Cleared OTC Financial Products - CME Group

1 Cleared OTC. Financial Products Security. Neutrality. Transparency. CLEARING THE WAY FORWARD. 2016 CME Group . All rights reserved. Contents Interest Rate Swap Clearing 9. OTC Foreign Exchange Clearing 16. Capital & Margin Efficiencies 22. Contacts 27. 2018 CME Group . All rights reserved. 2. Interest Rate Swap Clearing 2018 CME Group . All rights reserved. Why Customers are Choosing CME Group for OTC. Over 650 customers have chosen and used CME Group for their OTC clearing business More than 25 liquidity providers that are both US and Non-US institutions Broadest product Offering Global multi-asset class solution for IRS, FX, and Commodities Only clearing house to offer clearing in 24 IRS.

2 Currencies including Chilean Peso and Colombian Peso, and Chinese Yuan Margin Efficiencies Capital efficiency of portfolio margining of IRS. and swaptions vs. Interest Rate Futures, including Eurodollars, Treasuries, Mac Swap Futures, and Ultra Bond - 15 Clearing Members now live and over 465. accounts taking advantage of this solution, with risk reductions now generating an average $ billion in margin efficiencies in 2017. Operational Flexibility Ability to real-time clear trades in all time zones with global follow-the-sun customer support Compression via coupon blending that reduces gross notional outstanding and line items 2018 CME Group .

3 All rights reserved. 4. OTC Highlights & Trends Voluntary Clearing: Clearing of non-mandated Products continues to be the primary focus for clients in the OTC space, as the impacts of uncleared margin rules spreads through the market. Growing Our Core Offering: CME has Cleared over $115B average daily notional across currencies and Products in 2018 . to date, representing +30% versus 2017 ADV, with over 650 participants clearing across all currencies since launch. Broadening LatAm Presence: CME's TIIE (MXN) and CDI (BRL) Swap offering has seen over 190 participants, including 30 regionally-based participants. $26bn ADV in Q1- 2018 across both currencies is up over 26% year-over-year.

4 Scaling KRW & INR Swap Clearing: 34 firms and $48bn notional Cleared since launching in July 2017. Backloading of client exposures began in Q4-2017, driving a significant portion of activity in recent months. Delivering Capital Efficiencies: Over $40T and 889k line items reduced to date via triReduce and Coupon Blending solutions. Our compression services are utilized by both members and non-members, growing the realized efficiencies. product Innovation: Continuing to scale our USD Swaptions and OTC FX clearing. Launched Chilean Peso IRS, Colombian Peso OIS, and Chinese Yuan IRS clearing on May 21 st and plan to launch SOFR Swap Clearing in Q3- 2018 .

5 Across the IRS Clearing Industry, Voluntarily Cleared Products are Growing 3X Faster than Mandated Products *. Mandated Products ADV ($bn) Non-Mandated Prodcuts ADV ($bn). $300. $2,500 +80% +238% $262. $2,177. $250. $2,000. $198. $1,598 $200. $1,500. $1,208 $1,271. $1,095 $150 $135. $1,000. $100. $77 $77. $500. $50. $0 $0. 2014 2015 2016 2017 2018 YTD 2014 2015 2016 2017 2018 YTD. *Sources: Reported clearing volumes by Global CCPs 2018 CME Group . All rights reserved. 5. Latin America IRS Clearing $27bn ADV in TIIE (MXN) and CDI (BRL) IRS in 2018 , more than double our volumes from 2016. According to Clarus SDRview*, CME clears >95% of TIIE and 85% of the Offshore CDI Swap market TIIE volume of $17 billion ADV in 2018 , a 15% increase YoY, with 64 new participants since 2017.

6 CME was the first CCP to support triReduce compression cycles in TIIE and CDI Swaps, and has since generated over $2T in notional reduction across both dealers and non-member clients (via FCM). CDI Swap clearing began in Q4-2015 and has grown to $9 billion ADV in 2018 , which is 23% increase year-over-year. Open interest now exceeds $1 trillion. Over 105 participants have now Cleared CDI Swaps, 58 of which began clearing in 2017 and 2018 . MXN and BRL IRS Volume at (USDE $bn) LatAM Participant Ecosystems MXN BRL CDI. $27 $26. $24 TIIE. $21 $10 $9. $19 $7 Bank/Dealer $18 19. $6 Hedge Fund Bank/Dealer 63. $8 $7 Hedge Fund 38.

7 $12 87 Asset Manager $8 $3 27. $6 $17 $17 $17. $1 $15. $0 Asset $10 $11. $9 Manager $6 $7. 53. *Based on reported trade count from Clarus SDRview 2018 CME Group . All rights reserved. 6. APAC IRS Clearing CME launched clearing for KRW IRS and INR OIS in July 2017 and CNY on May 21st, 2018 to further extend our industry-leading offering to 24 currencies. CME has Cleared over $71 billion in notional to date with $51 billion of that being done in 2018 , as clients have continued backloading their bilateral exposures into clearing. 41 participants have Cleared the currencies and 12 liquidity providers are live, including Societe Generale EB, Bank of America EB+FCM and Goldman Sachs FCM going live this year.

8 Over $41 billion notional outstanding in KRW, and $14 billion in INR. We expect this to continue growing as more participants continue to clear new and existing bilateral positions. KRW & INR Total Volume and Participants KRW & INR Participant Ecosystem KRW IRS INR OIS Total Participants $80 45. $70 40. USDE Volume ($bn). 35 Bank/Dealer $60. 12. Total Participants 30. $50. 25. $40. Hedge Fund 20. 21. $30. 15. $20 Asset Manager 10. 8. $10 5. $0 0. Launch Sep-17 Dec-17 Mar-18. 2018 CME Group . All rights reserved. 7. COP, CLP, CNY product Scope Now Live for Clearing Chilean Peso Colombian Peso Chinese Yuan Interest Rate Swap &.

9 Overnight Indexed Swap Interest Rate Swap Zero Coupon Swap Maximum Maturity 20 years 20 years 10 years CLP-TNA (Indice C mara Floating Rate Index COP-IBR-OIS-COMPOUND CNY-CNREPOFIX=CFXS-Reuters*. Promedio). Settlement Currency &. USD (T+1) USD (T+1) USD (T+1). Convention Price Alignment Rate Fed Funds Overnight Rate Fed Funds Overnight Rate Fed Funds Overnight Rate Variation Margin USD USD USD. Coupons and Fees USD USD USD. Santiago (CLSA) and New York Bogot (COBO) and New York Holiday Calendar Beijing (CNBE) and New York (USNY). (USNY) (USNY). Business Day Convention ACT/360 ACT/360 Up to 18 month tenor = Zero Up to 18 month tenor = Zero Coupon Payment Frequency Coupon (1T) (1T) Quarterly (3M).

10 2Y+ = Semiannual (6M) 2Y+ = Quarterly (3M). Payment Lag 0D 0D 0D. FX Fixing to Convert (CNY01). Coupon to USD. FX Fixing Offset -2D -2D -2D. * Tentative maturity target; dependent on liquidity of curve instruments. 2018 CME Group . All rights reserved. 8. CME Group Swaptions Clearing Clearing Swaptions Exposures Amplifies our Unparalleled Capital Efficiencies CME has Cleared over $700m notional volume in since September 2017. 9 participants have Cleared swaptions to date, including 4 buy-side customers and 5 liquidity providers Voluntary clearing allows market participants the flexibility to reduce the risk of their Cleared IRS.