CME FX Business
overview
ACI FX Committee Moscow
Roger Rutherford – Global Head of FX Products
17 March 2011
Introduction
Roger Rutherford – Managing Director, Global Head of FX Products
•
Joined CME 1st December 2010
•
CLS Head of Product Management
•
EBS/ICAP – Product management and Sales
•
MW Marshall London and Lasser Marshall New York
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Objectives
To respond to comments made in an ACI presentation at the Swiss ACI
September 2010… “Exchange-trading has not historically worked for FX”
To share information on CMEs position in the global FX market
To update the committee with CMEs FX performance and growth plans
Promote closer working relationship between CME and ACI facilitating
open dialogue and aligning interests
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Regulatory environment
•
CME does not support a global clearing mandate of OTC derivatives
• CEO and Chairman on public record
•
Believe in vibrant complementary cash and futures FX markets
• Bespoke instruments should remain
•
Believe in aligning with the OTC markets on clearing initiatives
• Mandate: FX Options (working with CLS)
• Desire: NDF
•
Continue to monitor regulatory landscape
• SDR
• SEF
•
CME understands the OTC “lobby” and the need for education
•
Believes a thorough cost/benefit analysis is required for Dodd Frank
© 2011 CME Group. All rights reserved
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CME FX - Long Term Robust Growth
CME Average Daily Volume
in USD notional terms
$140
$127
$120
$100
$ Billions
•
$119
$85
$80
$82
$70
$55
$60
Continued outperformance
versus OTC markets
•
BIS Study: CME FX +97% vs
OTC FX +20%
•
2010 ADV +48% vs EBS +15%
$40
$40
$24
$8
$8
$10
2000
2001
2002
$20
$15
$0
2011
2010
2009
2008
2007
2006
2005
2004
2003
•
Open Interest of 1.7m, close to
all-time record
•
Most global distribution of
trading volumes of all CME
products, with 39% of volume
trading in extended trading hours
•
98% electronic overall, 65%
electronic in Options
CME ADV as a % of EBS
2000-Present
87%
79%
60%
38%
39%
40%
2006
2007
2008
30%
19%
2011
2010
2002
2009
2001
14%
2005
11%
2004
11%
2003
12%
2000
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Source: CME Group and ICAP Web site
© 2011 CME Group. All rights reserved
5
CME FX Options - Continued Outperformance
FX Options ADV
2007-2010 BIS survey shows OTC FX options
shrunk 2.4%, while CME grew 226% over same
period
(Notional in Billions)
12
2010 FY Option ADV was $6.4 billion, an increase
of 148% YoY, with 64% electronic execution.
10
Broad based growth across all FX pairs, with
AUD +100%, GBP +138%, CAD +85%, EUR
+193%, JPY +73% and CHF +38%
8
Open Interest is up 60% over last two years
6
Expansion of market maker liquidity is leading to
growth in Weekly contracts and European hours,
with Asian zone next target
4
Strong progress in electronic execution of option
spreads which now account for 6.5% of total
volume, up from 2% over past 6 months, through
improvements in protection features (UDS logic),
market maker response (RFQ) and end user
education
2
0
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Drivers of CME FX growth
FX as an asset class
• Benefitting from the global growth of FX – desire and need to trade FX
• A greater adoption of FX Futures across all segments
• Increased trading of futures in cash terms
• Differentiated pool of liquidity
• Diverse counterparty’s
• Competitive prices/spreads
• Leading edge technology and distribution (Globex)
• Co-Location facilities for latency sensitive customers
Risk Mitigation
• Credit risk (counterparty and country) still relevant
• Alignment with other asset class futures – mutualising risk and efficiencies across
products
• Increase in EFP and Block activities - particularly in growth currencies
New products
• E-Micros – retail size contracts
• Growth currency strategies – RMB, INR, RUB
• Realised Volatility Contracts
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Summary
We object to global clearing mandate to OTC derivatives
FX Futures are more relevant than ever to the FX market
We are not an alternative to CLS
We share many common concerns
OTC and Futures each benefit from each others growth
Encourage open dialogue going forward
© 2011 CME Group. All rights reserved
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Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a
leveraged investment, and because only a percentage of a contract’s value is required to trade,
it is possible to lose more than the amount of money deposited for a futures position. Therefore,
traders should only use funds that they can afford to lose without affecting their lifestyles. And
only a portion of those funds should be devoted to any one trade because they cannot expect to
profit on every trade.
The Globe Logo, CME®, Chicago Mercantile Exchange®, and Globex® are trademarks of
Chicago Mercantile Exchange Inc. CBOT® and the Chicago Board of Trade® are trademarks of
the Board of Trade of the City of Chicago. NYMEX, New York Mercantile Exchange, and
ClearPort are trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of
Commodity Exchange, Inc. CME Group is a trademark of CME Group 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. CME Group assumes no responsibility for any errors or omissions. Although every attempt
has been made to ensure the accuracy of the information within this presentation, CME Group
assumes no responsibility for any errors or omissions. Additionally, all examples in this
presentation are hypothetical situations, used for explanation purposes only, and should not be
considered investment advice or the results of actual market experience.
All matters pertaining to rules and specifications herein are made subject to and are superseded
by official CME, CBOT, NYMEX nd CME Group rules. Current rules should be consulted in all
cases concerning contract specifications.
© 2011 CME Group. All rights reserved
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