CME Group Customer Forum · 25.02.2018 · oWednesday FX options add new short -dated maturities with Wednesday expiries, allowing for trading opportunities around mid …
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© 2018 CME Group. All rights reserved.
CME Group Customer Forum
Spring 2018 SingaporeLondonUS Webinar
© 2018 CME Group. All rights reserved.
• Product Updates- Interest Rates Futures- CME FX- Equities- Commodities- Metals Performance- Energy Products
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
2
© 2018 CME Group. All rights reserved.
• Product Updates- Interest Rates Futures
• SOFR Futures• CME-CBOT STIR Spreads
- CME FX- Equities- Commodities- Metals Performance- Energy Products
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
3
© 2018 CME Group. All rights reserved.
Strong Liquidity for Rates Futures & Options in Volatile Markets
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SOFR Futures – Launching May 7th
• 1month SOFR contracts (SR1): calendar month rolls, 7 listed (similar to FF futures)• 3month SOFR contracts (SR3): March quarterly IMM rolls, 20 listed (similar to ED)• Full details available at: http://www.cmegroup.com/trading/interest-rates/secured-
overnight-financing-rate-futures.html
Driven by deep liquidity and outsized growth in buy-side participation, rates volume has surged to 12.6M contracts/day YTD in the first 2 months. +54% vs. 2017.
Volume Records• Interest Rate complex ADV:15.8M in Feb. Options ADV: 4M in Feb• Invoice Spreads ADV: 114K YTD. Ultra 10 ADV: 310K in Feb• Treasury futures ADV: 6.7M in Feb• *Treasury futures notional volume as of % of underlying cash: 97.6%
February Open Interest and Large OI Holder Records• Total IO: 87M contracts, +36% YTD• Futures IO: Eurodollars (17M). Fed Funds (2.2M), 2 Yr (2.1M), 5 Yr (3.9M), 10 Yr (4M),
Ultra 10 Yr (628K), and Ultra Bond (1M)• Options OI: EDs (49M), 5 Yr (2.3M), 10 Yr (5.3M)• Futures LOIH: total (2.086), 2 Yr (345), 5 Yr (355), 10 Yr (444), Ultra 10 Yr (94), and Ultra
bond (129)
© 2018 CME Group. All rights reserved.
Globex Symbol Example
Spread Symbol
Implied Y/N Front Leg Back Leg Leg Ratio Launch Date
ZQJ8K8-GEH8 EF No Fed Funds Eurodollars (3+3) : 10 March 12SR3H8-GEH8 IS Yes SOFR 3-Month Eurodollars 1:1 May 7SR1H8-ZQH8 IS Yes SOFR 1-Month Fed Funds 1:1 May 7SR1J8K8-SR3H8 EF No SOFR 1-Month SOFR 3-Month (3+3) : 10 May 7ZQJ8K8-SR3H8 EF No Fed Funds SOFR 3-Month (3+3) : 10 May 7
5
CME Group Short Term Interest Rate Inter-Commodity Spreads
Eurodollar Fed Funds
SR3 SR1
10:6 Ratio; 4 Listed
(Launching March 12)
1:1 Ratio;20 Listed
10:6 Ratio; 3 Listed
10:6 Ratio; 4 Listed
Spread Weightings• Fed Funds and 1-Month SOFR Futures are $41.67 DV01 contracts
• Eurodollars and 3-Month SOFR Futures are $25 DV01 contracts
• To balance DV01 weighting, spreads between instruments with different DV01s will be weighted to have 6:10 leg ratios to balance the corresponding $41.67 : $25 DV01s
• For weighted spreads, Legs are arranged to match exposures between IMM dates: 1 quarterly Eurodollar or 3-Month SOFR Future spread against the next 2 Fed Fund or 3-Month SOFR Futures contract months (i.e. 3 April FF + 3 May FF vs. 10 March ED)
1:1 Ratio;7 Listed
© 2018 CME Group. All rights reserved.
STIR Analytics Tools• STIR Spreads Tool: www.cmegroup.com/stiranalytics• Displays synthetic price history, end-of-day settlement, and implied rates• Will be enhanced to include SOFR spreads after launch
6
© 2018 CME Group. All rights reserved.
• Product Updates- Interest Rates Futures- CME FX- Equities- Commodities- Metals Performance- Energy Products
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
7
© 2018 CME Group. All rights reserved.
CME FX ProductsNotional nearing 40% of all ECN-traded FX: Recognition of advantages offered by listed futures driving growth
8
• INRUSD (“SIR”) one of the fastest growing contractso End-Feb: ADV approx. $416BB; +340% YoY
• CME Wednesday FX Options:o Wednesday FX options add new short-dated maturities with Wednesday expiries, allowing for
trading opportunities around mid-week events such as FOMC, BOC, and RBA announcements
o Contracts are available on EUR/USD, JPY/USD, GBP/USD, AUD/USD, CAD/USD with exact product specification as weekly, serial, and quarterly options, except with Wednesday expiration
© 2018 CME Group. All rights reserved.
CME FX Link - Spot FX Basis Spreads at CME GroupLAUNCHED: MARCH 26th
• Enables electronic trading of an OTC Spot FX transaction and a CME Group FX futures contract via a single spread trade on CME Group’s liquid and transparent Globex platform
• Traded as the differential between FX Futures and OTC Spot FX, resulting in simultaneous execution of a FX Futures contract and an OTC Spot FX transaction
• Central prime broker intermediates OTC Spot FX transactions resulting from the spread, allowing participants to leverage existing OTC FX interbank credit relationships and prime brokerage network
• Initial scope includes spreads between OTC Spot FX and the front three expiry months of the following currency pairs: EURUSD, JPYUSD, GBPUSD, CADUSD, AUDUSD, MXNUSD
CME FX Link enables market participants to efficiently realize the capital, margin and operational benefits of CME FX Futures
CME FX Link is the first ever central limit order book for trading spreads between OTC FX Spot and CME FX Futures, seamlessly connecting the two markets
Access the deep liquidity and firm pricing offered in CME Group’s marketplace
Efficiently establish and hold forward exposures via capital and margin advantaged CME FX Futures
Better manage and optimize margin and credit lines across CME FX Futures and OTC Spot FX transactions
9
© 2018 CME Group. All rights reserved.
Spot FX Basis Spread Details & WorkflowBasis Spread Quotation • Quoted and traded as the difference between
futures and spot as represented with both legs in OTC price convention
Basis Spread Construction• Buyer of spread buys CME FX Futures and
sells OTC Spot FX, seller sells CME FX Futures and buys OTC Spot FX
• For FX future currency pairs that are quoted inverse to OTC FX convention*. Buyer of spread sells FX futures and buys OTC FX spot and vice versa for a seller of spreads in the above listed pairs
Basis Spread Leg Pricing• Futures leg price = last Globex Price
• OTC Spot FX leg price = Futures leg price -Traded Basis Spread
Basis Spread Transactions • Basis spread results in simultaneous execution
of FX Futures cleared by CME Clearing, and OTC Spot FX subject to existing OTC FX enabled via central intermediation by the Central FXPB (see details on next slide)
CME FX Link Trade Workflow
*Inverse Pairs: JPY/USD, CAD/USD, MXN/USD
10
© 2018 CME Group. All rights reserved.
• New market making program driving liquidity across spreads and outrights• Implied pricing enabling more optimal availability of liquidity across the curve• Increased ADV and open interest with increased participant set• 250 customers already trading across Buyside, Banks, Retail and Corporates• A single-day record of 23,199 contracts was achieved on 11 January 2018
FX Monthly Futures – Now with “Implied Pricing”
11
© 2018 CME Group. All rights reserved.
• GREENWICH ASSOCIATES: TCA REPORT ON FX FUTURES- Excerpt: “The results show that FX investors can find significant cost savings (upward of 75% in
some cases) by trading futures rather than executing a trade in the OTC markets. For those entities subject to Basel III costs, switching to futures from OTC trades could garner even greater savings.”
- The full paper is available at: http://pages.cmegroup.com/rs/319-HPA-933/images/Bright-Future-FX-Futures.pdf?aliId=124137297
• CME GROUP: REPLICATING OTC FX POSITIONS WITH CME FX FUTURES- Excerpt: “For OTC FX market practitioners seeking capital and cost-effective means to address
new requirements, CME FX futures, traded on a highly liquid regulated exchange, offer an attractive alternative to many OTC FX trading strategies.”
- The full paper is available at: http://www.cmegroup.com/education/replicating-otc-fx-market-positions-with-cme-fx-futures.html?aliId=124137275
Recently Published FX Whitepapers
12
© 2018 CME Group. All rights reserved.
• Product Updates- Interest Rates Futures- CME FX- Equities
• Bitcoin Futures• Japanese Index Futures• BTIC
- Commodities- Metals Performance- Energy Products
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
13
© 2018 CME Group. All rights reserved.
CME Bitcoin Futures Highlights
14
Recorded highest ADV month in March, 2,578 BTC contracts (equivalent to 12,890 bitcoin) traded per day, up 61% since February
March 27, 2018 - highest single day volume 4,381 BTC contracts (equivalent to 21,905 bitcoin) Most BTC spread transactions in a single month, 2,696 BTC contracts Asian Hour volume continues to grow, only 53% of BTC volume is traded during US RTH since
launch First block trade this year, 68 contracts on March 27, 2018 23 FCMs have cleared the product, 1,100+ unique accounts have traded BTC since the launch
© 2018 CME Group. All rights reserved.
Bitcoin Futures Average Volume by Hour15
© 2018 CME Group. All rights reserved.
Japanese Equity Index Futures16
Nikkei 225 Index Futures – Strong momentum
Nikkei 225 Index Futures Implied Spread – Launched 30 Oct 2017CME Group introduced a new inter-commodity spread contract between JPY- and USD-denominated Nikkei 225 Index futures, the world’s first cross currency implied spread product via electronic matching algo. Executing the trade via the new implied functionality ensures both legs of the spread are executed simultaneously without a slippage risk and will provide an efficient hedging tool to manage forward quanto risk.
- Long 1 spread contract will represent a purchase of 1 Nikkei 225 USD contract (NKD) and a sale of 1 Nikkei 225 Yen contract (NIY).
- Benefits • Reduced legging risk• Increased liquidity in the outright orderbooks• Tighter spreads• 3-way order books interaction
CME Launched JPY- and USD- denominated Nikkei 225 Index futures contracts on Globex in 2004, and now it trades a combined ~80K contracts* per day, offering investors a deep liquidity and the venue to manage the exposure to Japanese equities for 23 hours around the clock.
• 2018 YTD ADV (80,172 contracts; USD 8.3BN) up 41% vs. 2017 ADV 56,664 contracts
© 2018 CME Group. All rights reserved.
Japanese Equity Index Futures17
TOPIX Futures – NEW!CME launched TOPIX Futures on February 5th 2018, which is a top 10 global benchmark by AUM. The new TOPIX futures offers global investors an additional product to capture benchmark index and spreading opportunities in their Japanese equity index exposure
BTIC (Basis Trade at Index Close) on TOPIX was launched together, providing a unified vehicle to replicate cash close of the Japanese stocks with greater transparency.
Contract Specification
© 2018 CME Group. All rights reserved.
Record monthly ADVs in 2018 : ESTMarch 36,261 ADV, +227% vs 2017February 42,229 ADV ** January 38,120 ADV
Record volume day : 77,884 EST contracts traded ($10.2 billion notional) on February 9th, surpassing the previous record of 75,212 contracts achieved earlier that same week on February 5th. In fact, there were 7 days in which EST volume exceeded 50K contracts traded in Feb, 17 days exceeded 30K contracts in Mar.
Liquidity continues to build on-screen 90% of BTIC volume traded on Globex in March. 85%+ thus far in 2018, up from 80% in 2017 and 64% in 2016.
Basis Trade at Index Close
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BTIC volume comprised over 36% of the MOC value traded at NYSE and NASDAQ, on average, in March. By comparison, BTIC averaged 14% of the MOC value in 2017.
© 2018 CME Group. All rights reserved.
• Product Updates- Interest Rates Futures- CME FX- Equities- Commodities
• Black Sea Wheat• Palm Oil Suite
- Metals Performance- Energy Products
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
19
© 2018 CME Group. All rights reserved.
Black Sea & Australian Wheat Volumes & Open Interest• >13K lots of Black Sea Wheat futures (BWF) traded since launch, all as blocks• BWF record trading day 1 March – 1900 lots • BWF Open Interest 10000 lots, out to December 18• >1400 lots of Australian Wheat traded, OI of 1,540 lots out to May 18
20
© 2018 CME Group. All rights reserved.
Why Trade These Contracts?
• Black Sea and Australia global top 5
wheat exporters, regional price setters
• Manage exposure to the Black Sea &
Australian wheat markets 12 months out
• Financially settled using Platts
assessments (no physical deliveries)
• Black Sea vs Australia Wheat arbitrage
opportunities. Margin offsets of 65%
• Participation from physical traders
continues to increase, funds participating
21
Further Information:
Live trades (size, price) on block futures available at: http://www.cmegroup.com/tools-information/quikstrike/
Black Sea Wheat: http://www.cmegroup.com/blacksea
Australian Wheat: http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/australian-wheat.html
• Open interest rising rapidly –
combined >11k, out to December
2018
• Price settlements provided by CME
on a daily basis for all months
• Traded as block futures off-screen
• Numerous brokers providing block
futures liquidity to the market
© 2018 CME Group. All rights reserved.
• The group of 6 products broke a few records in 2017. Open Interest (O.I.) continued to grow with both monthly and quarterly end records of 30,702 and 30,198 contracts set in May and Q2 respectively
• Q2 recorded the second highest volume quarter at 35,352 contracts cleared
• Futurization is occurring with 19% of the O.I. now in futures, up from 7% in 2016
22
2017 Palm Suite Performance Highlights
• On a full year basis, O.I. continues to hold steady while volumes dipped only slightly to 111,546 contracts. Comparatively, volumes at global palm futures markets declined significantly, dropping by almost half, or -45.7%*
• Since launch, over 340,000 contracts (representing 8.5 million metric tons) have cleared
• 2017 volumes cleared at the CME represent approximately 14% of annual Malaysian CPO production.
• O.I. is extended out till Dec 2018. Contracts are now available out till calendar 2022 and can be traded in both quarterly and yearly strips
Palm Volume, Open Interest
*FIA data, Jan to Nov
22
© 2018 CME Group. All rights reserved.
23
Relationship Based TradingThe Agricultural complex has allowed crossing on CME Globex and block trades across all products starting January 8, 2018. This will allow for bi-lateral or brokered conversations prior to the execution of the orders, including discussions concerning price, size and direction.
This will help facilitate :
• Large transactions relative to the existing
order book liquidity
• Trading in unique instruments
• e.g., farther dated contract months,
crush options, deep in-the-money
strikes
• Executing a complex order type
• strip spreads, broken crushes, multi-
legged options
• Sourcing liquidity during “off hours”
ETH RTHGrains & OilseedsFutures Blocks, R-cross, G-cross Blocks, R-cross, G-cross
Options Blocks, R-cross, NO G-cross Blocks, R-cross, NO G-cross
Livestock
Futures Blocks Blocks, R-cross, G-cross
Options Blocks Blocks, R-cross, NO G-cross
Dairy
Futures Blocks, R-cross, G-cross Blocks, R-cross, G-cross
Options Blocks, R-cross, NO G-cross Blocks, R-cross, NO G-cross
© 2018 CME Group. All rights reserved.
24
Grain & Oilseed Extended Trading Hours Liquidity
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Volu
me
Trade DateChicago SRW Wheat Corn KC HRW Wheat Soybean Soybean Meal Soybean Oil
Apr 4: China announces U.S. soybean tariffs of 25%, volumes trade an all time record of 776,774 contracts before the U.S. trading day started, markets functioned normally
© 2018 CME Group. All rights reserved.
• Product Updates- Interest Rates Futures- CME FX- Equities- Commodities- Metals Performance- Energy Products
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
25
© 2018 CME Group. All rights reserved.
• Record ADV in January 2018 across CME Group Precious futures from Asian based clients- Gold futures ADV 72k, +93% YoY- Silver futures ADV 16.6k, +79% YoY
• Increasing liquidity during Asia ours, between 8am-8pm SIN time- Gold futures ADV between 8am-8pm SIN time representing ~31% of global Gold ADV
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Asia-Pacific Precious Metals Futures Performance
© 2018 CME Group. All rights reserved.
Gold Weekly Options continue to grow in popularity
• Record ADV in January 2018 for Gold Weekly Options- ADV almost 2k, vs just 278 in January 2017- Friday expiry allows investors to trade around important macro-economic data points and news
announcements
27
CME Group
© 2018 CME Group. All rights reserved.
• Record ADV in December 2017 for Copper futures traded by Asia based clients
• FX volatility and Copper inventory levels have led to increased cross exchange arbitrage activity
• Dec’17 APAC ADV of 24k is a 119% increase YoY
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Asia-Pacific Copper Futures Performance
© 2018 CME Group. All rights reserved.
• Announcement of trump tariffs has caused heightened volatility in regional aluminiumphysical markets, particularly the US Midwest
• Volatility has spilled over to other markets, with Japan Premium MJP contract having an all time record volume day on 8th March 2018
• CME Aluminium premium futures offer a unique instrument to hedge against these risks
29
Aluminium Regional Premium Contract Growth
© 2018 CME Group. All rights reserved.
Copper Options continue to grow
• All top 10 highest open interest days for Copper Options are now in year 2018 – record on 23rd March 2018
• ADV has grown in the last 6 months with participation across wide variety of clients
30
CME Group
© 2018 CME Group. All rights reserved.
• Product Updates- Interest Rates Futures- CME FX- Equities- Commodities- Metals Performance- Energy Products
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
31
© 2018 CME Group. All rights reserved.
WTI Futures (CL) - The World’s Most Liquid Oil BenchmarkAverage Daily Volume (ADV) was up 12.5% YoY to 1.24 million in 2017.
WTI Futures (CL) volume remains strong with 1.46 million contracts traded per day YTD in 2018.
A daily record of 2,691,028 lots of Open Interest (OI) was set on November 10th, 2017.
WTI Futures average daily volume and open interest
Copyright © 2018 CME Group. All rights reserved.
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© 2018 CME Group. All rights reserved.
WTI Futures (CL) - The World’s Most Liquid Oil Benchmark
Copyright © 2018 CME Group. All rights reserved.
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ICE Brent NYMEX WTI
NYMEX WTI trades 28% more volume than ICE Brent in 2017
Post U.S. export ban
33
© 2018 CME Group. All rights reserved.
WTI Open Interest Surpasses Brent in 2017Month-end open interest in January 2018 reached all-time high with 2.65 million contracts outstanding
Copyright © 2018 CME Group. All rights reserved. 34
© 2018 CME Group. All rights reserved.
Asia’s Growing Role in Energy Benchmarks
35
The share of WTI Futures trading during Asian hours has been growing steadily and had doubled to 14% in January 2018 from 7% before the export ban repeal.• This doubling of Asian-hour volume is still more impressive in the context of the major
growth seen in WTI Crude Oil futures over the same period.• With WTI averaging 195,000 lots per day during the Singapore day in January 2018, WTI
has become the most liquid energy futures traded in Asian hours.
© 2018 CME Group. All rights reserved.
Unparalleled Liquidity in Henry Hub Futures
36
Henry Hub Futures (NG) average daily volume reached a record 676,000 in January 2018 and is currently up 26% YoY.
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Henry Hub Natural Gas Futures (NG)Volume and Open Interest
ADV Open Interest
© 2018 CME Group. All rights reserved.
Henry Hub becomes a global benchmark with U.S. LNG
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Number of U.S. LNG cargoes by destination in 2017
© 2018 CME Group. All rights reserved.
Superior Electronic Liquidity in Henry Hub Options
38
Natural Gas financial options (LN) have traded over 60% electronic for 4 straight months.
Electronic average daily volume has increased 124% YoY.
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Henry Hub Options (LN)Electronic Volume Growth
Electronic ADV % Electronic
© 2018 CME Group. All rights reserved.
• Product Updates
• Market Regulation- Overview of US Regulatory Model- Introduction to Market Regulatory- Disruptive Trading Practices- Tag 50 and 1028- Consent to Exchange Jurisdiction
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
39
© 2018 CME Group. All rights reserved.
US Department of
Justice
CFTC
CME Group
US Regulatory Model
Federal Criminal Authority:• United States Department of Justice
Federal Administrative Agency Oversight: • Commodity Futures Trading Commission
(CFTC)
First Line of Defense: • Self-Regulatory Organizations (SROs)
40
© 2018 CME Group. All rights reserved.
US Commodity Exchange ActRegulatory Obligations of a Designated Contract Market
US Commodity Exchange Act requires contract markets to comply with 23 core principles, including requirements to:
- Establish, monitor, and enforce compliance with rules of the contract market, including rules prohibiting abusive trading practices
- Have the capacity and responsibility to prevent manipulation, price distortion, and disruptions in the delivery or cash-settlement process
- Have the capacity to detect, investigate, and apply sanctions for violations of any rule of the contract market
- Have the ability and authority to obtain information
41
© 2018 CME Group. All rights reserved.
Commodity Futures Trading Commission RegulationsRegulatory Obligations of a Designated Contract Market
US Commodity Futures Trading Commission (CFTC) imposes additional regulations on contract markets:
• Market participants must consent to the jurisdiction of the exchange
• Exchanges must have authority to collect information and documents, including the ability to examine books and records
• Exchanges must prohibit abusive practices, such as front-running, wash trading, fraudulent trading, money passes, and conduct commonly known as spoofing (bidding or offering with the intent to cancel the bid or offer before execution)
42
© 2018 CME Group. All rights reserved.
Protecting market integrity, enforcing rules, and proactively mitigating risks to the marketplace
CME Group Market Regulation Department
~160 Employees in 4 Locations - Chicago, New York, London, and Singapore
Strong Commitment to Relationship Building- Externally with Clients- Externally with the Broader Compliance Community- Externally with Federal and Foreign Regulatory Bodies- Internally with Business Colleagues on Strategic Initiatives
5 Functional Groups- Rules & Regulatory Outreach- Technology & Strategic Initiatives- Market Surveillance- Investigations- Enforcement
43
© 2018 CME Group. All rights reserved.
CME Group Market Regulation Department
Rules & Regulatory Outreach - Provide formal and informal rules-based guidance to market participants, firms and colleagues- Draft rules, rule revisions and associated regulatory guidance (MRANs and SERs)
Technology & Strategic Initiatives - Ensure Market Regulation technology/systems are robust
Market Surveillance - Detect, deter and prevent market manipulation- Monitor position limits and exemptions, accountability levels, and large trader positions- Review Exchange for Related Position transactions
Investigations/Data Investigations- Detect and investigate conduct to identify trade practice violations and audit trail inaccuracies
Enforcement- Prosecute rule violations referred by Investigations and Market Surveillance- Administer dispute resolution program
Protecting market integrity, enforcing rules, and proactively mitigating risks to the marketplace
44
© 2018 CME Group. All rights reserved.
Providing participants with information and resources necessary to meet compliance needs
Rules & Regulatory Outreach
The outreach program aims to:
• Effectively communicate rule modifications, rule advisories and other rules-based information to market participants
• Promote a uniform understanding of Exchange rules and regulations
• Serve as a resource for trade practice and surveillance based questions
• Build constructive, ongoing relationships with industry participants
Rules & Regulatory Outreach staff are located in Chicago, London, and Singapore
45
© 2018 CME Group. All rights reserved.
CME Group Exchange Rules & Advisories
Comprehensive rules and detailed advisories provide market participants notice of prohibited conduct and regulatory processes
• Rules and advisories are filed with the CFTC and are available on the CME Group website
http://www.cmegroup.com/market-regulation/rule-filings.htmlhttp://www.cmegroup.com/rulebook/rulebook-harmonization.html
• Chinese versions of major rules and advisories are available on CME Group’s Chinese corporate website
http://www.cmegroup.com/cn-s/market-regulation/mrans.html
• Rules are harmonized across the four CME Group designated contract markets (CME; CBOT; COMEX; and NYMEX) with limited exceptions
46
© 2018 CME Group. All rights reserved.
CME Group Disruptive Practices ProhibitedRule 575 and Market Regulation Advisory Notice RA1516-5
Primary types of conduct prohibited by Rule 575
• Spoofing and layering
• Market conduct intended to mislead or deceive others, including activity during the pre-open sessions
• Intentional or reckless conduct that disrupts the orderliness of the markets
Market Regulation Advisory Notice RA1516-5
• Addresses key terms and definitions within the rule
• Lists factors that may be considered in assessing whether conduct violates Rule 575
• Identifies certain bona fide practices
• Identifies certain non-bona fide practices
47
© 2018 CME Group. All rights reserved.
Factors that Market Regulation may consider in assessing a potential violation of Rule 575:
• Market conditions
• Subject’s pattern of activity:
o Historical trading behavior;o Order entry & cancellation activity, including order duration;o Queue position;o Size of the orders relative to market conditions;o Ability to manage risk associated with orders;
• Subject’s activity in related markets;
• Effect on other market participants
• Other circumstantial evidence demonstrating intent
CME Group Disruptive Practices ProhibitedRule 575 and Market Regulation Advisory Notice RA1516-5
48
© 2018 CME Group. All rights reserved.
CME Group User Identification RequirementsRule 576 and Market Regulation Advisory Notice RA1610-5
A Tag 50 or Operator ID is a user identification that uniquely identifies a party that accesses and/or submits messages to CME Globex
• Point and click traders or a single person that is solely responsible for and monitors at all times the administration and operation of ATS should use an individual Tag 50 ID
• Team Tag 50 ID is use to represent a shift of personnel that administer, operate and monitor the ATS
• An individual may have multiple Tag 50 IDs
• For Tag 50 IDs trading through an undisclosed omnibus account, the clearing member firm must be able to obtain and provide the identity of the individual or team assigned to each Tag 50 ID immediately upon request by Market Regulation
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© 2018 CME Group. All rights reserved.
CME Group User Identification RequirementsRule 536.B. and Market Regulation Advisory Notice RA1210-5
Tag 1028 is a data field required on all order submissions into CME Globex to indicate whether an order is submitted by manual or automated means
• Manual orders must be submitted with the value ‘Y’ and automated orders must be submitted with the value ‘N’
• Automated orders are orders that are generated and routed without any human intervention
• ATS teams should only send in automated orders
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© 2018 CME Group. All rights reserved.
CME Group Consent to Exchange JurisdictionRule 418 and Market Regulation Advisory Notice RA1704-5
Any person initiating or executing a transaction on the exchange expressly consents to jurisdiction of the exchange and agrees to be bound by and comply with the rules of the exchange
• Jurisdiction applies whether the transaction was initiated or executed directly or through an intermediary
• Jurisdiction extends to any person for whose benefit such transaction has been initiated or executed
• Failure to fully cooperate and participate in any investigation or disciplinary enforcement matter may result in charges being issued pursuant to Rule 432.L. (Failure to Cooperate)
• The refusal to cooperate or provide requested information based on privacy or other applicable laws of any foreign jurisdiction will in no manner affect the Market Regulation Department’s request that charges be issued for a violation of rule 432.L.
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© 2018 CME Group. All rights reserved.
Market Regulation Department – Resources
Rules & Regulatory Outreach• MarketReg.Outreach@cmegroup.com
CME Group Subscription Center• Receive emails related to rule advisories, rule changes, and disciplinary actions
• www.cmegroup.com/subscribe
CME Group Webinars• Disruptive Practices Prohibited and Block Trade webinars available on cmegroup.com
Other Training Resources• FIA Rules & Regulatory Guidance for CME Group Markets, subscription-based, online
training module
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© 2018 CME Group. All rights reserved.
• Product Updates
• Market Regulation
• Globex Technology Roadmap- Price Precision Extension- Consolidated Fills- iLink Enhancements - Secure Logon
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
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© 2018 CME Group. All rights reserved.
CME Group Systems Plan to Support a Greater Tick Precision
Price Precision Extension & 2 Year Treasury Futures Tick
Overview
• The supported decimal price precision will be increased from 7 to 9 decimals to provide greater price granularity for future launches
• In conjunction with this change the 2 Year Treasury Futures and Spreads will support trading at 1/8 of 1/32nd with a decimal precision of 8
- Current: 1/4 of 1/32nd, or 0.0078125
- New: 1/8 of 1/32nd, or 0.00390625
• CME Group systems will be updated to support a greater decimal precision before 2 Year Treasury Futures and Spreads tick are expanded
• Certification is required for Globex MDP3 and Streamlined market data
• Technical specifications available
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© 2018 CME Group. All rights reserved.
Price Precision Extension 2 Year Futures Display Format
Example of Current Trading Screen
Fractional Decimal Displayed1/8 0.125 108'071
1/4 2/8 0.250 108'0723/8 0.375 108'073
1/2 4/8 0.500 108'0755/8 0.625 108'076
3/4 6/8 0.750 108'0777/8 0.875 108'078
- 8/8 1.000 108'080
Expectations for Going Forward
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© 2018 CME Group. All rights reserved.
Price Precision Extension - System Impact Overview
MDP3 and Streamlined• New MDP3 SBE schema and templates for all markets and will impact and will impact all MDP
systems• Mandatory customer system migration to new template; not backwards compatible
iLink and Drop Copy• All iLink, Drop copy and client risk systems must be able to process fills with a 9 digit decimal
price
Customer clearing systems • CF Confirms, Trade Registers (CSV, XML), Spanky/Span files to support an expanded
decimal
Public FTP Settlement Files and Settle Decks• Current STL file will not support expanded decimal format• Systems must migrate to DataMine or alternative STL file format
CME STP and Clearport• Will support the larger decimal precision
ITC Market Data• Products with price precision greater than 7 decimals will no longer be published on ITC
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© 2018 CME Group. All rights reserved.
There will be a multiphase release schedule to support the increased price precision
Price Precision Extension – Release Schedule
Key DatesiLink - Beginning 1 JulyMDP3 and Streamlined – Beginning 12 August2 Year Treasury Futures Reduced Tick, CPC, Clearing and STP Support – Q4
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© 2018 CME Group. All rights reserved.
Production RoadmapTesting Date Production Date Requirement Risk
Starting 6 May
Order Entry
Starting 1 July iLink/Order Entry: Implement new price decimal requirements and handle new iLink reject message
You may not be able to submit orders due to unsupported price format
Starting 20 May
Market Data
Starting 12 August Implement new MDP 3.0 and streamlined MDP schemas
You will not be able to read market data messages for ANYmarket
In Q2
Downstream Systems
In Q4 Ensure all your front-, middle- and back-office systems that handle prices are able to support up to 9 decimals
Your downstream systems may fail when the 2 Year Note futures and spreads transition
Action Items – Price Precision Extension
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© 2018 CME Group. All rights reserved.
Streamlined iLink execution reports and clearing trade confirmations to improve performance, increase capacity, and reduce costs
• Consolidation of Fill messages on all customer interfaces: - MDP 3.0 – Fill consolidation was already delivered in the Trade Summary Message- Clearing - new Trade Match Report messages will reflect iLink fill consolidation- iLink Order Entry and Drop Copy
• Fill Message Consolidation- Per aggressor order - At a single trade price- Within the same liquidity source (i.e. customer order and/or implied order)
• Order Entry Messaging Impacts- New iLink FIX tags:
• Tag 9700-NumOrdersInMatchStep – identifies the total number of orders matched within a match event
• Repeating group for Fill Reason contains:– Aggressor or Matching Algorithms (i.e. FIFO, Pro-Rata, LMM, TOP, etc.)– Fill Reason Quantity
• Launch Timeline- New Release: Q3 2018- Production: Phased rollout starting Q1 2019
.
Consolidated Fill Messages
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© 2018 CME Group. All rights reserved.
Example: Fill Message Consolidation (FIFO)Bid Ask
10 @ 1.0 - Trader B
10 @ 1.0 – Trader C
20 @ 1.0 – Trader D
50 @ 2.0 – Trader B
10 @ 2.0 – Trader C
Trader A Bid 100 @ 2.0
iLink Fills MDP 3.0 Trade Summary(No Change)
Current State:Trader A 10 @ 1.0Trader B 10 @ 1.0Trader A 10 @ 1.0Trader C 10 @ 1.0Trader A 20 @ 1.0Trader D 20 @ 1.0Trader A 50 @ 2.0Trader B 50 @ 2.0Trader A 10 @ 2.0Trader C 10 @ 2.0
New State:Trader A 40 @ 1.0 (Aggressor)Trader B 10 @ 1.0 (FIFO)Trader C 10 @ 1.0 (FIFO)Trader D 20 @ 1.0 (FIFO)
Trader A 60 @ 2.0 (Aggressor)Trader B 50 @ 2.0 (FIFO)Trader C 10 @ 2.0 (FIFO)
40 @ 1.060 @ 2.0
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© 2018 CME Group. All rights reserved.
Example: Fill Message Consolidation (FIFO - Implied)GEH8
Bid Ask
10 @ 9805 - Trader B
10 @ 9805 – Trader C
20 @ 9805 – Implied Order
50 @ 9806 – Trader B
10 @ 9806 – Trader C
Trader A Bid 100 @ 9806
iLink Fills MDP 3.0 Trade Summary(No Change)Current State:
Trader A 10 @ 9805Trader B 10 @ 9805Trader A 10 @ 9805Trader C 10 @ 9805Trader Y 20 @ 3Trader A 20 @ 9805Trader X 20 @ 9802Trader A 50 @ 9806Trader B 50 @ 9806Trader A 10 @ 9806Trader C 10 @ 9806
New State:Trader A 20 @ 9805 (Aggressor)Trader B 10 @ 9805 (FIFO)Trader C 10 @ 9805 (FIFO)
Trader A 20 @ 9805 (Aggressor) Implied SourceTrader X 20 @ 9802 (FIFO)Trader Y 20 @ 3 (FIFO)
Trader A 60 @ 9806 (Aggressor)Trader B 50 @ 9806 (FIFO)Trader C 10 @ 9806 (FIFO)
GEH8:40 @ 9805GEM8:20 @ 9802GEH8-GEM8:20@3.0
GEH8:60 @ 9806
GEH8-GEM8Bid Ask
20 @ 3.0 – Trader Y
GEM8Bid Ask
20 @ 9802 – Trader X
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© 2018 CME Group. All rights reserved.
Example: Fill Message Consolidation (Pro-Rata)Bid Ask
10 @ 1.0 - Trader B (25%)
10 @ 1.0 – Trader C (25%)
20 @ 1.0 – Trader D (50%)
50 @ 2.0 – Trader B
10 @ 2.0 – Trader C
Trader A Bid 30 @ 2.0
iLink Fills MDP 3.0 Trade Summary(No Change)
Current State:
Trader A 15 @ 1.0Trader D 15 @ 1.0 Trader A 7 @ 1.0Trader B 7 @ 1.0 Trader A 7 @ 1.0Trader C 7 @ 1.0 Trader A 1 @ 1.0Trader B 1 @ 1.0
New State:
Trader A 30 @ 1.0 (Aggressor)Trader D 15 @ 1.0 (Pro-Rata)Trader B 8 @ 1.0 (Pro-Rata+Leveling)Trader C 7 @ 1.0 (Pro-Rata)
30 @ 1.0
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© 2018 CME Group. All rights reserved.
End-to-End Note Field- New FIX tag carries customer text from iLink to Drop Copy and/or CME STP
Clearing Instructions (i.e. Average Pricing and SLEDS)
- New FIX tags for post-trade clearing instructions on customer orders- Currently, special characters in tag 1-Account are used to signal post-trade instructions- Tag 1-Account support will eventually be phased out post-launch
Executing Party Identifiers - New optional tag allows customer to identify the responsible party of any order
Mandatory Tag 1031 - Provides trading and clearing firms a more effective means to reconcile executing broker
fees- Requires current Tag 1031 - CustOrderHandling on all iLink order messages - Sample Tag 1031 values: Phone Simple, Phone Complex, FCM-provided screen
iLink Enhancements – 2019
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© 2018 CME Group. All rights reserved.
Cancel on Behalf• Improved risk management through the capability to cancel orders and quotes on behalf
of other iLink sessions
• Authorization for on session to Cancel on Behalf of another will be managed through CME Group Customer Center
• Cancel acknowledgement message will be sent to both the session that originated the order and session that submitted a Cancel On Behalf
Mass Order• Allow customers to combine new, modify or cancel orders in a single message
• Supports laddering of orders in a single market
• No changes to mass quote functionality as a result of Mass Order launch
iLink Enhancements - 2019
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© 2018 CME Group. All rights reserved.
In January 2018, secure authentication logon for all iLink and Drop Copy target sessions was fully launched into production. • The new Secure Logon will be supported in parallel until Friday, 27 April.
Customers are strongly encouraged to make the change before the end of April to ensure no business interruption.
• Any iLink or Drop Copy Target session that connects using plain text passwords after 27 April will be subject to surcharges as follows:
- Sunday 29 April – Friday 1 June: $100/session- Sunday 3 June – Friday 29 June: $500/session
- NOTE: A single logon will trigger the surcharge; multiple logons with the same session during each period will not result in multiple surcharges.
- Surcharges will be aggregated by Globex Firm and Drop Copy group and billed to the administrative owner/Registered Entity of each at month end.
Only Secure Logons will be supported starting Sunday, 1 July.
Customer certifications are required for all Front End Systems.
Additional information is available at: https://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+Globex+API+Secure+Logon
Please contact your Global Account Manager with questions.
CME iLink & Drop Copy API Secure Logon
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© 2018 CME Group. All rights reserved.
To simplify session level behaviors across MSGW and CGW, the following changes to CGW will be launched this year.
These changes are forward-compatible and can be made at any time prior to launch
Real-Time Messages Interleaving
• In resend request scenarios, customer will receive both the resend messages and the real-time messages
• Customers must be able to receive out-of-sequence messages during a resend response without triggering another resend request.
Duplicate Session TCP Connection Attempts
• CGW will no longer support duplicative TCP connection attempts
Launch Timeline• New Release – July 2018
• Certification via AutoCert+ is mandatory for all CGW customers
• Production – TBA
iLink Behavior Harmonization - CGW
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© 2018 CME Group. All rights reserved.
• Product Updates
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs- Inline Credit Controls- Ref Data API- Self service/tag 50- DataMine
• Partner Updates
• Q&A
Agenda
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© 2018 CME Group. All rights reserved.
Risk Management Tool Updates
Inline Credit Controls• Launched August 2017• Granular, CME Globex pre-execution risk coverage via the CME Account Manager tool• Historical account activity reporting to facilitate Risk Admin’s limit setting• To date, 24 Clearing Firms have registered over 75,000 unique accounts
Planned Enhancements:• New! Restricted Product Policy: Clearing Firm Risk Admins may set policy to block all
accounts at selected Executing Firms from trading a specific product– Without having to register and set limits on the accounts – For an Executing Firm that has the Restricted Product Policy enforced, the Clearing Firm
Admin may positively permission specific accounts to trade the restricted product– Expected to launch 2nd half of 2018
• Start of Day position upload capability (Q1 2019)• Ability to group accounts together under single limit settings• Contract level granularity
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© 2018 CME Group. All rights reserved.
A new web service JSON API designed to be a real-time source for instrument and product information at CME Group
Replaces current manual process of assembling information from diverse sources like:
• CME Globex market data messaging (Security Definition)• Web specs on www.cmegroup.com• Exchange Rulebooks• FPRF, SecDef.dat, TradingSessionList.dat and .pdf, multiple config.xml and other
flat files on ftp.cmegroup.com and sftp.cmegroup.com• Global Command Center product reference spreadsheet
Additional Uses:• Simplified Cross-Exchange Risk Management• Product risk, audit and reconciliation applications• Human-readable specifications for UI presentation
• E.g., “Contract Termination: Trading in the current delivery month shall cease on the third business day prior to the twenty-fifth calendar day of the month preceding the delivery month.”
Launching Q2 2018
CME Reference Data API
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© 2018 CME Group. All rights reserved.
Additional Transparency for Trading Firms
• Registered Entities have now the ability to see the Tag 50 IDs that have been registered by their Clearing Firms in the Exchange Fee System (EFS) via Request Center.
• Entitled users can see the Person or ATS Team that a specific Tag 50 ID is registered under per Register Entity.
• Search results can be filtered and exported through a user friendly interface
Registered Tag 50 ID View in Request Center
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© 2018 CME Group. All rights reserved.
Clearing Firms will Manage the Tag 50 View Access by Registered Entity
• Clearing Firms that have signed the Self-Service Agreement can authorize their customers to access their Tag 50 data via the Request Center
• Customers must also sign the Self-Service Agreement before being granted access to Tag 50 data
Tag 50 Permissions Management in Request Center
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DataMine Past:• Delivery of Data: SFTP or Disk• Data available: CME Group
Historical • Time consuming process from
inquiry to completion of order. • Small Support team
DataMine Present:• Cloud Based• Delivery of Data: SFTP, API, S3
transfer or File Browser• Data now available:
- Growing library of CME Group Historical data
- Bitcoin BRR and BRTI- Partner Exchange Data (DME)- Third Party Data (TellusLabs)
• Order process takes <1 day• Global Support team
CME DataMine is a self-service cloud solution offering an integrated, streamlined process with four different delivery mechanisms in the marketplace.
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DataMine
© 2018 CME Group. All rights reserved.
• Two New Delivery Mechanisms- Query API (end of May)
• RESTful solution to optimize download of DataMine datasets- Python API (end of Q2)
• Ability to leverage CME Market Data with native Python tool kit
• New Datasets- MBO FIX (Available)- Volume and Open Interest (Available)- IRS/OIS (Q2)- Eris- Intraday and EOD (Q2)- Registrar e.g., CUSIPS, Deliverable Commodities Under Registration (September)- CME SPAN (August)- Other Third Party datasets relevant to CME markets (mid April)
• Quicker Order Processing- Credit Card Payments (May)- Click Through Agreement (June)
DataMine
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© 2018 CME Group. All rights reserved.
• Product Updates
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
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© 2018 CME Group. All rights reserved.
• Dubai Mercantile Exchange2017, DME auctioned off more than 25 million barrels of different crude oil grades; including Oman Blend, Basrah Light and Heavy, and the Malaysian Kimanis.
• Korea Exchange (KRX)KRX trading volume on CME Globex reached its highest level in over five years in February, with ADV at 40,679 for the KOSPI Index and USD/KRW. Elevated volume and participation rates, attributed to global equity volatility, continued throughout March.
• Bursa Malaysia (BMD)BMD Expanded their Listing for Palm Oil Suite on 25 Feb 2018:
• FCPO (Crude Palm Oil Futures in RM): Expanded trading hours and listing cycle. • OCPO (Crude Palm Oil Options in RM): Expanded trading hours and listing cycle. • FUPO (Crude Palm Oil Futures in $US): Expanded trading hours
Partner Updates
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© 2018 CME Group. All rights reserved.
• Product Updates
• Market Regulation
• Globex Technology Roadmap
• Customer Tools & GUIs
• Partner Updates
• Q&A
Agenda
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© 2018 CME Group. All rights reserved.
Reference of Important DatesTopic DatePrice Precision FTP Schema Launch – New Release 22 ApriliLink/Drop Copy Secure Logon Deadline 27 AprilLaunch of Reference Data API Q2 2018DataMine Query API Q2 2018DataMine Python API Q2 2018Price Precision iLink Update – New Release 6 May thru 20 MaySOFR Futures Launch 7 MayPrice Precision MDP3 & Streamline Schema Update – New Release 20 May thru 3 JuneConsolidated Fills – New Release Q3 2018Price Precision Production iLink Update 1 July thru 28 JulyCGW Behavior Change in New Release July Price Precision Production MDP 3.0 & Streamline SBE Schema launch 12 Aug thru 18 Nov
Consolidated Fills – ProductionPhased rollout starting
Q1 2019
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© 2018 CME Group. All rights reserved.
Futures and swaps trading is not suitable for all investors, and involves the risk of loss. Futures and swaps are leveraged investments, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money initially deposited for a futures and a swap position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade.
The information and any materials contained in this brochure should not be considered as an offer or solicitation to buy or sell financial instruments, provide financial advice, create a trading platform, facilitate or take deposits or provide any other financial products or financial services of any kind in the People's Republic of China ("PRC", which does not include Hong Kong, Macau and Taiwan for such purposes). The information contained in this brochure is provided for general information purposes only and is not intended to provide, and should not be construed as, advice. It does not take into account your objectives, financial situation or needs. You should obtain appropriate professional advice before acting on or relying on this brochure. This brochure or any information contained or incorporated by reference herein is not an advertisement and is not intended for public distribution within China. The information contained in this brochure is provided as is and without any warranty of any kind, either express or implied. CME Group assumes no responsibility for any errors or omissions.
CME Group and “芝商所” are trademarks of CME Group Inc. The Globe logo, E-mini, E-micro, Globex, CME and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. (“CME”) CBOT and Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. (“CBOT”) ClearPort and NYMEX are trademarks of the New York Mercantile Exchange, Inc. (“NYMEX”) These may not be modified reproduced, stored in a retrievable system, transmitted, copied, distributed or otherwise used without the written permission of the party owning these materials.
CME, CBOT and NYMEX are each registered as a Recognized Market Operator in Singapore and authorized as Automated Trading Serviceproviders in Hong Kong S.A.R. Further the information contained herein does not constitute the provision of direct access with any foreign financial instrument market or clearing services for foreign financial instrument market transactions defined under Japan’s Financial Instrument & Exchange Act (Law No. 25 of 1948, as amended). CME Europe Limited is not registered or licensed to provide, nor does it purport to provide financial services of any kind in any jurisdiction in Asia including Hong Kong, Singapore or Japan. None of CME Group entities are registered or licensed to provide, nor does it purport to provide, financial services of any kind in People’s Republic of China or Taiwan. This brochure is for distribution in Korea and Australia solely to “professional investors”, as defined in Article 9(5) of the Financial Investment Services and Capital Markets Act and related rules and in the Corporations Act 2001 (Cth) and related rules respectively, circulation should be restricted accordingly.
Copyright © 2018 CME Group and 芝商所. All rights reserved.
Disclaimer
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