Cme Group Inc. · NASDAQ:CME
Cme — Q2 2015 Earnings Presentation
78 slides from Cme's earnings presentation, Apr 16, 2015
Slide 1: CME Group Asia Customer Forum
CME Group Asia Customer Forum Spring 2015 Singapore April 14 Hong Kong April 16 London April 29 Chicago May 7 © 2015 CME Group. All rights reserved.
Slide 2: Disclaimer
Disclaimer Futures and swaps trading is not suitable for all investors, and involves the risk of loss. Futures and swaps are leveraged investments, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money initially deposited for a
Slide 3: Product Updates
Product Updates • Market Updates on CME Group's CBOT Agricultural Suite of Products • Developments in Electronic Trading of WTI Options, including Request For Quote technology • Continued Volatility in IR & FX continue to drive Volumes and Open Interest at CME Group • Trends and Volume Statistics of
Slide 4: Market Updates on CME Group's CBOT Agricultural Suite of Products
Market Updates on CME Group's CBOT Agricultural Suite of Products Nelson Low Executive Director Agricultural Commodity Products, Asia © 2015 CME Group. All rights reserved.
Slide 5: Agricultural Products Update
Agricultural Products Update 2015 Q1 Updates • Cocoa Futures (Physically Delivered) - Launched on 30 Mar 2015 - 240 lots traded on Day 1 - Strong support from trading community 2015 Q1 Roadmap • Fertilizer Future (April) - Alternative to already existing Swap contracts. - Standardization • European
Slide 6: Agricultural Products Update: Expanding Suite of Palm Products
Agricultural Products Update Expanding Suite of Palm Products • Our partner exchange Bursa Malaysia Derivatives products have been available on Globex since 2010 - MYR Crude Palm Oil Futures (FCPO) - USD Palm Olein Futures (FPOL) - MYR Crude Palm Oil Options (OCPO) • CME suite of palm products - USD
Slide 7: Agricultural Products Update: CPO Swaps Volume, Open Interest
Agricultural Products Update CPO Swaps Volume, Open Interest • USD CPO calendar swap launched June 2013 • References the Global Benchmark Bursa Malaysia Derivatives FCPO Futures Contract • Open Interest hit a record of 10,540 contracts in August • Q3 2014 was a record month with 13,580 contracts cle
Slide 8: Agricultural Products Update
Agricultural Products Update • Volatility driving increased reliance on options in Q4 - Livestock options: Live Cattle +40% | Lean Hogs +22% | Feeder Cattle +118% - Soybean options: Soybeans +67% | Meal +50% | Oil +52% • Trend continuing in January, with Meal +97%, Soybeans +66%, and Oil +32% vs the
Slide 9: Ag Product Suite
Ag Product Suite Overall Numbers - 60% of Agricultural options were executed electronically in November - 41% of Globex volume was done via spreads in Grains and Oilseeds - 27% of Globex volume was done via spreads in Livestock Option Product ADV ADV % Change YoY Corn 74,041 7% Soybean 81,964 47% Wh
Slide 10: Globex Spread Types - Grains and Oilseeds
Globex Spread Types - Grains and Oilseeds Butterfly (options Box Christmas tree Condor based) 0% 0% 1% Conversion/Reversal 6% 4% Diagonal 2% Double 0% Gut General 0% Spread Horizontal Option 7% 1% Horizontal Straddle 2% Iron Butterfly 0% Straddle Risk reversal Vertical 10% 2% 61% Strangle 4% © 2015
Slide 11: Globex Spread Types - Livestock
Globex Spread Types - Livestock © 2015 CME Group. All rights reserved. 11
Slide 12: Developments in Electronic Trading of WTI Options, including Request For Quote technology
Developments in Electronic Trading of WTI Options, including Request For Quote technology Alan Bannister Executive Director Energy Products, Asia © 2015 CME Group. All rights reserved.
Slide 13: CME Energy Markets Update
CME Energy Markets Update Crude Refined Natural Gas WTI (CL) North American Diesel (HO) Benchmark New York Ultra Low Sulfur Gas (NG) Diesel (ULSD) US Henry Hub Natural Brent (BZ) Benchmark Gas Benchmark European Benchmark Gasoline (RB) DME Oman (OQD) New York RBOB Gasoline Middle East/Asian Benchmar
Slide 14: CME Group – NYMEX WTI Year Chart
CME Group – NYMEX WTI 1 Year Chart © 2015 CME Group. All rights reserved. 14 14
Slide 15: CME Group hosts some of world's most actively traded Energy markets
CME Group hosts some of world’s most actively traded Energy markets © 2015 CME Group. All rights reserved. 15
Slide 16: CME Group/NYMEX Brent Futures
CME Group/NYMEX Brent Futures •Contract code: BZ •European benchmark •Price directly influenced by Europe and Asia •Financially settled on expiry against ICE Brent Index Low Transaction Cost : FREE – no exchange fees Low Margin Cost : Due to margin offsetting High Convenience : Implied engine for sp
Slide 17: WTI Options
WTI Options The period 2011 to 2014 was a period of declining volatility in oil markets. In Q3’14 volatility picked up as the price of crude tumbled. This created increased interest in the WTI options markets. © 2015 CME Group. All rights reserved. 17
Slide 18: WTI Options have recently been moving to Globex
WTI Options have recently been moving to Globex The majority of ‘LO’ now trades electronically. This is important to Asia because: •Market open 23 ¼ hours/day, 5 days a week •No language barrier to execution •Cheaper execution than manual alternatives •Minimum trade size is 1 lot, therefor may be su
Slide 19: Nymex WTI - 10 year chart
Nymex WTI - 10 year chart © 2015 CME Group. All rights reserved.
Slide 20: Continued Volatility in IR & FX Drive Volumes and Open Interest at CME Group
Continued Volatility in IR & FX continue to drive Volumes and Open Interest at CME Group Speaker : Nelson Low Executive Director Agricultural Commodity Products, Asia © 2015 CME Group. All rights reserved.
Slide 21: Hype around FOMC Rate hikes Driving Clients participation in Interest Rates at CME
Hype around FOMC Rate hikes Driving Clients participation in Interest Rates at CME • Open interest in CME Eurodollar Options has surpassed 30 million contracts – 66% in puts - as market participants hedge their risk around the uncertainty of the first rate increase. The June 2015 expiration currentl
Slide 22: Fed Funds Futures and Options trading activity surged in 2015
Fed Funds Futures and Options represent a direct reflection of collective marketplace insight regarding the future course of FOMC monetary policy, and trading activity has surged in 2015: Fed Funds Options traded over 34,000 contracts during the second week of February, compared to 25,533 contracts
Slide 23: Traders turning to 2-Year Treasury Futures and Options
Traders are turning to 2-Year Treasury Futures and Options to position their portfolios for potential changes to FOMC policy, as evidenced by the following all- time records: A record 1.9 million contracts were traded on February 24, which was the first day of the Yellen's testimony to Congress Febr
Slide 24: Eurozone, Back in the Forefront
Eurozone, Back in the Forefront CME Group FX futures LOIH at 990, New All-time high. Euro and the Majors as a group hit all-time highs of 249 and 799 LOIHs, respectively, March 10 © 2015 CME Group. All rights reserved. 24
Slide 25: CME Group FX Options continue to see volumes grow
CME Group FX Options continue to see volumes grow. • March 2015 +119% on March 2014 • Year to Date on 2014 volumes are +57% © 2015 CME Group. All rights reserved. 25
Slide 26: Evolution of FX Market Structure
Evolution of FX Market Structure Voice Hybrid Electronic Electronic Electronic/Voice Disclosed Anonymous Spot Un-cleared Forwards Options NDFs Spot Forwards Cleared Options Legend NDFs Today In 3-5 years Futures and Options © 2015 CME Group. All rights reserved. 26
Slide 27: Why People are Choosing FX Futures
Why People are Choosing FX Futures FX Futures OTC FX Pricing • Central Order Limit Book (CLOB) • No/Limited Transparency • Transparent – listed • Fragmented liquidity across all dates and dealers • Concentrated liquidity points • Price discovery via quotes from relationship dealers • Tight Bid-Offer
Slide 28: Trends and Volume Statistics of CME Group's COMEX Copper
Trends and Volume Statistics of CME Group's COMEX Copper Yvonne Zhang Director Metal Products, Asia © 2015 CME Group. All rights reserved.
Slide 29: Metals liquidity in Asian hours
Metals liquidity in Asian hours • During the Asian hours (Beijing 8am-8pm), we see approximately ~40% of CME’s copper futures volume and ~30% of our silver volumes traded electronically. SHFE SHFE Open Close * Data from CME, Bloomberg © 2015 CME Group. All rights reserved. 29
Slide 30: CME Copper Volume Dominates during the Asian Session
CME Copper Volume Dominates during the Asian Session • CME Copper volumes have surpassed LME volumes from Q3-2014. Data from Feb 15 indicates that the Asia overall market share split is: SHFE (53%), CME (32%), LME (15%). • Market feedback suggest that COMEX Copper is more responsive to Asian market
Slide 31: CME Copper Electronic Liquidity: Consistent, Transparent, Accessible
CME Copper Electronic Liquidity: Consistent, Transparent, Accessible -交易量 -持仓量 © 2015 CME Group. All rights reserved. 31
Slide 32: CME Copper Options Volume Update
CME Copper Options Volume Update • Our main copper options contract (HX) has seen liquidity improvement of 129% YoY in Feb 2015，our weekly options (HXE) has also attracted consistent growth. * Data from CME © 2015 CME Group. All rights reserved. 32
Slide 33: Gold markets maybe contracting, but there's still growth potential
Gold markets maybe contracting, but there’s still growth potential 20% financial investments 25% In 45% Sovereign physical reserves circulation * Statistics from World Gold Council * Picture: One of the world’s oldest gold coins, the 1st one is minted by King Alayattes in Sardis Lydia (Turkey in pre
Slide 34: Gold Kilo - GCK
Gold Kilo - GCK COMEX-listed Gold Kilo Futures (GCK) contract now available for trading The new COMEX-listed Gold Kilo Futures contract (GCK) offers market participants in Asia the ability to make or take delivery of gold kilo bars of minimum 9999 fineness at CME Group registered and regulated vault
Slide 35: CME Group Customer Forum E-Trading Updates
CME Group Customer Forum E-Trading Updates Spring 2015 Singapore April 14 Hong Kong April 16 London April 29 Chicago May 7 © 2015 CME Group. All rights reserved.
Slide 36: Agenda
Agenda • Market Data Platform 3.0 • Drop Copy 4.0 • New iLink Architecture – MSGW • Revised iLink Session Policy • Other Upcoming CME Globex Releases - Implied Options - User Defined Instruments - Leap Second - CME STP - CME Direct • Partner Exchange Updates • CME Portal & SmartClick 36 © 2015 CME G
Slide 37: MDP 3.0: Features and Benefits
MDP 3.0: Features and Benefits Currently rolling out Market Data Platform (MDP) 3.0, CME Group’s next generation market data protocol • All CME and Hosted Partner Exchange markets launched • BVMF and MexDer channels launching in 2nd half of the year • State of the Art Technology • Outperforms legacy
Slide 38: MDP 3.0: Customer Adoption by the Numbers
MDP 3.0: Customer Adoption by the Numbers Firms Listening Executing Firms Certified Firms to MDP 3.0 Displaying their Channels Order Numbers 202 141 51 (65%) (61%) (8%) 38 © 2015 CME Group. All rights reserved.
Slide 39: MDP 3.0 vs. FIX/FAST: Feed Statistics
MDP 3.0 vs. FIX/FAST: Feed Statistics MDP 3.0 95 Avg pps 251,974 Avg bps MDP 3.0 FIX/FAST • 147,831,544 Avg Daily Msg Count • 139,058,784 Avg Daily Msg Count • 38,019 Avg Peak # of Msgs • 27,182 Avg Peak # of Msgs • 110 Mbps Avg Peak b/w • 71 Mbps Avg Peak b/w Stats from week of 3/16/2015 39 © 2015
Slide 40: MDP 3.0: Schedule
MDP 3.0: Schedule Order Routing Partners Shutdown Available FF No ALL FF Longer a Channels MexDer Feed of Mid-Oct NR: Aug 2015 Record BVMF 2015 Prod: Sep 2015 End of Sep NR: Jul 2015 2015 Prod: Aug 2015 MDP 3.0 / FF Parallel Current 40 © 2015 CME Group. All rights reserved.
Slide 41: Agenda
Agenda • Market Data Platform 3.0 • Drop Copy 4.0 • New iLink Architecture – MSGW • Revised iLink Session Policy • Other Upcoming CME Globex Releases - Implied Options - User Defined Instruments - Leap Second - CME STP - CME Direct • Partner Exchange Updates • CME Portal & SmartClick 41 © 2015 CME G
Slide 42: Drop Copy 4.0
Drop Copy 4.0 In Q3 2015, CME Group will introduce a new Drop Copy implementation featuring: • Architectural changes to align it with the upcoming new iLink architecture • New messaging • Functionality changes ***Note that certification is required for all Drop Copy clients and is a pre- requisite f
Slide 43: Messaging Overview
Messaging Overview Highlights of Message Level Changes Connectivity Management • CME Group recommends a heartbeat interval of 30 seconds. Must be between 5 and 60 seconds else the logon message will not be acted upon. Message Recovery: Drop Copy to Client • CME group strongly recommends the use of E
Slide 44: Current Drop Copy Architecture: CGW Sessions
Current Drop Copy Architecture: CGW Sessions DC CGW Target session OYZV2K sequences messages from multiple iLink Gateways © 2015 CME Group. All rights reserved. 44
Slide 45: New Drop Copy 4.0 Architecture: MSGW Sessions
New Drop Copy 4.0 Architecture: MSGW Sessions MSGW DC Target session OMADGF sequences messages from each MSGW iLink Gateway © 2015 CME Group. All rights reserved. 45
Slide 46: Fault Tolerance and Bandwidth Impacts
Fault Tolerance and Bandwidth Impacts Fault Tolerance • Client systems must always connect and log into the designated primary gateway as long as it is available. An attempt to log into the designated backup while designated primary is available will result in a forced logout. • Customers can only r
Slide 47: Mandatory Drop Copy 4.0 Certification
Mandatory Drop Copy 4.0 Certification • All current DC customers must certify for and migrate to Drop Copy 4.0 - Prerequisite for systems who wish to consume MSGW source session data - Certification required for both session models • The Client Impact Document, the specifications and the FAQ are ava
Slide 48: Production Migration
Production Migration Separate CGW and MSGW Target sessions • Once certified, customers should contact their GAM to set up a new Drop Copy 4.0 group to migrate • Customers can choose to hot-cut or to run both groups in parallel - Can only run in parallel with CGW targets - GAM will create a new produ
Slide 49: Production Migration
Production Migration Example of the Drop Copy Group Production Migration Drop Copy Group A - 2.0 Drop Copy Group A - 4.0 OYZV2K OYZV3K OYZV4K OYZV5K OMADGF AB1 BC1 AB1 BC1 EF1 AB2 BC2 AB2 BC2 EF2 AB3 BC3 AB3 BC3 EF3 AB4 BC4 AB4 BC4 EF4 • Only CGW Source sessions • Drop Copy CGW Target sessions with
Slide 50: Production Migration
Production Migration The current Drop Copy architecture will be phased out • Drop Copy 4.0 Production Launch date: Q3 2015 • Fees remain unchanged - The parallel, duplicated Drop Copy groups will be free of charge for 6 months from launch - Customers who continue to run in parallel beyond 6 months w
Slide 51: Agenda
Agenda • Market Data Platform 3.0 • Drop Copy 4.0 • New iLink Architecture – MSGW • Revised iLink Session Policy • Other Upcoming CME Globex Releases − Implied Options − User Defined Instruments − Leap Second − CME STP − CME Direct • Partner Exchange Updates • CME Portal & SmartClick 51 © 2015 CME G
Slide 52: New iLink Architecture: Market Segment Gateways
New iLink Architecture: Market Segment Gateways Q4 Launch of New Order Routing Architecture Market Segment Gateways (MSGWs) • FIFO message handling per market segment • Consistent performance across iLink sessions - Single entry point for all traffic for each market • New Session Access Model • New
Slide 53: New iLink Architecture: Launch
New iLink Architecture: Launch MSGW Internal Launch Internal roll out of MSGWs into the iLink Infrastructure – Q3 • CGWs will route through the new MSGWs • No direct customer access to the MSGWs • Includes a failover behavior change, which will affect all clients. Optional Direct Access to MSGWs – Q
Slide 54: New iLink Architecture: Session Model
New iLink Architecture: Session Model Shared SessionID Among All MSGWs CGW iLink Sessions Session EF1 will be iLink Convenience Gateway-1 iLink Convenience Gateway-2 replicated across SessionID:Port SessionID:Port MSGWs AB1:9000 BC1:9000 MSGW iLink Sessions AB2:9001 BC2:9001 IP 10.10.1.1 IP 10.10.1.
Slide 55: New iLink Architecture: Timestamps
New iLink Architecture: Timestamps • MDP 3.0 introduced Globex timestamps in Match Engine nanoseconds with microsecond precision • Market Segment Gateway adds additional timestamps 1 in nanoseconds with microsecond precision 1 • New timestamp (1) on iLink and MDP representing when orders reach the M
Slide 56: New iLink Architecture: Launch Milestones
New iLink Architecture: Launch Milestones Available Now • Client Impact Document • New Release: MSGW for all markets Summer 2015 Autocert+ Test Suite available Q3 2015: Pre-Launch • Internal MSGW rollout for all markets • Mock trading sessions for customers to interact with the system and experience
Slide 57: Agenda
Agenda • Market Data Platform 3.0 • Drop Copy 4.0 • New iLink Architecture – MSGW • Revised iLink Session Policy • Other Upcoming CME Globex Releases • Implied Options • User Defined Instruments • Leap Second • CME STP • CME Direct • Partner Exchange Updates • CME Portal & SmartClick 57 © 2015 CME G
Slide 58: Session Policy
Session Policy A new policy will be rolled out in conjunction with the launch of the Market Segment Gateway (MSGW): • Applies to both Convenience Gateway (CGW) and MSGW sessions • The number of MSGW sessions available for each Globex Firm ID (GFID) will be capped based on the historical Average Dail
Slide 59: Session Policy Components
Session Policy Components Port Activation Monthly Inactivity Volume Tiers Excess Capacity Charge Charge Charge CGW / Both Both MSGW MSGW MSGW Globex Level Applied Session ID Session ID Session ID Firm ID Timeframe 2 Previous n/a Previous Month Monthly Measured Quarters MSGW: < 1,000 sides # of sessi
Slide 60: Recent Session Policy Updates
Recent Session Policy Updates Based on recent customer feedback and to render the policy more flexible, we are making these changes: • Tier assignment will be based on ADV during the greater of the last two quarters • Firms who fall into a lower tier will be allowed to keep sessions above their new
Slide 61: Globex Firm ID MSGW Session Allowance Tiers
Globex Firm ID MSGW Session Allowance Tiers 61 © 2015 CME Group. All rights reserved.
Slide 62: Example: Customer XYZ Trading
Example: Customer XYZ Trading Time Period Executing Firm ADV Q4 ADV Q1 Tier Phase 1 MSGW Allowance Phase 2 MSGW Session Allowance MSGW Sessions Subject to ECC April 1st 2015 111 - XYZ Trading 55,000 35,000 5 9 30 25 0 • The above represents the first ADV calculation to identify the tier for a GFID •
Slide 63: Milestones
Milestones April: Customers will be notified by their GAM of their Q2 2015 estimated Phase 1 and Phase 2 MSGW session allocation • Based on greater ADV during Q4 2014 & Q1 2015 July: Customers notified of their estimated Phase 1 and Phase 2 MSGW session allocation • Based on greater ADV during Q1 &
Slide 64: Agenda
Agenda • Market Data Platform 3.0 • Drop Copy 4.0 • New iLink Architecture – MSGW • Revised iLink Session Policy • Other Upcoming CME Globex Releases − Implied Options − User Defined Instruments − Leap Second − CME STP − CME Direct • Partner Exchange Updates • CME Portal & SmartClick 64 © 2015 CME G
Slide 65: Implied Options
Implied Options Creating liquidity in spreads and back months through implied functionality • Enhance options market quality and liquidity to advance migration to CME Globex Option Spread Type and Product Eligibility • 8 recognized UDS strategies will be available for Implied Options: • Calendar, St
Slide 66: Comparison to Futures Implied Functionality
Comparison to Futures Implied Functionality Feature Implied Futures Implied Options Frequency / Pace Streaming On-Demand driven by RFQs, Configured with Delay + Duration Implication Direction Complementary; Complementary; INs + OUTs INs + OUTs Implied Generations Up to 2nd Generation 1st Generation
Slide 67: User Defined Instruments (UDI)
User Defined Instruments (UDI) • Allows users to dynamically create new option strikes. • For options in Energy and Metals only. • UDIs can only be created using CME Direct. • Once created, market data will be published on MDP 3.0 and order entry through iLink will be supported • Both Put and Call w
Slide 68: Leap Second
Leap Second What is a Leap Second? • A Leap second is a one-second adjustment that is occasionally applied to Coordinated Universal Time (UTC) to keep in synch with the mean solar time.1 • The next leap second will occur on Tuesday, June 30, 2015 during trading hours, for the first time since 1997.
Slide 69: CME STP
CME STP Key Benefits • Allows free connectivity to receive all trades cleared at CME for all firm types • Reduces dependency on report generation from FCM to Trading/Broker entity • Ensures real-time regulatory compliance • Uses an industry standard protocol and access via the Internet or leased lin
Slide 70: CME Direct: Q2 2015 Highlights
CME Direct: Q2 2015 Highlights Planned Enhancements: • Mobile app will allow users to either view or view & cancel orders • Improved user experience for block entry for Interest Rates and FX • Countdown timer for Block and EFP transactions to help meet entry requirements • Usability improvements: •
Slide 71: CME Direct
CME Direct EOS Trader to CME Direct Migration • Decommission goal set for Q4 2015 • May 2015 release will include more robust options functionality and attractive UDS capabilities • Users can migrate now at their discretion; CME will look to migrate many users from EOS Trader to CME Direct beginning
Slide 72: Agenda
Agenda • Market Data Platform 3.0 • New iLink Architecture – MSGW • Revised iLink Session Policy • Drop Copy 4.0 • Other Upcoming CME Globex Releases − Implied Options − User Defined Instruments − Leap Second − CME STP − CME Direct • Partner Exchange Updates • CME Portal & SmartClick © 2015 CME Grou
Slide 73: Global Partner Updates
Global Partner Updates China Financial Futures Exchange (CFFEX) • Only state-approved financial derivative exchange in China. Its flagship product is CSI300 Index Futures. • CME Group will provide data administration services including licensing, onboarding, invoicing, fee collection and audit on be
Slide 74: Global Partner Updates
Global Partner Updates Korea Exchange • On December 8th, KRX launched USD/KRW FX futures on CME Globex for night time trading. • The FX contract is growing MoM with ADV of 83 in Jan, 536 in Feb, and 1,339 in March. Dubai Mercantile Exchange • DME had a positive 2014, with trading volumes up 33% year
Slide 75: Agenda
Agenda • Market Data Platform 3.0 • New iLink Architecture – MSGW • Revised iLink Session Policy • Drop Copy 4.0 • Other Upcoming CME Globex Releases − Implied Options − User Defined Instruments − Leap Second − CME STP − CME Direct • Partner Exchange Updates • CME Portal & SmartClick 75 © 2015 CME G
Slide 76: CME Application Portal is Evolving into a Single Point of Access
CME Application Portal is Evolving into a Single Point of Access For All CME Applications Individual Q1 Q1 Application 2016 2014 2015 Links © 2015 CME Group. All rights reserved. 76
Slide 77: CME Application Portal Roadmap 2015 and Beyond
CME Application Portal Roadmap 2015 and Beyond Administration FirmSoft BPS CME CORE CoLo Portal (Q2 2015) RAV Manager EFS Portfolio & Risk Risk Management Tools Administration Firm Admin Dashboard Positions (Q2 2015) GPS Web GalaxC (Q4 2015) Membership Portal Request Center ClearPort Deliveries Plus
Slide 78: Thank you! Quiz Q&A
Thank you! Quiz Q&A 78 © 2015 CME Group. All rights reserved.