QUARTERLY

Q1 2018

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FX Futures
The first-ever financial futures product. Celebrating 45 years.

CME FX: DEFINED BY YOU, DELIVERED BY US.

Need to Know: Q1 2018
All Up: Q1 2018 Trading Volume, Open Interest (OI) & Participants
Q1 ADV FX Futures and Options –Q1 Average OI for FX futures and

1.1 M contracts

options – 2.64 M contracts(up 15.40% vs Q1 2017)(up 23.60% vs Q1 2017)
Q1 ADV in Notional –$116.20 B

Large Open Interest Holders in FX futures –all-time high of 1,144 on 30 Jan 2018(up 35% vs Q1 2017)

The Result: Notional is Nearing 40% of ECN-Traded FXCME FX now represents a substantial (and increasing) proportion of the aggregate cash FX traded on major ECNs.
CME FX Futures vs Major ECNs

CME FX Futures vs Major ECNs
$120.

44%
$100.

42%
40%

$80.

38%

$60.

36%
$40.

34%
$20.

32%
30%

$.
Q1

Q2

Q3

Q4

Q1

2015

Q2

Q3

Q4

Q1

Q2

2016

CME FX Futures

Q3

2017

Q4

Q1

2018

CME vs. Cash ECNs

*ECNs: Reuters, NEX, CBOE FX Markets, FastMatch

And now we’ve connected OTC FX and CME FX futures markets
CME FX Link: Liquidity, Linked
Since go-live on March 25, we are consistently seeing new participants trading, liquidity developing, volume increasing
and the network of prime brokers expanding.

2

Need to Know: The CME FX Franchise
We’re working to deliver creative solutions to your most important challenges
So you can access the capital and margin efficiencies of our centrally-cleared and transparent market

We’ve evolved our FX futures offeringWith monthly expiries on six pairs, now with
implied liquidity

That’s why:

We’ve evolved our listed FX options offeringWith new Wednesday Weeklies, Volatility-Quoted
Options (VQOs) and Triangulation, we are now thelargest electronic FX options marketplace in the world

We’ve evolved our OTC FX clearing offering
Clear NDFs, G10 NDFs (Cash-settled forwards) andnew FX options. All under one Guarantee Fund.

TRADE >

CLEAR >REPORT >EFFICIENTLY >$116BN11

A choice of trade reporting
solutions and STP for
certainty and compliance•	Increased capitalefficiencies

Each day

55 FUTURES

Monthly and Quarterly*

24 OPTIONS

Wednesday and Friday*

150+

NDFs

26

CSFs

7

CSOs

•	Reduced execution
costs•	Enhanced trading
opportunities•	Committed tosimplifying how you
do businessCountries connecting*Available on selected currency pairs

Offset: New margin offsets across Commodities and FX

3

New In Our Markets: CME FX LINK
Introducing a new FX Globex Spread
We’ve created a seamless connection between our FX futures and the OTC FX marketplacewith one CME Globex spread. Now you can more easily access the liquidity, capital andmargin efficiencies of FX futures and better manage your FX exposures.
As the global FX market evolves, so does our offering –we’re helping to solve your most important challenges.

Trading, simplified

Find out everything you need to know
and more at cmegroup.com/fxlink.

Traded on CME Globex as the differential between CME
FX futures and OTC spot FX, the spreads enable efficient,simultaneous execution of FX futures and OTC spot FX.

Including:

OTC FX network, utilised

Overview Guide
Read all about it, get connected and onboarded

A central FX Prime Broker will intermediate spot FX
transactions resulting from the spread, allowing market
participants to efficiently leverage the established OTC
FX Prime Brokerage and interbank networks for credit
and documentation.

Exposures, optimised
The result – market participants can more efficiently
utilise CME FX futures as part of their overall FX trading
activity and more efficiently manage credit lines across
FX futures and OTC FX.

Volume Tracker
Stay up-to-date on volume, updated daily

Quotation Guide
Understand quotation and trade pricing
CME Globex Impacts
Understand the functionality
CME Globex 101
Understand CME Globex in less than 10 minutes
Launch Announcement
Read about the market reaction

The Profit&Loss Perspective
Colin Lambert, the Editor at Profit&Loss, describes what the Launch of FX Link could mean to the FX industry“Today could actually turn out to be a reasonably significant day for the FX industry. The reason I feel it may besignificant is down to my long-standing belief that greater automation and efficiency in FX forwards and swaps
is the key to long term growth in the broader FX industry, and there is a chance that FX Link may help deliver the
regulatory and capital efficiency to help drive that, in an automated environment.”
Read more at cmegroup.com/colinlambert

4CME FX Link: Spread Functionality Specifications
AUD/USD, EUR/USD, GBP/USD, USD/CAD*, USD/JPY*, and USD/MXN*

Eligible Currencies(*CCY pairs quoted inversely to futures.)
Quoted as the difference between FX futures and equivalent OTC spot notional as represented
with both legs in OTC price convention.

Quotation

Non-Inverted Pairs: Buyer of spread buys CME FX futures and sells OTC spot.

Spread Construction

Inverted Pairs: Buyer of spread sells CME FX futures and sells OTC spot.

Matching Algorithm

FIFO

Minimum Order Quantity

EUR/USD, USD/JPY, GBP/USD, USD/CAD, AUD/USD = 5 spreads; USD/MXN = 15 spreads

Trading Venue / Hours

CME Globex: Sunday – Friday, 5:00 p.m. - 4:00 p.m. Chicago Time (CT), with a 60-minute breakeach day beginning at 5:00 p.m. (4:00 p.m. CT).

Spread Listing Schedule

Spreads vs. front three FX futures expiration months. New spreads added 10 business days prior
to the last trade date of an expiring CME FX Futures.

Currency Pair

AUD/USD

EUR/USD

GBP/USD

USD/CAD

USD/JPY

USD/MXN

Spread Minimum Price
Increment

0.00001

0.00001

0.00001

0.00001

0.001

0.0005Spread Notional (per leg)

100,000 AUD

125,000 EUR

62,500 GBP

100,000 CAD

12,500,000 JPY

500,000 MXN

OTC FX Spot Leg Specifications

CME FX Future Leg Specifications***

Currency
Pairing

Value
Date

Minimum Price
Increment*

Spot Notional Per
One Spread **Product
CodeContract Size

Futures
Quotation

Tick

AUD/USD

T+2

0.00001(0.1 pip)

100,000 AUD

6A

100,000 AUD

USD per AUD.0001(10.00 USD)EUR/USD

T+2

0.00001(0.1 pip)

125,000 EUR

6E

125,000 EUR

USD per EUR.00005(6.25 USD)

GBP/USD

T+2

0.00001(0.1 pip)

62,500 GBP

6B

62,500 GBP

USD per GBP.0001(6.25 USD)

USD/CAD

T+1

0.000001(0.01 pip)

100,000 CAD

6C

100,000 CAD

USD per CAD.00005(5.00 USD)

USD/JPY

T+2

0.0001(0.01 pip)

12,500,000 JPY

6J

12,500,000 JPY

USD per JPY.0000005(6.25 USD)

USD/MXN

T+2

0.00001(0.1 pip)

500,000 MXN

6M

500,000 MXN

USD per MXN.00001(5.00 USD)

Settled Bilaterally via physical delivery on value date

Cleared via CME Clearing* The minimum price increment (MPI) of an OTC Spot FX Transaction is separate and distinct from and is not necessarily a reflection of the MPI of a Spot FX
Basis Trade, which the Exchange shall determine.
** The OTC Spot Notional per One Spread for the USD/CAD, USD/JPY, and USD/MXN currency pairings shall be defined in terms of the quote, or term, currency of each pairing rather than the base currency since the CME pricing and notional convention for related CME FX futures contracts is inverted from theover-the-counter (OTC) convention*** Full product specification for existing CME FX futures contracts is available on cmegroup.com/fx and in CME’s Rulebook

5In Our Markets: Futures
Overall Volume: A new high of $116 billion notional traded
ADV on CME FX Futures and Options for Q1 2018 reached 1.1 million contracts. In termsof notional, this is equivalent to $116.20 billion, an increase of 35% vs Q1 2017, with OpenInterest in CME FX Futures topping $240 billion in January 2018.

CME FX Futures - ADV and Open Interest

2,400

1,000

2,000

2015

2016

ADV

2017

Jan

Mar

Nov

Jul

Sep

May

Jan

Mar

Nov

Jul

Sep

0

May

-

Jan

400

Mar

200

Nov

800

Jul

400

Sep

1,200

May

600

Jan

1,600

Mar

800

In Thousands

OI

1,200

In Thousands

ADV

2018

Open Interest

Large Open Interest Holders: Now at 1,144 participants
Large Open Interest Holders are a measure of participants, collated by the CFTC, holding
significant Open Interest in our FX markets. This number hit an all-time high of 1,144 in Q1 2018.

6

Additional Monthly Expiries: 220 participants along the curve
Available on six currency pairs, monthly expiries deliver greater granularity and accessacross the curve, and with implied pricing, additional depth in the front months, with
220 participants actively trading. Below is an example of recent liquidity in EUR/USD
and GBP/USD monthlies.

More to Monthlies than their Expiries:
Understand the advantages that CME FX futures offer traditional market practitioners in the OTC FX markets. Findout how you can use CME FX futures to replicate cost-efficient, manageable synthetic exposure for OTC FX spot,
forwards, and swaps, and see examples for each.
Find the whitepaper at cmegroup.com/fxmonthlies

Emerging Markets: Volumes Revealing Growth
In Q1, volumes increased for the eight most-traded Emerging Markets contracts by 35% vs. 2017
Q1. By the end of the quarter, trading in BRIS Futures (BRL/USD, RUB/USD, INR/USD, ZAR/
USD) was up 51% vs. 2017 YTD, with INR/USD leading the way.
Indian Rupee Futures – ADV and Open Interest
7,000

2,500

6,000

3,000

1,000

2,000
500

2015

2016

FX Futures ADV

2017

Jan

Feb

Mar

Oct

Dec

Nov

Jul

Sep

Aug

Apr

Jun

May

Jan

Feb

Mar

Oct

Dec

Nov

Jul

Sep

Aug

Apr

Jun

May

Jan

Feb

Mar

Oct

Dec

Nov

Jul

Sep

Aug

Apr

Jun

May

Jan

-

Feb

1,000

Mar

FX Futures ADV

1,500

4,000

FX Futures Open Interest

2,000
5,000

0

2018

FX Futures OI

7

In Our Markets: Options
The Largest Electronic FX Marketplace in the World
With over $11bn notional traded on average in Q1 – CME FX Options are now the deepest,
most liquid and diverse direct-access, multi-participant destination for risk management –accounting for ~25% of all single dealer and multi dealer electronic volume globally.
Total FX options ADV and OI in Contracts
1,000,000
900,000
100,000

700,000

80,000600,000
DV
al A
nnu

500,000
400,000

17%

300,000

wth
Gro

60,000

eA
rag
Ave

ADV

Average Open Interest

800,000

40,000200,000

20,000100,000

18

17

n-

Ja

16

n-

Ja

15

n-

Ja

14

n-

Ja

13

n-

Ja

12

n-

Ja

11

n-

Ja

10

Ja

Ja

n-

09

ADV

n-

08

Ja

n-

07

Ja

n-

06

Ja

n-

05

Ja

n-

04

Ja

n-

03

n-

Ja

n-

Ja

n-

n-

Ja

Ja

02

01

-

Average Open Interest

Based on FXJSC, FXC & TFEMC 2017 surveys.

Almost 30 Already: Wednesday FX Options Already Beyond 27K in OI
Wednesday FX options for mid-week events (FOMC, BOC, BOA, BOE, ECB) hit 27,062 in OI on
January 30 and by the end of Q1, have reached 5,393 average daily volume.

FX Wednesday Options
VolumeOpen Interest
30,000

9,000
8,000

25,0007,000
20,000

6,000
5,000

15,0004,000
10,000

3,000
2,000

5,000
1,000
0

0
November

DecemberJanuary

Rolling 5-day ADV

8February

Open Interest

MarchMore Options in More Time Zones: FX Options in Asia
Start trading EUR/USD, JPY/USD, GBP/USD, AUD/USD and CAD/USD options today withsignificant and actionable liquidity in Asian hours.
ETH – Asia Top of Book
Spread in Ticks EUR/USD

ETH – Asia Top of Book Quantity
in Contracts EUR/USD

20

30

18
25

16
14

20

12
10

15

8
10

6
4

5

2
0

0
7:00 AM

8:00 AM

9:00 AM

10:00 AM

11:00 AM

J8

K7

12:00 PM

1:00 PM

2:00 PM

7:00 AM

8:00 AM

9:00 AM

10:00 AM

11:00 AM

J8

ETH – Asia Top of Book
Spread in Ticks EUR/USD

12:00 PM

1:00 PM

2:00 PMK7

ETH-Asia 2nd Level Quantity
in Contracts EUR/USD

80

25

70
20

60
50

15

40
10

30
20

5

10
0

0
7:00 AM

8:00 AM

9:00 AM

10:00 AM

11:00 AM

J8

K7

12:00 PM

1:00 PM

2:00 PM

7:00 AM

8:00 AM

9:00 AM

10:00 AM
J8

11:00 AM

12:00 PM

1:00 PM

2:00 PMK7

VQO GO: Now Available on Bloomberg
Volatility-Quoted Options can now be traded on Bloomberg – along with PremiumQuoted Options.
Bloomberg codes for Volatility-Quoted Options European Style 2pmFix
AUD/USD

CAD/USD

CHF/USD

EUR/USD

GBP/USD

JPY/USD

Monthlies

VXAA

VXCA

VXSA

VTEA

VXBA

VJPA

Weeklies

VAWA

VCWA

VWSA

VTWA

VWBA

VJWA

Wednesdays

WAYA

WCYA

WEYA

WLYA

WJYA

Bloomberg codes for Premium-Quoted Options European Style 2pmFix
Monthlies

AUD/USD

CAD/USD

CHF/USD

EUR/USD

GBP/USD

JPY/USD

AUAA

UCDA

SWBA

UEAA

BGAA

JADA

SWWA

Weeklies

AUWA

UDWA

Wednesdays

WABA

WCBA

UAWA

BGWA

JAWA

WEBA

WLBA

WJBA

(no Wednesdays in CHF)

9

In The News: Greenwich Associates
TCA Report On FX Futures
Greenwich Associates has published a paper assessing the value of viability of FX futures as a proxy to the OTC FX
market. The report, “A Bright Future for FX Futures” assesses the economic benefits of using FX futures through aquantitative total cost analysis (TCA) model and by analysing the impact of regulatory change to the FX market.
Greenwich interviewed 41 buy-side institutions and nine major FX sell-side institutions to validate inputs to thequantitative TCA. To read the full TCA report, please visit cmegroup.com/bright-future.

EXCERPT FROM REPORT“In the face of the growth in FX futures trading, Greenwich Associates set out to examine and assess the potential
economic benefits of utilizing futures as an alternative to trading in the OTC markets.
To do so, we employed a proprietary quantitative model to analyze the costs associated with trading FX over-thecounter (OTC) against comparable FX futures. The model calculates the cost of opening, maintaining and closing out
a position. To validate key inputs into the model and gather feedback on current demand and pricing, we spoke with FX
traders on the buy and sell side.
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.
Pure costs savings are not the only reason to consider FX futures. As sell-side dealers become more selective in theclients that they prioritize, some buy-side traders may find liquidity more difficult to access. Others may find that they
are getting de-prioritized and receiving fewer services from particular counterparties. As a result, adding the option to
trade in a futures environment could help mitigate the effects of shifting sell-side behavior.
Even with these potential cost savings, a switch to futures might not make sense for some FX market participants that
trade only infrequently and at relatively small volumes. And for some investors, there may be lingering skepticism about
the available liquidity in an exchange-traded environment, even though recent statistics show that average daily volume(ADV) in FX futures equals or exceeds the volume on a major spot exchange.
The results of our analysis prove that even before considering the potentially punitive effects that regulations have on
trading costs, trading FX futures can have clear economic benefits. For that reason, we expect FX futures to continue togain traction as an alternative to OTC trading.

COST SAVINGS FOR EXECUTING FUTURES VS OTC FX – 60 DAY HOLDING PERIODEUR/USD

EUR/JPY

EUR/CADEUR/USD

EUR/JPY

EUR/CAD

$1 million($153)($168)($130)

77%

76%

64%

$5 million($646)($588)($255)

52%

52%

24%

$10 million($1,120)($916)($300)

39%

39%

14%

Assumptions:
Funding rate (all-in rate at which you can obtain funding): 0.3% Holding period: 60
Futures type: Quarterly
Exiting position at end of holding period (close out, roll): Roll

10

COST SAVINGS FOR EXECUTING FUTURES VS OTC FX – 120 DAY HOLDING PERIODEUR/USD

EUR/JPY

EUR/CADEUR/USD

EUR/JPY

EUR/CAD

$1 million($143)($164)($117)

63%

63%

47%

$5 million($639)($607)($228)

54%

45%

17%

$10 million($1,206)($1,053)($348)

47%

37%

12%

Assumptions:
Funding rate (all-in rate at which you can obtain funding): 0.3% Holding period: 120
Futures type: Quarterly
Exiting position at end of holding period (close out, roll): Roll

THE IMPACT OF BASEL III AND OTHER COSTSFor those entities subject to Basel III costs, futures can provide signifci ant cost advantages over OTC FX— with futures,
all counterparties face a central counterparty clearing house (CCP) directly.
In the OTC market, when calculating both risk-weighted assets (RWA) and total leverage exposure (TLE), the additionof non-netting counterparties can have a major impact, ratcheting up risk and associated capital requirements
exponentially. Within futures, this is not a concern, as participants are facing a single counterparty: the CCP. The CCP
model allows for maximal compression with a minimal amount of effort. In an OTC environment, having more than one
counterparty generally results in some level of capitalization being necessary, even if risk
is fal t across counterparties. Furthermore, for those entities subject to G-SIB reporting and associated add-on charges,
FX futures are not included in the requisite calculations.
For those constrained specifically by RWA calculations, when facing a qualifying CCP, only a 2% risk weight needs tobe applied to QCCP exposures, while in OTC, there isa fol or of 20%. Additionally, credit valuation adjustment (CVA)
charges do not apply to centrally cleared transactions, allowing participants to reduce their requisite CVA charges by100% if all FX products were cleared.

THE IMPACT OF BASEL III AND OTHER COSTS

To read the full TCA report, please visit cmegroup.com/bright-future.
Additional uncleared margin rules (UMR) components are still due to come into force in Europe after MIFID II definesdeliverable OTC FX derivatives. There is expected to be a requirement to exchange variation margin on all linear
deliverable OTC FX products (outside of spot) once MIFID II releases the classification of deliverable OTC FX products in
2018. This VM change will impact all participants that are captured under the uncleared margin rules and will do so oncethe definitions are released. There will not be a phase-in approach as there has been on the IM component of UMR. This
will be the first time some buy-side institutions will have ever exchanged margin on FX.”

11

Go Learn: Resources
See Who Participates inFX Futures Markets
Analyse information by client segment including dealer,
asset manager and leveraged market participant using The
Commitments of Traders tool. The tool charts the CFTC’s reporton market open interest released each Friday afternoon based on
positions held during the prior Tuesday.

Rolling FX Futures with Pace of the Roll Tool
For open interest holders who prefer to carry positions in FX futures
over time, the quarterly roll indicates the optimal liquidity period toroll a futures position forward from the expiring front month futurescontract to the deferred month futures contract and therefore
analyse and set their futures roll strategy. These charts are updated
and available on a daily basis during the roll period.

Calculate your marginswith CME Core
CME CORE is an interactive margin calculator that enables users
to calculate and evaluate initial margin requirements for all CME
Group products, and execute OTC efficiency analysis throughadditional analytics.

FX Trading with CME Direct
View or trade CME FX futures with CME Direct, a fast, secureand highly-configurable trading front-end. Benefit from the deep
liquidity and transparency of CME Group markets and uncover new
trading opportunities.
To trade with CME Direct, you will need a relationship with aclearing FCM so contact you bank if you’d like to get connected.

FX data to help you simulateor back test
your strategies
Our new self-service cloud solution allows you to quickly and more
efficiently access CME FX historical data in a more integrated andstreamlined process, providing you with the data you need almost
instantaneously.

To access the full suite, visit: cmegroup.com/fxtools
12Event risk, managed: Introducing our new FX Options Expiration Calendar
View and download 12 months of options listing and expiration dates, including yet-tobe-listed weekly expiries.

To access the tool, visit: cmegroup.com/options-calendar

The CME Institute: FX
Start learning about the futures and options markets with a variety of courses designed
to help you at each stage of your trading journey. Whether you are brand new to thederivatives market, or an experienced trader looking to sharpen specific skills, our courses
will help you deepen your knowledge and improve your understanding of our markets.
There are six dedicated courses on FX. Start Watching and Learning today.

To access the CME Institute, visit: cmegroup.com/fx-quote-conventions
13

Go Further
For more information, please contact:
Paul Houston
Head of FX, London Officepaul.houston@cmegroup.com+44 203 379 3355

Craig Leveille
Chicago Officecraig.leveille@cmegroup.com+1 312 454 5301

Divay Malhotra
London Officedivay.malhotra@cmegroup.com+44 20 3379 3796

Matt Gierke
Chicago Officematthew.gierke@cmegroup.com+1 312 930 8543

Ravi Pandit
Singapore Officeravi.pandit@cmegroup.com+65 6593 5562

Kevin Mcmillin
Chicago Officekevin.mcmillin@cmegroup.com+1 312 930 8264

14

SUBSCRIBE

The FX Report ismore than a Quarterly
Subscribe to our Monthly Report and see what’s trendingat the CME in more granularity: cmegroup.com/fxtrending

CME FX: DEFINED BY YOU, DELIVERED BY US.

CME GROUP HEADQUARTERS

CME GROUP GLOBAL OFFICES

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Chicago Board of Trade is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is a trademark of the New York Mercantile Exchange, Inc.
The information within this brochure has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of this brochure. CME Groupassumes 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, NYMEX and CBOT rules. Current CME/
CBOT/NYMEX rules should be consulted in all cases before taking any action.
© 2018 CME Group Inc. All rights reserved. 

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