CME Group Inc. · NASDAQ:CME
CME — Corporate Update (2018)
43 slides from CME's corporate update, 2018
Slide 1: CME Group Customer Forum Fall 2018
CME Group Customer Forum Fall 2018 © 2018 CME Group. All rights reserved.
Slide 2: Agenda
Agenda • CME Globex Technology Roadmap - Price Precision Extension - Consolidated iLink Fill Messages - iLink Enhancements - iLink Behavior Harmonization - CGW - iLink FIX Binary Order Entry - CME Reference Data API - CME Group Data Insights: Settlements & Valuations - Decommission of ITC Functions
Slide 3: Price Precision Extension & 2 Year Treasury Futures Tick
Price Precision Extension & 2 Year Treasury Futures Tick Supporting a Greater Tick Precision Project Overview • Price fields will support 9 decimals to provide greater price granularity – currently limited to 7 • On January 13, the 2 Year Treasury Futures and spreads will trade at 1/8 of 1/32nd with
Slide 4: Price Precision Extension 2-Year Futures Display Format
Price Precision Extension 2-Year Futures Display Format Example of Current Trading Screen Expectations for Going Forward Fractional Decimal Displayed 1/8 0.125 108'071 1/4 2/8 0.250 108'072 3/8 0.375 108'073 1/2 4/8 0.500 108'075 5/8 0.625 108'076 3/4 6/8 0.750 108'077 7/8 0.875 108'078 - 8/8 1.000
Slide 5: Price Precision Extension: Upcoming Key Activities and Dates
Price Precision Extension & 2 Year Treasury Futures Tick Upcoming Key Activities and Dates • Available - Technical specifications and full rollout schedules on the Client Systems Wiki - MDP 3.0 and streamlined Schemas in New Release - Reduced tick 2 Year Note in New Release - CME, CBOT and MGEX sche
Slide 6: Consolidated iLink Fill Messages
Consolidated iLink Fill Messages Consolidate iLink execution reports and clearing trade confirmations to improve performance and increase capacity • Consolidation of Fill messages on all customer interfaces: - Completed: MDP 3.0 – Fill consolidation was already delivered in the Trade Summary Message
Slide 7: Example: Fill Message Consolidation (Pro-Rata)
Example: Fill Message Consolidation (Pro-Rata) Bid Ask 10 @ 1.0 - Order B (25%) Order A Bid 30 @ 2.0 10 @ 1.0 – Order C (25%) 20 @ 1.0 – Order D (50%) 50 @ 2.0 – Order E 10 @ 2.0 – Order F iLink Fills MDP 3.0 Current State: New State: Trade Summary Order A 15 @ 1.0 Order A 30 @ 1.0 (Aggressor) (No O
Slide 8: Example: Fill Message Consolidation (FIFO - Implied)
Example: Fill Message Consolidation (FIFO - Implied) GEH8 GEM8 Bid Ask Bid Ask Order A Bid 100 @ 9806 5(10) @ 9805 - Order B (Display Quantity Order) 20 @ 9802 – Order X 10 @ 9805 – Order C GEH8-GEM8 20 @ 9805 – Implied Liquidity Bid Ask 50 @ 9806 – Order D 20 @ 3.0 – Order Y 10 @ 9806 – Order E iLi
Slide 9: Consolidated iLink Fill Messages – Launch Timeline
Consolidated iLink Fill Messages – Launch Timeline Oct Nov Dec Jan Feb Mar Oct 22 Oct 29 Nov 19 Jan 14 Feb 3 Feb 24 Mar 3 Mar 10 New Release New Release New Release New Release Production Production Production Production Week 1 Week 2 Week 3 Week 4 Week 1 Week2 Week 3 Week 4 • Consolidated iLink Fil
Slide 10: iLink Enhancements
iLink Enhancements End-to-End Note Field - New FIX tag 5149-Memo carries customer text from iLink to Drop Copy and CME STP - Launch Timeline: NR – October 22, 2018 / Production – March 31, 2019 Clearing Instructions (e.g., Average Pricing and SLEDS) - New FIX tags for post-trade clearing instruction
Slide 11: iLink Enhancements: Tag Validation
iLink Enhancements Tag 50 Validation • Market Regulation Rule 576 requires that all iLink messages sent to CME Globex are properly submitted with the correct Tag 50 ID • With this launch, CME Globex will enforce the following tag 50 validation rules on all iLink message type: - Minimum length = 2 -
Slide 12: iLink Enhancements: Mandatory Tag 1031
iLink Enhancements Mandatory Tag 1031 – Q4 2019 • Provides trading and clearing firms a more effective means to reconcile executing broker fees • Requires current Tag 1031 - CustOrderHandling on all iLink order messages (currently optional) • Tag 1031 valid values have been defined by the FIA Tag 10
Slide 13: iLink Behavior Harmonization - CGW
iLink Behavior Harmonization - CGW To simplify session level behaviors across MSGW and CGW, the following changes to CGW will be launched on January 6, 2019. These changes are forward-compatible and can be made at any time prior to launch Real-Time Message Interleaving • In resend request scenarios,
Slide 14: iLink FIX Binary Order Entry
iLink FIX Binary Order Entry iLink FIX Binary has been refocused to deliver the following key features: Layer Feature Customer Impacts Presentation Short Order • Customers can create templates via the new Message iLink message with static information and a key prior to order submission • Streaming m
Slide 15: iLink FIX Binary Order Entry
iLink FIX Binary Order Entry iLink FIX Binary will initially be available only on MSGW sessions • Binary and ASCII will be supported in parallel for 6 months to allow customers to manage their own migrations - Legacy ASCII will be decommissioned following the parallel period on all MSGW sessions • i
Slide 16: CME Reference Data API
CME Reference Data API CME Reference Data API is our new strategic solution for static product and instrument referential information • Goal is to centralize static data in an out-of-band service available 24x7 • Dynamic data will continue to be streamed on the live market data feeds Information del
Slide 17: CME Group Data Insights: Settlements & Valuations
CME Group Data Insights: Settlements & Valuations CME Group plans to create new MDP SBE channels for settlement and valuation data Project Overview • Settlement and Valuation Data o All Future and Option Settlements o Theoretical valuations for all Non-OI Future and Option instruments o High/Low pri
Slide 18: Theoretical Valuations Benefits - Futures
CME Group Data Insights: Settlements & Valuations Theoretical Valuations Benefits - Futures • Settlements (Blue) will be complimented by Theoretical Valuations (Orange) produced by CME Settlement and Valuation teams • With theoretical valuations the true asset values can be used for margin modeling,
Slide 19: Theoretical Valuations Benefits - Options
CME Group Data Insights: Settlements & Valuations Theoretical Valuations Benefits - Options • Expect 5-8x the number of option valuations than currently receiving • NYMEX DCM Valuations will launch first with other DCM later in 2019 19 © 2018 CME Group. All rights reserved.
Slide 20: Decommission of ITC Functions
Decommission of ITC Functions Decommission of ITC Functions Overview Project Overview • With the introduction of Settlement & Valuation data and Reference Data API many non- floor ITC data functions will become redundant and will be decommissioned in favor of a modern SBE architecture • Additionally
Slide 21: Risk Management Tools Updates
Risk Management Tools Updates ICC Product Restriction Policy (PRP) functionality • Clearing Firm Risk Admins may set policy to block all accounts at selected Executing Firms from trading a specific product • No need to register or set limits for individual accounts • Supports account whitelisting un
Slide 22: Risk Management Tools Updates
Risk Management Tools Updates CME Account Manager is a legacy monolith application • Multiple tabs in a single User Interface (UI) • Complex navigation • Too many roles, functions and features CME Account Manager is being phased out and its functions replaced by individual microservice UIs • Each in
Slide 23: CME Account Manager Microservices Rollout
CME Account Manager Microservices Rollout Service Function New Release Production CME Account Manager Deprecation Mass Quote MQP settings Launched Launched Removed Protections for CME Globex Account Create, manage Launched Launched TBD Management and view Services (AMS) accounts and account-level ri
Slide 24: CME Account Manager Microservices Rollout
CME Account Manager Microservices Rollout Service Function New Release Production CME Account Manager Deprecation Entity Risk Manage risk Launched 18 November TBD Management settings for users, firms and products: • ICC policies, alerts and product restrictions; • user credit controls for CME Direct
Slide 25: FirmSoft Administration Migration
FirmSoft Administration Migration In 2017 FirmSoft migrated to a new platform, which includes mobile capability, and new search and cancel by MSGW ID functionality. User permissioning will migrate from the legacy FirmSoft Administration tool to User Administration in the CME Group Customer Center. •
Slide 26: CME Direct – 2018 Enhancements
CME Direct – 2018 Enhancements Equities-style options grid • Quickly create an options grid based on underlying futures contracts • Grid will automatically load all option expirations based on the underlying term order Create Hedged Strategies • Using grid displayed options volatility and delta crea
Slide 27: Agenda
Agenda • Globex Technology Roadmap • Product Updates - SOFR & SONIA Futures - BTIC - Bitcoin Futures - Black Sea Wheat - FX Link - Energy - Liquidity Tool 27 © 2018 CME Group. All rights reserved.
Slide 28: SOFR & SONIA
SOFR & SONIA SOFR – First 5 Months: • 1 Trillion in notional value • 137 Billion in notional open interest • 80+ global participants • Now live: SOFR Swap Clearing SONIA – First month: • Live with Quarterly contracts • Capital efficient margin offsets against other CME Group STIR products - 50% vs E
Slide 29: © 2018 CME Group. All rights reserved.
29 © 2018 CME Group. All rights reserved.
Slide 30: Basis Trade at Index Close (BTIC) – Record Volumes
30 Basis Trade at Index Close (BTIC) – Record Volumes • Basis Trade at Index Close on major U.S. indices all reached record highs in October, culminating in 108,068 contracts traded on October 12. Source: CME Group 30 © 2018 CME Group. All rights reserved.
Slide 31: Bitcoin Futures – Q3 Highlights Tremendous Growth
31 Bitcoin Futures – Q3 Highlights Tremendous Growth • ADV reached 5,053 contracts, +41% versus Q2 and equal to ~$177M notional or 25,265 equivalent bitcoins • Average daily OI continues to grow at over 2,800 contracts, +19% versus Q2 • Bid-ask spread remains tight at under two ticks wide, reflectin
Slide 32: Black Sea & Australian Wheat volumes & open interest
Black Sea & Australian Wheat volumes & open interest • >115K lots of Black Sea Wheat futures (BWF) traded in 2018 (>5 million tonnes) • BWF record trading day 31 July – 3600 lots • Black Sea Wheat Open Interest of 20000 lots, out to July 2019 • 4700 lots of Australian Wheat traded in 2018, OI of 190
Slide 33: FX Link
FX Link Volume is growing, top-of-book is building, liquidity coverage is expanding • Record 17,898 contracts (>$1.7B notional) on October 11. • Record five-day rolling average volume of more than 11,000 contracts. 33 © 2018 CME Group. All rights reserved.
Slide 34: WTI Futures: Global Crude Oil Benchmark
WTI Futures: Global Crude Oil Benchmark WTI Futures Volumes Climb and Open Interest Hits Record Levels 1,600,000 3,000,000 1,400,000 2,500,000 1,200,000 2,000,000 Open Interest 1,000,000 • WTI Crude Oil Futures (CL) broke the ADV 800,000 1,500,000 single-day open interest record on 600,000 1,000,000
Slide 35: WTI Trading Up During Asian and European Hours
WTI Trading Up During Asian and European Hours WTI Crude Oil Futures (CL) ADV During non-U.S. Trading Hours 300,000 25% 250,000 • Non-U.S. hours volume in WTI Options (LO) 20% increased 78% in September vs. one year ago non-U.S. Hours ADV % of Total ADV 200,000 15% 150,000 10% • Volume during London
Slide 36: Electronic Liquidity in Crude Oil Options at All-Time High
Electronic Liquidity in Crude Oil Options at All-Time High WTI Crude Oil Options (LO) Electronic Growth Driven by On-Screen Spread Trading 200,000 90% • Brent options (futures-style) hit record volume 180,000 80% in September 2018 of 13,000/day 160,000 70% Electronic ADV % Electronic 140,000 60% 120
Slide 37: New - NYMEX WTI Houston Futures - HCL
New - NYMEX WTI Houston Futures - HCL • Delivers into the Enterprise system – ECHO, Enterprise Houston Ship Channel (EHSC), and Genoa Junction • Gain access to the most robust crude infrastructure in Houston, with connections to major refiners, robust storage capacity and export terminals • Specific
Slide 38: CME Liquidity Tool
CME Liquidity Tool Powerful new tool to measure market liquidity • Current and historical liquidity of CME Group futures and options across asset classes • Features: - Bid-ask spread - Book depth - Cost to trade • Free of charge • Available to integrate • www.cmegroup.com/liquiditytool © 2018 CME Gr
Slide 39: CME Liquidity Tool: Several views and data slices available
39 CME Liquidity Tool Several views and data slices available Users can select from 19 core products over three time zones and three separate analyses © 2018 CME Group. All rights reserved.
Slide 40: Reference of Important Dates
Reference of Important Dates Topic Date Account Management Services (AMS) Production Launch 28 Oct 2018 End-to-End Note Field New Release 22 Oct 2018 Price Precision TEST Product Launch 18 Nov 2018 CME Account Manager MicroService - Entity Risk Management Production Launch 18 Nov 2018 Reference Data
Slide 41: Thank you!
Questions Please contact your Global Account Manager (GAM) with any questions or concerns at globalaccountmanagement@cmegroup.com or via phone in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505. Thank you! 41 © 2018 CME Group. All rights reserved.
Slide 42: 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 43: CME Group
<3 CME Group