SOFR Futures Market Making Program

Transcription

1 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument SOFR Futures Market Making Prgram Prgram Timeline: May 7, 2018 thrugh June Quting Criteria: Participants will select tw sets f bligatins frm the buckets belw, allws flexibility t chse between 1M vs. 3M, as well as chice between utrights r inter-cmmdity spreads. Obligatins apply during 65% f Regular Trading Hurs (RTH) defined as 7am t 4pm CT. Incentives: Fee waiver $0.00 rate fr all SOFR Futures Fee credit $0.30 per SOFR cntract traded, up t $25,000 per mnth per participant. Fee Stipends: Fr May 2018, participants meeting bligatins will receive a $20,000 stipend. Fr June 2018 and July 2018, participants meeting bligatins and ranking in the tp 4 participants by SOFR Futures vlume will receive a $15,000 stipend per mnth Bucket 1: SOFR 1-Mnth Outrights Mnth Max Spread Min Quantity Mnth Mnth Mnth Mnth Bucket 2: SOFR 1-Mnth ICS vs. Fed Fund Futures Mnth Max Spread Min Quantity Mnth 2 SR1-FF Mnth 3 SR1-FF Mnth 4 SR1-FF Mnth 5 SR1-FF Bucket 3: SOFR 3-Mnth Outrights Max Spread Min Quantity Quarter Quarter Quarter Quarter Bucket 4: SOFR 3-Mnth ICS vs. Eurdllar Futures Max Spread Min Quantity Quarter 2 SR3-ED Quarter 3 SR3-ED Quarter 4 SR3-ED Quarter 5 SR3-ED Bucket 5: SOFR 3-Mnth Calendar Spreads Max Spread Min Quantity Quarters Quarters Quarters Quarters Quarters Fr details r applicatins, cntact InterestRate@cmegrup.cm

2 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument Treasury Ultra T-Bnd Market Making Prgram CRITERIA: Open t CBOT members, selected based n bid sheet prcess OBLIGATIONS & INCENTIVES: Participants qualify fr fee waivers and fee credits based n the strength f their quting perfrmance, relative t the three available tiers. Spread Quting Criteria* Size Time in Market (2-sided) Fee Waivers Incentives Fee Credit Per Cntract Fee Credit Mnthly Cap Tier 1 2.0/32 nd 6 65% $0.07 discunt n/a n/a Tier 2 2.0/32 nd 10 65% Full waiver ($0.13) $0.15 $30,000 Tier 3 2.0/32 nd 18 65% Full waiver ($0.13) $0.15 $50,000 *Applies t the frnt-mnth utright nly, and measured during Regular Trading Hurs defined as 07:00 am t 4:00pm, CT Treasury Ultra 10-Year Nte Futures Market Making Prgram CRITERIA: Open t CBOT members, selected based n bid sheet prcess OBLIGATIONS & INCENTIVES: Participants qualify fr fee waivers and fee credits based n the strength f their quting perfrmance, relative t the fur available tiers. Spread Quting Criteria* Size (2-sided) Time in Market Fee Waivers Incentives Fee Credit Per Cntract Fee Credit Mnthly Cap Tier 1 1.0/32 nd 10 65% $0.07 discunt n/a n/a Tier 2 1.0/32 nd 20 65% Full waiver ($0.13) $0.20 $20,000 Tier 3 1.0/32 nd 25 65% Full waiver ($0.13) $0.20 $30,000 Tier 4 1.0/32 nd 30 65% Full waiver ($0.13) $0.20 $40,000 *Applies t the frnt-mnth utright nly, and measured during Regular Trading Hurs as defined as 07:00 am t 4:00pm, CT Fr details r applicatins, cntact InterestRate@cmegrup.cm

3 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument 30-Day Federal Fund Futures Market Making Prgram CRITERIA: Open t CBOT members, selected based n bid sheet prcess OBLIGATIONS: Participants select 2 buckets f instruments (1 f which must be an utright bucket). They qute 65% f regular trading hurs, at the specified spreads, with buckets shwn belw. INCENTIVES: $0.10 fee discunt fr all Glbex Fed Funds Futures trading activity in Cntract Mnths 6 and beynd. Bucket 1: Outrights in Mnths 6-9 Mnth Mnth Mnth Mnth Bucket 2: Outrights in Mnths Mnth Mnth Mnth Mnth Bucket 3: Outrights in Mnths Mnth Mnth Mnth Mnth Bucket 3: Spreads in Mnths 5-10 Mnths Mnths Mnths Mnths Mnths Bucket 4: Spreads in Mnths Mnths Mnths Mnths Mnths Mnths Bucket 5: Spreads in Mnths Mnths Mnths Mnths Mnths Mnths Fr details r applicatins, cntact InterestRate@cmegrup.cm

4 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument 30-Day Federal Fund Optins Glbex Market Making Prgram CRITERIA: Open t CBOT members, selected based n bid sheet prcess OBLIGATIONS: Participants must qute Fed Fund Optins at the belw spreads and quantities fr each f the first 4 cntract mnths during 75% f regular trading hurs (7:00-4:00 Central). Max Bid/Ask Spread Min Quantity Strike Range Mnth ATM +/- 4 Strikes Mnth ATM +/- 4 Strikes Mnth ATM +/- 4 Strikes Mnth ATM +/- 4 Strikes INCENTIVES: Mnthly Stipend: $5,000 will be awarded t each prgram participant that meets quting bligatins in any given mnth. Fee Waiver: Each participant that meets the quting bligatins in any given mnth will trade Fed Fund Optins fr free, acrss all venues. Fr details r applicatins, cntact InterestRate@cmegrup.cm

5 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument MAC Swap Futures Vlume Incentive Prgram CRITERIA: Open t CBOT members and nn-members, selected based n bid sheet prcess QUOTING CRITERIA: 65% f regular trading hurs (7:00 4:00 Central) Min Size (Cntracts) Max Bid/Ask Spread 5-year 250 1/32 nd 10-year /32 nd INCENTIVE STRUCTURE: Fee Waiver n Swap Futures fr any client that trades 100 ADV, r meets 2-sided quting criteria Prgressive fee credits n relevant trading, per table belw Credits capped at $35,000 per mnth per firm Credits apply t Glbex utright trades and Inter-Cmmdity during all-mnths, and fr Calendar Spreads nly during nn-rll mnths. (Rll Mnths are March, June, September, December) Based n Glbex activity nly, ex-pit trades are excluded (i.e. blcks & EFRPs) All calendar spread activity is excluded during rll mnths (Mar, Jun, Sep, Dec) but included during nn-rll mnths All Intercmmdity Spreads are eligible (e.g. Treasury vs. MAC Swap Future) - Fr all participants, OTC IRS clearing fees are waived n activity assciated with futures delivery fr psitins directly related t the participants market maker accunt and assciated OTC IRS accunt. Fee credit value (per cntract traded) Prgressive Participant Des nt ADV Tiers Qutes Qute 0 t 250 $0.40 $ t 750 $0.70 $ $1.00 $0.50 Fr details r applicatins, cntact InterestRate@cmegrup.cm

6 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument Eurdllar Futures Deferred-Mnth Packs and Bundles Market Making Prgram CRITERIA: Open t CME members nly, selected based n bid sheet prcess OBLIGATIONS: Market makers select a set f instruments that cntains a cmbinatin f Packs, Bundles r Pack Spreads, all in the 3 rd year (Greens) and beynd. Participants qute the cntracts 65% f regular trading hurs (RTH) at specific bid/ask spreads and sizes. Bucket 1 Bucket 2 Instrument Bid/Ask Min Size Instrument Bid/Ask Min Size 3-Year Bundle Year Bundle Year Bundle Year Bundle Year Bundle Year Bundle Green Pack Blue Pack Bucket 3 Gld Pack Instrument Bid/Ask Min Size Green Pack Bucket 5 Blue Pack Instrument Bid/Ask Min Size Gld Pack Year Bundle Purple Pack Year Bundle Blue Pack Bucket 4 Gld Pack Instrument Bid/Ask Min Size Purple Pack Green Pack Green/Blue Blue Pack Blue/Gld Green/Blue Gld/Purple Blue/Gld INCENTIVES: Incentives are ffered exclusively t activity in registered market making accunts, fr which a given participant may have a maximum f five. Participants in cmpliance with quting bligatins receive: Packs and Bundles: Participants receive a $0.08 discunt n all pack and bundle instruments. Other Eurdllar Futures: Participants have the ability t earn $0.06 fee discunts n their ther (nn- P&B) Eurdllar Futures. Credits will be earned based n trading f packs and bundles in the greens (3 rd year) and beynd. Credits frm such trading accrue subject t the belw multiplier schedule. Only ne credit may be applied fr each nn-pack and bundle Eurdllar future traded Instrument Grup* Fee Discunt Credit Multiplier Schedule Green Packs / 3Y Bundles Blue Packs and beynd / 4Y & 5Y Bundles Fr details r applicatins, cntact InterestRate@cmegrup.cm Fee Discunt Credits/Leg 7 fee credits (per leg) 15 fee credits (per leg) *In the case f applicable spread types that span multiple clr years the clr year f the lngest cmpnent f the spread will determine the multiplier t be applied. Nte 1: Credits earned in a given mnth must be applied t ED vlumes traded in the designated market making accunts in that same mnth. Unused credits in a given mnth d nt carry ver. Nte 2: Participants in the prgram are nt eligible fr the back-mnth $0.05 discunt n Glds and beynd, ffered as part f the standard CME fee schedule nte 27

7 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument Eurdllar Optin Electrnic Market Making Prgram Prducts: Eurdllar Optins, including all mid-curves, weeklies, etc. Hurs: All trading hurs Obligatins: Market makers must use their best effrt t respnd t all Requests fr Qutes (RFQs) Regardless f cntract, mnth, r strike(s). Structure: Order Flw Allcatins: Up t 6 tp market makers in each ptin prduct will receive a share f 30% LMM allcatin, with a larger share t the tp ranked market makers. Fee Adjustments fr Glbex Trades: All Prgram Participants will receive a discunt f $0.13 fr each trade made in the Prducts n Glbex prvided that such participant has, in a given quarter, respnded t (i) at least 15% f all RFQs r (ii) earned 25,000 RFQ pints. Fee Adjustments fr Pit Trades: Individual Members and 106.J Equity Member Participants will als receive a discunt f $0.06 n all-in pit fees prvided they satisfy at least ne f the belw additinal criteria: Have been enrlled in the Eurdllar Optins Market Maker Prgram prir t Octber 5th 2017; r Firm emplyee trading a firm accunt and cllectively has had at least ne (1) persn in the pit fr at least ne third (1/3) f trading days in the first three (3) quarters f 2017; r Self-executes in the pit thrugh sequential trading cards and has been in the pit at least ne third (1/3) f trading days in the first three (3) quarters f Rankings: Market makers will be ranked n a quarterly basis with benefits ging int effect the subsequent calendar quarter. 70% f ranking will be based upn RFQ respnses accrding t criteria n page 30% f ranking will be based upn Glbex vlume in ptins n ED Futures. Bth rder flw allcatins and fee adjustments are based n the prir quarter s activity. Belw is a breakdwn f the evaluatin and allcatin perids: Evaluatin Perid Fr Fr details r applicatins, cntact InterestRate@cmegrup.cm Allcatin Effective Dates September 16, 2017 t December January 1, 2018 t March 31, 2018 December 16, 2017 t March 15, 2018 April 1, 2018 t June 30, 2018 March 16, 2018 t June 15, 2018 July 1, 2018 t September 30, 2018 June 16, 2018 t September 15, 2018 Octber 1, 2018 t December 31, 2018 September 16, 2018 t December 15, 2018* January 1, 2019 t March 31, 2019* *Cntingent upn extensin f the Prgram

8 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument U.S. Treasury Optins Electrnic Market Making Prgram Prducts: Includes All Expiratins (Serial, Quarterly, Weekly Fridays, Weekly Wednesdays) 2-Year Treasury Nte Optins Ultra 10-Year Treasury Nte Optins 5- Year Treasury Nte Optins Treasury Bnd Optins 10-Year Treasury Nte Optins Ultra Treasury Bnd Optins Participant can select ne r mre Treasury Optin prduct(s) t cmpete in. Hurs: Bth Extended and Regular Trading Hurs ( ETH and RTH ) Prgram Incentives: 1. Mass Qute Message. CBOT shall permit the market maker t submit qutes fr the Prduct using the Mass Qute message under an assigned identificatin granted by CBOT staff. 2. Order Flw Allcatin: The six (6) mst highly ranked Prgram participants in each Treasury ptin prduct shall receive rder flw allcatins in the applicable Treasury ptin prduct, per the schedule f Evaluatin and Incentive Allcatin Perids. T receive the allcatin, the tp six (6) participants must respnd t at least 60% f RFQs in a specific prduct r at least 50% f their Treasury ptins vlume must be executed n Glbex. The ttal rder flw allcatins shall nt exceed 24% f ttal rder flw in the applicable Treasury ptin prduct. Obligatins: Participants are required t make best effrts t respnd t Glbex electrnic Requestsfr-Qutes ( RFQs ) in strategies f all r a subset f the Prducts. Participants may nly qute up t the max rder quantity n a single price level, and must set market maker prtectin values in line with quted quantities. X>=2 Y>=2 Z>=50% f maximum quted quantity fr that Mass Qute ID Buy/Sell >= Z Value Additinally, participants must qute in accrdance with the mass qute bligatins and ther assciated market maker functinality parameters as determined by the Exchange and as published n the Exchange s website. Link: The Exchange shall evaluate and rank Prgram participants quarterly with assignments f attendant rank-related Prgram incentives t take effect per the fllwing schedule: Evaluatin Perid Fr Allcatin Effective Dates September 16, 2017 t December January 1, 2018 t March 31, 2018 December 16, 2017 t March 15, 2018 April 1, 2018 t June 30, 2018 March 16, 2018 t June 15, 2018 July 1, 2018 t September 30, 2018 June 16, 2018 t September 15, 2018 Octber 1, 2018 t December 31, 2018 September 16, 2018 t December 15, 2018* January 1, 2019 t March 31, 2019* *Cntingent upn extensin f the prgram Fr details r applicatins, cntact InterestRate@cmegrup.cm

9 Summary f Interest Rate Incentive Prgrams See additinal ntes and disclsures at end f this dcument Additinal Ntes Regarding Incentive Prgrams Participatin in prgrams requires applicatin t the exchange and is cntingent upn applicant meeting all relevant eligibility criteria. Certain prgrams have limited number f spaces available with participants selected via bid sheet prcess; if the prgram is full an applicant may jin the waiting list. Fr any prgram with quting bligatins, incentives are prvided nly t firms that fully meet the targets in a given mnth, based n the fllwing guidelines: Quting perfrmance is measured as an average ver the entire mnth. If a participant is belw 65% in a given day r ut f the market altgether, that time can be made up n ther days. There is n requirement t qute n recgnized hlidays. Disclaimer CME Grup, CME Eurpe and CME Clearing Eurpe are brands f CME Grup Inc. and its subsidiaries, members f which include Chicag Mercantile Exchange Inc., CME Eurpe Limited, CME Clearing Eurpe Limited and CME Marketing Eurpe Limited. Exchange traded and Over-The-Cunter (OTC) derivatives are nt suitable fr all investrs, and invlve the risk f lss. Exchange traded and OTC derivatives are leveraged investments, and because nly a percentage f a cntract s value is required t trade, it is pssible t lse mre than the amunt f mney initially depsited fr an exchange traded r OTC derivative psitin. Therefre, traders shuld nly use funds that they can affrd t lse withut affecting their lifestyles. And nly a prtin f thse funds shuld be devted t any ne trade because they cannt expect t prfit n every trade. CME Grup is the trademark f CME Grup, Inc. The Glbe lg, Glbex and CME are trademarks f Chicag Mercantile Exchange, Inc. CBOT is the trademark f the Bard f Trade f the City f Chicag Inc. NYMEX, New Yrk Mercantile Exchange, and ClearPrt are trademarks f New Yrk Mercantile Exchange Inc. COMEX is a trademark f Cmmdity Exchange Inc. All ther trademarks are the prperty f their respective wners. The infrmatin within this presentatin has been cmpiled by CME Grup fr general purpses nly. Althugh every attempt has been made t ensure the accuracy f the infrmatin within this presentatin, CME Grup assumes n respnsibility fr any errrs r missins. Additinally, all examples in this presentatin are hypthetical situatins, used fr explanatin purpses nly, and shuld nt be cnsidered investment advice r necessarily the results f actual market experience. All data is surced by CME Grup unless therwise stated. All matters pertaining t rules and specificatins herein are made subject t and are superseded by fficial CME, CBOT, NYMEX, CME Eurpe, CME Clearing Eurpe and CME Grup rules. Current rules shuld be cnsulted in all cases cncerning cntract specificatins. This cmmunicatin des nt cnstitute a Prspectus, nr is it a recmmendatin t buy, sell r retain any specific investment r t utilise r refrain frm utilising any particular service. This cmmunicatin is fr the exclusive use f Eligible Cunterparties and Prfessinal Clients nly and must nt be relied upn by Private Clients wh shuld take independent financial advice. Circulatin shuld be restricted accrdingly. Chicag Mercantile Exchange Inc. is a Recgnised Overseas Clearing Huse (ROCH) recgnised by the Bank f England. Chicag Mercantile Exchange Inc., Bard f Trade f the City f Chicag and the New Yrk Mercantile Exchange are Recgnised Overseas Investment Exchanges (ROIE s) recgnised by the Financial Cnduct Authrity.Issued by CME Marketing Eurpe Limited. CME Marketing Eurpe Limited (FRN: ) is authrised and regulated by the Financial Cnduct Authrity in the United Kingdm. Fr details r applicatins, cntact InterestRate@cmegrup.cm