Cleared OTC Interest Rate Swaps Security. Neutrality. Transparency.
November 2012
© 2012 CME Group. All rights reserved 2
CME Group OTC Clearing CME Group is the industry leader in OTC Clearing, delivering a broad offering spanning Interest Rates, Credit, FX, Energy, Metals, and Ags
Founded in 1898 as CME (Chicago Mercantile Exchange)
#1 derivatives exchange in the U.S. and globally by volume
Global leader in exchange-traded markets with $3B in revenue
Leading liquidity / volumes in global benchmarks across all asset classes
Extensive and diverse distribution network and customer base
International linkages with leading global exchanges
Launched in 2002 to provide risk mitigation in energy markets following the Enron collapse
Market leading OTC Clearing venue for a diverse range of commodities asset classes
1,700 listed contracts
10,000 registered users around the world
500,000 contracts cleared daily
CME ClearPort CME Group
OTC Product Progression
FX
Coal
Electricity IRS, Freight, Iron Ore
Natural Gas, Crude
CDS, Ags, Gold Ferrous Metals
ClearPort Established
Metals
2002 2003 2007 2009 2011 2004 2008 2010 2012
© 2012 CME Group. All rights reserved 3
Cleared OTC Financial Products Multi-Asset Class Solution via One Clearinghouse
• CME Group has worked closely with buy-side and sell-side participants to build a multi-asset class, market leading OTC clearing solution
• Broadest OTC product scope available to customers with 7 IRS currencies, 51 CDX indices, and 12 FX NDFs
• Our investment in a robust clearing infrastructure has made real-time clearing a reality in the marketplace
• Builds on the strength of CME Group’s market leading Interest Rate and FX futures and options products
CME Delivers Unparalleled Capital Efficiencies
• IRS Portfolio Margining allows customers to reduce their initial margins up to 90% • Clearing Members have been taking advantage of this since it was launched on May 7, 2012, and will be ready for
customers on November 19th, 2012 • CME created the CME Optimizer, which calculates the ideal allocation of Eurodollar and Treasury Futures to move into an
OTC account in order to minimize portfolio risk, and in turn, minimize IRS margin requirements.
• Deliverable Swap Futures will provide a capital efficient way to access interest rate swap exposure • Risk offsets (spread credits) against Eurodollar and Treasury Futures and Options, and it will be available for Portfolio
Margining with Cleared IRS available in early 2013 • At expiration, all open positions will deliver into CME Group Cleared Interest Rate Swaps • Flexible execution via CME Globex, Block trades, EFRPs and Open Outcry
CME OTC Clearing
Multi-Asset
Real-Time Clearing
Transparency
Margin Savings
Flexible Collateral Open Access
Buy-side Support
Diverse Clearing
Membership
Enhanced Customer
Protections
© 2012 CME Group. All rights reserved
$0
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CDS Volume CDS Open Interest
4
Record Customer Clearing Activity
Total Volume Cleared = $899.8 billion
Open Interest = $500.9 billion
Total Volume Cleared = $201.4 billion
Open Interest = $47.1 billion
Credit Default Swaps Interest Rate Swaps
Note: Data current as of 10/31/12
CME Group has built the leading OTC IRS and CDS clearing service by U.S. customer volume
EUR IRS cleared €122.78 billion since it launched on October 17th, 2011;
GBP IRS cleared £25.2 billion and CAD IRS cleared C$27.6 billion since they launched on December 5th, 2011
JPY IRS cleared ¥1.5 trillion since it launched on April 16th, 2012
CDX High Yield Indices have cleared $29.6 billion since they launched on November 7th, 2011
Cleared trades in 4 OTC FX NDFs: Philippine Peso, Chinese Yuan, Brazilian Reals, and Russian Ruble
Strong Performances across Products
© 2012 CME Group. All rights reserved
EXISTING PRODUCTS
• USD Fixed/Float out to 51 years- 1M, 3M and 6M LIBOR indexes • EUR Fixed/Float out to 51 years- 3M and 6M EURIBOR indexes • GBP Fixed/Float out to 51 years- 3M, 6M LIBOR index • CAD Fixed/Float out to 31 years- 3M CDOR index • JPY Fixed/Float out to 31 years- 6M LIBOR index • CHF Fixed/Float out to 31 years- 6M LIBOR index • AUD Fixed/Float out to 31 years- 3M, 6M BBSW index • Zero Coupon Swaps: USD, EUR, GBP out to 50 years • Overnight Index Swap (OIS): USD, EUR, GBP, JPY out to 2 years
2012 EXPANSION
• Basis Swaps: USD, EUR, GBP, JPY
• Forward Rate Agreements (FRA): USD, EUR, GBP, JPY
OTHER FUTURE PRODUCTS
• Amortizing Swaps
• Additional Currencies
• Swaptions, Caps, Floors, Cross Currency Swaps, and Inflation Products
5
CME has delivered a comprehensive global product scope that includes the 7 currencies that account for 95% of vanilla IRS market*
* Notional amounts outstanding received from Bank of International Settlements, December 2010
Cleared OTC IRS Product Scope
CHF AUD JPY USD EUR GBP CAD
December 10th
© 2012 CME Group. All rights reserved
• Capital efficient way to access interest rate swap exposure • Flexible execution via CME Globex, Block trades, EFRPs and Open Outcry • Allows participants to trade in an OTC manner:
• Ability to block calendar spreads • Lower block thresholds and longer reporting times • No block surcharges
• U.S. dollar-denominated quarterly contracts expiring on IMM dates for key benchmark maturities (2, 5, 10, 30 years)
• At expiration, all open positions will deliver into CME Group Cleared Interest Rate Swaps
• Created based on strong demand from financial market participants including banks, hedge funds, asset managers and insurers
• Complements CME Group’s market-leading Interest Rate Futures and Options businesses and Cleared OTC Swap offerings
• Citi, Credit Suisse, Goldman Sachs, and Morgan Stanley are among the firms that plan to serve as market makers
Deliverable Swap Futures Innovative new product created based on client demand
Swap exposure with the benefits of a Futures contract
6
© 2012 CME Group. All rights reserved
OTC Clearing Checklist How to Get Ready with CME Group
7
Critical Items Useful Information Complete CME Registration Documents Complete internal readiness and testing
process Finalize legal documents with Clearing
Members Clearing Members set up Production
accounts that are ready for clearing Execute first cleared trade in Production
Run margin simulations with CME CORE
Set-up CME secure FTP site for direct access to position valuation reports and curve data
Hold deep dive meetings with CME Group subject matter experts on products, operations, and risk management
© 2012 CME Group. All rights reserved 8
CME Clearing
Bank of America Barclays
Platforms Connected to CME Clearing Several market leading affirmation platforms and Swap Execution Facilities
are directly connected to CME Clearing
BNP Paribas Credit Suisse Deutsche Bank
Goldman Sachs
JPMorgan Morgan Stanley Nomura UBS
RBS PLC
OTC IRS/CDS Clearing Members
Additional OTC IRS Clearing Members
Negotiate, execute, and submit trades through multiple venues to CME Clearing
Straight through processing and real-time confirmation once the trade is cleared
Protects the confidentiality of trading relationships, while enabling customers to terminate positions with any market participant
Operational flexibility of a multi asset class solution for IRS, CDS, FX, and Commodities via one clearinghouse
Citigroup
ICE Link CME ClearPort Javelin MarkitSERV Bloomberg CDS Migration Utility TradeWeb
Crédit Agricole-CIB
HSBC
BNY Mellon
RBS Securities
Royal Bank of Canada
Societe Generale State Street
Bank of Montreal
Wells Fargo
Newedge Bank of Nova Scotia
© 2012 CME Group. All rights reserved
Trade Workflow Mechanics
9
Straight Through Processing allows for real-time clearing and trade confirmations
1 – Dealer and Client agree to trade
2 – Dealer alleges swap to Client through the Affirmation Platform
3 – Client selects Clearing Member and verifies the swap through the Affirmation Platform
4 – Affirmation Platform sends the matched trade between Dealer and Client to CME Clearing House
5 – CME checks for validation of the product, account and applies credit limits set by Clearing member(s), and then accepts the swap for clearing
5 – CME sends “Cleared” notification back to the Affirmation Platform which displays the “Cleared” Status to each party
5 – CME sends a Clearing Confirmation to Clearing Member(s) once all is validated
Client Dealer
Affirmation Platform
1
2 3
4 5
Clearing Member (Client)
Clearing Member (Dealer)
CME Clearing House
Product Account Credit 5 5
© 2012 CME Group. All rights reserved
Transparent Valuation and Reporting
VALUATION OVERVIEW USD and CAD IRS positions will be marked to market once per day at 3PM EST
EUR, GBP and CHF IRS positions will be marked to market once per day at 11am EST (4PM London)
JPY IRS will be marked to market once per day at 2am EST (4PM Tokyo)
AUD IRS will be marked once per day at 2:30am EST (4:30PM Sydney)
Pricing inputs obtained from wire service feeds
CME Group utilizes OIS discounting, monotone convex interpolation, and Bootstrap Generator to produce a Zero Coupon curve
PRICING INPUTS LIBOR: O/N, T/N
FRA: 0 x 3
CME Eurodollars – first 6 Quarterly Eurodollar contracts, convexity adjusted
Par Swap Rates: 2Y – 10Y, 12Y, 15Y, 20Y, 30Y, 40Y, 50Y (SA, 3M LIBOR)
OIS (Fed Funds to 3M Libor) 3M, 6M, 9M, 1Y, 2Y-7Y, 10Y, 12Y, 15Y, 20Y, 25Y, 30Y
Basis Swaps (1M/3M, 3M/6M Libor): 6M, 1Y, 18M, 2Y-7Y, 10Y, 12Y, 15Y, 20Y, 25Y, 30Y
REPORTING CME Group provides customers with full transparency including direct access to daily reports showing
curve inputs, daily discount factors, and valuations for each cleared swap position
10
Customers have full visibility into CME Group’s swap valuations
© 2012 CME Group. All rights reserved 11
Details of Customer Reports
Report Description Time Available in Testing
Available in Production
Preliminary Trade Register
Includes new and open trades as well as corresponding cash flows on positions cleared prior to 4:45pm EST on that day
4:45pm EST
End of Day Trade Register
Includes new and open trades as well as corresponding cash flows on positions cleared on that day
8:00pm EST
Curve Input Report
Contains the curve inputs of the CME Swap Curve
4:30pm EST
Discount Factor Report
Displays the daily discount factor out to 31 years
4:30pm EST
CME Holiday Calendar
Shows the CME Holiday Calendar 3:00pm EST
Price Alignment Interest (PAI) Rate File
Provides the rate used to calculate PAI 1:00pm EST
The above reports can be accessed through a secure FTP site. Please contact CME’s Onboarding Team at (312) 338-7112 or [email protected] to gain access.
© 2012 CME Group. All rights reserved
• Expected to cover extreme scenarios that are optimally addressed using a mutualized pool rather than margins
• GF Sizing considerations include risk, capital usage and charges , stakeholders’ incentives, and portability concerns during periods of default
• Additional collateral that can be called upon should all previous layers of the waterfall are exhausted
• Caps the limited resource waterfall
• Contribution set aside by CME to help cure a default prior to dipping into the survivors’ funds
• Each Member’s contribution to the GF
• Liquidity charge accounts for protecting large concentrated portfolios whose closeout could cost more or take longer than baseline timeframe
• Initial Margin is used to cover day-to-day P/L moves
1 The actual amounts will be based on the sum of the third and fourth largest net debtor profiles
12
IRS Non-Defaulting CMs Guaranty Fund
General Assessment Powers for IRS1
CME Contributed Capital for IRS $100M
Defaulting Member IRS Guaranty Fund
Baseline Initial Margin
Liquidity Charge
FUN
DE
D
UN
FUN
DE
D
DE
FAU
LTE
R P
AY
S
SU
RV
IVO
R P
AY
S
Robust Financial Safeguards CME structured the IRS risk waterfall to protect our customers during times of market stress and mitigate systemic risk
© 2012 CME Group. All rights reserved
Superior Customer Protections
13
CUSTOMER PROTECTION STANDARDS The same customer protection standards apply to cleared OTC derivatives as to exchange-traded futures
Clearing Member Firms are monitored and audited for risk, capital adequacy, and compliance with customer protection rules and regulations
Strong history of risk innovation, crisis management, and a deep understanding of issues related to customer protection in the US agency model
Comprehensive approach towards default management, utilizing industry best practices, industry expertise, and default exercises to ensure readiness in a market crisis
ROBUST GUARANTY FUND Key layer of protection in the US Clearing market that serves as a “capital reserve” buffer during times of
market stress and protects against systemic risk associated with catastrophic market events
Sized to cover the simultaneous defaults of the 2 largest FCMs, according to the results of stress tests, which include all extreme historical events as well as “black swan” stress scenarios
Allocated between different FCMs pro-rata according to the residual risk not covered by margins. This allocation mechanism further provides incentive to risk diversification across FCMs
CME Clearing is the industry leader in mitigating risk for customers through the US FCM clearing model
© 2012 CME Group. All rights reserved
Customer Account Portability
14
Portability of customer positions and collateral is a cornerstone of CME customer protections
• Clients maintaining accounts at multiple clearing members are able to control the timing and pacing of their porting transactions
• In the agency model, clients “own” their positions
• The agency model supports portability; at CME this is a matter of routine and standard practice
CUSTOMER CONTROLLED PORTABILITY “TRANSFERS”
Establishing and managing accounts at multiple clearing members
• In September 2008, CME seamlessly ported all $2.2 billion of customer funds and 2.5 million customer positions from Lehman Brothers to a solvent clearing member
• In wholesale porting transactions, CME balances the need to assure client safety with recalibration of financial safeguards to minimize stress in the financial system
PROVEN SUCCESS IN CUSTOMER PORTABILITY
Wholesale porting from stressed to solvent clearing members
• Portability is essential to customer protection, both in times of market stress and during the normal course of business
• Portability is underpinned by CME Rule 853, governing transfers of trades
© 2012 CME Group. All rights reserved
Portfolio Margining
15
Portfolio Margining Available for House
Accounts CME Optimizer integrated
with CME CORE
May 7, 2012 Early 2013
Portfolio Margining Available for Customers
Nov. 19, 2012
Portfolio Margining Available for Deliverable Swap Futures and
Cleared IRS*
CME’s Portfolio Margining Delivers Unparalleled Capital Efficiencies to All Market Participants
• On May 7th, 2012, CME launched Portfolio Margining of Interest Rate Swaps and Interest Rate Futures for House accounts
• Allows firms to capitalize on the margin offsets of OTC IRS against Treasury and Eurodollar Futures
• CME is approved to offer portfolio margining to customer accounts and will be operationally ready on November 19th
• CME CORE can calculate: IRS HVaR, Futures with SPAN and Portfolio Margin of Futures and IRS with HVaR
• Trade Execution workflows in Interest Rate Futures and OTC IRS remain the same
• The CME Optimizer tool calculates the ideal allocation of Futures contracts that should be moved into the OTC account to minimize portfolio risk, and therefore, minimize IRS margin requirements
• IRS Clearing Members can also reduce their own regulatory and guaranty funds costs by facilitating portfolio margining for clients
Margin Efficiencies:
Savings up to 90%
Interest Rate
Swaps
Eurodollar Futures
U.S. Treasury Futures
Sept. 21, 2012
CME Optimizer
Q4 2012
*Pending regulatory approval
© 2012 CME Group. All rights reserved 16
Portfolio Margining CME Group offers unparalleled capital efficiencies in a capital constrained world
December 2012
• Deliverable Swap Futures • Treasury Futures and Options
• Eurodollar Futures and Options
Available for Clearing Members since May 7 Launching for Customer Accounts on November 19
• Cleared OTC Interest Rate Swaps • Treasury Futures
• Eurodollar Futures
Traditional Futures Margin IRS Portfolio Margining
Early 2013
• Deliverable Swap Futures
• Treasury Futures and Options • Eurodollar Futures and Options
• Deliverable Swap Futures • Cleared OTC Interest Rate Swaps
• Treasury Futures • Eurodollar Futures
Traditional Futures Margin IRS Portfolio Margining
Deliverable Swap Futures receive risk offsets (spread credits) against Eurodollar and Treasury Futures & Options
Deliverable Swap Futures will also be available for Portfolio Margining
© 2012 CME Group. All rights reserved
Margin Efficiencies CME Group offers unparalleled capital efficiencies in a capital constrained world
17
Initial Margin Example for Swap Spread Positions • Below is an example of the initial margins for swap spread trades under three different margining scenarios • Each scenario has a short position of 1000 CBOT Treasury Futures and a DV01 equivalent receive fixed swap (or
long Deliverable Swap Futures) position
Treasury Futures Leg Margin $1,485,000 Swap Leg Margin $3,750,000 Combined Margin $5,235,000
Separate Margining at a Competing Clearinghouse
CME Group IRS Portfolio Margining
Cleared IRS and Treasury Futures margined together CME Margin $1,854,000
CME Group Deliverable Swap Futures
Deliverable Swap Futures and Treasury Futures with Spread Credits CME Margin $924,615
Savings: $3,381,000 (65%)
Savings: $4,310,385 (82%)
CME Group’s IRS Portfolio Margining and Deliverable Swap Futures enable clients to achieve 65%-82% margin savings on swap spreads, compared to clearing the Interest Rate Swap at a competing clearinghouse
© 2012 CME Group. All rights reserved 18
CME Margin Optimizer
Optimizer Tool Now Available
For access to:
• CME Optimizer: email [email protected] • CME CORE: Visit http://www.cmegroup.com/clearing/cme-core-cme-clearing-online-risk-engine.html
• The CME Optimizer is a tool that calculates the ideal allocation of Futures to move into an OTC account in order to minimize portfolio risk, and in turn, minimize IRS margin requirements
• Margin calculations occur on a nightly basis and therefore this tool was built to facilitate a nightly rebalancing process
• IRS Clearing Members can utilize the CME Optimizer to facilitate IRS portfolio margining calculations for their clients as well as their own proprietary accounts
• The Optimizer automates the selection (via CME’s proprietary optimization algorithm) and transfer generation process for Futures into OTC accounts
• It creates transfer messages that are compatible with Front End Clearing to effect the transfers on the books and records of the Clearing House
• Solves operational hurdles by automating the transfer messages sent to CME for client accounts • The trade execution workflows for OTC IRS and IR Futures will remain the same • CME Optimizer will be integrated with CME CORE in Q4 2012
© 2012 CME Group. All rights reserved
Methodology
19
IRS Margin Methodology
Historical VaR
Margins built to provide 99% coverage over a 5-day closeout period Historical scenarios are: Generated using a 5-year look back period Synchronized across all observed tenors on the zero curve, across all currencies Scaled using Exponentially Weighted Moving Average (EWMA) based volatility forecasts
Margin is currently the 99.7th % of portfolio changes (loss) across all scenarios
For cross margining Eurodollar and Treasury Futures with IRS, CME will leverage the current multi-currency Historical VaR framework
Reasoning
CME uses Treasury Future prices and Eurodollar prices (themselves) as an underlying risk factor, as it accounts for risks including: Switch of the Cheapest-to-Deliver (CTD) (applies Treasury Futures) Delivery timing (applies to Treasury Futures) Changes in the convexity adjustment (applies to Eurodollars) Covers extremely well-hedged portfolios (applies to Eurodollars)
Application Apply HVaR methodology to Eurodollar and Treasury futures prices Create a rolling time series of returns (prices)
*Customer Portfolio Margining is targeted for 2H 2012 pending regulatory approval.
© 2012 CME Group. All rights reserved 20
Portfolio Margining Examples
Portfolio Portfolio Details Margin Savings Margin Savings Details ($M)**
Max* Average* Margined Separately
Margined Together
2Y Invoice Spread
2Y Treasury Note Futures vs Equivalent Invoice Swap 79% 64% .8M .2M
5Y Invoice Spread
5Y Treasury Note Futures vs Equivalent Invoice Swap 79% 68% 1.9M .4M
10Y Invoice Spread
10Y Treasury Note Futures vs Equivalent Invoice Swap 75% 58% 4.9M 1.2M
30Y Invoice Spread
Treasury Bond Futures vs Equivalent Invoice Swap 67% 41% 6.5M 2.1M
2Y Swap vs ED Hedge 2Y IRS vs Weighted Eurodollar 2Y Strip 89% 72% 100K 10K
5Y Swap vs ED Hedge 5Y IRS vs Weighted Eurodollar 5Y Strip 86% 78% 230K 30K
10Y Swap vs ED Hedge 10Y IRS vs Weighted Eurodollar 10Y Strip 85% 71% 420K 60K
30Y Swap vs ED Hedge 30Y IRS vs Weighted Eurodollar 10Y Strip 69% 50% 890K 280K
Maximum savings is up to 89%, based on back testing of portfolios from 2006 to 2011.
* Savings = [Gross Margin – Net Margin] / Gross Margin, where Gross Margin is the outright swap HVaR margin plus the futures SPAN margin (no offset benefit) and Net Margin is margining both swaps and futures in HVaR (with offset benefit).
** Values are rounded to nearest hundred thousand or ten thousand Dollars. These values do not include transaction costs and are subject to change, depending on market volatility.
*** Customer Portfolio Margining is targeted for 2H 2012 pending regulatory approval.
© 2012 CME Group. All rights reserved
Transparent Margins Through CME CORE
21
CME CORE (CME Online Risk Engine) enables customers to calculate and evaluate their initial margin requirements for IRS and CDS
Create New or Load Existing
Portfolio
Validate and Calculate Initial
Margin Requirement Analyze and Review
Results
PHASE I: Transparency • Margin computation • PNL reporting • Curve scenario reporting
** Future enhancements
PHASE II: Analytics** • Delta ladder • Stress testing • Incremental VaR • Analytics to support back-loading
ENHANCE REPORTS TO INCLUDE ELIGIBLE DISCRIPTIVE DATA
© 2012 CME Group. All rights reserved
Flexible Collateral for Initial Margin
22
CME Clearing accepts a broad array of collateral for the Customer OTC Account Class
Collateral Haircut
US Cash None
Non-US Cash (EUR, GBP, CAD, AUD, JPY, CHF)* 5%**
Sovereign Debt of UK, Germany, France, Canada, Japan, and Sweden
5%-10.5% (maturity based) Additional 1.5% for off-the-runs
US Treasury Debt 0.5%-11% (maturity based) Additional 1.5% for off-the-runs
US Agency Debt 3.5%-7% (maturity based) Additional 1.5% for off-the-runs
US Agency Mortgage Backed Securities 11%
Corporate Bonds (IEF4) 20%
Money Market Mutual Fund (IEF2) 3%
Bank Deposit Program (IEF5) None *The last three currencies are available for IRS only. ** Haircut is only applied when cash is used to meet a margin requirement based in a different currency.
© 2012 CME Group. All rights reserved 23
Corporate Bond Collateral Program Clearing Members can transfer securities into a tri-party account controlled by CME at either bank* as a term pledge to receive initial margin credit
*The Corporates Collateral Program, IEF4, is supported by a partnership with Bank of New York and JPMorgan Chase
• Allows corporates bonds to be pledged as initial margin collateral for both Cleared IRS and futures • Reduces costs of clearing for customers and creates further efficiencies for Clearing Members
Overview
• High quality bonds, at least A- rating by NRSO • USD denominated, both domestic and global issuances • Vanilla Bonds (Fixed rate bullet, callable, or putable) • Over $300M in principal outstanding • TRACE eligible
Bond Requirements
• Haircut: (20%) • Concentration Limits: The lesser of 5% per issuance and 5% per issuer or $200M • Level II industry diversification (up to 25%)
Program Parameters
• CME Clearing will publish a list of eligible CUSIPs at the beginning of each month • CUSIP list will likely remain static except bonds that mature, and bonds that are deemed ineligible due to
changes (i.e. rating downgrade, distress, etc)
Eligible CUSIP List
© 2012 CME Group. All rights reserved 24
Customer On-boarding Resources CME CORE Margin Tool
Web-based margin tool that enables customers to generate initial margins for IRS and CDS portfolios
CME CORE can be accessed by doing the following:
• Visit http://www.cmegroup.com/clearing/cme-core-cme-clearing-online-risk-engine.html
• Create a CME SMART Click ID
• Once a SMART Click ID is attained, please email [email protected] to request entitlements to CME CORE. Specifically, in an email please provide the user ID and specify the request for the IRS/CDS asset classes.
• Please ensure your desktop is equipped with a recent version of Microsoft Silverlight (MS Add On): http://www.microsoft.com/getsilverlight/Get-Started/Install/Default.aspx
CME On-boarding Team
Team of on-boarding experts who work with buy side clients to help them prepare to clear IRS and CDS, and engage in testing the clearing process
Extensive work with the affirmation platforms, and ability to connect customers to the right resources at those firms
The team can be reached at (312) 338-7112 and [email protected]
© 2012 CME Group. All rights reserved 25
Legal Documentation Documentation between CME Group and Customer
There is no longer a legal document, but by registering with CME, you are agreeing to the rules, policies, and procedures of CME and, as applicable, participating exchanges
The registration documents can be found at: http://www.cmegroup.com/trading/otc/files/otc-registration-forms.xls
Documentation between Clearing Member and Customer
Clearing Member Futures Account Agreement (FCM Agreement)
Clearing Member OTC Addendum
Documentation between Customer and Execution Counterparty
OTC Execution Agreement
The FIA and ISDA published a template that market participants can use as a basis for negotiation: http://www.futuresindustry.org/fia-and-isda-publish-documentation-for-cleared-swaps.asp
© 2012 CME Group. All rights reserved
Establish a relationship with a participating CME IRS Clearing Member Select affirmation platform and work with Clearing Member throughout testing cycles
Complete required Clearing Member Customer Documentation
Begin clearing trades
For any questions regarding On-Boarding and Testing, please contact : On-boarding Team 312 338 7112 [email protected]
For general information, please contact: Jack Callahan 312 454 8312 [email protected] Steve Dayon 312 466 4447 [email protected]
Europe David Coombs +44 20 3379 3703 [email protected]
Asia Way Yee Bay +65 6593 5560 [email protected]
26
Next Steps and Contact Us
© 2012 CME Group. All rights reserved
Firm Contact Name Email Phone Number Bank of America Merrill Lynch
Todd D’Agosta (US) Samantha Page (EMEA)
[email protected] 646 855 9813 44 20 7995 3955
Barclays Sandy Fleischman Patrick Corrigan
[email protected] [email protected]
212 526 6548 212 526 7101
Bank of Montreal Livio Bencich Kirk McMillan
[email protected] [email protected]
416 359 6395 416 359 4603
BNP Paribas Ira Rudman Gavin Dixon
[email protected] [email protected]
212 841 2768 44 20 7595 8417
BNY Mellon John Guthrie Vipul Pal
[email protected] [email protected]
212 635 6718 212 635 8359
Crédit Agricole-CIB Marc Konigsberg Karen Orczyk
[email protected] [email protected]
212 261 7234 212 261 3998
Citigroup Chris Perkins Mariam Rafi
[email protected] [email protected]
212 723 5943 212 723 4074
Credit Suisse Neil Burke John Dlubac
[email protected] [email protected]
212 538 0761 212 325 3977
Deutsche Bank Elliot Barr Piers Murray
[email protected] [email protected]
212 250 9831 212 250 9253
Goldman Sachs Mike Dawley Jack McCabe
[email protected] [email protected]
212 902 7582 212 902 3037
HSBC Julianna Salazar Nick Marcelle
[email protected] [email protected]
212 525 2353 44 20 7991 9132
JPMorgan Mike Schneider [email protected] 212 622 0339 Morgan Stanley Jason Swankoski
Mark Bortnik [email protected] [email protected]
212 761 5206 44 20 7677 9685
Newedge Paul Roberts Robert Lorz
[email protected] [email protected]
44 207 676 8458 312 762 3044
Nomura Sandeep Kohli Stephen Scalzo
[email protected] [email protected]
212 667 2037 212 667 8981
RBS Brian Halligan (RBS SI) Madlen Dorosh (RBS SI)
[email protected] [email protected]
203 897 2504 203 897 9869
Royal Bank of Canada Alex Palese [email protected] 212 618 3369 State Street Steven Winter
Stephen Chmil [email protected] [email protected]
212 259 3118 212 259 3120
UBS Ed Pla Reinhardt Olsen
[email protected] [email protected]
203 719 2602 203 719 3408
Wells Fargo Jeff G. Gore Dan Thomas
[email protected] [email protected]
704 715 0528 704 374 2103
Cleared OTC IRS Clearing Firm Contacts
27
© 2012 CME Group. All rights reserved
Disclaimer
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.
All references to options refer to options on futures.
CME Group is a trademark of CME Group Inc. The Globe Logo, CME, and Chicago Mercantile Exchange 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, Inc. NYMEX is a registered trademark of the New York Mercantile Exchange, Inc. All other trademarks are the property of their respective owners.
The information within this brochure has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure 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 and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Copyright © 2012 CME Group. All rights reserved.
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