1. Art and Diseño

Cleared OTC Financial Products
Security. Neutrality. Transparency.
February 2015
© 2015 CME Group. All rights reserved.
Contents
• CME Group Overview
• Global OTC Solution
• SEF Workflows and CME Group Solutions
• Portfolio Maintenance
• CME Clearing Europe (CMECE) Overview
• Additional Information
© 2015 CME Group. All rights reserved.
CME Group: Who We Are
CME Group is the world’s leading and most diverse derivatives exchange. It’s where
companies, institutions and individuals from around the globe come to manage their
business risks, hedge against fluctuations and protect themselves against price
volatility.
Our Global Reach
ACCESS IN
150
CONNECTIONS THROUGH
Countries
11
Global
Hubs
RELATIONSHIPS WITH
12
Partner
Exchanges
© 2015 CME Group. All rights reserved.
3
Global Clearing House
Global recognition and a Qualified CCP
CME Clearing is in discussions with many regulators throughout the world regarding licensing and recognition
framework.
Regulatory Recognition for CME Group’s Global Clearing Solution
• In August 2013, global regulators including the CFTC and ESMA released cross border guidance and
set the path for mutual recognition of clearing and reporting regulations
• CME Clearing has been operating as a Recognized Overseas Clearing House (ROCH) by the UK
Financial Services Authority (FSA) since June 2007
• CME Clearing Europe is an authorised central counterparty under EMIR, supervised and regulated by
the Bank of England. It is also a QCCP for regulatory capital purposes
Qualifying CCP
• CME Clearing meets the criteria established for a Qualifying CCP (QCCP) in the U.S.
• We are currently working on licensing efforts with various global regulators
• The guidance from Basel Committee on Banking Supervision, along with necessary regulatory
authorizations, will allow global customers to treat CME as a QCCP, which in turn offers preferential
capital treatment of such exposures
© 2015 CME Group. All rights reserved.
4
CME Group’s Global Clearing and Service Capabilities
Choice based on customer demand
Agency/FCM Model
Principal Model
US Law / DFA Compliant Structure
English Law / EMIR Compliant Structure
Execution
ETD: CME MARKETS
(CME, CBOT, NYMEX)
ETD: CME Europe
Clearing
OTC: Commodities, IRS, CDS, FX
OTC*: Commodities, IRS, FX
CME CLEARING US
CME CLEARING Europe
Clearing Member
CLEARING MEMBER (FCM)
CLEARING MEMBER (Broker/Bank)
Client
US or Non-US CLIENT
European or Non-US CLIENT
* OTC Commodities and IRS are currently live. OTC FX are planned for roll out during 2015
© 2015 CME Group. All rights reserved.
5
Global OTC Solution
© 2015 CME Group. All rights reserved.
Why Customers are Choosing CME Group
Offering a superior solution to meet clients’ needs
Customer Focus
•
Global multi-asset class solution for IRS, CDS, FX, and Commodities
•
Transparency through reporting directly to customers
•
Follow-the-Sun Global Client Service Support
Margin Efficiencies
•
Customer margin is based on 5-day historical VAR methodology*
•
Capital efficiency of portfolio margining of IRS vs. Eurodollar & Treasury Futures*
Operational Flexibility
•
Ability to real-time clear trades in all time zones
•
Only clearing house to provide clients the flexibility of minimizing trade errors through the most cost-efficient solution
•
No requirement of pre-funding to clear trades in normal course of business
•
Automated position transfers
•
Compression via Coupon blending- Patent-pending innovative solution that reduces gross notional outstanding and line
items
Customer Protections
•
Offering clients the option of LSOC, LSOC with Excess, and Combined Cash Flow under LSOC with Excess within
CME Inc
•
Offering clients the option of Omnibus, Individually Segregated Account and Fully Segregated Account structures within
CME CE
* CME Inc
© 2015 CME Group. All rights reserved.
7
2014 - A Year in Review
Delivering Innovations to the market – with over 480 global market participants
having cleared at CME
IRS Volume & Open Interest
• 2014 ADV of $144 billion –2.4 times the ADV of 2013
• USD ADV market share increased to 55% in Q4 – up from 32% in 2013
• Record 64% market share for OTC IRS Open Interest - up from 53% at the end of last year
• 27 market participants have cleared MXN IRS at CME, capitalizing on the broadest OTC
product scope with 18 currencies available – MXN IRS ADV hit record 21.9 billion pesos
($1.5B USDE) in December
Capital & Operational Efficient Solutions
• Portfolio Margining benefits surge with total savings of over $3.9 billion in risk reductions – up
from $1 billion at the end of 2013
- 36 unique firms are now utilizing this solution, more than double the number of firms at
the end of 2013
- Added two additional FCMs in 2014 - 9 Clearing Members are now live with this solution
• Successfully blended over 28,000 trades and reduced cleared notional outstanding by $1.4
trillion through Compression via Coupon Blending
• Transitioned clients through the SEF mandate – delivering a bunched order solution and
clearing the industry’s first package trade
© 2015 CME Group. All rights reserved.
8
A Look Ahead at 2015
New Products & Services Coming Soon
 USD Data Refresh: As of January 12th, historical data for USD IRS has been refreshed to
align historical data snap times between IRS and futures at 3pm EST
 New Coupon Blending Methodology: eliminating “non-standard” remnant trade creation
 iTraxx and CDS Margin Model: Live as of February 2nd
 USD Swaptions Launch
 BRL: Expanding the broadest OTC IRS product scope, bringing the total to 19 currencies
 Dealer Initiatives
 Multi-Lateral Compression
© 2015 CME Group. All rights reserved.
9
Platforms Connected to CME Clearing
Several market leading affirmation platforms and Swap Execution Facilities
are directly connected to CME Clearing
OTC Clearing Members
CME Clearing
Connectivity Partners
© 2015 CME Group. All rights reserved.
10
Cleared OTC IRS Product Scope
Existing Products
Fixed/Float*
Tenor
Index
Zero Coupon Swaps
Currency
Years
Months
USD I EUR I GBP
11
15
31
51
50 years
1
3
6
USD



LIBOR
Overnight Index Swap (OIS)
EUR



EURIBOR
USD I EUR I GBP I JPY
GBP



LIBOR

CAD
JPY


CHF
AUD

SEK

CDOR
Basis Swaps

LIBOR
USD I EUR I GBP I JPY
51 years

LIBOR
AUD I JPY
31 years

BBR
Fed Funds vs. Libor (USD)
30 years
STIBOR
DKK

CIBOR
Forward Rate Agreements (FRA)
NOK

NIBOR
USD I EUR I GBP I JPY I AUD I CAD
TIIE-BANXICO
CHF I CZK I DKK I HUF I JPY I NOK
NZD I PLN I SEK I SGD I ZAR
MXN
28d
NZD

BBR
HKD

HIBOR
SGD

SOR-VWAP
HUF

BUBOR
ADDITIONAL EXPANSIONS
CZK

PRIBOR
Swaptions
PLN

WIBOR
BRL
ZAR

30 years
3 Days – 3 Years
JIBAR
© 2015 CME Group. All rights reserved.
11
Cleared OTC CDS Product Scope
Indexes
Status
Y
Live
CDX NA HY
Y
Live
iTraxx Main
Y
Live
iTraxx
Crossover
Y
Live
Corporate Bond Indexes
North America CDX NA IG
Europe
Tenors
Mandated
for
Clearing
3Y
5Y
7Y
10Y
■
■
■
■
Series
■
■
■
8+
12+
■
■
■
17+
17+
© 2015 CME Group. All rights reserved.
12
Cleared OTC FX Product Scope
12 OTC FX Non-Deliverable Forwards
Brazilian
Real
Philippine
Peso
Malaysian
Ringgit
Indian Rupee
Korean Won
Chinese
Renminbi Yuan
Indonesian
Rupiah
Taiwan Dollar
Chilean Peso
Colombian
Peso
Peruvian Sol
Russian Ruble
26 OTC FX Cash-Settled Forwards
• USD, T+2 Settlement currencies: EUR/USD, AUD/USD, GBP/USD, USD/CHF, USD/SEK,
USD/DKK, NZD/USD, USD/NOK, USD/HKD, USD/HUF, USD/ILS, USD/MXN, USD/SGD,
USD/PLN, USD/ZAR, USD/CZK, USD/THB
• USD, T+1 Settlement currencies: USD/TRY
• Non USD, T+1 settlement currencies: USD/CAD
• Non USD, T+2 settlement currencies: USD/JPY, AUD/JPY, EUR/JPY, CAD/JPY, EUR/AUD,
EUR/CHF, EUR/GBP
*All settlements in USD
© 2015 CME Group. All rights reserved.
13
Deliverable Swap Futures
Liquid & Efficient means of managing MAC swap exposure through Central Limit Order Book
• With pre-defined standard terms, CME Deliverable Swap Futures are available in both
USD and Euro
- U.S. Dollar-denominated quarterly contracts expire on IMM dates for key benchmark maturities: 2,
5, 10, and 30 years with Euro-denominated available in 2, 5, and 10 year maturities
- At expiration, all open positions deliver into CME Group Cleared Interest Rate Swaps
DSF Activity
Highlights
•
Open interest peaked at 156,500 contracts, representing $15.6
billion notional value
• Currently, Open Interest is over 93,000 contracts
•
Record ADV in September of over 14,000 contracts
•
Open interest holders in both the 5-year and 10-year contracts
shows breadth of end-user participation – hovering between 47-50 for
both tenors
•
Positions are held by all major client segments, including asset
managers, leveraged money, and dealers
•
Clients frequently make use of the delivery mechanism for the contract,
ensuring alignment with the underlying. Approximately 25% of open
positions are taken into delivery each quarter, with ~40% taken into
delivery this past roll
© 2015 CME Group. All rights reserved.
14
Reporting Capabilities
CME Group provides direct access to daily reports through a secure FTP site, which enables customers to fully
integrate key OTC data into their internal systems.
Position Reporting via the Trade Register
• End of day mark to market values for all IRS positions across all clearing members, including existing trades
and any new trades cleared that day
• Available at 4:45pm EST, so customers and their approved administrators/custodians can complete their daily
NAV reports
IRS Curve Data
• CME offers full transparency into IRS valuation, including a detailed white paper on curve construction,
enabling customers to replicate our IRS valuation curve and calculate the value of their IRS positions
• The secure FTP site provides daily IRS curve data across all currencies, including curve inputs that are used
to construct both the forecasting and discounting curves, and the curve outputs like daily forward rates and
discount factors
Client-Level Margin Files
• Gives clients access to the exact margin requirements given to the FCMs for their accounts
To set up a secure FTP site for your firm, please contact: CME Onboarding Group at [email protected] or (312) 338-7112
© 2015 CME Group. All rights reserved.
15
Margin Analytics
Additional Features
• CORE: Clearing Online Risk Engine
• Ideal business user solution for Portfolio Margin Savings analysis
• Allows firms to calculate their margin for their portfolios
CME
CORE
• Can upload exact portfolio via a portfolio upload or enter trades manually
• Once run, CME CORE calculates the portfolio margin savings between OTC IRS and Interest
Rate Futures
• Reports breakdown position transfers in PDF and CSV file format
CME
Optimizer
• High-performing software for back office operations to facilitate straight-through-processing
(STP) of portfolio margin program integration with CME
• Targeted for CME Clearing members but supports buy-side analytics to onboard for portfolio
margining
• Calculates Portfolio margin savings between OTC IRS and Interest Rate Futures
• Can upload exact portfolio via a portfolio upload or enter trades manually
• Reports breakdown of optimization position transfers for each customer account in CSV format
• Builds FIXML transfer messages to load into back office system and send to CME Clearing
• Generates Total Savings Analysis Report
• Generates Funding Impact Report
For access to CME CORE: Visit cmegroup.com/core
© 2015 CME Group. All rights reserved.
16
Portfolio Margining IRS and CME Group Futures
Unparalleled Margin Efficiencies for a Capital Constrained World
•
Background
•
•
Broad Adoption
From Market
Participants
•
•
Scope of the
Solution
CME Group has administered a range of cross-margining
programs for more than 20 years
IRS Portfolio Margining for Clearing Members was launched in
May 2012, and the solution became available to customers in
November 2012
9 Clearing Members are now live with IRS Portfolio Margining,
and over 36 firms are benefitting from the solution
Total Risk Reductions now account for over $3.9 billion in
initial margin savings
Achieve capital savings across a diverse portfolio of:
 18 cleared OTC IRS currencies
 CBOT Treasury Futures, now including the Ultra Bond
 CME Eurodollar Futures
 USD Deliverable Swap Futures
http://www.cmegroup.com/trading/interest-rates/cleared-otc/portfolio-margining-of-cleared-otc-irs-swaps-and-futures.html
© 2015 CME Group. All rights reserved.
17
Invoice Spreads Margin Savings Analysis
Capital Efficiencies of Clearing IRS with CBOT Treasury Futures
 A growing number of Clients and Dealers are choosing Invoice Spreads as a capital
efficient approach to transact Swap Sreads
 Invoice Spread daily volume now averages over $6 billion notional per day, versus
just $1 billion per day in 2011 before CME launched interest rate swap clearing
Below are examples of 5 invoice spread strategies with $1 million DV01 in each strategy.
Portfolio margining IRS with CBOT Treasury Futures results in indicative margin savings of 54%-80%.
Invoice Spread Strategy
Margin if Cleared
Separately
CME Portfolio
Margin
Margin Savings
Savings
Percentage
2YR (TU) Treasury vs IRS
33,210,422
15,131,357
18,079,065
54%
5YR (FV) Treasury vs IRS
46,791,849
9,233,353
37,558,496
80%
10YR (TY)Treasury vs IRS
47,230,122
13,312,933
33,917,189
72%
Treasury Bond (US) vs IRS
48,109,925
20,109,738
28,000,187
58%
Ultra Treasury (WN) vs IRS
49,705,884
17,079,356
32,626,528
66%
© 2015 CME Group. All rights reserved.
18
Eurodollar Convexity Bias Margin Savings Analysis
Capital Efficiencies of Clearing IRS with CME Eurodollar Futures
 Eurodollar Convexity Bias Strategies have grown in popularity as volatility has
returned to the short end of the curve, and clients can capitalize on CME portfolio
margining of IRS and Eurodollars
 Daily volume now averages $15 billion notional per day, which is 8 times the
volume in 2010 before CME launched interest rate swap clearing
Below are examples of popular Eurodollar Convexity Bias strategies with $1 million DV01 in each strategy.
Portfolio margining IRS with CME Eurodollars results in indicative margin savings of 68%-85%.
Eurodollar Convexity Bias Strategy
Margin if Cleared
Separately
CME Portfolio
Margin
Margin Savings
Savings
Percentage
White (1st year) vs IRS
26,466,573
5,798,953
20,667,619
78%
Red (2nd year) vs IRS
52,702,654
12,460,808
40,241,846
76%
Green (3rd year) vs IRS
56,044,624
17,318,381
38,726,243
69%
Blue (4th year) vs IRS
68,526,232
12,187,905
56,338,327
82%
Gold (5th year) vs IRS
63,951,712
20,578,618
43,373,095
68%
Two Year vs IRS
37,384,899
5,848,951
31,535,948
84%
Three Year vs IRS
41,415,104
6,180,502
35,234,601
85%
© 2015 CME Group. All rights reserved.
19
Deliverable Swap Futures Margin Savings Analysis
Capital Efficiencies of Clearing IRS with US Dollar DSFs
 USD Deliverable Swap Futures launched in December 2012, with strong support
from buy and sell side market participants and it’s served as a valuable hedging
tool for global swap dealers
 DSF Open Interest is over 123,000 contracts, representing $12.3 billion in notional.
Average daily volume has also increased to over 6,000 contracts in 2014,
representing $630 million in notional
Below are examples of USD DSF across tenors (5,10,30 years) in $1 million DV01 in each strategy.
Portfolio margining IRS with USD DSF results in indicative margin savings of 79%-85%.
USD DSF Strategy
Margin if Cleared
Separately
CME Portfolio
Margin
Margin Savings
Savings
Percentage
5YR DSF vs 5YR IRS
49,138,068
9,918,624
39,219,444
80%
10YR DSF vs 10YR IRS
48,028,638
7,070,027
40,958,611
85%
30YR DSF vs 30YR IRS
52,165,783
10,893,739
41,272,044
79%
© 2015 CME Group. All rights reserved.
20
Portfolio Margining For Non-USD Portfolios
Capital Efficiencies Across all 18 IRS Currencies that CME clears
 CME Group utilizes a multi-currency historical VaR model to calculate margins for
portfolios containing IRS and Futures
 The risk reductions and accompanying margin savings from portfolio margining are
calculated on a net portfolio basis across all currencies
The below portfolio example containing IRS in EUR, GBP, and JPY, and an array of CME
Group Interest Rate Futures results in indicative margin savings of 55%
Non-USD Portfolio
Product Type
Fixed/Float
Fixed/Float
Fixed/Float
ED
2YR
5YR
10YR
30YR
Currency
GBP
EUR
JPY
USD
USD
USD
USD
USD
Direction
PAY
PAY
PAY
Short
Long
Long
Long
Long
Notional/Contracts
100,000,000
100,000,000
100,000,000
648
89
524
419
438
BEFORE PORTFOLIO MARGINING
Initial IRS Margin Requirement
5,438,355.34
Initial Futures Margin Requirement
2,163,807.00
Total Margin
7,602,162.34
AFTER PORTFOLIO MARGINING
Portfolio Margin IM Requirement:
3,390,190.66
Portfolio Margin Savings:
4,211,971.68
Portfolio Margin Savings:
55%
© 2015 CME Group. All rights reserved.
21
Superior Customer Protections
CME Clearing is the industry leader in mitigating risk for customers through the US
FCM clearing model
LSOC Without Netting
Variation Margin
LSOC with Excess
• In an FCM default, CME Clearing will discontinue netting variation gains and losses within the defaulted
FCM’s cleared swaps customer account with CME Clearing on a post-default basis
• By discontinuing Variation Margin netting, CME will better protect non-defaulting customers by helping
them keep their positions intact while porting them to another FCM with as much collateral as possible
• Flexibility to hold excess collateral at CME Clearing, with protection of the client’s full collateral value
• Client’s FCM must submit a daily Collateral Value Report (CVR) to specify the collateral value of each
individual account
Combined Cash Flow
Under LSOC with
Excess
• Flexibility to hold excess collateral at CME Clearing, with protection of the client's full collateral value
• Efficient daily margin process allowing firms to use the excess collateral to cover variation margin
obligations, with the potential to eliminate daily cash movements
• Lower variation margin calls for Clearing Members, reducing the funding gap between Clearing Firms
and their clients
• Proposed account structure aims to let end-customers meet their margin obligations at FCM’s via thirdparty custodial accounts
CME Safekeeping
Accounts*
• Allows end-customers to utilize custodial account arrangements and use assets held in those accounts
to meet margin obligations
• CME, an FCM, an end-customer, and a custodian bank will execute a quad-party custody arrangement
to facilitate the CME Safekeeping account transactions
*Not currently available
© 2015 CME Group. All rights reserved.
© 2015 CME Group. All rights reserved.
22
22
CME Financial Safeguards
IRS Financial Safeguards
Base Financial Safeguards
CDS Financial Safeguards
$2.326 Billion
$3.574 Billion
$750 Million
Assessment Powers
Assessment Powers
Assessment Powers
3rd and 4th largest CM shortfalls
275% of GF per Default1
3rd and 4th largest CM shortfalls
Non-Defaulting Clearing Members
IRS Guaranty Fund Contributions
Non-Defaulting Clearing Members
Base Guaranty Fund Contributions
Non-Defaulting Clearing Members
CDS Guaranty Fund Contributions
$150M
$100M
$50M
CME Designated Working Capital
for IRS Guaranty Fund
CME Designated Working Capital
for Base Guaranty Fund
CME Designated Working Capital
for CDS Guaranty Fund2
Defaulted Clearing Member
IRS Guaranty Fund Contribution
Defaulting Clearing Member
Base Guaranty Fund Contribution
Defaulting Clearing Member
CDS Guaranty Fund Contribution
Defaulted Clearing Member
IRS Fund Performance Bonds
Defaulting Clearing Member
Base Fund Performance Bonds
Defaulting Clearing Member
CDS Fund Performance Bonds
IRS Financial Safeguards Product Coverage
•
•
Base Financial Safeguards Product Coverage
•
•
•
IRS
Cross-margined futures
Futures products
OTC FX
Other non-IRS or CDS OTC products
CDS Financial Safeguards Product Coverage
•
CDS
1See
CME Rulebook Chapter 8, Rule 802.G for greater detail
to the greater of (x) $50 million and (y) 5% of the CDS Guaranty Fund, up to a
maximum of $100 million
*All GF numbers are as of 9/16/2014
2Equal
© 2015 CME Group. All rights reserved.
23
Flexible Collateral for Initial Margin
CME Clearing accepts a broad array of collateral for the Customer OTC Account Class
Collateral
Haircut
US Cash
None
Non-US Cash (EUR, GBP, CAD, AUD, JPY, CHF)*
5%**
Sovereign Debt of UK, Germany, France, Canada,
Japan, and Sweden
5%-10.5% (maturity based)
Additional 1.5% for off-the-runs
US Treasury Debt
0.5%-11% (maturity based)
Additional 1.5% for off-the-runs
US Agency Debt
3.5%-7% (maturity based)
Additional 1.5% for off-the-runs
US Agency Mortgage Backed Securities
11%
Corporate Bonds (IEF4)
20%
Money Market Mutual Fund (IEF2)
3%
Bank Deposit Program (IEF5)
None
*The last three currencies are available for IRS only.
** Haircut is only applied when cash is used to meet a margin requirement based in a different currency.
© 2015 CME Group. All rights reserved.
24
Follow-the-Sun Client Service Team
Providing clients 24 hour support
CME Global Headquarters
Chicago, IL
Client Services
+1 312 338 7112
NYMEX World Headquarters
World Financial Center
New York, NY
CME London Office
CMECE Headquarters
One New Change
London EC4M9AF
United Kingdom
+44 20 33793199
Asia Headquarters
Singapore Land Tower
Singapore 048623
+65 6593 5592
© 2015 CME Group. All rights reserved.
25
CME Global Repository Services
CME European Trade Repository and CME Swap Data Repository for multi-jurisdictional reporting
•
Solution for cleared and bilateral transactions across rates, credit, FX, equities, and commodities
Premium, simplified, efficient and low cost regulatory reporting solutions for all market participants
•
•
•
•
Proven reporting systems and processes; extensive regulatory experience
No maintenance fees, no cleared data charges, per ticket fee model
World class customer service
Maximizes lightweight CME ClearPort technologies and middleware clearing connectivity
Straight Through Processing
•
•
One message for clearing, reporting, multiple jurisdictions
Full reconciliation reports
CME Swap Data Repository (SDR) – Dodd Frank
•
•
Provisional registration received from CFTC on 11/20/12 to operate a SDR for the rates, credit, FX and other commodities
asset classes
Entire asset class coverage; actively used for cleared and non-cleared data
CME European Trade Repository (ETR) - EMIR
•
•
CME Group has applied with ESMA for exchange traded & OTC trade repository in Rates, FX, Credit, Equities and
Commodities
London based legal entity with local business and support staff
cmegroup.com/etr and cmegroup.com/sdr
© 2015 CME Group. All rights reserved.
26
SEF Workflows & CME Group Solutions
© 2015 CME Group. All rights reserved.
MAT Overview
• The below MAT swaps are subject to the trade execution requirement on SEFs and DCM
Fixed-to-Floating Interest Rate Swap
Currency
U.S. Dollar (USD)
U.S. Dollar (USD)
U.S. Dollar (USD)
Euro (EUR)
Sterling (GBP)
Floating Rate
Indexes
USD LIBOR
USD LIBOR
USD LIBOR
EURIBOR
GBP LIBOR
Trade Start
Type
Spot Starting (T+2)
IMM Start Date
(next two IMM start dates)
IMM Start Date (next
two IMM dates)
Spot Starting (T+2)
Spot Starting (T+0)
Optionality
No
No
No
No
No
Dual
Currencies
No
No
No
No
No
Notional
Fixed Notional
Fixed Notional
Fixed Notional
Fixed Notional
Fixed Notional
Fixed Coupon
Par
Par
Standard Coupon
Par
Par
Tenors
2, 3, 4, 5, 6, 7, 10,
12, 15, 20, 30 years
2, 3, 4, 5, 6, 7, 10, 12, 15,
20, 30 years
1, 2, 3, 4, 5, 7, 10, 15,
20, 30 years
2, 3, 4, 5, 6, 7, 10,
15, 20, 30 years
2, 3, 4, 5, 6, 7, 10, 15,
20, 30 years
Untranched Credit Default Swap Indices
Entities
Corporate
Corporate
Region
North America
Europe
Indices
CDX.NA.IG
CDX.NA.HY
iTraxx Europe
iTraxx Europe Crossover
Tenor
CDX.NA.IG 5Y
CDX.NA.HY 5Y
iTraxx Europe 5Y
iTraxx Europe Crossover 5Y
Applicable Series
At any time, the then-current on-the-run series and the preceding series that was replaced by the current one
© 2015 CME Group. All rights reserved.
28
Swap Execution Facilities
Key changes and challenges to client clearing workflow
Pre-Execution Credit Check
• The SEF mandate requires a client's clearing member to run a pre-execution credit limit
check on each transaction in order to provide certainty of clearing.
• This credit check will be dependent on the ability of CMs and SEFs to validate these limits in
real time. In some cases, the client itself will need to allocate their FCM limit across multiple
SEFs
•
Within the off-SEF workflow, the FCM credit limit check takes place after the trade has been
submitted to the CCP for clearing
Allocations
• Within the off-SEF workflow, clients allocate orders post-execution utilizing affirmation
platforms before the order is submitted to clearing. As a result of this pre-execution credit
limit check requirement on SEF trades, clients will need to either:
•
•
Allocate block orders on the SEF prior to execution
Utilize CME’s bunched order solution to allocate post clearing
Trade Rejections
• Orders rejected for clearing by the CCP will be considered void. Orders rejected due to an
operational issue may be resubmitted for clearing within a specific time period.
•
Within the off-SEF workflow, orders rejected for clearing may be resubmitted on trade date
© 2015 CME Group. All rights reserved.
29
SEF Workflow with Pre-Approval
Client
ED
2
2
SEF
3
1
Trade receives credit pre-approval from
FCM (precedes this workflow)
2
Client executes trade with Executing
Dealer (ED) on SEF
3
SEF sends trade to CME for Clearing
4
After validating product, account and
applying credit limits set by CME, CME
accepts swap for clearing
5
CME Clearing
House
5
CME sends “Cleared” notification to SEF
which displays trade status to principals
5
5
4
Clearing Member
(Client)
Product 
Account 
Credit 
CME sends a Clearing Confirmation to
FCMs
5
Clearing Member
(ED)
*Please note a pre-approved trade does not go through request consent workflow.
© 2015 CME Group. All rights reserved.
30
SEF Workflow without Pre-Approval
Client
2
2
SEF
4
5
6
Clearing Member
(Client)
2
Trade is entered manually into SEF
3
SEF sends trade to CME for Clearing
4
CME sends “Pending FCM Approval”
notification to SEF
4
6
CME Clearing
House
4
Client and ED execute voice trade
ED
1
3
1
Product 
Account 
Credit 
6
5
4
“Clearing Consent” notifications sent to
FCM (client) and FCM (ED)
5
Clearing Member of both parties accept
the swap
6
CME sends “Cleared” notification to SEF
which displays trade status to principals
6
CME sends a Clearing Confirmation to
FCMs
Clearing Member
(ED)
© 2015 CME Group. All rights reserved.
31
Bunched Order Overview
SEF Bunched Allocations
CME Group’s Solution
•
•
•
Supports clearing of bunched orders in a “Holding Account”
Allows submission of allocations to the end customer account while offsetting the bunched order in the holding account
4 allocation methods available:
• Allocations entered on SEF
• Allocations entered on Platforms
• Clearing Firm performs allocations using Transfer workflow in DMS
• Spreadsheet upload using Transfer workflow via CME Client Services Team
2
Client
ED
Platform A
3



Validate Product
Validate Account
Validate Limits
ED alleges the bunched order to the Client.
2
Client affirms the bunched order while
selecting the “Holding Account” at CMF.
3
Platform A sends the matched deal to CME
Clearing.
4
CME Clearing validates the bunched order.
5
CME sends Cleared notice to Clearing
Member Firms.
1
5b
CME Clearing
5
1
4
5a
5a
5b
Clearing Member Firm
(Bunched Order Holding Account)
Bunched Order
Holding Account
Clearing Member Firm
(ED)
CME sends Cleared notice back to the
platform.
ED Account
(House)
© 2015 CME Group. All rights reserved.
32
Bunched Order Allocation Enhancement
Multiple Submission Platforms
•
Current workflow requires the messaging for both the bunched order and subsequent
allocations to contain the full trade details. An issue may arise in the following scenario:
o
•
The submitter of the bunched order (Platform A) has different trade defaulting logic than
the submitter of the allocations (Platform B).
As CME does not currently match the trade economics of the bunched order and allocation
offsets, trades may not net in the Holding Account.
Enhancement
•
Due to the scenario outlined above, CME will enhance the bunched orders workflow as follows:
o
A new “allocation instruction” message will be supported by CME. This message will not
contain trade details
•
The bunched order will continue to contain the full trade details.
o
Platforms must send this new instruction for all allocations, with reference to a CME
assigned ID for the bunched order.
o
CME will automatically create the allocation offsets and onsets once the instructions are
received from the platform.
© 2015 CME Group. All rights reserved.
© 2015 CME Group. All rights reserved.
Bunched Order Allocation Enhancement
All Allocations Cleared
Client submits the allocation instructions via Platform B
2
Platform B sends the request to CME to clear
allocations. Each allocation will contain:
• The Cleared USI of the bunched order
• Account ID, Notional Amount, Upfront Fees
• IDs for each allocation
• Credit Approval token (if limits passed prior to
submission)
• Note the following:
o Many allocations or a single allocation may be
present in the message
o Validation present to prohibit over-allocation
3
CME sends Pending DCM Approval notification to
Platform B
3a
Clearing Consent notifications sent to Clearing Member
(Client) and Clearing
4
Clearing Member of both parties accept the allocations
5
CME sends a Clearing Confirmation to Clearing
Member(s) and a Cleared notification to the Platform
ED
Client
Platform B
1
2



1
Validate Product
Validate Account
Validate Limits
3
4
CME Clearing
4
3a
5
Clearing Member Firm
(Bunched Order Holding Account)
$50M
Bunched Order
Holding Account
5
3a
4
Clearing Member Firm
(Client)
$25M – Allocation offset
Client Account 1
($25M) – Allocation offset
$25M – Allocation offset
($25M) – Allocation offset
Client Account 1
© 2015 CME Group. All rights reserved.
© 2015 CME Group. All rights reserved.
Portfolio Maintenance
© 2015 CME Group. All rights reserved.
IRS Netting: Overview
Clearing members will specify whether a client or house account is eligible for
netting, selective netting, or gross
Gross
•
If this option is selected on the account, the trades will not net.
Net
•
This option will automatically net eligible trades based solely on trade attributes.
Selective Net
•
This option will automatically net eligible trades based on trade attributes (same as option 2) and
matching Client Reference ID.
•
This option provides clients with more control over the netting process to address operational and
tax concerns.
The netting process will consider swaps that have exactly the same economics. These swaps may
differ in “direction” and “notional” amount. Swaps in different customer (position) accounts will not be
netted together.
© 2015 CME Group. All rights reserved.
36
Netting ID Enhancement
Efficient Solution for Customers to Identify Netting Eligible Trades Intraday
•
How it Works
• Netting IDs assigned to trades that are eligible for netting, which will automatically update as trades become
economically equivalent
•
•
Clients have the ability to view the Netting IDs on their Trade Register report
Example 1: Trades that will net due to one different attribute
• Offsetting swaps may not net due to different adjustment conventions and thus, will have different netting IDs.
•
Example 2: Netting IDs change on T+N and eligible for netting
• For example, Trades X and Y have different netting IDs (due to a change in future cash flows, settled upfront fees,
etc.), but these two trades are eligible for netting and assigned matching IDs the day before the fee is paid
•
Example 3: Trades eligible for netting after stub period
• Client A clears two trades (6 & 7), which become economically equivalent following an initial stub period in Trade 7
Fri, Jan 17th
T6 (pay)
T7 (rec)
Stub
• Once the stub period payments occur on January 17th, the Netting IDs will adjust and match on the Trade Register
to indicate the trades are eligible for netting
Value Date
Cleared ID
Notional
Status
P/R
Netting ID
Thu Jan 16
T6
3,000,000
Cleared
P
AA35435B-1111-0000-R1SR-311111133333333
Thu Jan 16
T7
3,000,000
Cleared
R
E71818CC-0000-1111-A1SA-711111177777777
Fri Jan 17
T6
3,000,000
Terminated
P
AA35435B-1111-0000-R1SR-311111133333333
Fri Jan 17
T7
3,000,000
Terminated
R
AA35435B-1111-0000-R1SR-311111133333333
© 2015 CME Group. All rights reserved.
37
Compression via Coupon Blending
Overview
• An innovative solution that reduces gross notional outstanding and line items
• Works across pay-fixed and receive-fixed cleared interest rate swaps with varying fixed rates and
notional amounts, but otherwise identical attributes. (e.g. currency, effective date)
Process
• Select trades to be included in the process via the blending identifier found on the trade register
• Identify the highest and lowest fixed rates in the portfolio
• Solve for the notional of Remnant 1 (R1) and Remnant 2 (R2) such that the cash flows match those of the
original portfolio
• Terminate the original trades which have been replaced by R1 and R2
Competitive Advantages
• Reduce notional outstanding and line items without changing cash flows
• Compress trades in an automated and scalable way without counterparty dependency
• Customize the solution to your trading strategy:
• – Utilize daily, on an automated basis EOD, or selectively, as an ad-hoc process
• Achieve capital benefits: all compression fees are currently waived
© 2015 CME Group. All rights reserved.
38
Coupon Blending Example - Step 1
𝑛
Step 1: Calculate the net
weighted notional amount
𝑁𝑒𝑡 𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙 =
𝑖=1
o Weighted notional is the
product of the fixed rate and
notional amount.
o Net weighted notional is the
sum of the weighted notional
amounts
𝐹𝑖𝑥𝑒𝑑 𝑅𝑎𝑡𝑒𝑖 × 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙𝑖
Fixed Rate
Notional
Weighted Notional
Swap 1
2.575
-200,000,000
-515,000,000
Swap 2
3.27
105,000,000
343,350,000
Swap 3
2.95
-15,000,000
-44,250,000
Swap 4
3.125
25,000,000
78,125,000
Swap 5
2.025
-50,000,000
-101,250,000
Swap 6
3.1345
37,500,000
117,543,750
Swap 7
2.925
-55,000,000
-160,875,000
Swap 8
3.1875
300,000,000
956,250,000
Swap 9
3.325
-111,500,000
-370,737,500
Swap 10
3.425
145,000,000
496,625,000
Lowest Fixed Rate
Highest Fixed Rate
Net Notional
Net Weighted Notional
2.025
3.42500
181,000,000
799,781,250
© 2015 CME Group. All rights reserved.
39
Coupon Blending Example- Steps 2 & 3
Step 2: Derive Remnant Trade 1 (T1) notional to minimize gross notional
o Highest fixed rate among the blended trades is fixed rate on Remnant Trade 1 (T1)
o Lowest fixed rate among the blended trades is fixed rate on Remnant Trade 2 (T2)
o Given the two fixed rates, we calculate notional for T1 (rounded to two decimal places)
𝑻𝟏 𝑵𝒐𝒕𝒊𝒐𝒏𝒂𝒍 =
𝑵𝒆𝒕 𝑾𝒆𝒊𝒈𝒉𝒕𝒆𝒅 𝑵𝒐𝒕𝒊𝒐𝒏𝒂𝒍 − 𝑵𝒆𝒕 𝑵𝒐𝒕𝒊𝒐𝒏𝒂𝒍 𝒙 𝑭𝒊𝒙𝒆𝒅 𝑹𝒂𝒕𝒆 𝑹𝒆𝒎𝒏𝒂𝒏𝒕 𝟐
𝑭𝒊𝒙𝒆𝒅 𝑹𝒂𝒕𝒆 𝑹𝒆𝒎𝒏𝒂𝒏𝒕 𝟏 − 𝑭𝒊𝒙𝒆𝒅 𝑹𝒂𝒕𝒆 𝑹𝒆𝒎𝒏𝒂𝒏𝒕 𝟐
𝑇1 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙 =
799,781,250 − 181,000,000 𝑥 2.025
= 𝟑𝟎𝟗, 𝟒𝟔𝟖, 𝟕𝟓𝟎. 𝟎𝟎
3.425 − 2.025
Step 3: Create Remnant Trade 2 (T2) so that the cash flows of the fixed and floating legs
match those of the original portfolio
o Notional amount on Remnant Trade 2 is calculated as follows:
𝑻𝟐 𝑵𝒐𝒕𝒊𝒐𝒏𝒂𝒍 = 𝑵𝒆𝒕 𝑵𝒐𝒕𝒊𝒐𝒏𝒂𝒍 − 𝑻𝟏 𝑵𝒐𝒕𝒊𝒐𝒏𝒂𝒍
𝑇2 𝑁𝑜𝑡𝑖𝑜𝑛𝑎𝑙 = 181,000,000 – 309,468,750 = -128,468,750.00
© 2015 CME Group. All rights reserved.
40
Coupon Blending Example: Fixed & Float Legs
Fixed Leg: Cash Flows on Remnant Trade 1 (T1) match those of the original portfolio.
Rate
Swap 1
….
Swap 10
2.575
Notional
Fixed Coupon Cash Flows of Original Portfolio
91
182
271
364
-200,000,000 $ (1,301,806)
….
….
3.425
145,000,000
Sum of Portfolio
$ (1,301,806)
….
$(1,273,194)
….
$ (1,330,417)
….
….
$ 1,255,357
$ (393,472)
$(384,824)
$ (402,120)
$ 2,021,669
$ 2,021,669
$ 1,977,237
$ 2,066,102
Fixed Coupon Cash Flows of Remnant T1
Swap
Rate
Notional
91
182
271
364
T1
3.425
309,468,750
$ 2,679,268
$ 2,679,268
$ 2,620,384
$ 2,738,154
T2
2.025
-128,468,750
$ (657,599)
$ (657,599)
$ (643,147)
$ (672,052)
$ 2,021,669
$ 2,021,669
$ 1,977,237
$ 2,066,102
Sum of Remnants
Float Leg: Notional amount of Remnant Trade 1 (T1) + Remnant Trade (2) matches net
notional of original portfolio. The floating rate payments also match those of the original
portfolio.
Trade
Remnant Trade 1
Notional
309,468,750.00
Remnant Trade 2
-128,468,750.00
Net Notional
181,000,000.00
© 2015 CME Group. All rights reserved.
41
Coupon Blending Example: Results
 Float Leg Cash Flows Match Original Portfolio
 Fixed Leg Cash Flows Match Original Portfolio
 Reduced Gross Notional and Line Items, with no change in cash flows
Before
After
Reduction
Line Items
10
2
80%
Gross Notional
$1,044,000,000
437,937,500
58%
© 2015 CME Group. All rights reserved.
42
CMECE Overview
© 2015 CME Group. All rights reserved.
CME Clearing Europe Overview
CME Clearing Europe: Clearing in Europe for a Global Customer Base
Over 100 clients now on-boarded, and over 390 accounts opened
• CME Clearing Europe (CME CE) is a London-based clearing house, wholly-owned by CME
Group
• Established in London with the aim of offering services as a multi-product clearing house
based on a UK legal construct and following EMIR guidelines
• Authorised central counterparty under EMIR, supervised and regulated by the Bank of
England. It is also a QCCP for regulatory capital purposes
• Submitted its DCO application to the CFTC on 1st August 2014 which will enable CME CE to
accept business from US clients
Benefits
• European regulatory environment and English law (incl. insolvency law and clearing house
statutory protections)
• European time zone
• Services tailored to European market practices
• Local proximity and easy access to our growing team of London-based specialists
© 2015 CME Group. All rights reserved.
44
CMECE Open Access Clearing Solution
Platforms
Connected
CMECE IRS
Clearing Members
*
*
Additional CMECE
Clearing Members
• Negotiate, execute, and submit trades through multiple venues to CME Clearing
• Straight through processing and real-time confirmation once the trade is cleared
• Protects the confidentiality of trading relationships, while enabling customers to terminate positions
with any market participant
• Operational flexibility of a multi asset class solution for IRS and Commodities
© 2015 CME Group. All rights reserved.
* Connectivity in process
45
OTC IRS: Expansion into Financial Products
CME Clearing Europe Cleared OTC IRS Product Scope
Existing Products
Fixed/Float
Tenor
Index
Zero Coupon Swaps
Currency
Years
Months
USD I EUR I GBP
11
15
21
31
51
51 years
1
3
6
USD



LIBOR
Overnight Index Swap (OIS)
EUR



EURIBOR
USD I EUR I GBP I JPY
GBP



LIBOR

CAD
30 years
CDOR
Basis Swaps

LIBOR
USD I EUR I GBP
51 years

LIBOR
AUD I JPY
31 years

BBSW
SEK

STIBOR
Variable Notional Swaps (Amortizers and Accreting)
DKK

CIBOR
USD I EUR I GBP
51 Years
NOK

NIBOR
JPY
31 years
TIIE-BANXICO
Fed Funds vs. Libor (USD)
30 years
JPY

CHF

AUD
MXN
28d
NZD

FRA
HKD

HIBOR
Forward Rate Agreements (FRAs)
USD I EUR I GBP I JPY | ZAR
SGD

SOR-VWAP
HUF

BUBOR
CZK

PRIBOR
ADDITIONAL PRODUCT LAUNCHES
PLN

WIBOR
Inflation Swaps
ZAR

3 Days to 3 Years
JIBAR
© 2015 CME Group. All rights reserved.
46
Enhanced Protection of Client Collateral
via CME Clearing Europe’s Fully Segregated Account
CME Clearing Europe is offering unique depth and breadth in terms of customer
protection and segregation options
• We offer four EMIR compliant customer account structures:
- Net omnibus account
- Gross omnibus account
- Individual client account
- Individual client account with full segregation of collateral
• Account structures and supporting documentation are designed to deliver transparency
and legal certainty as relates to the treatment of client positions and assets in case of a
clearing member default
• Customer protection and segregation options are available across all of our OTC
commodities and OTC financial derivatives solutions
© 2015 CME Group. All rights reserved.
47
Full Segregation Set-Up
CSD/Client’s Custodian*
CME Clearing Europe
Account
Structure
Set Up
at CCP
and
Custodial
Level
New
Account:
Existing
Account:
Client 1
CMECE/CM
/Client 1
Client 1
Client 2
CMECE/CM
/Client 2
Client 2
Client 3
CMECE
/CM/
Client 3
Position
Margin
Collateral
Client 1
Client 1
Client 2
Client 2
Client 3a
Client 3b
Portfolio
Net
Client 3
Client 3c
* Securities are held in an account at a Central Securities Depository (CSD). Client’s custodian can facilitate operation of this client-individual
account, enabling clients to leverage their existing custody relationships
© 2015 CME Group. All rights reserved.
48
Flexible Collateral for Initial Margin
CME Clearing Europe accepts an expanding range of collateral to satisfy margin
requirements and guarantee fund contributions, including:
Collateral
Haircut
Cash (USD, EUR, GBP) - accepted to cover all liabilities
5%*
Cash (AUD, CAD, CHF, DKK, JPY, NOK, SEK) - only accepted to cover initial
margin liabilities in the same currency
US Treasury Bills
US Treasury Notes and Bonds
0.50%
0 to 5 years:
3.0%
5 to 10 years:
4.5%
Above 10 years: 6.0%
Government Debt of Australia, Austria, Belgium, Canada, Denmark, Finland,
France, Germany, Netherlands, Norway, Sweden, Switzerland, UK
0 to 5 years:
6.0%
5 to 10 years:
7.5%
10 to 30 years:
9.0%
Above 30 years: 10.5%
Gold
15%
*Haircut is only applied when cash is used to meet a margin requirement based in a different currency.
The intention is to extend the acceptable collateral, on the basis of risk assessment and in line with regulations, to include a
broader range of securities, including sovereign debt, corporate bonds, supra-national and government agency issues.
© 2015 CME Group. All rights reserved.
49
CME Clearing Europe Settlement Cycle
GMT
12.00 AM
End of Day (RTH) Settlement Cycle is initiated
2.00 AM
RTH Margin Requirement Notifications Issued to Clearing Members
RTH Swift Payment Instructions sent to Settlement Banks
9.00 AM
Deadline for receipt of confirmation by SWIFT MT 910 that RTH Variation and Initial Margin has been paid
10.00 AM
Deadline for Clearing Members to advise CMECE of their wish to withdraw excess IM cash for same day
settlement
Deadline for Clearing Members to advise CMECE of their intention to withdraw EUR or GBP and substitute
for another asset for same day settlement
Intra Day (ITD) settlement cycle is initiated (currently for Commodities only)
Deadline for Clearing Members to advise CMECE of their intention to withdraw USD and substitute for
another asset for same day settlement
12.00 PM
2.00 PM
ITD Margin Requirement Notifications Issued to Clearing Members
ITD Swift Payment Instructions sent to Settlement Banks
3.00 PM
Deadline for confirmation by Swift MT910 that ITD Variation and IM payments have been received
Payment of EUR substituted by securities
3.30 PM
Payment of GBP substituted by securities
4.30 PM
Deadline for confirmation that Securities to be substituted for USD have been received
5.30 PM
Payment of USD substituted by securities
© 2015 CME Group. All rights reserved.
50
Additional Information
© 2015 CME Group. All rights reserved.
Clearing Cycle Times - Daily
New York
Local
1-1:15 A.M.
Overnight maintenance window stops clearing cycle
4:00 P.M. Tokyo
Capture quotes for JPY (LIBOR & OIS)
4:30 P.M. Sydney
Capture quotes for AUD (BBR-BBSW & OIS)
4:30 P.M. Wellington
Capture quotes for the NZD (BBR)
8:30 A.M.
Settlement banks confirm USD VM and Initial Margin call (portfolio) from previous day’s clearing cycle –
USD, EUR, GBP and CAD cash moves at the settlement bank shortly thereafter.
(JPY, CHF and AUD are confirmed at this time, but cash moves on T+2)
3:00 P.M.
Capture quotes for USD (LIBOR & OIS) and
CAD (CDOR & OIS).
4:30 P.M.
Hong Kong & Singapore
Capture quotes for the following currencies:
• HKD (HIBOR)
• SGD (SOR)
4:00 P.M. SAST
Capture quotes for the following currencies:
•
ZAR (JIBAR)
4:00 P.M. CET
Capture quotes for the following currencies:
• SEK (STIBOR), DKK (CIBOR/CIBOR2), NOK (NIBOR)
• CZK (PRIBOR), PLN (WIBOR), HUF (BUBOR)
4:00 P.M. London
Capture quotes for the following currencies:
• EUR (EURIBOR & OIS)
• GBP (LIBOR & OIS)
• CHF (LIBOR)
7:00 P.M.
Same day trade submission/acceptance deadline for all currencies. Generate combined
end-of-day Clearing reports for all currencies including Trade Register.
8:00 P.M.
Calculate Initial Margin for entire portfolio.
10:00 P.M.
Settlement instructions for all currencies are sent to settlement banks.
© 2015 CME Group. All rights reserved.
52
Clearing Cycle Times - Daily
New York
Day
6:00 P.M.
Sunday
CME Clearing opens for business
1-1:15 A.M.
Monday
Overnight maintenance window stops clearing cycle
Clearing cutoff for Monday’s business date
7:00 P.M.
1-1:15 A.M.
Tuesday
Clearing cutoff for Tuesday’s business date
7:00 P.M.
1-1:15 A.M.
Wednesday
Thursday
Overnight maintenance window stops clearing cycle
Clearing cutoff for Thursday’s business date
7:00 P.M.
1-1:15 A.M.
Overnight maintenance window stops clearing cycle
Clearing cutoff for Wednesday’s business date
7:00 P.M.
1-1:15 A.M.
Overnight maintenance window stops clearing cycle
Friday
7:00 P.M.
Overnight maintenance window stops clearing cycle
CME Clearing closes until following Sunday
Saturday
CME Clearing closed Saturday
© 2015 CME Group. All rights reserved.
53
Contacts
For any questions regarding On-Boarding and Testing, please contact :
On-boarding Team
+1 312 338 7112
[email protected]
For general information, please contact:
North America
Jeff Cranston
Kaitlin Meyer
+1 312 466 7452
+1 312 648 5343
[email protected]
[email protected]
Europe
Liam Smith
+44 20 3379 3850 [email protected]
Phil Hermon
+44 20 3379 3983 [email protected]
Asia
Harry Yeo
+65 6593 5581
[email protected]
© 2015 CME Group. All rights reserved.
54
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.
Exchange traded and Over-The-Counter (OTC) derivatives are not suitable for all investors, and involve the risk of loss. Exchange traded and OTC
derivatives 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 an exchange traded or OTC derivative 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 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 necessarily the results of actual market experience. All data is sourced by CME Group unless otherwise stated.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, NYMEX, CME Europe,
CME Clearing Europe 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.
CME Europe Limited is a Recognised Investment Exchange (RIE) recognised and supervised by the Financial Conduct Authority in the United
Kingdom. CME Clearing Europe Limited is a Recognised Clearing House (“RCH”) recognised and supervised by the Bank of England. CME
European Trade Repository is a business name of CME Trade Repository Limited, a registered trade repository under EMIR supervised by the
European Securities and Markets Authority. Globex Markets Limited is authorised and regulated by the Financial Conduct Authority.
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Exchange Inc., Board of Trade of the City of Chicago and the New York Mercantile Exchange are Recognised Overseas Investment Exchanges
(ROIE’s) recognised by the Financial Conduct Authority.Issued by CME Marketing Europe Limited. CME Marketing Europe Limited (FRN: 220523)
is authorised and regulated by the Financial Conduct Authority in the United Kingdom.
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