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) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets. FX PRODUCTS DESIGNED FOR THE RAPID PACE OF A GLOBAL MARKETPLACE. With $4.0 trillion traded daily, FX markets represent the largest asset class in the world. CME Group offers the world s largest regulated FX marketplace and one of the top two FX platforms with over $110 billion in daily liquidity. We offer transparent pricing in a regulated centralized marketplace that provides all participants equal access to 49 futures contracts and 31 options contracts based on 20 major world and emerging market currencies. Trading FX at CME Group gives you effective and efficient investment and risk management opportunities and unprecedented access to a global array of market participants including banks, hedge funds, proprietary trading firms and individual traders. Additionally, we will offer comprehensive and flexible clearing services for OTC FX trades through CME ClearPort an open-access, platform agnostic, post-execution clearing solution.
FX Quarterly Update HIGHLIGHTS September 2010 Overall Third Quarter Highlights CME Group FX volume averaged 866,000 contracts per day in Q3 2010, up 31 percent compared with the same period a year ago, reflecting average daily notional value of $110 billion. Of this FX Options accounted for 42,000 ADV, a 182 percent growth over Q3 2009. July Highlights CME Group foreign exchange (FX) volume averaged 833,000 contracts per day in July 2010, up 36 percent compared with the same period a year ago, reflecting average daily notional value of $104 billion. August Highlights CME Group foreign exchange (FX) volume averaged 818,000 contracts per day in August 2010, up 33 percent compared with the same period a year ago, reflecting average daily notional value of $104 billion. September Highlights CME Group foreign exchange (FX) volume averaged 951,000 contracts per day in September 2010, up 26 percent compared with the same period a year ago, reflecting average daily notional value of $123 billion. Third Quarter Announcements CME FX Significantly Outperforms BIS Global FX Growth Rates The Bank of International Settlements (BIS) recently released their triennial survey, which provides the most comprehensive information on the size of global FX markets. The results showed a 20 percent growth rate for the global FX market over a three-year period (April 2007-April 2010). During that same time-period, CME FX volumes grew 94 percent. Dow Jones CME FX$INDEX Futures Now Trading CME Group and Dow Jones Indexes recently launched a new Dow Jones CME FX$INDEX which serves as the basis of a futures contract. This futures contract offers targeted risk management against a basket of major world currencies, all in a single contract. The contract is based on a new, inversely quoted, currency-weighted index and is designed for efficient hedging against a basket of the most frequently traded CME FX futures. Specifically, 10 Dow Jones CME FX$INDEX futures reflect a basket of the following numbers of contracts: 4 Euro FX 2 Japanese yen 2 British pound 1 Swiss franc 1 Canadian dollar 1 Australian dollar The Dow Jones CME FX$INDEX is calculated as the basket value divided by $10,000. The numbers of contracts comprising the currency weights are fixed - they do not change. To learn more about the Dow Jones CME FX$INDEX Futures, visit www.cmegroup.com/fxindex. 3
www.cmegroup.com/fx E-micro Forex Futures. Now Physically Delivered. 1/10 the Standard Contract Size.* Six Currency Pairs. Quoted in Interbank Terms. E-micro Forex futures contracts have migrated from being cash settled to physically delivered, starting with the December (Z) 2010 contract. The change in settlement to physical delivery will enable active traders to carry larger positions in the E- micros and easily offset them with our standard size FX contracts - potentially generating more liquidity and tighter spreads in the E-micro Forex futures contracts. CME offers E-micro Forex futures in six currency pairs: EUR/USD, USD/JPY, GBP/USD, USD/CAD, AUD/USD, USD/CHF. These smaller sized contracts are a cost-effective way to access the security, transparency and liquidity of CME's FX Products. For additional information on E-micro Forex futures, visit www.cmegroup.com/forexmicros * Roughly 1/10th the standard contract size, with a notional value ranges of $6,000 to $16,000. Clearing of Block and EFP Transactions for FX Products Now Available on CME ClearPort CME Group has expanded its CME ClearPort service to offer clearing of CME ex-pit transactions for our FX products. This includes Block and Exchange for Physical (EFP) trades, offering market participants enhanced efficiency by adding a new way in which to report and clear these important transactions. Current Block trade and EFP submission methodologies still apply (such as reporting time requirements and minimum thresholds). FX Quarterly Roll Analyzer Customizable Calculations. Enhanced Efficiency for Your Quarterly Futures Roll Strategy. CME Group introduced a new resource to help you more efficiently navigate the FX futures roll. The new FX Quarterly Roll Analyzer page provides enhanced functionality and tools to analyze and adjust your quarterly futures roll strategies for optimal efficiency: Monitor the pace at which open interest is migrating to the back month View the "richness" or "cheapness" of calendar spread trades View intraday pricing charts on key contracts View the tools available at www.cmegroup.com/fxrollpace. 4
FX Quarterly Update Third Quarter 2010 Futures Options 5
www.cmegroup.com/fx September 2010 Futures Options 6
FX Quarterly Update Grand Total Futures & Options Q3 2010 September 2010 7
www.cmegroup.com/fx 8
FX Quarterly Update 9
www.cmegroup.com/fx 10
FX Quarterly Update 11
www.cmegroup.com/fx 12
FX Quarterly Update Average Hourly Trading Ranges for Third Quarter 2010 13
www.cmegroup.com/fx Average Hourly Trading Ranges for Third Quarter 2010 14
FX Quarterly Update Average Hourly Trading Ranges for Third Quarter 2010 15
www.cmegroup.com/fx 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 value is required to trade, it is possible to lose more than the amount of money deposited for a futures 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. All references to options refer to options on futures. The Globe logo, CME and CME Group are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of The Board of Trade of the City of Chicago, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or 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 and CME Group rules. Current rules should be consulted in all cases concerning contract specifications. 16
IF YOU RE LOOKING FOR AN EDGE IN FX, LOOK NO FURTHER THAN CME GROUP FX PRODUCTS. To get started trading CME Group FX Products, or for more information, call a member of our FX product team or visit www.cmegroup.com/fx. CME GROUP GLOBAL FX TEAM Managing Director of FX and Interest Rate Products Derek Sammann derek.sammann@cmegroup.com +1 312 466 7454 CHICAGO Scott Brusso scott.brusso@cmegroup.com +1 312 930 3133 Craig LeVeille craig.leveille@cmegroup.com +1 312 454 5301 Dave Schulz david.schulz@cmegroup.com +1 312 930 3426 LONDON Will Patrick will.patrick@cmegroup.com + 44 20 7796 7122 SINGAPORE KC Lam kc.lam@cmegroup.com + 65 6593 5561
CME GROUP HEADQUARTERS CME GROUP REGIONAL OFFICES 20 South Wacker Drive Chicago, Illinois 60606 cmegroup.com info@cmegroup.com 800 331 3332 312 930 1000 New York 212 299 2000 Calgary 403 444 6876 London +44 20 7796 7100 Houston 713 658 9292 Singapore +65 6593 5555 São Paulo +55 11 2565 5999 Tokyo +81 3 5403 4828 Washington D.C. 202 638 3838 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 value is required to trade, it is possible to lose more than the amount of money deposited for a futures 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. All references to options refer to options on futures. CME Group is a trademark of CME Group, Inc. The Globe Logo, CME, Chicago Mercantile Exchange, and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. New York Mercantile Exchange and NYMEX are registered trademarks of the New York Mercantile Exchange, Inc. All other trademarks are the properties of their respective owners. The information within this brochure has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or 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, and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2010 CME Group. All rights reserved. FX266.3/0/1010