate their margin for their portfolios
CME
CORE
• Can upload exact portfolio via a portfolio upload or enter trades manually
• Once run, CME CORE calculates the portfolio margin savings between OTC IRS and Interest
Rate Futures
• Reports breakdown position transfers in PDF and CSV file format
CME
Optimizer
• High-performing software for back office operations to facilitate straight-through-processing
(STP) of portfolio margin program integration with CME
• Targeted for CME Clearing members but supports buy-side analytics to onboard for portfolio
margining
• Calculates Portfolio margin savings between OTC IRS and Interest Rate Futures
• Can upload exact portfolio via a portfolio upload or enter trades manually
• Reports breakdown of optimization position transfers for each customer account in CSV format
• Builds FIXML transfer messages to load into back office system and send to CME Clearing
• Generates Total Savings Analysis Report
• Generates Funding Impact Report
For access to CME CORE: Visit cmegroup.com/core
© 2014 CME Group. All rights reserved.
15
Portfolio Margining Overview
9 Clearing Members are now portfolio margining CME swaps and futures
May 7, 2012
Sept. 21, 2012
Nov. 19, 2012
February 2013
September 2014
Portfolio Margining
Available for House
Accounts
CME Optimizer
launched
Portfolio Margining
Available for Customers
CME Optimizer integrated
with CME CORE
DSFs and Ultra Bond
added to portfolio
margining
Creating Solutions for a Capital Constrained World
• CME Group has administered a range of cross-margining programs for more than 20 years
• With market leading Interest Rate products and the launch of Cleared OTC Interest Rate Swaps in
2010, CME Group is able to offer both customer and house accounts capital efficiencies for Cleared
OTC Interest Rate Swaps and Eurodollar and Treasury Futures
Unparalleled Capital Efficiencies
• Over 160 customer accounts already benefitting from this scalable solution
• Total risk reductions now account for over $3.9 billion in initial margin savings
• Achieve capital savings across a diverse portfolio, including all CME currencies and product types
© 2014 CME Group. All rights reserved.
16
The Most Capital Efficient Solution
Savings Analysis For 8 Portfolios of Futures and Swaps
Portfolio
Portfolio Details
Margin Savings
Margin Savings
Details ($M)**
Max*
Average*
Margined
Separately
Margined
Together
79%
64%
.8M
.2M
79%
68%
1.9M
.4M
75%
58%
4.9M
1.2M
2Y Invoice
Spread
5Y Invoice
Spread
10Y Invoice
Spread
500 2Y Treasury Note Futures vs Equivalent
Invoice Swap
1000 5Y Treasury Note Futures vs Equivalent
Invoice Swap
1000 10Y Treasury Note Futures vs Equivalent
Invoice Swap
30Y Invoice
Spread
2Y Swap vs ED
Hedge
5Y Swap vs ED
Hedge
10Y Swap vs
ED Hedge
30Y Swap vs
ED Hedge
1000 Treasury Bond Futures vs Equivalent
Invoice Swap
67%
41%
6.5M
2.1M
10M 2Y IRS, 10 each of Eurodollars 1-8
89%
72%
100K
10K
10M 5Y IRS, 10 each of Eurodollars 1-20
86%
78%
230K
30K
10M 10Y IRS, 10 each of Eurodollars 1-40
85%
71%
420K
60K
10M 30Y IRS, 10 each of Eurodollars 1-40
69%
50%
890K
280K
Maximum savings is up to 90%, based on back testing of portfolios from 2006 to 2011.
*
Savings = [Gross Margin – Net Margin] / Gross Margin, where Gross Margin is the outright swap HVaR margin plus the futures SPAN margin (no offset benefit) and Net Margin is margining both swaps
and futures in HVaR (with offset benefit).
© 2014 CME Group. All rights reserved.
© 2014
Group.
All rights reserved.
** Values are rounded to nearest hundred thousand or ten thousand Dollars. These values do not include transaction costs and are subject to change, depending
onCME
market
volatility.
Portfolio Margining Savings Analysis
Optimize Efficiencies for both USD and non-USD IRS Portfolios
Portfolio A: USD Portfolio
Product Type Currency Direction
Notional/Contracts
Fixed/Float
USD RECEIVE DV01 Equivalent of 10YR
10YR
USD
Short
1,000
BEFORE PORTFOLIO MARGINING
Initial IRS Margin Requirement
3,299,395.00
Initial Futures Margin Requirement
1,100,000.00
Total Margin
4,399,395.00
AFTER PORTFOLIO MARGINING
Portfolio B: Non-USD Portfolio
Product Type
Fixed/Float
Fixed/Float
Fixed/Float
ED
2YR
5YR
10YR
30YR
Currency
GBP
EUR
JPY
USD
USD
USD
USD
USD
Direction
PAY
PAY
PAY
Short
Long
Long
Long
Long
Notional/Contracts
100,000,000
100,000,000
100,000,000
648
89
524
419
438
BEFORE PORTFOLIO MARGINING
Initial IRS Margin Requirement
5,438,355.34
Portfolio Margin IM Requirement:
1,900,000.00
Initial Futures Margin Requirement
2,163,807.00
Portfolio Margin Savings:
2,499,395.00
Total Margin
7,602,162.34
Portfolio Margin Savings:
57%
AFTER PORTFOLIO MARGINING
Portfolio Margin IM Requirement:
3,390,190.66
Portfolio Margin Savings:
4,211,971.68
Portfolio Margin Savings:
55%
© 2014 CME Group. All rights reserved.
18
Superior Customer Protections
CME Clearing is the industry leader in mitigating risk for customers through the US
FCM clearing model
LSOC Without Netting
Variation Margin
LSOC with Excess
• In an FCM default, CME Clearing will discontinue netting variation gains and losses within the defaulted
FCM’s cleared swaps customer account with CME Clearing on a post-default basis
• By discontinuing Variation Margin netting, CME will better protect non-defaulting customers by helping
them keep their positions intact while porting them to another FCM with as much collateral as possible
• Flexibility to hold excess collateral at CME Clearing, with protection of the client’s full collateral value
• Client’s FCM must submit a daily Collateral Value Report (CVR) to specify the collateral value of each
individual account
Combined Cash Flow
Under LSOC with
Excess
• Flexibility to hold excess collateral at CME Clearing, with protection of the client's full collateral value
• Efficient daily margin process allowing firms to use the excess collateral to cover variation margin
obligations, with the potential to eliminate daily cash movements
• Lower variation margin calls for Clearing Members, reducing the funding gap between Clearing Firms
and their clients
• Proposed account structure aims to let end-customers meet their margin obligations at FCM’s via thirdparty custodial accounts
CME Safekeeping
Accounts*
• Allows end-customers to utilize custodial account arrangements and use assets held in those accounts
to meet margin obligations
• CME, an FCM, an end-customer, and a custodian bank will execute a quad-party custody arrangement
to facilitate the CME Safekeeping account transactions
*Not currently available
© 2014 CME Group. All rights reserved.
© 2014 CME Group. All rights reserved.
19
19
CME Financial Safeguards
IRS Financial Safeguards
Base Financial Safeguards
CDS Financial Safeguards
$2.09 Billion
$3.574 Billion
$750 Million
Assessment Powers
Assessment Powers
Assessment Powers
3rd and 4th largest CM shortfalls
275% of GF per Default1
3rd and 4th largest CM shortfalls
Non-Defaulting Clearing Members
IRS Guaranty Fund Contributions
Non-Defaulting Clearing Members
Base Guaranty Fund Contributions
Non-Defaulting Clearing Members
CDS Guaranty Fund Contributions
$150M
$100M
$50M
CME Designated Working Capital
for IRS Guaranty Fund
CME Designated Working Capital
for Base Guaranty Fund
CME Designated Working Capital
for CDS Guaranty Fund2
Defaulted Clearing Member
IRS Guaranty Fund Contribution
Defaulting Clearing Member
Base Guaranty Fund Contribution
Defaulting Clearing Member
CDS Guaranty Fund Contribution
Defaulted Clearing Member
IRS Fund Performance Bonds
Defaulting Clearing Member
Base Fund Performance Bonds
Defaulting Clearing Member
CDS Fund Performance Bonds
IRS Financial Safeguards Product Coverage
•
•
Base Financial Safeguards Product Coverage
•
•
•
IRS
Cross-margined futures
Futures products
OTC FX
Other non-IRS or CDS OTC products
CDS Financial Safeguards Product Coverage
•
CDS
1See
CME Rulebook Chapter 8, Rule 802.G for greater detail
to the greater of (x) $50 million and (y) 5% of the CDS Guaranty Fund, up to a
maximum of $100 million
*All GF numbers are as of 9/16/2014
2Equal
© 2014 CME Group. All rights reserved.
20
Flexible Collateral for Initial Margin
CME Clearing accepts a broad array of collateral for the Customer OTC Account Class
Collateral
Haircut
US Cash
None
Non-US Cash (EUR, GBP, CAD, AUD, JPY, CHF)*
5%**
Sovereign Debt of UK, Germany, France, Canada,
Japan, and Sweden
5%-10.5% (maturity based)
Additional 1.5% for off-the-runs
US Treasury Debt
0.5%-11% (maturity based)
Additional 1.5% for off-the-runs
US Agency Debt
3.5%-7% (maturity based)
Additional 1.5% for off-the-runs
US Agency Mortgage Backed Securities
11%
Corporate Bonds (IEF4)
20%
Money Market Mutual Fund (IEF2)
3%
Bank Deposit Program (IEF5)
None
*The last three currencies are available for IRS only.
** Haircut is only applied when cash is used to meet a margin requirement based in a different currency.
© 2014 CME Group. All rights reserved.
21
Follow-the-Sun Client Service Team
Providing clients 24 hour support
CME Global Headquarters
Chicago, IL
Client Services
+1 312 338 7112
NYMEX World Headquarters
World Financial Center
New York, NY
CME London Office
CMECE Headquarters
One New Change
London EC4M9AF
United Kingdom
+44 20 33793199
Asia Headquarters
Singapore Land Tower
Singapore 048623
+65 6593 5592
© 2014 CME Group. All rights reserved.
22
CME Global Repository Services
CME European Trade Repository and CME Swap Data Repository for multi-jurisdictional reporting
•
Solution for cleared and bilateral transactions across rates, credit, FX, equities, and commodities
Premium, simplified, efficient and low cost regulatory reporting solutions for all market participants
•
•
•
•
Proven reporting systems and processes; extensive regulatory experience
No maintenance fees, no cleared data charges, per ticket fee model
World class customer service
Maximizes lightweight CME ClearPort technologies and middleware clearing connectivity
Straight Through Processing
•
•
One message for clearing, reporting, multiple jurisdictions
Full reconciliation reports
CME Swap Data Repository (SDR) – Dodd Frank
•
•
Provisional registration received from CFTC on 11/20/12 to operate a SDR for the rates, credit, FX and other commodities
asset classes
Entire asset class coverage; actively used for cleared and non-cleared data
CME European Trade Repository (ETR) - EMIR
•
•
CME Group has applied with ESMA for exchange traded & OTC trade repository in Rates, FX, Credit, Equities and
Commodities
London based legal entity with local business and support staff
cmegroup.com/etr and cmegroup.com/sdr
© 2014 CME Group. All rights reserved.
23
SEF Workflows & CME Group Solutions
© 2014 CME Group. All rights reserved.
MAT Overview
• The below MAT swaps are subject to the trade execution requirement on SEFs and DCM
Fixed-to-Floating Interest Rate Swap
Currency
U.S. Dollar (USD)
U.S. Dollar (USD)
U.S. Dollar (USD)
Euro (EUR)
Sterling (GBP)
Floating Rate
Indexes
USD LIBOR
USD LIBOR
USD LIBOR
EURIBOR
GBP LIBOR
Trade Start
Type
Spot Starting (T+2)
IMM Start Date
(next two IMM start dates)
IMM Start Date (next
two IMM dates)
Spot Starting (T+2)
Spot Starting (T+0)
Optionality
No
No
No
No
No
Dual
Currencies
No
No
No
No
No
Notional
Fixed Notional
Fixed Notional
Fixed Notional
Fixed Notional
Fixed Notional
Fixed Coupon
Par
Par
Standard Coupon
Par
Par
Tenors
2, 3, 4, 5, 6, 7, 10,
12, 15, 20, 30 years
2, 3, 4, 5, 6, 7, 10, 12, 15,
20, 30 years
1, 2, 3, 4, 5, 7, 10, 15,
20, 30 years
2, 3, 4, 5, 6, 7, 10,
15, 20, 30 years
2, 3, 4, 5, 6, 7, 10, 15,
20, 30 years
Untranched Credit Default Swap Indices
Entities
Corporate
Corporate
Region
North America
Europe
Indices
CDX.NA.IG
CDX.NA.HY
iTraxx Europe
iTraxx Europe Crossover
Tenor
CDX.NA.IG 5Y
CDX.NA.HY 5Y
iTraxx Europe 5Y
iTraxx Europe Crossover 5Y
Applicable Series
At any time, the then-current on-the-run series and the preceding series that was replaced by the current one
© 2014 CME Group. All rights reserved.
25
Swap Execution Facilities
Key changes and challenges to client clearing workflow
Pre-Execution Credit Check
• The SEF mandate requires a client's clearing member to run a pre-execution credit limit
check on each transaction in order to provide certainty of clearing.
• This credit check will be dependent on the ability of CMs and SEFs to validate these limits in
real time. In some cases, the client itself will need to allocate their FCM limit across multiple
SEFs
•
Within the off-SEF workflow, the FCM credit limit check takes place after the trade has been
submitted to the CCP for clearing
Allocations
• Within the off-SEF workflow, clients allocate orders post-execution utilizing affirmation
platforms before the order is submitted to clearing. As a result of this pre-execution credit
limit check requirement on SEF trades, clients will need to either:
•
•
Allocate block orders on the SEF prior to execution
Utilize CME’s bunched order solution to allocate post clearing
Trade Rejections
• Orders rejected for clearing by the CCP will be considered void. Orders rejected due to an
operational issue may be resubmitted for clearing within a specific time period.
•
Within the off-SEF workflow, orders rejected for clearing may be resubmitted on trade date
© 2014 CME Group. All rights reserved.
26
SEF Workflow with Pre-Approval
Client
ED
2
2
SEF
3
1
Trade receives credit pre-approval from
FCM (precedes this workflow)
2
Client executes trade with Executing
Dealer (ED) on SEF
3
SEF sends trade to CME for Clearing
4
After validating product, account and
applying credit limits set by CME, CME
accepts swap for clearing
5
CME Clearing
House
5
CME sends “Cleared” notification to SEF
which displays trade status to principals
5
5
4
Clearing Member
(Client)
Product 
Account 
Credit 
CME sends a Clearing Confirmation to
FCMs
5
Clearing Member
(ED)
*Please note a pre-approved trade does not go through request consent workflow.
© 2014 CME Group. All rights reserved.
27
SEF Workflow without Pre-Approval
Client
2
2
SEF
4
5
6
Clearing Member
(Client)
2
Trade is entered manually into SEF
3
SEF sends trade to CME for Clearing
4
CME sends “Pending FCM Approval”
notification to SEF
4
6
CME Clearing
House
4
Client and ED execute voice trade
ED
1
3
1
Product 
Account 
Credit 
6
5
4
“Clearing Consent” notifications sent to
FCM (client) and FCM (ED)
5
Clearing Member of both parties accept
the swap
6
CME sends “Cleared” notification to SEF
which displays trade status to principals
6
CME sends a Clearing Confirmation to
FCMs
Clearing Member
(ED)
© 2014 CME Group. All rights reserved.
28
Bunched Order Overview
SEF Bunched Allocations
CME Group’s Solution
• Supports clearing of bunched orders in a “Holding Account”
• Allows submission of allocations to the end customer account while offsetting the bunched order in the holding account
• 4 allocation methods available:
• Allocations entered on SEF
• Allocations entered on Platforms
• Clearing Firm performs allocations using Transfer workflow in DMS
• Spreadsheet upload using Transfer workflow via CME Client Services Team
Client2
ED
Platform A
3



Validate Product
Validate Account
Validate Limits
ED alleges the bunched order to the Client.
2
Client affirms the bunched order while
selecting the “Holding Account” at CMF.
3
Platform A sends the matched deal to CME
Clearing.
4
CME Clearing validates the bunched order.
5
CME sends Cleared notice to Clearing
Member Firms.
1
5b
CME Clearing
5
1
4
5a
5a
5b
Clearing Member Firm
(Bunched Order Holding Account)
Bunched Order
Holding Account
Clearing Member Firm
(ED)
CME sends Cleared notice back to the
platform.
ED Account
(House)
© 2014 CME Group. All rights reserved.
29
Bunched Order Allocation Enhancement
Multiple Submission Platforms
•
Current workflow requires the messaging for both the bunched order and subsequent
allocations to contain the full trade details. An issue may arise in the following scenario:
o
•
The submitter of the bunched order (Platform A) has different trade defaulting logic than
the submitter of the allocations (Platform B).
As CME does not currently match the trade economics of the bunched order and allocation
offsets, trades may not net in the Holding Account.
Enhancement
•
Due to the scenario outlined above, CME will enhance the bunched orders workflow as follows:
o
A new “allocation instruction” message will be supported by CME. This message will not
contain trade details
•
The bunched order will continue to contain the full trade details.
o
Platforms must send this new instruction for all allocations, with reference to a CME
assigned ID for the bunched order.
o
CME will automatically create the allocation offsets and onsets once the instructions are
received from the platform.
© 2014 CME Group. All rights reserved.
© 2014 CME Group. All rights reserved.
Bunched Order Allocation Enhancement
All Allocations Cleared
Client submits the allocation instructions via Platform B
2
Platform B sends the request to CME to clear
allocations. Each allocation will contain:
• The Cleared USI of the bunched order
• Account ID, Notional Amount, Upfront Fees
• IDs for each allocation
• Credit Approval token (if limits passed prior to
submission)
• Note the following:
o Many allocations or a single allocation may be
present in the message
o Validation present to prohibit over-allocation
3
CME sends Pending DCM Approval notification to
Platform B
ED
Client
Platform B
1
2



1
Validate Product
Validate Account
Validate Limits
3
4
CME Clearing
4
3a
5
Clearing Member Firm
(Bunched Order Holding Account)
$50M
Bunched Order
Holding Account
5
3a
4
Clearing Member Firm
(Client)
$25M – Allocation offset
3a Clearing Consent notifications sent to Clearing Member
(Client) and Clearing
4
Clearing Member of both parties accept the allocations
5
CME sends a Clearing Confirmation to Clearing
Member(s) and a Cleared notification to the Platform
Client Account 1
($25M) – Allocation offset
$25M – Allocation offset
($25M) – Allocation offset
Client Account 1
© 2014 CME Group. All rights reserved.
© 2014 CME Group. All rights reserved.
Portfolio Maintenance
© 2014 CME Group. All rights reserved.
IRS Netting: Overview
Clearing members will specify whether a client or house account is eligible for
netting, selective netting, or gross
Gross
•
If this option is selected on the account, the trades will not net.
Net
•
This option will automatically net eligible trades based solely on trade attributes.
Selective Net
•
This option will automatically net eligible trades based on trade attributes (same as option 2) and
matching Client Reference ID.
•
This option provides clients with more control over the netting process to address operational and
tax concerns.
The netting process will consider swaps that have exactly the same economics. These swaps may
differ in “direction” and “notional” amount. Swaps in different customer (position) accounts will not be
netted together.
© 2014 CME Group. All rights reserved.
33
Netting ID Enhancement
Efficient Solution for Customers to Identify Netting Eligible Trades Intraday
•
How it Works
• Netting IDs assigned to trades that are eligible for netting, which will automatically update as trades become
economically equivalent
•
•
Clients have the ability to view the Netting IDs on their Trade Register report
Example 1: Trades that will net due to one different attribute
• Offsetting swaps may not net due to different adjustment conventions and thus, will have different netting IDs.
•
Example 2: Netting IDs change on T+N and eligible for netting
• For example, Trades X and Y have different netting IDs (due to a change in future cash flows, settled upfront fees,
etc.), but these two trades are eligible for netting and assigned matching IDs the day before the fee is paid
•
Example 3: Trades eligible for netting after stub period
• Client A clears two trades (6 & 7), which become economically equivalent following an initial stub period in Trade 7
Fri, Jan 17th
T6 (pay)
T7 (rec)
Stub
• Once the stub period payments occur on January 17th, the Netting IDs will adjust and match on the Trade Register
to indicate the trades are eligible for netting
Value Date
Cleared ID
Notional
Status
P/R
Netting ID
Thu Jan 16
T6
3,000,000
Cleared
P
AA35435B-1111-0000-R1SR-311111133333333
Thu Jan 16
T7
3,000,000
Cleared
R
E71818CC-0000-1111-A1SA-711111177777777
Fri Jan 17
T6
3,000,000
Terminated
P
AA35435B-1111-0000-R1SR-311111133333333
Fri Jan 17
T7
3,000,000
Terminated
R
AA35435B-1111-0000-R1SR-311111133333333
© 2014 CME Group. All rights reserved.
34
Compression via Coupon Blending
Overview
• Patent-pending innovative solution that reduces gross notional outstanding and line items
• Works across pay-fixed and receive-fixed cleared interest rate swaps with varying fixed rates and
notional amounts, but otherwise identical attributes. (e.g. currency, effective date)
• Available for testing now and will be live in production on May 19th
Process
•
Select trades to be included in the process via the blending identifier found on the trade register
•
Create a new swap (R1) with attributes such that the fixed-leg cash flows match those of the original
portfolio
•
Solve for the notional of a second swap (R2) which has a zero fixed-rate and when added to (R1) equals
the floating leg cash flows of the original portfolio.
•
Terminate the original trades which have been replaced by R1 and R2
Competitive Advantages
• Reduce notional outstanding and line items without changing cash flows
• Compress trades in an automated and scalable way without counterparty dependency
• Customize the solution to your trading strategy:
• – Utilize daily, on an automated basis EOD, or selectively, as an ad-hoc process
• Achieve capital benefits: all compression fees will be waived for 2014
© 2014 CME Group. All rights reserved.
35
Coupon Blending Example - Steps 1 & 2
Select trades for blending –> Remnant Trade 1 is created to match the fixed leg cash flows
Step 1: Determine the fixed
coupon rate
o Derive the simple average
of the fixed rates
𝑆𝑖𝑚𝑝𝑙𝑒 𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝑅𝑎𝑡𝑒 =
𝑅𝑎𝑡𝑒1 + 𝑅𝑎𝑡𝑒2 + … 𝑅𝑎𝑡𝑒𝑛
𝑛
𝑛
𝑁𝑒𝑡 𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙 =
𝑖=1
o Round the simple average
to 5 decimal places
Step 2: Calculate the net
weighted notional amount
o Weighted notional is the
product of the fixed rate
and notional amount.
o Net weighted notional is
the sum of the weighted
notional amounts
𝐹𝑖𝑥𝑒𝑑 𝑅𝑎𝑡𝑒𝑖 × 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙𝑖
Fixed Rate
Notional
Weighted Notional
Swap 1
3.1224
-100,000,000
-312,240,000
Swap 2
3.505
99,000,000
346,995,000
Swap 3
1.8
-1,200,000
-2,160,000
Swap 4
2.95
15,600,000
46,020,000
Swap 5
2.988
-30,000,000
-89,640,000
Swap 6
3.258
16,500,000
53,757,000
Swap 7
2.9545
33,470,000
98,887,115
Swap 8
3.248
20,000,000
64,960,000
Swap 9
3.2254
-1,500,000
-4,838,100
Swap 10
3.4591
-45,000,000
-155,659,500
Simple Average Rounded to 5 Decimals
Net Notional
Net Weighted Notional
3.051040000
6,870,000
46,081,515.00
3.05104
© 2014 CME Group. All rights reserved.
36
Coupon Blending Example- Steps 3 & 4
Step 3: Derive Remnant Trade 1 (T1) notional such that fixed cash flows are identical
to those of original portfolio
o Given the fixed cash flows and the fixed coupon rate (from step 1), we calculate the
notional value of Remnant trade 1.
o Notional amount is rounded to two decimal places.
𝑁𝑒𝑡 𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙
𝑇1 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙 =
𝑆𝑖𝑚𝑝𝑙𝑒 𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝑅𝑎𝑡𝑒
T1 Notional = 46,081,515 = $15,103,543.38
3.05104
Step 4: Create Remnant Trade 2 (T2) to match the floating rate cash flows of the
original trades
o Sum of float payments for Remnant Trade 1 and Remnant Trade 2 will match the
original trades.
o Notional amount on Remnant Trade 2 is calculated as follows:
𝑇2 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙 = 𝑁𝑒𝑡 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙 − 𝑇1 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙
T2 = 6,870,000 – 15,103,543.38 = $ - 8,233,538.38
o As the fixed coupon on Remnant Trade 1 fully accounts for the fixed coupons of the
original trades, a fixed rate is not required on Remnant Trade 2. Fixed rate = 0.
© 2014 CME Group. All rights reserved.
37
Coupon Blending: Example Results
• Fixed Leg: Cash Flows on Remnant Trade 1 (T1) matches those of original
portfolio.
• Float Leg: Notional amount of Remnant Trade 1 (T1) + Remnant Trade (2)
matches net notional of original portfolio.
• Gross Notional and line items are both reduced, with no change in cash flows.
Line Items
Gross Notional
Before
After
Reduction
10
2
80%
$362,270,000 $23,337,087
93%
© 2014 CME Group. All rights reserved.
38
CMECE Overview
© 2014 CME Group. All rights reserved.
CME Clearing Europe Overview
CME Clearing Europe: Clearing in Europe for a Global Customer Base
Over 100 clients now on-boarded, and over 390 accounts opened
• CME Clearing Europe (CME CE) is a London-based clearing house, wholly-owned by CME
Group
• Established in London with the aim of offering services as a multi-product clearing house
based on a UK legal construct and following EMIR guidelines
• Authorised central counterparty under EMIR, supervised and regulated by the Bank of
England. It is also a QCCP for regulatory capital purposes
• Submitted its DCO application to the CFTC on 1st August 2014 which will enable CME CE to
accept business from US clients
Benefits
• European regulatory environment and English law (incl. insolvency law and clearing house
statutory protections)
• European time zone
• Services tailored to European market practices
• Local proximity and easy access to our growing team of London-based specialists
© 2014 CME Group. All rights reserved.
40
CME Clearing Europe – Clearing Mandates
18 March 2014
Q1 2015
Frontloading window
opens
2014
Frontloading
Phase A
Contract entered into or novated during
that phase will be subject to the clearing
obligation if its remaining maturity* will be
higher than:
 49 years and 6 months / basis swaps
 49 years and 6 months / fixed-to-float
interest rate swaps
 2 years and 6 months / forwards rate
agreement
 2 years and 6 months / overnight index
swaps
+ 20
days
mid-2015
mid-2016
Q1 2018
+6
months
+ 3 years
+ 18 months
2015
2016
2017
2018
Frontloading
Phase B / Cat 1
Frontloading
Phase B / Cat 2
Contract entered into or novated during that phase will
be subject to the clearing obligation if its remaining
maturity* will be higher than 6 months
* Remaining maturity is the maturity of that contract as of the date of application of the clearing obligation for this contract and for this counterparty
** Frontloading is not applicable to contracts to which at least one counterparty is a NFC
© 2014 CME Group. All rights reserved.
41
CME Clearing Europe - Intended Scope of Service Progression
CME Clearing Europe builds on CME Group’s industry leading position in OTC Clearing,
delivering a broad offering spanning Energy, Metals, Ags, Interest Rates, FX*, and Credit**
OTC IRS Launch
2013
OTC IRS extension
& CME Europe
2014
OTC FX NDFs
& CSFs*
2015 Q1
OTC Inflation /
OTC CDS **
2015 Q2
Proposed Mandatory Product Scope
2015 Q3
2016
IRS - 14 classes:
CDS – 2 classes:
-Basis swaps (EUR, GBP, JPY, USD)
-Fixed-to-float / plain vanilla (EUR, GBP, JPY, USD)
-Forward rate agreements (EUR, GBP, USD)
-Overnight index (EUR, GBP, USD)
-European untranched index (EUR)
Note: Exemption for covered bond derivatives, subject to conditions
* Subject to Regulatory Approvals
** Subject to final development and Regulatory Approvals
© 2014 CME Group. All rights reserved.
42
CMECE Open Access Clearing Solution
Platforms
Connected
CMECE IRS
Clearing Members
*
*
Additional CMECE
Clearing Members
• Negotiate, execute, and submit trades through multiple venues to CME Clearing
• Straight through processing and real-time confirmation once the trade is cleared
• Protects the confidentiality of trading relationships, while enabling customers to terminate positions
with any market participant
• Operational flexibility of a multi asset class solution for IRS and Commodities
© 2014 CME Group. All rights reserved.
* Connectivity in process
43
OTC IRS: Expansion into Financial Products
CME Clearing Europe Cleared OTC IRS Product Scope
Existing Products
Fixed/Float
Tenor
Index
Zero Coupon Swaps
Currency
Years
Months
USD I EUR I GBP
11
15
21
31
51
51 years
1
3
6
USD



LIBOR
Overnight Index Swap (OIS)
EUR



EURIBOR
USD I EUR I GBP I JPY
GBP



LIBOR

CAD
30 years
CDOR
Basis Swaps

LIBOR
USD I EUR I GBP
51 years

LIBOR
AUD I JPY
31 years

BBSW
SEK

STIBOR
Variable Notional Swaps (Amortizers and Accreting)
DKK

CIBOR
USD I EUR I GBP
51 Years
NOK

NIBOR
JPY
31 years
TIIE-BANXICO
Fed Funds vs. Libor (USD)
30 years
JPY

CHF

AUD
MXN
28d
NZD

FRA
HKD

HIBOR
Forward Rate Agreements (FRAs)
USD I EUR I GBP I JPY | ZAR
SGD

SOR-VWAP
HUF

BUBOR
CZK

PRIBOR
ADDITIONAL PRODUCT LAUNCHES
WIBOR
Inflation Swaps & Zero Coupon Inflation
Swaps: GBP out to 51 years and EUR
out to 31 years
PLN

ZAR

3 Days to 3 Years
JIBAR
© 2014 CME Group. All rights reserved.
44
Enhanced Protection of Client Collateral
via CME Clearing Europe’s Fully Segregated Account
CME Clearing Europe is offering unique depth and breadth in terms of customer
protection and segregation options
• We offer four EMIR compliant customer account structures:
- Net omnibus account
- Gross omnibus account
- Individual client account
- Individual client account with full segregation of collateral
• Account structures and supporting documentation are designed to deliver transparency
and legal certainty as relates to the treatment of client positions and assets in case of a
clearing member default
• Customer protection and segregation options are available across all of our OTC
commodities and OTC financial derivatives solutions
© 2014 CME Group. All rights reserved.
45
Full Segregation Set-Up
CSD/Client’s Custodian*
CME Clearing Europe
Account
Structure
Set Up
at CCP
and
Custodial
Level
New
Account:
Existing
Account:
Client 1
CMECE/CM
/Client 1
Client 1
Client 2
CMECE/CM
/Client 2
Client 2
Client 3
CMECE
/CM/
Client 3
Position
Margin
Collateral
Client 1
Client 1
Client 2
Client 2
Client 3a
Client 3b
Portfolio
Net
Client 3
Client 3c
* Securities are held in an account at a Central Securities Depository (CSD). Client’s custodian can facilitate operation of this client-individual
account, enabling clients to leverage their existing custody relationships
© 2014 CME Group. All rights reserved.
46
Flexible Collateral for Initial Margin
CME Clearing Europe accepts an expanding range of collateral to satisfy margin
requirements and guarantee fund contributions, including:
Collateral
Haircut
Cash (USD, EUR, GBP) - accepted to cover all liabilities
5%*
Cash (AUD, CAD, CHF, DKK, JPY, NOK, SEK) - only accepted to cover initial
margin liabilities in the same currency
US Treasury Bills
US Treasury Notes and Bonds
0.50%
0 to 5 years:
3.0%
5 to 10 years:
4.5%
Above 10 years: 6.0%
Government Debt of Australia, Austria, Belgium, Canada, Denmark, Finland,
France, Germany, Netherlands, Norway, Sweden, Switzerland, UK
0 to 5 years:
6.0%
5 to 10 years:
7.5%
10 to 30 years:
9.0%
Above 30 years: 10.5%
Gold
15%
*Haircut is only applied when cash is used to meet a margin requirement based in a different currency.
The intention is to extend the acceptable collateral, on the basis of risk assessment and in line with regulations, to include a
broader range of securities, including sovereign debt, corporate bonds, supra-national and government agency issues.
© 2014 CME Group. All rights reserved.
47
CME Clearing Europe Settlement Cycle
GMT
12.00 AM
End of Day (RTH) Settlement Cycle is initiated
2.00 AM
RTH Margin Requirement Notifications Issued to Clearing Members
RTH Swift Payment Instructions sent to Settlement Banks
9.00 AM
Deadline for receipt of confirmation by SWIFT MT 910 that RTH Variation and Initial Margin has been paid
10.00 AM
Deadline for Clearing Members to advise CMECE of their wish to withdraw excess IM cash for same day
settlement
Deadline for Clearing Members to advise CMECE of their intention to withdraw EUR or GBP and substitute
for another asset for same day settlement
Intra Day (ITD) settlement cycle is initiated (currently for Commodities only)
Deadline for Clearing Members to advise CMECE of their intention to withdraw USD and substitute for
another asset for same day settlement
12.00 PM
2.00 PM
ITD Margin Requirement Notifications Issued to Clearing Members
ITD Swift Payment Instructions sent to Settlement Banks
3.00 PM
Deadline for confirmation by Swift MT910 that ITD Variation and IM payments have been received
Payment of EUR substituted by securities
3.30 PM
Payment of GBP substituted by securities
4.30 PM
Deadline for confirmation that Securities to be substituted for USD have been received
5.30 PM
Payment of USD substituted by securities
© 2014 CME Group. All rights reserved.
48
Additional Information
© 2014 CME Group. All rights reserved.
Clearing Cycle Times - Daily
New York
Local
1-1:15 A.M.
Overnight maintenance window stops clearing cycle
4:00 P.M. Tokyo
Capture quotes for JPY (LIBOR & OIS)
4:30 P.M. Sydney
Capture quotes for AUD (BBR-BBSW & OIS)
4:30 P.M. Wellington
Capture quotes for the NZD (BBR)
8:30 A.M.
Settlement banks confirm USD VM and Initial Margin call (portfolio) from previous day’s clearing cycle –
USD, EUR, GBP and CAD cash moves at the settlement bank shortly thereafter.
(JPY, CHF and AUD are confirmed at this time, but cash moves on T+2)
3:00 P.M.
Capture quotes for USD (LIBOR & OIS) and
CAD (CDOR & OIS).
4:30 P.M.
Hong Kong & Singapore
Capture quotes for the following currencies:
• HKD (HIBOR)
• SGD (SOR)
4:00 P.M. SAST
Capture quotes for the following currencies:
•
ZAR (JIBAR)
4:00 P.M. CET
Capture quotes for the following currencies:
• SEK (STIBOR), DKK (CIBOR/CIBOR2), NOK (NIBOR)
• CZK (PRIBOR), PLN (WIBOR), HUF (BUBOR)
4:00 P.M. London
Capture quotes for the following currencies:
• EUR (EURIBOR & OIS)
• GBP (LIBOR & OIS)
• CHF (LIBOR)
7:00 P.M.
Same day trade submission/acceptance deadline for all currencies. Generate combined
end-of-day Clearing reports for all currencies including Trade Register.
8:00 P.M.
Calculate Initial Margin for entire portfolio.
10:00 P.M.
Settlement instructions for all currencies are sent to settlement banks.
© 2014 CME Group. All rights reserved.
50
Clearing Cycle Times - Daily
New York
Day
6:00 P.M.
Sunday
CME Clearing opens for business
1-1:15 A.M.
Monday
Overnight maintenance window stops clearing cycle
Clearing cutoff for Monday’s business date
7:00 P.M.
1-1:15 A.M.
Tuesday
Clearing cutoff for Tuesday’s business date
7:00 P.M.
1-1:15 A.M.
Wednesday
Thursday
Overnight maintenance window stops clearing cycle
Clearing cutoff for Thursday’s business date
7:00 P.M.
1-1:15 A.M.
Overnight maintenance window stops clearing cycle
Clearing cutoff for Wednesday’s business date
7:00 P.M.
1-1:15 A.M.
Overnight maintenance window stops clearing cycle
Friday
7:00 P.M.
Overnight maintenance window stops clearing cycle
CME Clearing closes until following Sunday
Saturday
CME Clearing closed Saturday
© 2014 CME Group. All rights reserved.
51
Contacts
For any questions regarding On-Boarding and Testing, please contact :
On-boarding Team
+1 312 338 7112
onboarding@cmegroup.com
For general information, please contact:
North America
Jeff Cranston
Kaitlin Meyer
+1 312 466 7452
+1 312 648 5343
jeff.cranston@cmegroup.com
kaitlin.meyer@cmegroup.com
Europe
Jaki Walsh
+44 20 3379 3858 jaki.walsh@cmegroup.com
Liam Smith
+44 20 3379 3850 liam.smith@cmegroup.com
Phil Hermon
+44 20 3379 3983 phil.hermon@cmegroup.com
Asia
Harry Yeo
+65 6593 5581
harry.yeo@cmegroup.com
© 2014 CME Group. All rights reserved.
52
Disclaimer
“CME Group”, “CME Europe” and “CME Clearing Europe” are brands of CME Group Inc. and its subsidiaries, members of which include Chicago
Mercantile Exchange Inc., CME Europe Limited, CME Clearing Europe Limited and CME Marketing Europe Limited.
Exchange traded and Over-The-Counter (OTC) derivatives are not suitable for all investors, and involve the risk of loss. Exchange traded and OTC
derivatives 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 an exchange traded or OTC derivative 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.
CME Group is the trademark of CME Group, Inc. The Globe logo, Globex® and CME® are trademarks of Chicago Mercantile Exchange, Inc.
CBOT® is the trademark of the Board of Trade of the City of Chicago Inc. NYMEX, New York Mercantile Exchange, and ClearPort are trademarks
of New York Mercantile Exchange Inc. COMEX is a trademark of Commodity Exchange Inc. All other trademarks are the property of their
respective owners. The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt
has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or
omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be
considered investment advice or necessarily the results of actual market experience. All data is sourced by CME Group unless otherwise stated.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, NYMEX, CME Europe,
CME Clearing Europe and CME Group rules. Current rules should be consulted in all cases concerning contract specifications. This communication
does not constitute a Prospectus, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any
particular service. This communication is for the exclusive use of Eligible Counterparties and Professional Clients only and must not be relied upon
by Private Clients who should take independent financial advice. Circulation should be restricted accordingly.
CME Europe Limited is a Recognised Investment Exchange (RIE) recognised and supervised by the Financial Conduct Authority in the United
Kingdom. CME Clearing Europe Limited is a Recognised Clearing House (“RCH”) recognised and supervised by the Bank of England. CME
European Trade Repository is a business name of CME Trade Repository Limited, a registered trade repository under EMIR supervised by the
European Securities and Markets Authority. Globex Markets Limited is authorised and regulated by the Financial Conduct Authority.
Chicago Mercantile Exchange Inc. is a Recognised Overseas Clearing House (ROCH) recognised by the Bank of England. Chicago Mercantile
Exchange Inc., Board of Trade of the City of Chicago and the New York Mercantile Exchange are Recognised Overseas Investment Exchanges
(ROIE’s) recognised by the Financial Conduct Authority.Issued by CME Marketing Europe Limited. CME Marketing Europe Limited (FRN: 220523)
is authorised and regulated by the Financial Conduct Authority in the United Kingdom.
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