Cleared OTC Credit Default Swaps

Size: px
Start display at page:

Download "Cleared OTC Credit Default Swaps"

Transcription

1 Cleared OTC Credit Default Swaps Changing the CDS Clearing Landscape Q3 2015

2 Contents Why CME for CDS Clearing? CDS Margin Model & Benefits Cleared OTC CDS Product Scope Client Clearing Reporting & Tools Next Steps and Contacts

3 Why CME for CDS Clearing? CME has invested in the development of a new margin risk framework which provides a more holistic model of the risk of a CDS portfolio comprised of a variety of index & single name products CME is committed to expanding our CDS offering in order to be the #1 Clearing House for buy-side clients Global multi-asset class solution for CDS, IRS, and FX all under one clearing house Clients appreciate CME s economical fee structure that supports multi-fcm volume discounts Offering the widest acceptable collateral solution for CDS including interest back on USD cash A true open-access architecture without the dependency on a single platform for trade messaging Clients have the flexibility to allocate transactions pre- or post-clearing to one or more clearing members Real-time clearing 23 hrs/6 days a week across all time zones and follow-the-sun client service support Flexible customer protections including LSOC, LSOC with Excess, and Combined Cash Flow under LSOC with Excess 3

4 CDS Margin Model Assesses risk more holistically for portfolios comprised of index and single-name CDS products Statistically-driven scenario approach to model risk more appropriately A single market risk component replaces multiple market risk factors Addresses relevant market risk factors affecting CDS portfolio within a scenario-based framework Enhanced Idiosyncratic Risk Component More systematic approach that avoids double-counting of risk with other elements of the model Improved Liquidity and Concentration Risk Component Incorporates reference entity or index series and maturity-specific liquidity features Addresses liquidation risk for highly concentrated positions with a progressively increasing margin requirement Additional risk component for interest rate and discount curve risk Captures effect of interest rate changes (relevant to underlying discount curve) on market value of CDS portfolios 4

5 Benefits of Margin Model Efficient in Modeling CDS Portfolio Risk - Accounts for hedging, diversification and concentration - Reactive to current market conditions, persistent to extreme events Margins More Accurately Aligned with the Market - Proposed changes to how market risk is assessed may result in reduced margin requirements Simple and Easy to Replicate by End Users - Intuitive and straightforward model parameters Applicable to broad range of Credit instruments - CDS NA Indices: High-Yield, Investment Grade - itraxx Portfolio Margining - Allows flexibility to offset risks - Will allow for offsets between CDS and itraxx 5

6 Client Clearing Tools CME CORE CME CORE Margin Tool Margin Results Contact our Risk Team to run margin simulations for new or existing CDS portfolios Select positions and calculate initial margin requirement Maintenance Margin Factor Breakdown CDS Margin Reports Full transparency into margin calculation Analyze and review results Contributing Factor Breakdown Please reach out to or (312) if you have any questions or would like a demo of the applications 6

7 Cleared OTC CDS Product Scope Indexes Corporate Bond Indexes Mandated for Clearing Status Tenors 3Y 5Y 7Y 10Y Series North America CDX NA IG Y Live 8+ CDX NA HY Y Live 12+ Europe itraxx Main Y Live 17+ itraxx Crossover Y Live 17+ CME Group is the only clearing house to offer 3 & 7 year tenors in CDX NA IG and itraxx Main 7

8 Sample Portfolio Margining Scenarios Flexibility to offset risks between combinations of CDX and itraxx Indices Portfolio Margining Scenario CDX Index itraxx Index Portfolio Size $100MM 100 MM Instrument(s) CDX IG 22 itraxx Main 21 Portfolio Direction Buy Protection Sell Protection Tenor 5y 5y Individual Margin Requirement 0.70% 1.51% (% of Notional) Individual Margin Requirement (in USDE) $699,087 $2,053,426 Portfolio Margin Requirement 0.79% of Gross Notional or $1,874,927 (USDE) Savings of $877,586 or 32% 8

9 Trade Workflow Mechanics Straight Through Processing allows for real-time clearing and trade confirmations Client ED 1 Trade receives credit pre-approval from FCM (precedes this workflow) 2 SEF 2 2 Client executes trade with Executing Dealer (ED) on SEF SEF sends trade to CME for Clearing 5 CME Clearing House Product Account Credit 5 4 After validating product, account and applying credit limits set by CME, swap is accepted for clearing 5 CME sends Cleared notification to SEF which displays trade status to principals Clearing Member (Client) Clearing Member (ED) 5 CME sends a Clearing Confirmation to Clearing Member(s) 9

10 CME Clearing Platforms Connected to CME Clearing Several market leading affirmation platforms and Swap Execution Facilities are directly connected to CME Clearing Connectivity Partners OTC Clearing Members 10

11 Netting Options CME provides Three Netting Options: Daily Net, Net Plus and Adjusted Gross Option Daily Net Description At the end of the day, trades are automatically net into a single position view. The client can maintain separate transactions as they see fit, provided the net matches with CME Allows client to keep their trades open while reporting one net position CME will show one net long or short position view along with the daily activity Clearing Firms and clients are free to keep the trades open on their side At the end of day, CME will show one net long or short trade view Net Plus Allows client to unambiguously terminate their trades At the end of the day, trades are automatically terminated, and a new trade for the net position is booked At the end of the day, trades are left gross with the ability to selectively net trades Adjusted Gross Allows client to unambiguously keep their trades open CME will show an aggregate long/short position view along with the daily activity at the end of day Clearing Firms and client are free to keep trades open on their side Clients can choose to selectively net positions on their side 11

12 Comprehensive Reporting Seamlessly integrate key OTC data into your internal systems. Reports Description Time Product Reference File A complete list of products eligible for clearing 6:00 p.m. ET EUR Settlement Price File Provides end-of-day settlement prices for itraxx 12:30 p.m. ET Early Settlement Price File Provides preliminary settlement prices 4:45 p.m. ET Final Settlement Price File Provides end-of-day settlement prices 5:00 p.m. ET Client Margin Summary Report Client MR3 Report CDS Position Report Provides an account breakdown of your USD Initial Margin requirements across your FCMs Provides an account breakdown of your Initial Margin requirements for each breakout currency (USD & EUR), across your FCMs Provides a summary of all positions marked-to-market once per day 10:00 p.m. ET 10:00 p.m. ET 9:00 p.m. ET 12

13 Contacts For more information, please contact us: On-Boarding Team Kaitlin Meyer Liam Smith Phil Hermon Harry Yeo Visit to learn more 13

14 Disclaimer CME Group, CME Europe and CME Clearing Europe are brands of CME Group Inc. and its subsidiaries, members of which include Chicago Mercantile Exchange Inc, CME Europe Limited, CME Clearing Europe Limited and CME Marketing Europe Limited. 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. CME Group is the trademark of CME Group, Inc. The Globe logo, Globex and CME are trademarks of Chicago Mercantile Exchange, Inc. CBOT is the trademark of the Board of Trade of the City of Chicago Inc. NYMEX, New York Mercantile Exchange, and ClearPort are trademarks of New York Mercantile Exchange Inc. COMEX is a trademark of Commodity Exchange Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Europe for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or necessarily the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, NYMEX and CME Group rules. Current rules should be consulted in all cases concerning contract specifications. This communication does not constitute a Prospectus, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or refrain from utilising any particular service. This communication is for the exclusive use of Eligible Counterparties and Professional Clients only and must not be relied upon by Private Clients who should take independent financial advice. Circulation should be restricted accordingly. Issued by CME Marketing Europe Limited. CME Marketing Europe Limited (FRN: ) is authorised and regulated by the Financial Services Authority. 14

Cleared OTC Credit at CME Security. Neutrality. Transparency.

Cleared OTC Credit at CME Security. Neutrality. Transparency. Cleared OTC Credit at CME Security. Neutrality. Transparency. Contents Why CME for CDS Clearing? CDS Margin Model & Benefits Cleared OTC CDS Product Scope Client Clearing Reporting & Tools Next Steps and

More information

OTC SOFR Swaps Clearing

OTC SOFR Swaps Clearing OTC SOFR Swaps Clearing April 17, 2018 OTC CLEARING THE WAY FORWARD 2018 CME Group. All rights reserved. 1 CME SOFR Offering The Secured Overnight Funding Rate (SOFR) What is SOFR? Endorsed by the Alternative

More information

Invoice Swap Spreads and Portfolio Margining Benefits

Invoice Swap Spreads and Portfolio Margining Benefits Invoice Swap Spreads and Portfolio Margining Benefits Unparalleled Capital Efficiencies for Interest Rate Swap Portfolios 2016 CME Group. All rights reserved. Recent Developments in Packaged Trades Between

More information

Swaptions Clearing Overview

Swaptions Clearing Overview Swaptions Clearing Overview Jack Callahan OTC Products Fateen Sharaby Clearing Solutions 2016 CME Group. All rights reserved 01 Contents Swaption Clearing Overview Benefits of Clearing Product Scope Data

More information

Bloomberg Analytics for CME Swap Clearing

Bloomberg Analytics for CME Swap Clearing Bloomberg Analytics for CME Swap Clearing CME-Specific USD Valuation Curve CME Cleared Swaptions Initial Margin Calculations 2016 CME Group. All rights reserved. CME-Specific USD Valuation Curve 2016 CME

More information

Cleared OTC FX Product Overview

Cleared OTC FX Product Overview Cleared OTC FX Product Overview Global FX Clearing Solution The broadest and most capital efficient FX clearing solution to meet your needs The broadest global FX product scope across OTC and listed products:

More information

CBOT Invoice Swap Spreads

CBOT Invoice Swap Spreads CBOT Invoice Swap Spreads New enhancements & efficiencies coming June 6, 2016 CBOT Invoice Swap Spread Update and Enhancements On June 6, CME will offer new functionality for CBOT listed invoice spreads

More information

OTC SOFR Swaps Clearing

OTC SOFR Swaps Clearing OTC SOFR Swaps Clearing Q4 2018 OTC CLEARING THE WAY FORWARD 1 CME SOFR Offering The Secured Overnight Funding Rate (SOFR) What is SOFR? Endorsed by the Alternative Reference Rate Committee (ARRC) in June

More information

Divergent Levels of Debt: Differing National Strategies and Their Consequences for Investors

Divergent Levels of Debt: Differing National Strategies and Their Consequences for Investors Divergent Levels of Debt: Differing National Strategies and Their Consequences for Investors Erik Norland, Senior Economist & Executive Director Intelligence & Analytics November 2018 1 Investment Advice

More information

Swaptions Clearing Overview

Swaptions Clearing Overview Swaptions Clearing Overview Security. Neutrality. Transparency. CLEARING THE WAY FORWARD 2016 CME Group. All rights reserved. CME Group Swaptions Clearing Launched based on strong client demand on April

More information

Hedging FX Intertek. ACT Webinar, 16 th April

Hedging FX Intertek. ACT Webinar, 16 th April Hedging FX Intertek ACT Webinar, 16 th April 2015 1 www.intertek.com Who is Intertek? We are Electrical engineers Chemists Mechanical engineers Medical doctors Consultants Biologists Inspectors Geologists

More information

CME Group Latin American IRS Clearing

CME Group Latin American IRS Clearing CME Group Latin American IRS Clearing Mexican Peso TIIE Swaps Brazilian Real CDI Swaps The Broadest Global IRS Product Scope with 24 Currencies Mexican Peso Swap Details CME will clear MXN IRS with the

More information

Portfolio Margining Benefits

Portfolio Margining Benefits Portfolio Margining Benefits Unparalleled Capital Efficiencies for Interest Rate Swap Portfolios Portfolio Margining IRS and CME Group Futures Unparalleled Margin Efficiencies for a Capital Constrained

More information

Clearing Overview. Jason Silverstein, Executive Director & Associate General Counsel October 25, CME Group. All rights reserved.

Clearing Overview. Jason Silverstein, Executive Director & Associate General Counsel October 25, CME Group. All rights reserved. Clearing Overview Jason Silverstein, Executive Director & Associate General Counsel October 25, 2016 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures

More information

CME Group Latin American IRS Clearing

CME Group Latin American IRS Clearing CME Group Latin American IRS Clearing Mexican Peso TIIE Swaps Brazilian Real CDI Swaps The Broadest Global IRS Product Scope with 21 Currencies ADV (Pesos Billion) Open Interest (Pesos Billion) Mexican

More information

Cleared OTC Derivatives

Cleared OTC Derivatives Cleared OTC Derivatives Customer Sequestered Regulatory Class August 5, 2010 Agenda Introduction The Regulations and The Rules Operational Impact Financial Reporting Banking Impact Stephen Marx, Goldman

More information

Agricultural Options. June 2018

Agricultural Options. June 2018 Agricultural Options June 2018 CME GROUP INTERNAL Ag Option Product Suite Highlights Grain & Oilseed markets experienced large ranges in implied volatility and skew throughout June Record percent of volume

More information

CME European Trade Repository

CME European Trade Repository CME European Trade Repository CME Global Repository Services Version 4.0 June 2014 Contents CME Global Trade Repository Services Overview Page 3 EMIR Reporting Requirements Page 7 EMIR Collateral & Valuations

More information

Cleared OTC FX Products and Margin

Cleared OTC FX Products and Margin Cleared OTC FX Products and Margin OTC CLEARING THE WAY FORWARD 1 Global FX Clearing Solution The broadest and most capital efficient FX clearing solution to meet your needs Single guaranty fund: a diverse

More information

Agricultural Options. November CME Group. All rights reserved.

Agricultural Options. November CME Group. All rights reserved. Agricultural Options November 2018 Ag Option Product Suite Highlights Livestock spread volume on CME Globex hit an all-time high of 35%, led by verticals, 3-ways and delta-hedged options Weekly options

More information

Agricultural Options. March 2018

Agricultural Options. March 2018 Agricultural Options March 2018 CME GROUP INTERNAL Ag Option Product Suite Highlights Implied volatility showing large ranges during the first quarter KC Wheat CSO s have a record volume month Uptick in

More information

Probability Analytics and Transactions Costs in the Era of Event Risk Blu Putnam, Chief Economist CME Group June 2017

Probability Analytics and Transactions Costs in the Era of Event Risk Blu Putnam, Chief Economist CME Group June 2017 Probability Analytics and Transactions Costs in the Era of Event Risk Blu Putnam, Chief Economist CME Group June 2017 2017 CME Group. All rights reserved. Investment advice is neither given nor intended

More information

Interest Rate Swaps: Risk Model CME Group. All rights reserved.

Interest Rate Swaps: Risk Model CME Group. All rights reserved. Interest Rate Swaps: Risk Model 2017 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a

More information

Short-Term Interest Rate (STIR) Intercommodity Spreads on Globex. Including the Eurodollar Fed Funds Spread, and spreads involving SOFR Futures

Short-Term Interest Rate (STIR) Intercommodity Spreads on Globex. Including the Eurodollar Fed Funds Spread, and spreads involving SOFR Futures Short-Term Interest Rate (STIR) Intercommodity Spreads on Globex Including the Eurodollar Fed Funds Spread, and spreads involving SOFR Futures CME Group Short Term Interest Rate Inter-Commodity Spreads

More information

Agricultural Options. September CME Group. All rights reserved.

Agricultural Options. September CME Group. All rights reserved. Agricultural Options September 2018 Ag Option Product Suite Highlights Wheat complex continues to show strong volume with HRW implied volatility trading 1% higher than SRW. HRW/SRW Wheat call skew showing

More information

Crossing Protocols on CME Globex

Crossing Protocols on CME Globex Crossing Protocols on CME Globex 2016 Introduction of the Committed Cross (C-Cross) for Financial Products (Equity, FX, & Interest Rate) Learn more at www.cmegroup.com/committedcross 2016 CME Group. All

More information

Rule 539.C. Crossing Protocols on CME Globex

Rule 539.C. Crossing Protocols on CME Globex Rule 539.C. Crossing Protocols on CME Globex Introduction of the Committed Cross (C-Cross) for Financial Options (Equity, FX, & Interest Rate) 2016 CME Group. All rights reserved. Crossing Protocols on

More information

Monthly Agricultural Review

Monthly Agricultural Review AGRICULTURE June 214 Monthly Agricultural Review A Global Trading Summary of Grain, Oilseed and Livestock Markets» Highlights» Futures» Options How the world advances Monthly Agricultural Review AGRICULTURAL

More information

CME Direct Auction Platform. Platform Calculation Methodology Version 2.1

CME Direct Auction Platform. Platform Calculation Methodology Version 2.1 CME Direct Auction Platform Platform Calculation Methodology Version 2.1 REVISION HISTORY Date Version Change Summary 29-07-2014 0.1 Document draft created 30-07-2014 0.2 Included legal feedback, and included

More information

OTC CLEARING. Trade Workflow Netting Reports. October 2012

OTC CLEARING. Trade Workflow Netting Reports. October 2012 OTC CLEARING Trade Workflow Netting Reports October 2012 Trade Workflow Netting Reports New Trade: Sunny Day Scenario Client 1 ED 1 Client executes swap with Executing Dealer (ED) 3 5 USI1 USI11 Clearing

More information

Monthly Metals Review

Monthly Metals Review METALS August 213 Monthly Metals Review A Global Trading Summary of Metals Markets» Highlights» Futures» Options How the world advances Monthly Metals Review METALS TRADING HIGHLIGHTS August 213 Records:

More information

Manage global FX risk and capture opportunity. In every corner of the world.

Manage global FX risk and capture opportunity. In every corner of the world. Fx Manage global FX risk and capture opportunity. In every corner of the world. With over $120 billion in daily liquidity, CME Group is the world s largest regulated FX marketplace. We offer transparent

More information

CME Group Interest Rate Options

CME Group Interest Rate Options CME Group Interest Rate Options January 2018 Dave Reif Interest Rate Business Line Management cmegroup.com +1 312 648 3839 Interest Rate Options Overview Strong electronic growth has expanded access and

More information

GREATER SECURITY. MORE CERTAINTY. CME CLEARPORT.

GREATER SECURITY. MORE CERTAINTY. CME CLEARPORT. GREATER SECURITY. MORE CERTAINTY. CME CLEARPORT. FLEXIBLE SOLUTIONS FOR MITIGATING YOUR RISK CME ClearPort is a comprehensive set of flexible clearing services for the global OTC market. Launched in 2002

More information

CME FX Link LIQUIDITY, LINKED QUOTATION AND PRICING GUIDE

CME FX Link LIQUIDITY, LINKED QUOTATION AND PRICING GUIDE CME FX Link LIQUIDITY, LINKED QUOTATION AND PRICING GUIDE CME FX Link: One CME Globex Spread, Connecting OTC FX and FX Futures Markets CME FX Link is a CME Globex basis spread between FX Futures and OTC

More information

ERIS OVERVIEW All Rights Reserved

ERIS OVERVIEW All Rights Reserved ERIS OVERVIEW 01112018 Global Leader in Swap Futures Institutional Partners Exchange operator Eris Exchange Designated Contract Market (DCM) USD Interest Rate Swap Futures Exchange and CCP Partners Unique

More information

Futures Contract Spread Opportunies

Futures Contract Spread Opportunies Futures Contract Spread Opportunies David Gibbs September 2011 Background & fundamentals Spread Trading In futures trading the simultaneous buying and selling of two contracts against each other is known

More information

Introduction to Risk Management CME Group. All rights reserved.

Introduction to Risk Management CME Group. All rights reserved. Introduction to Risk Management What does risk look like? It s different for every industry. It s different for every industry. It s different for every industry. We bring those who want to manage risk

More information

CME Clearing Risk Management and Financial Safeguards Brochure

CME Clearing Risk Management and Financial Safeguards Brochure CME Clearing Risk Management and Financial Safeguards Brochure CME Clearing Risk Management and Financial Safeguards CME Clearing Overview CME Clearing serves as the counterparty to every cleared transaction,

More information

Creating Forward-Starting Swaps with DSFs

Creating Forward-Starting Swaps with DSFs INTEREST RATES Creating -Starting Swaps with s JULY 23, 2013 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com CME Group introduced its Deliverable Swap

More information

MGEX CBOT Wheat Spread Options. Product Overview

MGEX CBOT Wheat Spread Options. Product Overview MGEX CBOT Wheat Spread Options Product Overview May 7, 2012 MGEX-CBOT Wheat Spread Options Overview - MGEX: Hard Red Spring Wheat futures listed on the Minneapolis Grain Exchange, Inc. - CBOT: Soft Red

More information

CME Direct 13.3 Release Notes. 24 Sept 2018

CME Direct 13.3 Release Notes. 24 Sept 2018 13.3 Release Notes 24 Sept 2018 Disclaimer Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors

More information

THIRD QUARTER 2010 QUARTERLY FX UPDATE. A Global Trading Summary of FX Futures and Options. Highlights Futures Options

THIRD QUARTER 2010 QUARTERLY FX UPDATE. A Global Trading Summary of FX Futures and Options. Highlights Futures Options THIRD QUARTER 2010 QUARTERLY FX UPDATE A Global Trading Summary of FX Futures and Options Highlights Futures Options As the world s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com)

More information

Monthly Metals Review

Monthly Metals Review Monthly Metals Review Monthly Metals Review METALS TRADING HIGHLIGHTS October 216 Highlights: Average daily volume for October 216 COMEX metal (Gold, Silver and Copper) futures was 316,25 contracts, compared

More information

Monthly Metals Review

Monthly Metals Review Monthly Metals Review Monthly Metals Review METALS TRADING HIGHLIGHTS November 216 Highlights: Average daily volume for November 216 COMEX metal (Gold, Silver and Copper) futures was 612,111 contracts,

More information

Monthly Metals Review

Monthly Metals Review Monthly Metals Review Monthly Metals Review METALS TRADING HIGHLIGHTS February 217 Highlights: Average daily volume for February 217 COMEX metal (Gold, Silver and Copper) futures was 449,987 contracts,

More information

CME Group Market Regulation. Update on Revisions to Rule 538 and Associated Regulatory Guidance

CME Group Market Regulation. Update on Revisions to Rule 538 and Associated Regulatory Guidance CME Group Market Regulation Update on Revisions to Rule 538 and Associated Regulatory Guidance October 13, 2016 Agenda 1 Introduction 2 What is an EFRP? 3 Description of Recent Changes and Review of Unchanged

More information

Trade Entry - Trade Management - Trade Exit The Best Things Come in Threes

Trade Entry - Trade Management - Trade Exit The Best Things Come in Threes Trade Entry - Trade Management - Trade Exit The Best Things Come in Threes Timothy Morge, CTA and President Blackthorne Capital, Inc. Sovereign Wealth Managers Internet Presentation Sponsored by Interactive

More information

Relationship-Based Trading in CME Group Agricultural Markets

Relationship-Based Trading in CME Group Agricultural Markets Relationship-Based Trading in CME Group Agricultural Markets November 15th, 2017 Bob Sniegowski Executive Director, Market Regulation Steve Stasys Director, Agricultural Options Agenda Introduction Block

More information

Volatility Jam Session

Volatility Jam Session Volatility Jam Session Aligning Options Strategies with Volatility Dave Lerman Sr. Director, Marketing/Education CME Group David.lerman@cmegroup.com 312-648-3721 Disclaimer Futures trading is not suitable

More information

Finding Opportunities in a New Interest Rate Environment

Finding Opportunities in a New Interest Rate Environment INTEREST RATES Finding Opportunities in a New Interest Rate Environment The Interest Rate market is experiencing significant volatility in 2015, as market participants are anticipating when the FOMC will

More information

Fee Summary Guide. Proprietary Trading Firms

Fee Summary Guide. Proprietary Trading Firms Fee Summary Guide Proprietary Trading Firms Fees effective as of February 1, 2018 Fee Summary Guide As the world s leading and most diverse derivatives marketplace, CME Group is where the world comes to

More information

- Regulatory Updates. CME Group Customer Forum. Spring Singapore April 12 Hong Kong April 14 London April 28 U.S.

- Regulatory Updates. CME Group Customer Forum. Spring Singapore April 12 Hong Kong April 14 London April 28 U.S. CME Group Customer Forum - Regulatory Updates Spring 2016 Singapore April 12 Hong Kong April 14 London April 28 U.S. Webinar May 5 Disclaimer Futures and swaps trading is not suitable for all investors,

More information

US Treasury Classic Bond Futures Describing the Gap in the Delivery Basket & Presenting Potential Options to Address.

US Treasury Classic Bond Futures Describing the Gap in the Delivery Basket & Presenting Potential Options to Address. US Treasury Classic Bond Futures Describing the Gap in the Delivery Basket & Presenting Potential Options to Address November 2013 Agenda US Treasury Bond Futures Gap in Delivery Basket Potential Options

More information

2018 Investment Symposium

2018 Investment Symposium 2018 Investment Symposium Session 2A: Understanding U.S. Treasury Futures and Their Use as a Risk Management Tool Moderator: Warren Manners, FSA, MAAA Presenters: David Gibbs Agha Mizra SOA Antitrust Disclaimer

More information

CME Group Equity Quarterly Roll Analyzer

CME Group Equity Quarterly Roll Analyzer CME Group Equity Quarterly Roll Analyzer Guide to getting started August 2017 Powered by QuikStrike Each quarter during the roll period, CME Group s Equity Quarterly Roll Analyzer is populated with the

More information

2015 CME Group. All rights reserved.

2015 CME Group. All rights reserved. Ultra 10-Year US Treasury & Options Launching January 11, 2016 Based on Strong Client Demand Capital constraints have reduced liquidity in the cash market, driving strong client demand for and Options

More information

2017 CME Group. All rights reserved.

2017 CME Group. All rights reserved. Most Successful Product Launch in CME Group History Fulfilled by physical delivery of original-issue 10-year Treasury notes with terms to maturity between 9-Yrs 5 Mos and 10-Yrs (on-the run, old, and double

More information

Do you have what it takes to trade CME Group Product from Mexico? South to North Connectivity

Do you have what it takes to trade CME Group Product from Mexico? South to North Connectivity Do you have what it takes to trade CME Group Product from Mexico? South to North Connectivity December 9, 2013 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss.

More information

Third Quarter Quarterly FX Review. A Global Trading Summary of FX Futures and Options Highlights Futures Options. How the world advances

Third Quarter Quarterly FX Review. A Global Trading Summary of FX Futures and Options Highlights Futures Options. How the world advances FX Third Quarter 212 Quarterly FX Review A Global Trading Summary of FX Futures and Options»» Highlights»» Futures»» Options How the world advances As the world s leading and most diverse derivatives marketplace,

More information

AGRICULTURAL PRODUCTS. Soybean Crush Reference Guide

AGRICULTURAL PRODUCTS. Soybean Crush Reference Guide AGRICULTURAL PRODUCTS Soybean Crush Reference Guide As the world s largest and most diverse derivatives marketplace, CME Group (cmegroup.com) is where the world comes to manage risk. CME Group exchanges

More information

Monthly Metals Review

Monthly Metals Review Monthly Metals Review Monthly Metals Review METALS TRADING HIGHLIGHTS September 216 Highlights: Average daily volume for September 216 COMEX metal (Gold, Silver and Copper) futures was 314,63 contracts,

More information

2017 CME Group. All rights reserved.

2017 CME Group. All rights reserved. Most Successful Product Launch in CME Group History Fulfilled by physical delivery of original-issue 10-year Treasury notes with terms to maturity between 9-Yrs 5Mos and 10-Yrs (on-the run, old, and double

More information

Open Your Mind & Sharpen Your Market Techniques

Open Your Mind & Sharpen Your Market Techniques Open Your Mind & Sharpen Your Market Techniques Timothy Morge, CTA and President Blackthorne Capital, Inc. Internet Presentation Sponsored by Interactive Brokers May 8, 2014 www.marketgeometry.com www.medianline.com

More information

CME Bitcoin Futures The Basics

CME Bitcoin Futures The Basics CME Bitcoin Futures The Basics January 2018 Dave Lerman Senior Director, Education CME Group David.lerman@cmegroup.com Disclaimer Neither futures trading nor swaps trading are suitable for all investors,

More information

Cleared OTC Credit Default Swaps

Cleared OTC Credit Default Swaps Cleared OTC Credit Default Swaps Extending Security to OTC Markets Through Open Clearing Security. Neutrality. Transparency. October 2009 0 Contents Current Status Cleared OTC CDS: Buy-side Solution Overview

More information

CHAT User Manual. July 21, 2017

CHAT User Manual. July 21, 2017 User Manual July 21, 2017 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s

More information

CME Group and the Benefits of the Tighter WTI Specifications

CME Group and the Benefits of the Tighter WTI Specifications CME Group and the Benefits of the Tighter WTI Specifications Daniel Brusstar Denver, May 23, 2018 COQA CCQTA Joint Meeting Agenda Update on the Phase-in of the additional WTI tests The benefits of adopting

More information

First Quarter Quarterly FX Update. A Global Trading Summary of FX Futures and Options Highlights Futures Options. How the world advances

First Quarter Quarterly FX Update. A Global Trading Summary of FX Futures and Options Highlights Futures Options. How the world advances FX First Quarter 2011 Quarterly FX Update A Global Trading Summary of FX Futures and Options»» Highlights»» Futures»» Options How the world advances As the world s leading and most diverse derivatives

More information

Lori Aldinger. Managing Director. Manager

Lori Aldinger. Managing Director. Manager STOCK INDEXES Unde ersta andin ng Equity EFRP Ps SEPTEMBER 3, 2013 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com Lori Aldinger Manager Research & Product

More information

Monthly Metals Review

Monthly Metals Review METALS January 216 Monthly Metals Review A Global Trading Summary of Metals Markets Highlights Futures Options How the world advances Monthly Metals Review METALS TRADING HIGHLIGHTS January 216 Highlights:

More information

Monthly Energy Review

Monthly Energy Review ENERGY May 216 Monthly Energy Review A Global Trading Summary of Energy Markets Highlights Futures Options How the world advances Monthly Energy Review ENERGY TRADING HIGHLIGHTS May 216 Average daily volume

More information

Monthly Metals Review

Monthly Metals Review METALS May 216 Monthly Metals Review A Global Trading Summary of Metals Markets Highlights Futures Options How the world advances Monthly Metals Review METALS TRADING HIGHLIGHTS May 216 Highlights: Average

More information

Monthly Energy Review

Monthly Energy Review ENERGY February 216 Monthly Energy Review A Global Trading Summary of Energy Markets Highlights Futures Options How the world advances Monthly Energy Review ENERGY TRADING HIGHLIGHTS February 216 Average

More information

Hedging Tools for the Ferrous Metals Marketplace. Young-Jin (Jin) Chang Director Research & Product Development March 11, 2013

Hedging Tools for the Ferrous Metals Marketplace. Young-Jin (Jin) Chang Director Research & Product Development March 11, 2013 Hedging Tools for the Ferrous Metals Marketplace Young-Jin (Jin) Chang Director Research & Product Development March 11, 2013 CME Group: The Leader in a Dynamic Industry A diverse and world leading derivatives

More information

Gold Futures vs. Gold ETF s

Gold Futures vs. Gold ETF s PRECIOUS METALS Gold Futures vs. Gold ETF s UNDERSTANDING THE DIFFERENCES AND OPPORTUNITIES There are significant differences in the liquidity, leverage and costs of futures and ETFs that need to be understood

More information

U.S. Treasury Futures 1.0

U.S. Treasury Futures 1.0 U.S. Treasury Futures 1.0 Foundational Concepts January 2018 2018 CME Group. All rights reserved. Agenda 1 Delivery Process 2 Treasury Basis 3 Cheapest-to-deliver (CTD) 4 Measuring risk, BPV, Hedge Ratio

More information

Command the Curve: Treasury Futures and Options for the Active Trader June 26, 2018

Command the Curve: Treasury Futures and Options for the Active Trader June 26, 2018 Command the Curve: Treasury Futures and Options for the Active Trader June 26, 2018 David Lerman Sr. Director, Education CME Group david.lerman@cmegroup.com Market Development Historical developments Birth

More information

Ukrainian Grain Congress Black Sea Wheat Futures

Ukrainian Grain Congress Black Sea Wheat Futures Ukrainian Grain Congress 2011 Black Sea Wheat Futures Kiev - October 10, 2011 Jeffry Kuijpers DISCLAIMER Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a

More information

UNPARALLELED OPPORTUNITIES. Two of the world s most dynamic, growing liquidity pools... now available on your existing data connection.

UNPARALLELED OPPORTUNITIES. Two of the world s most dynamic, growing liquidity pools... now available on your existing data connection. UNPARALLELED OPPORTUNITIES Two of the world s most dynamic, growing liquidity pools... now available on your existing data connection. CME Group and BM&F BOVESPA Removing the barriers to global market

More information

Trade Repository Regulation and Framework

Trade Repository Regulation and Framework Trade Repository Regulation and Framework Introduction As current regulatory discussions focus on central clearing and trade repositories, this white paper will focus on the possible approach and set up

More information

Monthly Metals Review JULY 2016

Monthly Metals Review JULY 2016 Monthly Metals Review JULY 216 Monthly Metals Review METALS TRADING HIGHLIGHTS July 216 Highlights: Average daily volume for July 216 COMEX metal (Gold, Silver and Copper) futures was 438,37 contracts,

More information

Monthly Metals Review JUNE 2016

Monthly Metals Review JUNE 2016 Monthly Metals Review JUNE 216 Monthly Metals Review METALS TRADING HIGHLIGHTS June 216 Highlights: Average daily volume for June 216 COMEX metal (Gold, Silver and Copper) futures was 45,152 contracts,

More information

November 4, 2011 Page 1 of 8

November 4, 2011 Page 1 of 8 November 4, 2011 Page 1 of 8 Introduction The Capital Asset Pricing Model (CAPM) determines the theoretical rate of return an investor expects to obtain from investing in a financial asset. The model postulates

More information

Steel Scrap Hedging. Young-Jin (Jin) Chang Director Research & Product Development November 12-13, 2012

Steel Scrap Hedging. Young-Jin (Jin) Chang Director Research & Product Development November 12-13, 2012 Steel Scrap Hedging Young-Jin (Jin) Chang Director Research & Product Development November 12-13, 2012 Today s Agenda - Why Hedge Your Price Exposure? - Who Needs to Manage Price Risk? - Contract Specs

More information

Cleared OTC Credit Default Swaps

Cleared OTC Credit Default Swaps Cleared OTC Credit Default Swaps Security. Neutrality. Transparency. September 2013 CME Group OTC Clearing CME Group is the industry leader in OTC Clearing, delivering a broad offering spanning Interest

More information

U.S. Treasury Futures 1.0. Agenda. June Foundational Concepts. 5 Review and Q&A. 4 Measuring risk, BPV, Hedge Ratio (HR)

U.S. Treasury Futures 1.0. Agenda. June Foundational Concepts. 5 Review and Q&A. 4 Measuring risk, BPV, Hedge Ratio (HR) U.S. Treasury Futures 1.0 Foundational Concepts June 2017 2017 CME Group. All rights reserved. Agenda 1 Delivery Process 2 Treasury Basis 3 Cheapest-to-deliver (CTD) 4 Measuring risk, BPV, Hedge Ratio

More information

10Y Eris Primary Standard Swap Futures: Contract Specifications

10Y Eris Primary Standard Swap Futures: Contract Specifications 10Y Eris Primary Standard Swap Futures: Contract Specifications Trading Hours Contract Structure Underlying Swap Tenor Contract Short Name Fixed Rate Contract Size Trading Conventions Swap Futures Leg

More information

Equities Market Overview

Equities Market Overview Equities Market Overview Equity F&O Volume: Last 5 Trade Days Equity F&O Open Interest: Last 5 Trade Days Trade Date F&O Volume 09/25/2018 1,972,292 09/24/2018 2,327,554 09/21/2018 3,011,268 09/20/2018

More information

Deliverable Interest Rate Swap Futures

Deliverable Interest Rate Swap Futures Deliverable Interest Rate Swap Futures Interest rate swap exposure with the added capital and operational benefits of a standardized futures contract. September 2013 Deliverable Swap Futures Liquid means

More information

Equities Market Overview

Equities Market Overview Equities Market Overview Equity F&O Volume: Last 5 Trade Days Equity F&O Open Interest: Last 5 Trade Days Trade Date F&O Volume 06/29/2018 3,139,989 06/28/2018 3,279,544 06/27/2018 4,020,200 06/26/2018

More information

Monthly Energy Review

Monthly Energy Review Monthly Energy Review Monthly Energy Review ENERGY TRADING HIGHLIGHTS September 216 Average daily volume for September 216 Light Sweet Crude Oil futures was 1,158,68 contracts, compared with 79,692 during

More information

FOURTH QUARTER QUARTERly FX. A Global Trading Summary of FX Futures and Options. Highlights Futures Options

FOURTH QUARTER QUARTERly FX. A Global Trading Summary of FX Futures and Options. Highlights Futures Options FOURTH QUARTER 2010 QUARTERly FX Update A Global Trading Summary of FX Futures and Options Highlights Futures Options As the world s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com)

More information

Is it time for a boneless beef trimmings derivative contract? David Farley 1 st March 2012

Is it time for a boneless beef trimmings derivative contract? David Farley 1 st March 2012 Is it time for a boneless beef trimmings derivative contract? David Farley 1 st March 2012 Why does AAco care? 680,000 head of cattle Substantial price risk over which AAco has limited ability to take

More information

10T and U10T Eris Standard Invoice Swap Futures: Contract Specifications

10T and U10T Eris Standard Invoice Swap Futures: Contract Specifications 10T and U10T Eris Standard Invoice Swap Futures: Contract Specifications Trading Hours Contract Description Contract Structure Contract Short Name Regular Trading Hours (RTH): Monday Friday; 7:00 am to

More information

Live Cattle Delivery Manual Relating to Chapter 101

Live Cattle Delivery Manual Relating to Chapter 101 AGRICULTURE Live Cattle Delivery Manual Relating to Chapter 101 Table of Contents I. Submission Requirements...1 II. Live Delivery Requirements...2 A. Duties of the short...2 B. Duties of the long...3

More information

Capitalize on the CME Group/MexDer Partnership. Trade MexDer Equity Index (IPC) Futures

Capitalize on the CME Group/MexDer Partnership. Trade MexDer Equity Index (IPC) Futures Capitalize on the CME Group/MexDer Partnership Trade MexDer Equity Index (IPC) Futures Trade MexDer Equity Index (IPC) Futures Open a New Door to Opportunity with MexDer Equity Index (IPC) Futures The

More information

Monthly Energy Review

Monthly Energy Review Monthly Energy Review Monthly Energy Review ENERGY TRADING HIGHLIGHTS October 216 Average daily volume for October 216 Light Sweet Crude Oil futures was 1,96,161 contracts, compared with 794,78 during

More information

Implied Price Functionality Overview

Implied Price Functionality Overview Implied Price Functionality Overview Implied Orders First Generation An implied order is an order created from individual outright orders available in the market place. Implied IN/OUT spreading occurs

More information

Eris Interest Rate Swap Futures: 10Y Standard Contract Specifications

Eris Interest Rate Swap Futures: 10Y Standard Contract Specifications Eris Interest Rate Swap Futures: 10Y Standard Contract Specifications Trading Hours Contract Structure Underlying Swap Tenor Contract Short Name Regular Trading Hours (RTH): Monday Friday; 7:00 am to 5:00

More information