CME Group Customer Forum

Transcription

1 CME Group Customer Forum Spring 2018

2 Agenda Globex Technology Roadmap - Price Precision Extension - Consolidated Fills - ilink Enhancements - Secure Logon Customer Tools & GUIs Product Updates Q&A 2

3 Price Precision Extension & 2 Year Treasury Futures Tick Supporting a Greater Tick Precision Project Overview Price fields will support 9 decimals to provide greater price granularity currently limited to 7 On January 13, the 2 Year Treasury Futures and spreads will trade at 1/8 of 1/32 nd with a decimal precision of 8 Customers are encouraged to move to 9 decimal support now; but there are no plans to list a product that uses the 9 th decimal at this time. Impact Customer front- and back-end systems must support an 8 digit decimal across CME Group platforms

4 Price Precision Extension & 2 Year Treasury Futures Tick Supporting a Greater Tick Precision Key Activities and Dates Available - Technical specifications and full rollout schedules on the Client Systems Wiki May 20 - Beginning of New Release Launch for MDP 3.0 and streamlined Schemas - AutoCert+ available in June. Certification required June 10 New Release Launch for Reduced Tick for 2 Year Treasury Note August 12 Beginning of Production Launch MDP 3.0 and streamlined Schema - MDP 3.0 production mock sessions will be offered November 3 Globex Test Production Launch - Reduced Tick Test Instrument - 8 decimal precision readiness required OR the ability to ignore market data on this new instrument - Tradable reduced tick dummy instrument will be available for testing on Globex January 13 Production Launch for Reduced Tick for 2 Year Treasury Note futures

5 Price Precision Extension 2 Year Futures Display Format Example of Current Trading Screen New 1/8 of 1/32 nd Format Current Tick New System 1/8 Display Tick Price Decimal Price 1/ '071 1/4 2/ '072 3/ '073 1/2 4/ '075 5/ '076 3/4 6/ '077 7/ ' Key Impacts 2 Year Treasury Futures and Spreads will migrate from a 1/4 of 1/32 nd to a 1/8 of 1/32 nd fractional format New tick values bolded Price displays must support new fractional display format 2 Year Treasury Futures and Spreads systems will support decimal precision of 8 5

6 Action Items Price Precision Extension Roadmap Multi Phase Rollout Across CME Group Services System Production Date Impact & Requirements Risk MDP 3.0 and streamlined SBE Starting 12 August Certify for and implement new MDP 3.0 and streamlined MDP schemas Will not be able to read market data messages for ANY market New templates do not support backwards compatibility Globex Production Reduced Tick Test Instrument Launch November 3 8 decimal price instrument for order entry, Drop Copy and MDP 3.0 testing in production. MSGW: 84 MDP Channel: 344 Clearing Systems January 13 Implement new 8 decimal price requirements for CF Confirms, Trade Registers (CSV, XML), Spanky/Span files 8 decimal precision readiness required OR the ability to ignore market data on this new instrument Clearing systems may fail when processing reduced tick 6

7 Action Items Price Precision Extension Roadmap System Production Date Impact & Requirements Risk ITC Market Data Public FTP Settlement Files and Settle Decks CME STP and ClearPort Reduce Tick for 2 Year Treasury Note Launch N/A September 2 January 13 January 13 Products with price precision greater than 7 decimals will no longer be published on ITC Current STL file will not support expanded decimal format Implement new price decimal requirements All customer systems must support a decimal precision of 8 Price displays must support new fractional display format Systems must migrate to DataMine or alternative STL file format for settlement information Systems must migrate to DataMine or alternative STL file format Systems may fail when the 2 Year Treasury future launches with expanded tick Unable to display market data, trade or clear 2 Year Treasury 7

8 Price Precision Extension Roadmap Summary May Jun Jul Aug Sep Oct Nov Dec Jan May 20 Beginning of MDP 3.0 and Streamlined New Release Schema Launch MDP 3.0 and Streamlined Certification Required Jun 10 New Release Reduce Tick for 2Y Treasury Note Aug 12 Beginning of MDP 3.0 and Streamlined Production Schema Launch Nov 3 Globex Production Reduced Tick Test Instrument Launch 8 decimal precision readiness required OR the ability to ignore market data on this new instrument Jan 13 Production Reduce Tick for 2Y Treasury Note Full Reduced Tick System Readiness Required Price Precision Extension will be a multiphase rollout Consult the Client Systems Wiki for full deployment schedules Please confer with your internal teams and vendors to check readiness 8

9 Consolidated Fill Messages Streamline ilink execution reports and clearing trade confirmations to improve performance, increase capacity, and reduce costs Consolidation of Fill messages on all customer interfaces: - MDP 3.0 Fill consolidation was already delivered in the Trade Summary Message - Clearing - new Trade Match Report messages will reflect ilink fill consolidation - ilink Order Entry and Drop Copy Fill Message Consolidation - Per aggressor order, at a single trade price - Within the same liquidity source (i.e. customer order and/or implied order) Messaging Impacts - New FIX tags: Tag 9700-NumOrdersInMatchStep identifies the total number of orders matched within a match event Repeating group for Fill Reason contains: Tag NoFills New Release: Q3 2018» Tag FillQty» Tag 1622 FillYieldType (Aggressor or Matching Algorithms i.e. FIFO, Pro-Rata, LMM) Production: Phased rollout starting Q

10 Example: Fill Message Consolidation (FIFO) Bid Trader A Bid 2.0 Ask Trader B 1.0 Trader C 1.0 Trader D 2.0 Trader B 2.0 Trader C ilink Fills MDP 3.0 Current State: Trader A 1.0 Trader B 1.0 Trader A 1.0 Trader C 1.0 Trader A 1.0 Trader D 1.0 Trader A 2.0 Trader B 2.0 Trader A 2.0 Trader C 2.0 New State: Trader A 1.0 (Aggressor) Trader B 1.0 (FIFO) Trader C 1.0 (FIFO) Trader D 1.0 (FIFO) Trader A 2.0 (Aggressor) Trader B 2.0 (FIFO) Trader C 2.0 (FIFO) Trade Summary (No Change)

11 Example: Fill Message Consolidation (FIFO - Implied) Bid Trader A Bid 9806 GEH8 Ask Trader B 9805 Trader C 9805 Implied Order 9806 Trader B 9806 Trader C GEM8 Bid Ask 9802 Trader X GEH8-GEM8 Bid Ask 3.0 Trader Y ilink Fills Current State: Trader A 9805 Trader B 9805 Trader A 9805 Trader C 9805 Trader Y 3 Trader A 9805 Trader X 9802 Trader A 9806 Trader B 9806 Trader A 9806 Trader C 9806 New State: Trader A 9805 (Aggressor) Trader B 9805 (FIFO) Trader C 9805 (FIFO) Trader A 9805 (Aggressor) Implied Source Trader X 9802 (FIFO) Trader Y 3 (FIFO) Trader A 9806 (Aggressor) Trader B 9806 (FIFO) Trader C 9806 (FIFO) MDP 3.0 Trade Summary (No Change) GEH8: 9805 GEM8: 9802 GEH8-GEM8: 20@3.0 GEH8:

12 Example: Fill Message Consolidation (Pro-Rata) Bid Trader A Bid 2.0 Ask Trader B (25%) 1.0 Trader C (25%) 1.0 Trader D (50%) 2.0 Trader B 2.0 Trader C ilink Fills MDP 3.0 Current State: New State: Trade Summary (No Change) Trader A 1.0 Trader D 1.0 Trader A 1.0 Trader B 1.0 Trader A 1.0 Trader C 1.0 Trader A 1.0 Trader B 1.0 Trader A 1.0 (Aggressor) Trader D 1.0 (Pro-Rata) Trader B 1.0 (Pro-Rata+Leveling) Trader C 1.0 (Pro-Rata)

13 ilink Enhancements 2019 End-to-End Note Field - New FIX tag 5149-Memo carries customer text from ilink to Drop Copy and CME STP Clearing Instructions (e.g., Average Pricing and SLEDS) - New FIX tags for post-trade clearing instructions on customer orders Tags AvgPxIndicator Tag AvgPxGroupID Tag 1598 ClearingTradePriceType - Currently, special characters in tag 1-Account are used to signal post-trade instructions - Tag 1-Account support will eventually be phased out post-launch Executing Party Identifiers - New optional tag allows customer to identify the responsible party of any order Tag 116 OnBehalfOfSubID (inbound message) Tag 129 DeliverToSubID (outbound message) 13

14 ilink Enhancements 2019 Mandatory Tag Provides trading and clearing firms a more effective means to reconcile executing broker fees - Requires current Tag CustOrderHandling on all ilink order messages - Tag 1031 values: Desk-electronic, Client-Electronic, FCM Provided Screen, FCM API/FIX, Algo Engine 14

15 FIX Binary ilink Order Entry New Messaging Protocol and Format Targeted for customer testing in 2019 Improved performance and reduced variability - Streamlined, efficient message design - Fixed message sizes Aligns with the FIX Binary market data already used for CME Globex Layer Feature Customer Impacts Presentation Simple Binary Encoding (SBE) Messages controlled by template If ilink changes a message layout, customers must adopt and apply the updated template Session FIXP Protocol Lightweight point-to-point binary protocol Supports session recovery

16 CME ilink & Drop Copy API Secure Logon In January 2018, secure authentication logon for all ilink and Drop Copy target sessions was launched. The new Secure Logon will be supported in parallel until June 29. Any ilink or Drop Copy Target session twill be subject to surcharges as follows: - Sunday 29 April Friday 1 June: $100/session - Sunday 3 June Friday 29 June: $500/session - NOTE: A single logon will trigger the surcharge; multiple logons with the same session during each period will not result in multiple surcharges. - Surcharges will be aggregated by Globex Firm and Drop Copy group and billed to the administrative owner/registered Entity of each at month end. Only Secure Logons will be supported starting Sunday, 1 July. Customer certifications are required for all Front End Systems. Additional information is available at: Please contact your Global Account Manager with questions. 16

17 ilink Behavior Harmonization - CGW To simplify session level behaviors across MSGW and CGW, the following changes to CGW will be launched this year. These changes are forward-compatible and can be made at any time prior to launch Real-Time Messages Interleaving In resend request scenarios, customer will receive both the resend messages and the real-time messages Customers must be able to receive out-of-sequence messages during a resend response without triggering another resend request. Duplicate Session TCP Connection Attempts CGW will no longer support duplicative TCP connection attempts Launch Timeline New Release July 2018 Certification via AutoCert+ is mandatory for all CGW customers Production Q

18 Agenda Globex Technology Roadmap Customer Tools & GUIs - Inline Credit Controls - Ref Data API - Self service/tag 50 - DataMine Product Updates Q&A 18

19 Risk Management Tool Updates Inline Credit Controls Launched August 2017 Granular, CME Globex pre-execution risk coverage via the CME Account Manager tool Historical account activity reporting to facilitate Risk Admin s limit setting To date, 24 Clearing Firms have registered over 75,000 unique accounts Planned Enhancements: New! Restricted Product Policy: Clearing Firm Risk Admins may set policy to block all accounts at selected Executing Firms from trading a specific product Without having to register and set limits on the accounts For an Executing Firm that has the Restricted Product Policy enforced, the Clearing Firm Admin may positively permission specific accounts to trade the restricted product Expected to launch 2 nd half of 2018 Start of Day position upload capability (Q1 2019) 19

20 CME Reference Data API A new web service JSON API designed to be a real-time source for instrument and product information at CME Group Replaces current manual process of assembling information from diverse sources like: CME Globex market data messaging (Security Definition) Web specs on Exchange Rulebooks FPRF, SecDef.dat, TradingSessionList.dat and.pdf, multiple config.xml and other flat files on ftp.cmegroup.com and sftp.cmegroup.com Global Command Center product reference spreadsheet Additional Uses: Simplified Cross-Exchange Risk Management Product risk, audit and reconciliation applications 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. Launching June

21 Registered Tag 50 ID View in Request Center Additional Transparency for Trading Firms Registered Entities have now the ability to see the Tag 50 IDs that have been registered by their Clearing Firms in the Exchange Fee System (EFS) via Request Center. Entitled users can see the Person or ATS Team that a specific Tag 50 ID is registered under per Register Entity. Search results can be filtered and exported through a user friendly interface 21

22 Tag 50 Permissions Management in Request Center Clearing Firms will Manage the Tag 50 View Access by Registered Entity Clearing Firms that have signed the Self-Service Agreement can authorize their customers to access their Tag 50 data via the Request Center Customers must also sign the Self-Service Agreement before being granted access to Tag 50 data 22

23 DataMine CME DataMine is a self-service cloud solution offering an integrated, streamlined process with four different delivery mechanisms in the marketplace. DataMine Past: Delivery of Data: SFTP or Disk Data available: CME Group Historical Time consuming process from inquiry to completion of order. Small Support team DataMine Present: Cloud Based Delivery of Data: SFTP, API, S3 transfer or File Browser Growing library of CME Group Historical data New Datasets Order process takes <1 day Global Support team 23

24 DataMine Two New Delivery Mechanisms - Query API (end of Q3) RESTful solution to optimize download of DataMine datasets - Python API (end of Q3) Ability to leverage CME Market Data with native Python tool kit New Datasets - MBO FIX (Available) - Volume and Open Interest (Available) - IRS/OIS (Q3) - Eris- Intraday and EOD (Q4) - Registrar e.g., CUSIPS, Deliverable Commodities Under Registration (September) - CME SPAN (September) - TellusLabs Crop Health Index and NDVI (Available) - Orbital Insight Crude Oil Supply Estimates (Available) - Other Third Party datasets relevant to CME markets (June) Quicker Order Processing - Credit Card Payments (May) - Click Through Agreement (June) 24

25 FirmSoft Administration Migration In 2017 FirmSoft migrated to a new platform, which includes mobile capability, and new search and cancel by MSGW ID functionality. User permissioning will migrate from the legacy FirmSoft Administration tool to User Administration in the CME Group Customer Center. User Administration is currently used to manage access to the following CME Group applications: - Firm Admin Dashboard, Risk Management Tools, Request Center Self-Service Tools, Deliveries Plus, Positions, Settlement Firm and Asset Management Firm Firms that have signed the Self Service Agreement (SSA) are eligible to manage access through User Administration. - Once a firm migrates to User Administration, the legacy FirmSoft Admin tool will no longer be available to that firm. - Note: Upon completion of this migration period, firms that have not signed the SSA will revert to a paper-based process. Customer migration will begin in Q Global Account Management (GAM) will follow up with FirmSoft Administrators to schedule the migration. - After the migration, non-clearing firms that have signed the SSA and have administrative rights for a Globex Firm ID will also use User Administration to permission their own FirmSoft users.

26 Partner Updates Crypto Facilities On May 14 th, CME Group and Crypto Facilities (CF) launched Ether Reference Rates (ETH_RR_USD) and Real Time Index Prices (ETH_RTI_USD) available on the CMEG and Crypto Facilities websites. Both contracts will be based on transactions and order book activity from two major cryptocurrency exchanges: Kraken and Bitstamp. Distributed 24x7 via Datamine, and MDP Streamlined channel 213 Datamine production feed will be available for customers starting May 21 st MDP New Release testing begins May 21 st and production June 4 th Eris IP licensing agreement with CME Group to provide CBOT Eris Standard Swap futures contracts on CME Globex by end of year Once the transition is complete, Eris products will cease to trade on Eris Swapbook; there will be no changes to the clearing arrangement with CME. Please stay tuned for additional details about the transition in the upcoming Globex Notices.

27 Agenda Globex Technology Roadmap Customer Tools & GUIs Product Updates - Interest Rates Futures SOFR Futures CME-CBOT STIR Spreads - CME FX - Equities - Commodities - Energy Products Q&A 27

28 Best Two-Month Period for Rates Futures & Options Driven by deep liquidity and outsized growth in buy-side participation, rates volume has surged to 12/6M contracts/day YTD. +54% vs Volume Records Interest Rate complex ADV:15.8M in Feb. Options ADV: 4M in Feb Invoice Spreads ADV: 114K YTD. Ultra 10 ADV: 310K in Feb Treasury futures ADV: 6.7M in Feb *Treasury futures notional volume as a % of underlying cash: 97.6% February Open Interest and Large OI Holder Records Total OI: 87M contracts, +36% YTD Futures OI: Eurodollars (17M). Fed Funds (2.2M), 2 Yr (2.1M), 5 Yr (3.9M), 10 Yr (4M), Ultra 10 Yr (628K), and Ultra Bond (1M) Options OI: EDs (49M), 5 Yr (2.3M), 10 Yr (5.3M) Futures LOIH: total (2.086), 2 Yr (345), 5 Yr (355), 10 Yr (444), Ultra 10 Yr (94), and Ultra bond (129) SOFR Futures Launched May 7 th 1month SOFR contracts (SR1): calendar month rolls, 7 listed (similar to FF futures) 3month SOFR contracts (SR3): March quarterly IMM rolls, 20 listed (similar to ED) Full details available at: 28

29 CME Group Short Term Interest Rate Inter-Commodity Spreads Eurodollar 10:6 Ratio; 4 Listed (Launching March 12) Fed Funds 1:1 Ratio; 20 Listed SR3 10:6 Ratio; 4 Listed 10:6 Ratio; 3 Listed SR1 1:1 Ratio; 7 Listed Spread Weightings Fed Funds and 1-Month SOFR Futures are $41.67 DV01 contracts Eurodollars and 3-Month SOFR Futures are $25 DV01 contracts To balance DV01 weighting, spreads between instruments with different DV01s will be weighted to have 6:10 leg ratios to balance the corresponding $41.67 : $25 DV01s For weighted spreads, Legs are arranged to match exposures between IMM dates: 1 quarterly Eurodollar or 3-Month SOFR Future spread against the next 2 Fed Fund or 3-Month SOFR Futures contract months (i.e. 3 April FF + 3 May FF vs. 10 March ED) Globex Symbol Example Spread Symbol Implied Y/N Front Leg Back Leg Leg Ratio Launch Date ZQJ8K8-GEH8 EF No Fed Funds Eurodollars (3+3) : 10 March 12 SR3H8-GEH8 IS Yes SOFR 3-Month Eurodollars 1:1 May 7 SR1H8-ZQH8 IS Yes SOFR 1-Month Fed Funds 1:1 May 7 SR1J8K8-SR3H8 EF No SOFR 1-Month SOFR 3-Month (3+3) : 10 May 7 ZQJ8K8-SR3H8 EF No Fed Funds SOFR 3-Month (3+3) : 10 May 7 29

30 STIR Analytics Tools STIR Spreads Tool: Displays synthetic price history, end-of-day settlement, and implied rates Will be enhanced to include SOFR spreads after launch 30

31 Agenda Globex Technology Roadmap Customer Tools & GUIs Product Updates - Interest Rates Futures - CME FX - Equities - Commodities - Energy Products Q&A 31

32 CME FX Products Notional nearing 40% of all ECN-traded FX: Recognition of advantages offered by listed futures driving growth INRUSD ( SIR ) one of the fastest growing contracts o End-Feb: ADV approx. $416Mil; +340% YoY CME Wednesday FX Options: o Wednesday FX options add new short-dated maturities with Wednesday expiries, allowing for trading opportunities around mid-week events such as FOMC, BOC, and RBA announcements o Contracts are available on EUR/USD, JPY/USD, GBP/USD, AUD/USD, CAD/USD with exact product specification as weekly, serial, and quarterly options, except with Wednesday expiration 32

33 CME FX Link - Spot FX Basis Spreads at CME Group LAUNCHED: MARCH 26 th CME FX Link is the first ever central limit order book for trading spreads between OTC FX Spot and CME FX Futures, seamlessly connecting the two markets Enables electronic trading of an OTC Spot FX transaction and a CME Group FX futures contract via a single spread trade on CME Group s liquid and transparent Globex platform Traded as the differential between FX Futures and OTC Spot FX, resulting in simultaneous execution of a FX Futures contract and an OTC Spot FX transaction Central prime broker intermediates OTC Spot FX transactions resulting from the spread, allowing participants to leverage existing OTC FX interbank credit relationships and prime brokerage network Initial scope includes spreads between OTC Spot FX and the front three expiry months of the following currency pairs: EURUSD, JPYUSD, GBPUSD, CADUSD, AUDUSD, MXNUSD CME FX Link enables market participants to efficiently realize the capital, margin and operational benefits of CME FX Futures Access the deep liquidity and firm pricing offered in CME Group s marketplace Efficiently establish and hold forward exposures via capital and margin advantaged CME FX Futures Better manage and optimize margin and credit lines across CME FX Futures and OTC Spot FX transactions 33

34 Spot FX Basis Spread Details & Workflow Basis Spread Quotation Quoted and traded as the difference between futures and spot as represented with both legs in OTC price convention CME FX Link Trade Workflow Basis Spread Construction Buyer of spread buys CME FX Futures and sells OTC Spot FX, seller sells CME FX Futures and buys OTC Spot FX For FX future currency pairs that are quoted inverse to OTC FX convention*. Buyer of spread sells FX futures and buys OTC FX spot and vice versa for a seller of spreads in the above listed pairs Basis Spread Leg Pricing Futures leg price = last Globex Price OTC Spot FX leg price = Futures leg price - Traded Basis Spread Basis Spread Transactions Basis spread results in simultaneous execution of FX Futures cleared by CME Clearing, and OTC Spot FX subject to existing OTC FX enabled via central intermediation by the Central FXPB *Inverse Pairs: JPY/USD, CAD/USD, MXN/USD 34

35 FX Monthly Futures Now with Implied Pricing New market making program driving liquidity across spreads and outrights Implied pricing enabling more optimal availability of liquidity across the curve Increased ADV and open interest with increased participant set 250 customers already trading across Buyside, Banks, Retail and Corporates A single-day record of 23,199 contracts was achieved on 11 January

36 Recently Published FX Whitepapers GREENWICH ASSOCIATES: TCA REPORT ON FX FUTURES - Excerpt: The results show that FX investors can find significant cost savings (upward of 75% in some cases) by trading futures rather than executing a trade in the OTC markets. For those entities subject to Basel III costs, switching to futures from OTC trades could garner even greater savings. - The full paper is available at: FX-Futures.pdf?aliId= CME GROUP: REPLICATING OTC FX POSITIONS WITH CME FX FUTURES - Excerpt: For OTC FX market practitioners seeking capital and cost-effective means to address new requirements, CME FX futures, traded on a highly liquid regulated exchange, offer an attractive alternative to many OTC FX trading strategies. - The full paper is available at: 36

37 Agenda Globex Technology Roadmap Customer Tools & GUIs Product Updates - Interest Rates Futures - CME FX - Equities Bitcoin Futures Basis Trade at Index Close (BTIC) Trade at Cash Open (TACO) - Commodities - Energy Products Q&A 37

38 CME Bitcoin Futures Steady month-over-month volume growth April was a record-setting month for Bitcoin futures, which reached an ADV of 3,745, +45% vs. March and +102% vs. Q1. As ADV and OI continue to grow, Bitcoin futures hit both record volume of 11,202 contracts ($503M notional; 56,010 equivalent bitcoin) and record open interest of 2,380 contracts on April 25. More than 28 firms are now listed in our directory of clearing firms, brokers and block liquidity providers who can be contacted by clients who wish to trade Bitcoin futures. And more than 1200 unique accounts have traded Bitcoin futures since launch.

39 Basis Trade at Index Close (BTIC) Continued Growth in Q Basis Trade at Index Close (BTIC) enables market participants to execute a basis trade relative to the official close for the underlying index for more efficient cash management. On February 5, we expanded the scope of BTIC by launching BTIC for TOPIX futures. In Q1 2018, BTIC volume comprised 36% of the market-on-close (MOC) value traded at NYSE and NASDAQ, on average (vs. 14% in 2017). Q1 BTIC ADV across the major index futures was nearly 42K contracts, +224% YoY. Learn more at cmegroup.com/btic.

40 Launched May 14: Trade at Cash Open (TACO) For E-mini S&P 500 Index Futures Beginning May 14, CME Group will offer a mechanism for better managing risk around the cash index open: Trade at Cash Open, or TACO. TACO will allow you to execute a basis trade on the E-mini S&P 500 futures relative to the day s official cash index opening level before the market open. Benefits and Applications Specifications Underlying futures: E-mini S&P 500 Index futures ($50 x S&P 500 Index) Ticker Symbol: ESQ Tick Increment: 0.05 index points = $2.50 Pricing Convention: Negotiated basis plus Special Opening Quotation of S&P 500 Price Index Trading Hours: CME Globex: Pricing vs. Monday SOQ Sun 5:00 p.m. 8:30 a.m. CT; Tue-Fri 10:00 a.m. prior business day 8:30 a.m. CT, Trading halt from 4:00 p.m. 5:00 p.m. CT Block Trade: Mon-Fri 10:00 a.m. prior business day 8:30 a.m. CT View more detailed information at cmegroup.com/taco.

41 Agenda Globex Technology Roadmap Customer Tools & GUIs Product Updates - Interest Rates Futures - CME FX - Equities - Commodities Black Sea Wheat/Australian Wheat Relationship Based Trading - Energy Products Q&A 41

42 Black Sea & Australian Wheat Volumes & Open Interest Combined Total Open Interest stands at 15,090 Black Sea Wheat Open Interest stands at 14,130 Total traded Black Sea Wheat (BWF) 23,320 lots Record day on March 1 st, 1900 lots Black Sea Wheat traded >1400 lots of Australian Wheat traded, OI of 1,580 year to date Record day on Feb 13 th, 280 lots of Australian Wheat traded 42

43 Why Trade These Contracts? Black Sea and Australia global top 5 wheat exporters, regional price setters Manage exposure to the Black Sea & Australian wheat markets 12 months out Financially settled using Platts assessments (no physical deliveries) Black Sea vs Australia Wheat arbitrage opportunities. Margin offsets of 65% Open interest rising rapidly combined >11k, out to December 2018 Price settlements provided by CME on a daily basis for all months Traded as block futures off-screen Numerous brokers providing block futures liquidity to the market Participation from physical traders continues to increase, funds participating Further Information: Live trades (size, price) on block futures available at: Black Sea Wheat: Australian Wheat: 43

44 Relationship Based Trading The Agricultural complex has allowed crossing on CME Globex and block trades across all products on January 8, This allows for bi-lateral conversations prior to the execution of the orders, including discussions concerning price, size and direction. This will help facilitate : Large transactions relative to the existing order book liquidity Trading in unique instruments e.g., farther dated contract months, crush options, deep in-the-money strikes Executing a complex order type strip spreads, broken crushes, multi-legged options Sourcing liquidity during off hours 44

45 Relationship Based Trading (RBT) Blocks and Crosses Blocks currently account for less than.25% of total volume, while crosses account for roughly.27% of total volume (Trade dates 1/8 4/24) 30 individual brokers across 17 firms have executed blocks in traditional Ag products in Q1 8 UK, 24 U.S. individual brokers across a total of 21 firms have executed R-Cross volume in Globex in Q1 (core Ag products) Block ADV: 3,175 Cross ADV: 4,696 7,000 6,000 5,000 4,000 3,000 2,000 1, ,000 3,500 3,000 2,500 2,000 1,500 1, Cross ADV Growth 1/8-4/10 1st 20 Days 2nd 20 Days 3rd 20 days Block ADV Growth 1/8-4/10 1st 20 Days 2nd 20 Days 3rd 20 days

46 Agenda Globex Technology Roadmap Customer Tools & GUIs Product Updates - Interest Rates Futures - CME FX - Equities - Commodities - Energy Products Q&A 46

47 ADV Open Interest WTI Futures (CL) - The World s Most Liquid Oil Benchmark WTI Futures (CL) volume remains strong with 1.32 million contracts traded per day YTD in Average Daily Volume (ADV) is up 18% and open interest is up 16% YoY. A daily record of 2,691,028 lots of Open Interest (OI) was set on November 10th, NYMEX WTI Futures (CL) Average Daily Volume and Open Interest 1,600,000 3,000,000 1,400,000 1,200,000 1,000,000 2,500,000 2,000, ,000 1,500, , , ,000 1,000, , ADV Open Interest Copyright 47

48 Monthly ADV WTI Futures (CL) - The World s Most Liquid Oil Benchmark 1,600,000 NYMEX WTI trades 28% more volume than ICE Brent in ,400,000 1,200,000 1,000, , , ,000 Post U.S. export ban 200,000 0 ICE Brent NYMEX WTI Copyright CME CME Group. Group. All All rights rights reserved. reserved. 48

49 WTI Open Interest Surpasses Brent in 2017 Month-end open interest in January 2018 reached all-time high with 2.65 million contracts outstanding Copyright CME CME Group. Group. All All rights rights reserved. reserved. 49

50 ADV Open Interest Unparalleled Liquidity in Henry Hub Futures Henry Hub Futures (NG) average daily volume reached a record 676,000 in January 2018 and is currently up 26% YoY. Henry Hub Natural Gas Futures (NG) Volume and Open Interest 800,000 1,800, , , , , , , ,000 1,600,000 1,400,000 1,200,000 1,000, , , , , ADV Open Interest 50

51 Henry Hub becomes a global benchmark with U.S. LNG Number of U.S. LNG cargoes by destination in

52 Electronic ADV % Electronic Superior Electronic Liquidity in Henry Hub Options Natural Gas financial options (LN) have traded over 60% electronic for 4 straight months. Electronic average daily volume has increased 124% YoY. 140,000 Henry Hub Options (LN) Electronic Volume Growth 70% 120,000 60% 100,000 50% 80,000 40% 60,000 30% 40,000 20% 20,000 10% 0 0% Electronic ADV % Electronic 52

53 Agenda Globex Technology Roadmap Customer Tools & GUIs Product Updates Q&A and Quiz 53

54 Reference of Important Dates Topic Date ilink/drop Copy Secure Logon Final Deadline 29 June Launch of Reference Data API June 2018 DataMine Query API End Q DataMine Python API End Q Price Precision MDP3 & Streamline Schema Update New Release 20 May Consolidated Fills New Release Q CGW Behavior Change in New Release July Price Precision Production MDP 3.0 & Streamline SBE Schema launch 12 Aug thru 18 Nov Price Precision Production TEST product launch 3 Nov Price Precision Production 2 Year Note reduced tick launch 13 Jan 2019 Consolidated Fills Production Phased rollout starting Q

55 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 brochure 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 the People's Republic of China ("PRC", which does not include Hong Kong, Macau and Taiwan for such purposes). The information contained in this brochure is provided for general 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 brochure. This brochure or any information contained or incorporated by reference herein is not an advertisement and is not intended for public distribution within China. The information contained in this brochure 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 brochure 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 2018 CME Group and 芝商所. All rights reserved. 55

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