CME Group Customer Forum

Spring 2016

Singapore April 12
Hong Kong April 14
London April 28
U.S. Webinar May 9

© 2016 CME Group. All rights reserved.

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 © 2016 CME Group and 芝商所. All rights reserved.

© 2016 CME Group. All rights reserved.

Agenda

• Regulatory Updates
• E-Trading Update
• CME DataMine & Customer Center
• CME Europe Updates
• CME Product Updates
• Global Repository Service

© 2016 CME Group. All rights reserved. 3

 EU Regulatory Update – Current Legislative Status
REMIT
Wholesale energy

EMIR
OTC, CCPs, TRs

CRD IV
Basel III

MAR
Market Abuse

MiFID II / MiFIR
Markets and
participants

FTT
Financial
Transaction Tax

BENCH
Benchmarks

CCP R&R
Resolution &
Recovery
2012 2013 2014 2015 2016 2017 2018
Legislative Regulatory Application

© 2016 CME Group. All rights reserved. 4

EU Regulatory Update – MiFID II / MiFIR
MiFID II / MiFIR is a broad regulatory reform package, the key
provisions being:

 Algo/HFT: Regulatory controls on algorithmic trading/HFT and

Market making
 Commodities regulation: Position limits and scope of regulation
 Transparency: Pre- and post- trade transparency requirements
 Trading requirements: TV obligations, and trading obligation (OTFs)
 Clearing: Indirect clearing, portfolio compression, STP
 Reporting: Transaction reporting for monitoring against market
abuse
 Data publication: Data availability, disaggregation, reporting
mechanisms, fees

5
© 2016 CME Group. All rights reserved.
EU Regulatory Update – Algorithmic trading/HFT
2016 EU Legislative and Policy Priorities – MiFID II / MiFIR
Algorithmic trading/HFT regulation

 Legislative outcome → MiFID II is the first EU initiative to introduce

regulatory controls for HFT / algorithmic trading. It includes a series of
measures addressed to both trading venues and market participants
that use algorithmic and HFT trading strategies. ESMA has prescribed
in its RTS detailed organisational requirements, trading system controls
and obligations for market-makers.

 Implementation → In its final RTS, ESMA has reduced the

requirements on trading venues for algorithm testing and amended
upwards the threshold defining market making activity. In addition, the
obligations on trading venues regarding market making schemes are
limited to equities, ETFs, and equity derivatives.

© 2016 CME Group. All rights reserved. 6

EU Regulatory Update – EMIR / Clearing Obligation
2016 EU Legislative and Policy Priorities

Scope
 IRS - 14 products:
- 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)

Note: Exemption for OTC IRS derivative contracts associated with covered bond programmes, subject to
conditions as set out in RTS; also exemption for certain pension schemes.

 6 additional IRS products proposed by ESMA in RTS submitted to the Commission on 10

November 2015 (non-G4 IRS):
- Fixed-to-float (NOK, PLN, SEK)
- Forward rate agreements (NOK, PLN, SEK)

 CDS – 2 products adopted by the European Commission on 1 March 2015:

- European untranched index (EUR)

 Other asset classes / additional products – pending review by ESMA

© 2016 CME Group. All rights reserved. 7

EU Regulatory Update – EMIR / Clearing Obligation
Q1 Q2 Q3 Q4
18 March – first IRS-clearing CCP 01 October – Final draft IRS RTS
2014 authorised, start of clearing submitted by ESMA to the EC
obligation procedure
19 December – Commission
proposed amendments

06 August – Formal endorsement 01 October – ESMA submitted

2015 of the IRS RTS by the draft CDS RTS to the EC
Commission

1 Dec – publication of the final

IRS RTS in the Official Journal,
entry into force on 21 December

21 February - IRS Cat 1 21 June - IRS CO for Cat 1 1 September - Phase-in of the CDS Cat 1 and Cat 2
2016 frontloading starts non-cleared OTC margin frontloading starts
21 May - IRS Cat 2 frontloading requirements starts (= 5 months after entry into force
starts of CDS RTS)

1 March – publication of the final May – CDS RTS entry into force
CDS RTS by the European expected 21 December - IRS CO for Cat 2
Commission

Non-G4 IRS CO for Cat 1 21 June - IRS CO for Cat 3 Non-G4 IRS CO for Cat 2
2017 expected expected

CDS CO for Cat 1 expected CDS CO for Cat 2 expected

(= entry into force + 9 months (= entry into force + 15 months
phase-in) phase-in)

Non-G4 IRS CO for Cat 3 Non-G4 IRS CO for Cat 4 21 December - IRS CO for Cat 4
2018 expected expected

CDS CO for Cat 3 expected

(= entry into force + 21 months
phase-in)

CDS CO for Cat 4 expected

2019 (= entry into force + 3 years
phase-in)

© 2016 CME Group. All rights reserved. 8

Agenda
• Regulatory Updates
• E-Trading Update
 New iLink Architecture – MSGW & Drop Copy 4.0
 Implied Volatility-Quoted Options
 Streamlined Fix Binary
 New! Market by Order
 Cyber-Security Plans
 Consolidated Fills
 New! CME Group Referential Services

• CME DataMine & Customer Center

• CME Europe Updates
• CME Product Updates
• Global Repository Service

© 2016 CME Group. All rights reserved. 9

New iLink Architecture Updates
New Market Segment Gateways (MSGW)
• 1:1 with match engines; moves point of message prioritization from engine to MSGW
• Provides a consistent and predictable performance profile across sessions for all products
on a Market Segment
• Reduces variability associated with multiple sessions across multiple gateways
• Busy periods for a group of products will not impact performance on other Market
Segments

MSGW Pre-Launch: Completed in March 2016

• New iLink Failover Process in effect for all markets
• Performance consistent with announced forecasts
- Options improvement 30-60%
- Futures improvement 20-40%

Completed Optional Direct Access to MSGWs for

• FX futures and options
• Commodity futures and options
• Equity futures and options
© 2016 CME Group. All rights reserved. 10
Final Rollout Schedule for Direct Access to MSGW

• FX & Commodities
Available
Now

• Equities
April 24, • Mock trading session: Saturday, April 23
2016

• Interest Rates
May 1, • Mock trading session: Saturday, April 30
2016

• ALL Remaining Markets

May 15, • Mock trading session: Saturday, May 14
2016

© 2016 CME Group. All rights reserved. 11

New iLink Architecture

Post Launch:
• New FIX tag 5979-RequestTime:
- will be added to iLink outbound messages following the completion of all Phase 2 launches
- The timestamp of a FIX message is taken when the MSGW received the last byte of the TCP
packet containing the last byte of a FIX message.

• Retain traded-in CGW sessions until further notice in case of technical issues

Observations from FX and Commodity market segments:

• Current market dynamic for market data and order entry remains consistent.
• CME Group closely monitors market microstructure; all results have been positive.

© 2016 CME Group. All rights reserved. 12

Drop Copy 4.0
In August 2015, CME Group introduced Drop Copy 4.0
• Key Features:
- Enhanced solution to support MSGW architecture
- Harmonized session model and functionality to iLink and MSGW norms
- More robust fault tolerance following the MSGW iLink model
- XML encapsulated message to preserve an exact copy of the original iLink message
• Not backward-compatible. Fees remain unchanged. Parallel, duplicated Drop
Copy groups are free of charge
• Implementation:
- Certification required
- Cutover or run CGW groups in parallel with the legacy Drop Copy implementation
- All Drop Copy groups must be migrated in Production by Friday, May 29, 2016.
- A $5000 fee will be charged for any group still in use in starting May 30.
- Drop Copy 2.0 will be decommissioned on Friday, July 1 2016.
• Over 90% of the existing Drop Copy applications and Drop Copy groups have
already certified and migrated to Drop Copy 4.0 in Production

© 2016 CME Group. All rights reserved. 13

Messaging Efficiency Program (MEP)
Options Product Group Additions
Effective July 5, 2016 the following options products will be added to the Globex MEP:
Product Product Group Tier #3 Ratio Tier #2 Ratio Tier #1 Ratio
Group Code Description >20k Messages >40k Messages >60k Messages

E-Mini S&P 500 Outright

EZ 300:1 200:1 100:1
Options
E-Mini S&P 500 Weekly &
EW 300:1 200:1 100:1
Monthly Options
E-Mini NASDAQ 100
QZ 300:1 200:1 100:1
Outright Options
Mini NASDAQ 100 Weekly
NW 300:1 200:1 100:1
& Monthly Options
E-Mini Dow ($5) Outright
C9 300:1 200:1 100:1
Options
E-Mini Dow ($5) Weekly &
OL 300:1 200:1 100:1
Monthly Options
• These additions include orders, modifies and cancellation messages
• CME Group expects other options related product groups to be added to the MEP in the
future.
• A separate initiative involving mass quoting is being reviewed

© 2016 CME Group. All rights reserved. 14

Volatility-Quoted Options with Implieds
New CME U.S. volatility-quoted options product with implied functionality

• Volatility-Quoted options are a new option product

type on Globex that allows the submission of orders in
terms of volatility percentages instead of premium
- A volatility-quoted option match will cause the creation of a
hedged position in terms of a premium-quoted option and
an offsetting future
- A Globex option pricing model will utilize inputs from the Bid 10 6EH6 VC13500 @ 10.05
related CLOB’s
Ask 10 6EH6 VC13500 @ 10.05
• Triangulation implieds provide complementary
liquidity linkages between volatility-quoted options,
Fill 10 6EH6 C13500 @ 0.0140
premium-quoted options and the underlying
Fill 5 6EH6 @ 1.3502
futures market
• A direct vol-vs-vol real order match will create a
market data update for the volatility option match
price and quantity
• A Triangulation implied order vol match will create
a market data update for the volatility option, the
premium option and the underlying future

© 2016 CME Group. All rights reserved. 15

Implied Volatility-Quoted Options Example
6EU6 6EU6 P13500

Bid Ask Bid Ask

(i) 15 @ 1.3500 100 @ 1.3502 (i) 30 @ 0.0138 40 @ 0.0140

GEU6 VP13500

Bid Ask

30 @ 10.02% 50 @ 10.45%

• Volatility-quoted orders allowed to be submitted to a maximum of two decimal places

• Globex will utilize the Bjerksund-Stensland (1993a) option pricing model

© 2016 CME Group. All rights reserved. 16

Implied Volatility-Quoted Options
• Model inputs:
- Interest Rate is daily rate and is based on the settlement price of the previous day's
Eurodollar future front month quarterly

- Time decay is in daily terms or "calendar days to expiration". The calendar days to
expiration will only be an integer value - there will be no fractional calendar days to
expiration (e.g. decay not based on hours/minutes).

- Underlying futures price is based off the futures order book

• Increased efficiency to quote option products and consume corresponding market data
since re-quoting is only required when volatility changes instead of each futures price
change.

• Implied order calculation will update in lock step with real order book changes in the
futures, volatility-quoted options, and premium-quoted options.

© 2016 CME Group. All rights reserved. 17

Implied Volatility-Quoted Options
• Customer impacts
- Options and Futures will move onto the same Market Segment; as a result, Market
Segment ID and MDP 3.0 channel configurations will change.
- New FIX tags on Premium Option iLink Execution Report used to determine the
conversion from volatility value to premium price: future price, option delta, time to
expiry, risk free rate.
- MDP 3.x new schema and use of template extension for new Security Definition
repeating group:
- “Related Instrument” tag to link VQO and PQO products
• No Certification Requirements
• NR: target May/June
• PROD: target Oct/Nov
• Products
- Phase 1 - Start with CME U.S. AUD/USD vol options, premium quoted option
products and related futures
- Phase 2 - Extend to other FX products

© 2016 CME Group. All rights reserved. 18

Implied Volatility-Quoted Options
Client Systems Wiki
Type “Triangulation” for more info

© 2016 CME Group. All rights reserved.

Streamlined FIX/FAST Migration to Streamlined SBE

Simple Binary Encoding (SBE) - Market Data

• Streamlined FIX/FAST market data is a dedicated data feed for products not found on
Globex which include:
- Block Trades
- Equity Indices (e.g., S&P, Dow Jones, Bloomberg)
- Eris Exchange products
- OTC Daily Market Data (i.e., Clearport end of day information)
• Streamlined FIX/FAST has a distinct message specification and message template from
those available for CME Globex
• Will migrate to SBE encoding in 2016
- Aligns with MDP 3.0 encoding format
- Blocks release will include bundled spread and leg executions enhancement
- All other feeds will be ported to SBE data with standard functionality to ease migration
- Legacy solutions FAST and ITC for blocks will be retired

© 2016 CME Group. All rights reserved. 20

Streamlined FIX/FAST Migration to Streamlined SBE
Simple Binary Encoding (SBE) – Market Data

• Customer impacts
- New schema and new SBE messaging
- Mandatory certification per feed to consume streamlined SBE in production
- Rolling migration, starting with Block Trade data feeds
- Streamlined FIX/FAST, SBE and ITC feeds will be available in parallel in production
• New Release Timeline
- Blocks – May 2
- Equity Indices - June
- Eris Exchange – June/July
- OTC Daily Market Data - July
• Production Timeline
- Blocks – June 12
- Equity Indices – July/August
- Eris Exchange – August
- OTC Daily Market Data – August/Sept

• Decommission streamlined FIX/FAST for blocks by end of 2016

© 2016 CME Group. All rights reserved. 21

Market By Price vs. Market By Order

CME Globex’s current Market by Price (MBP) solution offers price, quantity at the
price, and the number of orders in the quantity

best 10 price levels

quantity

Market
By
Price
bids asks price

Market By Order (MBO) shows individual order sizes that make up the total
quantity at a price, including their priority in the queue

all price levels

quantity

Market
By
Order
price

© 2016 CME Group. All rights reserved. 22

New! Market By Order Market Data Coming Q4

CME Globex Market By Order (MBO) will provide:

• Individual queue position
• Full depth of book
• Size of individual orders at a price
• Increased confidence in execution by improved transparency into detailed book
composition
• Maintained anonymity
MBO and Market By Price (MBP) Information on a Single Feed
• MBP remains unchanged
• Avoids the need to arbitrate between separate MBO and MBP feeds
Customer impacts
• No change to Presentation (SBE), Session, Transport, or Network layers
• New schema and use of template extension for new MBO fields
• Bandwidth increase
• Mandatory certification to use MBO data in production
• No certification required to continue to use MBP

© 2016 CME Group. All rights reserved. 23

Market By Order Market Data
• No book management instructions in the market data feed
- Book is built on receipt by sorting by price and then order priority
- Sequencing by order priority
- No change in market data based on matching algorithm, FIFO vs. Pro-rata

Action Time priority Quantity Security ID ID Price Side

Add bid 1 CLZ6 @46.70 400100 1 CLZ6 5436415 45.70 B

Add bid 1 CLZ6 @46.71 400101 1 CLZ6 5436416 45.71 B

Add bid 1 CLZ6 @46.70 400102 1 CLZ6 5436417 45.70 B

Cancel 5436416 400101 1 CLZ6 5436416 45.71 B

Modify 5436415 400103 2 CLZ6 5436415 45.70 B

• MBP order book updates continue to be the source of all implied prices which
will be in line with MBO updates

© 2016 CME Group. All rights reserved. 24

CME Direct Will Reflect New MBO Information

In CME Direct, in addition to the usual Bid and Quantity columns, there would be
Order Priority (number of orders ahead of you) and Quantity Priority (number of
contracts ahead of you).

© 2016 CME Group. All rights reserved. 25

Market By Order Market Data

• New Release: Q3
• Phased Production Rollout in Q4 2016 – Q2 2017
• Starting with NYMEX, COMEX, CME Europe and DME products in Q4

• Targeting CBOT, MGEX in Q1 and CME, BMD, KRX in Q2 2017

• Rollout on a channel by channel basis; Asset classes and DCM rollouts will be
bundled over sequential weekends

• Options and underlying futures will migrate together

• MBO historical data will be captured as products are enabled with MBO in
production

© 2016 CME Group. All rights reserved. 26

Security Ecosystem
• As part of ongoing improvements, CME has significantly enhanced its security
profile through external-facing enhancements and internal hardening.
- New CME application portal has harmonized on SMART Click credentials and two-factor
authentication.
- Clearing applications have migrated from the legacy Clearing Portal to the CME
Customer Center.
- Ciphers have been enhanced and browser upgrades mandated.
• CME will implement further hardening of key services.
- iLink and Drop Copy authentication will be enhanced along with expanded controls.
- Clearing connectivity will be enhanced with encryption.
• To ensure the highest levels of security and compliance end-to-end, securing the
trading and post-trade ecosystems needs to be a priority for all CME-connected
systems.
- CME has defined a set of security requirements and recommendations for all connecting
systems.

© 2016 CME Group. All rights reserved. 27

Security Ecosystem
• Mandatory requirements for systems connecting to CME
- 2 Factor authentication (human to machine)
- Encryption of confidential or sensitive data over untrusted networks

• iLink and Drop Copy will transition to a self-service model using SMART Click
- A secure login server will enable SMART Click authentication
- Login server will be available over existing CME Globex connectivity
- Authentication will still be at the session level (machine to machine)
- A token system will be leveraged once SMART Click credentials are validated

• Additional optional iLink and Drop Copy controls will be added

- Admins will be able to specify allowable IP addresses
- Drop Copy will support filtering of specific accounts in addition to iLink sessions

Requirement Date

CME Direct and CME Portal 2 Factor Authentication Complete ✔

3rd Party 2 Factor Authentication for CME-certified systems End of 2016

New iLink and Drop Copy Logon Procedure 2017

© 2016 CME Group. All rights reserved. 28

 iLink 3.0 Update
• iLink 3.0 is planned for 3 phases starting in 2017
- Phase 1 adds the ability to cancel mass quotes by quote set ID
- Phase 2 introduces the new logon procedure, presentation layer, and session layer
- Phase 3 includes remaining application layer changes including Mass Order and
Cancel on Behalf

Layer Responsibility Future State Phase

Phase 1
Phase 2
Application Business Semantics Optimized FIX semantics Phase 3

Presentation Message encoding Simple Binary Encoding Phase 2

Authentication, recovery,
Session multiplexing FIXP Phase 2

Security Authentication New Logon Procedure Phase 2

© 2016 CME Group. 29

Consolidated Fills Approach

• Consolidation of Fill notices on all customer interfaces:

- MDP 3.0 – completed already with Trade Summary message
- iLink Order Entry
- Clearing
• Consolidate to single fill:
- Per aggressor order
- Within an instrument
- At a single price
• Benefits:
- Reduce iLink, internal and clearing messaging
- Improve performance and RTT; Improve the consistency of response time

© 2016 CME Group. All rights reserved. 30

Example: Fill Consolidation

Scenario: An aggressive order (A) of two contracts matches against two

passive orders (B and C) of one contract each.

Current fill messages: Future consolidated fill messages:

• Fill A for 1 contract • Fill A for 2 contracts
• Fill B for 1 contract • Fill B for 1 contract
• Fill A for 1 contract • Fill C for 1 contract
• Fill C for 1 contract

31

© 2016 CME Group. All rights reserved.

Consolidated Fills

• 2017: Fill Consolidation

- Fewer fill messages with quantity aggregated by price
- Common ID will be used across iLink, MDP, and STP/Drop Copy to
correlate all trade information together. More details forthcoming
- Messages reflect match events at engine; order granularity still in Trade
Summary
- No major changes for customers; no certification anticipated.

• 2017 Clearing Instructions (i.e. Give-Ups, Average Pricing, and SLED)

- Remove post-trade instructions from Tag1-Account (special characters)
- New FIX tags will be added to facilitate post-trade instructions

© 2016 CME Group. All rights reserved. 32

CME Group Referential Data Services
First Offering: Product Referential API
• Request product and instrument information by exchange, MDP channel, or venue
- Restful Services with query support and response formats including XML, CSV, and JSON
• Data can be used for a wide variety of use cases including
- Simplified Cross-Exchange Risk Management
- Comprehensive product and instrument information, consistently provided to better support like-
for-like product risk, audit and reconciliation applications
• Q4 2016: Product and Instrument referential information for cleared and CME Globex-
traded products
• Coming in 2017:
• Product relationships
‐ Within Exchange: WTI (CL)  WTI/Brent Spread (BK)  Brent (BZ)
‐ External Exchange (mirror or look-a-like): CME:GBP = CME Europe: GBP
• Settlement and Statistical data
• Human-readable specifications for UI presentation
‐ E.g., Contract Termination: Trading in the current delivery month shall cease on the third
business day prior to the twenty-fifth calendar day of the month preceding the delivery month.
• 3 -party product codes
rd

• Integration with Historical Data API

Contact your Global Account Manager for more information and to request future
enhancements!

© 2016 CME Group. All rights reserved. 33

Agenda

• Regulatory Updates
• E-Trading Update
• CME DataMine & Customer Center
• CME Europe Updates
• CME Product Updates
• Global Repository Service

© 2016 CME Group. All rights reserved. 34

CME DataMine: Historical Data Service

CME DataMine is the official source of the most comprehensive

historical price information available for CME Group markets.

• Provides a broad array of data types including:

‐ Market Depth
‐ End of Day
‐ Block Trades
• Continuously growing product suite
• Provides the information the customers need to discover
insights & capture market opportunity
• Dedicated sales staff

© 2016 CME Group. All rights reserved. 35

Common Use Cases of Historical Datasets

Strategy Data Quality Investment New Strategy

Backtesting Validation Consulting Generation

Internal
New Asset Class Academic Regulatory
Performance
Research Research Monitoring
Surveillance

Market Margin
Risk Analytics Charting
Surveillance Calculations

© 2016 CME Group. All rights reserved. 36

DataMine - 2016 New Developments

REST
Migration Web-
API for
of based
data New Improved
historical self
access & financial pricing
data to service
AWS datasets structure
Amazon user
Cloud
Cloud interface
delivery

© 2016 CME Group. All rights reserved. 37

Contact Us

We welcome client feedback and suggestions –

please contact us!

Business Team: dataminesales@cmegroup.com

Product Management: matthew.williams@cmegroup.com

General Website
http://www.cmegroup.com/market-data/datamine-historical-data.html

© 2016 CME Group. All rights reserved. 38

New! CME Customer Center
• Centralized access to all your tools and applications
• Access is single-sign on enabled using your SMART Click ID

© 2016 CME Group. All rights reserved. 39

New! CME Customer Center
• New self-service functionality is available via the Request Center
- Drop Copy Management
- Globex Firm IDs Requests

© 2016 CME Group. All rights reserved. 40

New! CME Customer Center
• View and manage your Drop Copy Groups. Add and remove sessions at your
convenience.
• Eliminates the need for Schedule 12 paperwork for Drop Copy group management

© 2016 CME Group. All rights reserved. 41

New! CME Customer Center
• Request new Globex Firm IDs or update existing ones
• Clearing Firm authorized users can approve clearing relationship mapping
• Eliminates the need for Schedule 6, Exhibit B paperwork

© 2016 CME Group. All rights reserved. 42

New! CME Customer Center
• Track the progress of open requests you’ve submitted
• Get alerts via Notification Center to items pending in your To Do’s

© 2016 CME Group. All rights reserved. 43

New! CME Customer Center
• New capabilities coming soon:
- Request new iLink session IDs (Q2)
- Manage access and entitlements for CME Group applications:
• Firm Admin Dashboard (Q2)
• FirmSoft (TBA)

• Available to Clearing Firms and authorized customers - contact your Global

Account Manager for further details
Global Account Management (GAM)
U.S.: +1 312 634 8700
Europe: +44 203 379 3754
Asia: +65 6593 5505
globalaccountmanagement@cmegroup.com

© 2016 CME Group. All rights reserved. 44

Agenda

• Regulatory Updates
• E-Trading Update
• CME DataMine & Customer Center
• CME Europe Updates
• CME Product Updates
• Global Repository Service

© 2016 CME Group. All rights reserved. 45

CME Europe Overview
Status Since Launch

3 Asset Classes 1,300,000+ >12,000

147 Products Contracts traded Record Daily Volume
FX, Energy & Agriculture

Award winning
$125Billion >20,000 Cocoa futures
Record Nat Gas O.I.
FX notional value traded (in TTF & NBP
contract
monthly equivalents) 75K+ contracts traded

†Statistics 28 April 2014 − 15 April 2016

© 2016 CME Group. All rights reserved.

CME Europe Progress to Date

© 2016 CME Group. All rights reserved.

CME Europe − 2016 YTD Highlights
Record Exchange volumes; multiple milestones in FX, Gas & Cocoa

Foreign Exchange: March Volume: 70,455 contracts. Open Interest (as of March 31st):
4,317 contracts
• Record CMEEL FX ADV of 3,203 lots in March (↑8% Y-o-Y), in correlation with a six-month rising
volume trend line
• Strong volume and open interest developments across our FX suite of products, specifically:
• Highest monthly ADV in GBP/USD during March, exceeded 1.5K for the first time, including a daily record of 4,597;
• New monthly ADV high in USD/JPY during February (193 lots, ↑4% on its previous high);
• New record O.I. in our FX products (now above 5K lots in early April), with open positions through to March 2017
• Trading in our liquid calendar spread markets − new record ADV of 2,512 lots in March (↑ 63% on the
previous monthly high), supported by trading in 19 distinct spread combinations along the curve in 5
currency pairs

Energy: March Volume: 10,395 contracts. Open Interest (as of March 31st): 52,362 contracts
• Strong recent developments in CME Europe’s Dutch TTF Gas:
• Record volume day 3,090 lots as of Jan 28th = 32% ↑ from previous record set Dec 4th 2015
• New O.I. record of >18,800 lots of monthly equivalents – positions out to Dec 2020
• 20-day Moving-Average (MA) Dutch Gas volume moved above 1,000 lots p/d, as of Feb 12th
• New products trading − Mini European Premium Unleaded Gasoline Futures contract traded for the first
time (Jan 22nd)
• New product launches − 4 weekly European Power Futures to be launched (first trade date: April 25th);
adding to the 8 existing monthly Power Futures products
© 2016 CME Group. All rights reserved.
CME Europe − 2016 YTD Highlights
Record Exchange volumes; multiple milestones in FX, Gas & Cocoa

Agricultural
Volume for March 2016: 8,408 contracts. Open Interest (as of March 31st): 2,150 contracts
• CME Europe’s award winning Cocoa Futures contract marked its 1st year anniversary with over
50,255 contracts traded since launch, and including:
• Record Cocoa volume (7,008 lots) in March as higher trading activity established a 3rd successive monthly
record
• Triple record volume days in April to-date with volumes rising from 2,427 and 3,254 lots to 4,476 lots on April
15th
• Fertiliser − first trades received in Urea (Prilled) FOB China Future (FCE) as of April 19th; becoming
the 3rd Fertiliser contract traded on CMEEL alongside the Middle East (FME) and Egypt (FEY)
Fertiliser futures

© 2016 CME Group. All rights reserved.

Agenda

• Regulatory Updates
• E-Trading Update
• CME DataMine & Customer Center
• CME Europe Updates
• CME Product Updates
 Metals
 Energy
 FX & Rates
 Swaptions Clearing

• Global Repository Service

© 2016 CME Group. All rights reserved. 50
Precious Metals Products
Leading Contracts with Deep Liquidity

Product Code 2015 ADV 2016 ADV (Jan-Feb) Open Interest *

Gold Futures (100oz) GC 165,000 lots 217,000 lots 457,000 lots

Gold Options (100oz) OG 30,000 lots 49,000 lots 1.1 million lots

Silver Futures (5000oz) SI 53,000 lots 68,000 lots 164,000 lots

Platinum Futures (50oz) PL 14,000 lots 14,000 lots 66,000 lots

Palladium Futures (100oz) PA 5,000 lots 6,000 lots 26,000 lots

* Open interest data on Feb 29th, 2016

 CME Group’s flagship Gold, Silver, Platinum and

Palladium futures contracts represent deep and
liquid markets.
 Significant liquidity growth in the past five years.
 The futures contracts trade virtually 24 hours a day.
 The liquidity available for our precious metals
contracts translates into tight bid-ask spreads and
high-quality trade executions that help meet a
variety of customers’ business and risk
management objectives.

© 2016 CME Group. All rights reserved. 51

Precious Metals Products
Product Update – Gold Kilo Futures (GCK)

Increase in Liquidity since GCK Launch

CME Group launched Gold Kilo Futures (GCK) in January
2015. GCK is listed on COMEX and physically delivered in
Hong Kong, offering access to trade the Far East gold
market.

• Continuously quoted and traded with tight markets and

liquidity accessible across the Asian, European and U.S.
hours

• Less-expensive vehicle for exposure to gold prices. At

one-third the size of GC (100oz gold) contract, the GCK
requires a smaller initial capital outlay and lower margin
requirements

• Enables precision trading of gold in kilo units for exposure

to gold prices and risk management

• True intraday price transparency across the futures curve

for unique arbitrage and spread trading opportunities

• Simplified Delivery Process enables delivery in 9999

fineness kilo bars in HK (three Exchange approved vaults in
HK)

• Deep margin offsets (90% against GC) and financial

safeguards from CME Clearing

© 2016 CME Group. All rights reserved. 52

Base/Ferrous Metals Products
Leading Contracts with Deep Liquidity

Product Code 2015 ADV 2016 ADV (Jan-Feb) Open Interest *

Copper Futures (25,000lbs) HG 74,335 lots 79,081 lots 205,143 lots

Iron Ore Futures (500MT) TIO 87 lots 1159 lots 25,574 lots

Hot Rolled Steel (20ST) HR 139 lots 361 lots 24,590 lots
US Aluminium Premium
AUP 148 lots 313 lots 25,574 lots
Futures (25MT)
EU Aluminium Premium
AEP 54 lots 61 lots 5,889 lots
Futures (25MT)

* Open interest data on April 7th , 2016

 CME Group’s flagship Copper contract has just

achieved an all time record in open interest
(205,143)
 Significant liquidity growth in the past five years.
 Copper options (HX) is the world’s only
electronically traded options contract (fees are
currently waived with a broker rebate program)
 CME is expanding further into base metals by
offering physically settled aluminium (ALI), Zinc
(ZNC), and Lead (LED).
 http://www.cmegroup.com/basemetals

© 2016 CME Group. All rights reserved. 53

Base Metals Product Update
Aluminum Premiums AUP, AEP, MJP, EDP
Increase in Liquidity since AUP Launch
CME’s cash settled futures contracts offer the aluminium
industry the ability to effectively mitigate premium exposure

• All are Cash Settled.

• AUP & MJP vs Platts published indices. AEP & EDP vs

Metal Bulletin published indices.

• Aluminum premiums have been very volatile recently

• AUP contract allows clients to manage the aluminium Mid

West North America premium risk.

• AEP contract allows clients to manage regional European

Aluminium Duty-Unpaid exposure. The sister contract -
EDP - does the same for European Duty Paid exposure.
Increase in Liquidity since AEP Launch
• MJP (Main Japan Ports) contract allows clients to manage
regional Asian exposure

• Increasing ADV and OI have made CME’s contracts the

leaders in the space

• Deep margin offsets (25%-35%) versus other base and

ferrous metals contracts

© 2016 CME Group. All rights reserved. 54

Agenda

• Regulatory Updates
• E-Trading Update
• CME DataMine & Customer Center
• CME Europe Updates
• CME Product Updates
 Metals
 Energy
 FX & Rates
 Swaptions Clearing

• Global Repository Service

© 2016 CME Group. All rights reserved. 55
 New Crude Contracts: Brent Futures-Style Options and
WTI Houston Futures
NYMEX Brent Financial Futures (BZ)
200

Brent Futures-Style Margin Options

Open Interest / ADV (Thousands)

(BZO) 150

• CME’s first option with Futures-Style Margining

100
• Look-a-like to ICE’s Monthly Brent Option (B)
• Leverage WTI option (LO) screen liquidity to develop 50
electronic markets for Brent options
• Underlying NYMEX Brent futures (BZ) trading
115,000+ contracts a day

Average Daily Volume Open Interest

WTI Houston (Argus) Futures N.A. Crude Volume & Open Interest
3.5 200
• Six related contracts launched on February 8th, main 180
interest in: 3.0
160

Avg Daily Volume (000s)

- HTT – WTI Houston (Argus) vs WTI Trade Month

Open Interst (000s)

2.5 140

- HIL – WTI Houston (Argus) vs WTI Calendar Month 2.0

120
100
• First exchange cleared WTI Houston contract (code 1.5
80
HTT) traded: 690 contracts on March 8th 1.0 60
40
• North American crude grades open interest now at 0.5
20
180,000 contracts 0.0 -

ADV Open Interest

© 2016 CME Group. All rights reserved. 56

 NYMEX: The Emerging WTI-Brent Exchange
NYMEX Brent Globex Exchange-Listed Spreads
40
• NYMEX front month exchange listed 35
WTI-Brent (code CLBZ) spread now

Average Daily Volume (Thousands)

30
consistently 50% market share or
25
greater
20

15

• Bid/Ask spread on front two months 10

CLBZ now consistently 1 tick wide, 5

driven by robust liquidity in NYMEX

WTI Jan
2013
Apr
2013
Jul
2013
Oct
2013
Jan
2014
Apr
2014
Jul
2014
Oct
2014
Jan
2015
Apr
2015
Jul
2015
Oct
2015
Jan
2016

WTI / Brent Spread (CL-BZ) RBOB Gasoline / Brent Spread (RB-BZ) NY Harbor ULSD / Brent Spread (HO-BZ)

• New diagonal exchange listed CLBZ

spread that reflects revised Brent
expiration is active and trading,
early-April roll out for diagonal Brent
crack spreads

Screen Shot taken 2/26/16 12:45 PM EST

© 2016 CME Group. All rights reserved. 57

 NYMEX: Natural Gas Enhancements
• Reduced ticks in our most common
Natural Gas Spreads.

• Implieds for Natural Gas options are

live and trading on Globex. Crude
Options Implieds will be available to
trade in April.

• Physical NG Butterfly spread

products to be listed in April 2016.

• Average Priced user defined strips

for energy options coming in May
2016.

© 2016 CME Group. All rights reserved. 58

Agenda

• Regulatory Updates
• E-Trading Update
• CME DataMine & Customer Center
• CME Europe Updates
• CME Product Updates
 Metals
 Energy
 FX & Rates
 Swaptions Clearing
• Global Repository Service

© 2016 CME Group. All rights reserved. 59

FX tick size reduction
Effect on market quality

• Minimum tick increment in the standard size EUR/USD contract changed from $12.50
per tick to $6.25 per tick on January 11, 2016
- Cost reduction of 36% for orders executed at the Top-of-Book Save $89.45 on average
execution size of 18 contracts (~$2.5m notional)
- 100-lot execution (~$13.7m notional) is now 19% cheaper - saves $512 Average bid/ask spread
of 1.799 ticks post cut
- 200-lot execution (~$27.4m notional) is now 11% cheaper - saves $844 Average bid/ask spread
of 2.609 ticks post cut

© 2016 CME Group. All rights reserved. 60

FX
Highlights

• CNH New liquidity program launched March 15

• Improved market making program with new market makers
• Block price makers added
• Aggressive customer outreach will commence early April

• New Bloomberg USD Index futures to commence trading on April 4

• Cash settled futures referencing the Bloomberg Dollar Spot Index (BBDXY)
• Index composed of 10 currency pairs (EUR, JPY, CAD, MXN, GBP, AUD, CHF, KRW,
CNH & BRL)
• Component currency weightings are rebalanced annually in December

© 2016 CME Group. All rights reserved.

61
Interest Rates
Highlights

• Ultra 10 Contract the most successful “new-launch” in CME’s history

• 1 million contracts traded in just seven weeks; a record for CME
• Successful first roll from March to June expiry
• Open interest on a strong uptrend
• Broad client participation across trade types
• Focus in April will be on TN options push

• Record setting start to 2016 for Rates products

• Treasury futures open interest hit all time high of 8.39MM contracts

• Change to strike increments for Treasury options effective March 7

• 10yr Note & Ultra 10 yr Note: ¼ point increments (previously ½ point)
• Bond & Ultra Bond: ½ point increments (previously 1 point)

© 2016 CME Group. All rights reserved.

62
Agenda

• Regulatory Updates
• E-Trading Update
• CME DataMine & Customer Center
• CME Europe Updates
• CME Product Updates
 Metals
 Energy
 FX & Rates
 Swaptions Clearing
• Global Repository Service

© 2016 CME Group. All rights reserved. 63

CME Group Swaptions Clearing
Launching April 11, 2016 Based on Strong Client Demand

Clearing Swaptions Amplifies our Unparalleled Capital Efficiencies

 Voluntary clearing allows market participants the flexibility to reduce the risk of their cleared IRS portfolios
 Margin offsets of up to 91% possible by adding swaptions to CME cleared IRS portfolios
 Portfolio margining with our cleared IRS and Eurodollar, Treasury, and Deliverable Swap Futures
 Reduces bilateral counterparty credit risk and frees up credit lines
 Improves Capital Ratios, lowering capital charges that could ultimately be passed onto end users

"RBS plc is pleased to take a leadership role as

"With uncleared margin rules coming into
one of the first banks that will provide cleared
greater focus for our clients, Credit Suisse is
swaption liquidity to our global client base. We
excited to facilitate voluntary swaptions clearing
are very supportive of the early adopters that
at CME Group. Clearing swaptions enables our
use the CME swaption clearing solution to
clients to obtain the greatest operational and
reduce bilateral counterparty exposure,
capital efficiencies from clearing, while reducing
particularly with the added cost of margin for
the risks in their portfolios."
non-cleared derivatives coming later this year."

John Dabbs, Global Head of Prime Alan Mittleman, Head of Rates Trading,
Derivatives Services at Credit Suisse Americas at RBS plc.

© 2016 CME Group. All rights reserved | 01

64
Cleared OTC IRS Swaptions Product Scope
Initial Product Offering:
Swaptions Max Expiry Final Settlement Underlying Tenor Index
Currency Type Years Method Years (up to) Months
<2 <5 > 10 Physical 30 50 1 3 6
USD European LIBOR

• USD vanilla swaptions

• Includes Straddles, cleared as a single trade or separate payer/receiver
• All enumerations for USD-denominated 3 month LIBOR vanilla interest rate swaps supported,
with the exception of:
• Compounding, forward starting swaps, spreads and stubs

Future EUR Product Offering*:

Swaptions Max Expiry Final Settlement Underlying Tenor Index
Currency Type Years Method Years (up to) Months
<2 < 10 < 30 Physical 30 50 1 3 6
EUR European EURIBOR

• Includes Straddles, cleared as a single trade or separate payer/receiver

• Standard strikes include 0-10y, 12y, 15y, 20y, 25y, 30y
*Pending regulatory approval

© 2016 CME Group. All rights reserved | 01

65
USD Swaptions Product Characteristics

• Straddles, the simultaneous right to pay and receive at the same

strike & maturity, are supported & can be cleared as a single trade

• Both upfront and forward premiums are supported

• Premiums may be settled on spot (T+1) through the expiration
date +1 of the swaption and are denominated in USD

• Physical delivery into a cleared CME OTC

interest rate swap transaction
• Effective date equals exercise date +2
• Trade date & cleared date of the underlying
swap equals swaption exercise date

• CME performs three validations at the time a trade

is submitted to clearing, same as current workflows
• Account ID must be valid
• Trade must pass credit limits and CME risk filters
• Must meet supported product attributes

• At exercise, the underlying swap transaction bypasses validations

(account, credit and product) & is automatically cleared

© 2016 CME Group. All rights reserved | 01

66
Swaptions Exercise Process
With CME as the swaptions counterparty to every trade, both the long and short benefit
from a streamlined exercise and assignment process

Bilateral Process CME Cleared Process

Post 11am ET and prior to

Option 1 Option 2
EOD, long effects swaption Prior to 11am ET, Long Prior to 11am ET, Long
action via platform exercises swaption in sets an intent to
Long Long real-time using CME exercise at expiry
DMS or via Platform using CME DMS or via
(E&A API) Platform (E&A API)
Prior to
11am ET, Real-time Status Notification at 11am
Counterparties STP Status
Notification ET expiry time
agree to Notification
swaption action
CME Clearing

Short receives Short receives

real-time notification notification of
Short Short of assignment, hedges assignment at 11am ET,
Records new position based
upon agreement and as appropriate hedges as appropriate
hedges as appropriate

Long has the opportunity to take the desired action on the swaptions up until 11am ET, & may use
the CME Deal Management System or send instructions via API rather than calling each counterparty.
• If the Long exercises in real-time, prior to 11 am ET cutoff, the Short will be notified in real-time.
• If the Long sets an intent to exercise at expiry, the Short will not be notified until the 11 am ET cutoff.

© 2016 CME Group. All rights reserved | 01

67
Agenda

• Regulatory Updates
• CME Europe Updates
• CME Product Updates
• E-Trading Update
• CME DataMine
• New! CME Customer Center
• Global Repository Service

© 2016 CME Group. All rights reserved. 68

CME Global Repository Service

World class trade repository solutions combining global

breadth with highly efficient real-time technology and
aggressive pricing. www.cmegroup.com/GRS

Unique Accept:
1500+ Trades OTC-Bilateral
reported OTC-Cleared
Customers
ETD
250+MM

US, EU, 24hr Simple.

Canada, ACCESS & Cost Effective.
Australia SUPPORT Reliable.

© 2016 CME Group. All rights reserved. 69

CME GRS Value Proposition

COVERAGE TECHNOLOGY COST OPERATIONS

In all major reporting Best in class Simple and cost World class client
jurisdictions; set up technology to ensure effective fee plans. service team.
to be a true global your compliance and Expense certainty. Intensive compliance
offering. low maintenance discipline.
costs.

- US, Canada, EU, - Streamlined - Annual fee caps

- Under 24 hour
Australia, submission per asset class
response times
Singapore (‘16) formats - Supporting
- Multi-jurisdictional
- All asset classes - TRs on a single Master Account
knowledge
global platform aggregation
- Bilateral &
- Real-time across entities
Cleared
processing for all - No charge for
- CME & non-CME
messages and View Only access
markets
instant reports - Delegated
reporting on CME
Markets free of
charge

© 2016 CME Group. 70

GRS New Developments

• Pursuing a Singaporean trade reporting license from MAS; targeting

end of 2016.

• Australian Trade Repository (ATR) is live and accepting trades in all

asset classes, CME/non-CME, bilateral and cleared.

• CME Clearing now supporting delegated reporting of CME Cleared

trades to CME ATR to aid clients with Australian reporting obligations.

• Reduced Dodd-Frank (US) and EMIR (EU) reporting fees.

• New vendor partner commercial programs.

• Authorized by ACER to operate a Registered Reporting Mechanism

(RMM) to comply with REMIT reporting regulation on European
Wholesale Natural Gas and Power markets.

© 2016 CME Group. All rights reserved. 71

“Reporting 2.0”

• CME is a true Global TR. . . an alternative exists!

• Expense savings on trade reporting are real. Moves to CME often

result in 50%+ per annum.

• Compliance risk is real. Regulatory reporting fines have begun.

• Your TR operator should offer more than just trade reporting.

© 2016 CME Group. All rights reserved. 72

Contact Us

Business Team: Repository@cmegroup.com

Client Services: RepositorySupport@cmegroup.com

Chicago +1 (312) 580 5352 | London +44 (0) 203 379 3180

General Website
http://www.cmegroup.com/GRS

© 2016 CME Group. All rights reserved. 73

CME Group Customer Forum

Q&A
Quiz

© 2016 CME Group. All rights reserved. 74