CURRENCY MARKETS

FX Markets Gaining Momentum

NOVEMBER 15, 2012

Lori Aldinger
Manager Research & Product Development 312-930-2337 lori.aldinger@cmegroup.com

John W. Labuszewski
Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com

The Bank for International Settlements (BIS) publishes information regarding the total outstanding value of over-the-counter (OTC) and exchange-traded derivatives positions on a semiannual basis. BISs November 2012 release, covering data through June 2012, suggests that FX derivatives, including OTC or interbank; and, exchange-traded markets, appear quite vibrant and growing to new heights of activity. Interbank Markets The interbank, or over-thecounter, FX derivative markets includes forwards and forex swaps; currency swaps; and, currency options. The outstanding notional value of the marketplace advanced to $66.6 trillion as of June 2012. This figure represents a 5.2% advance over the December 2011 mark of $63.3 trillion. Further, this eclipses the previous high-water mark of $64.7 trillion established as of June 2011 and the previous peak of $63.0 trillion as of June 2008. Notional Value Interbank FX Market

(JPY). Appreciation in the value of the USD vs. other major currencies during the first half of 2012 was the key driving factor in this decline. But the Swiss franc (CHF) was particularly hard hit with market values declining approximately 24% in the first half of 2012, relative to a 30% decline in the previous six month period. This development reflects market expectations that future CHF/EUR values would be constrained by the cap established by the Swiss National Bank. Exchange-Traded Markets Exchange-traded FX derivatives, including futures and option markets, similarly gained momentum during the first half of 2012. The outstanding notional value (or dollar value of open interest) of all exchange-traded FX derivatives advanced 5.5% from $308 billion in December 2011 to $325 billion in June 2012. Still, this falls a bit short of the previous peaks of $389 billion, $347 billion and $390 billion established in June 2011, June 2010 and June 2008, respectively.

$70 $60 $50 $40 $30 $20 $10 $0

Notional Value FX Derivatives

Interbank FX (Trillions USD)

$400 $350 $300 $250 $200 $150 $100 $50 $0 Jun-03 Jun-06 Jun-09 Mar-04 Mar-07 Sep-05 Sep-08 Mar-10 Sep-11 Dec-04 Dec-07 Dec-10 Jun-12

Forwards & Forex Swaps Currency Swaps Options Source: Bank for International Settlements

Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12

Interbank FX Exchange-Traded FX CME Group FX Source: Bank for International Settlements & CME Research

Gross market values declined 13.2% from $2.6 trillion in December 2011 to $2.2 trillion in June 2012. 1 This decline in market values was felt with similar effect across contracts denominated in U.S. dollars (USD), Euros (EUR) and the Japanese yen

Gross market values measure the cost of replacing existing contracts or to put it another way, unrealized gains or losses on outstanding interbank or OTC FX derivative contracts. The BIS also reports on gross credit exposures, which measures reporting dealers exposure after taking into account legally enforceable trade netting agreements.

But the notional value of CME Group FX contracts advanced to $205 billion by June 2012, up 7.9% from $190 billion in December 2011. This $205 billion reflects a new all-time high in the notional value of outstanding CME FX contracts. Note that the December 2011 figure of $190 billion represents the previous high. Thus, CME Group FX contracts represent some 63.0% of the entire exchangetraded FX marketplace as of June 2012. CME marketshare of the entire FX derivatives marketplace including interbank and exchange-

| FX Markets Gaining Momentum | November 20, 2012 | CME GROUP

Exchange Traded FX (Billions USD)

$70 $65 $60 $55 $50 $45 $40 $35 $30 $25 $20

$450

traded derivatives stands at 0.31% in June 2012, up from 0.30% in December 2011. Detailed figures regarding outstanding notional values in the interbank or OTC and exchange-traded

FX marketplace may be referenced in Table 1 below. Gross market values in interbank or OTC FX derivatives may be referenced in Table 2 below.

Copyright 2012 CME Group All Rights Reserved. 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 contracts 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 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. Swaps trading is not suitable for all investors, involves the risk of loss and should only be undertaken by investors who are ECPs within the meaning of section 1(a)12 of the Commodity Exchange Act. Swaps are a leveraged investment, and because only a percentage of a contracts value is required to trade, it is possible to lose more than the amount of money deposited for a swaps 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. CME Group is a trademark of CME Group Inc. The Globe logo, E-mini, Globex, CME and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. 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 document has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of the information. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples contained herein 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.

| FX Markets Gaining Momentum | November 20, 2012 | CME GROUP

Table 1: Outstanding Notional Value of FX Derivatives Markets

(Billions USD) Jun-08 Interbank FX contracts Forwards and forex swaps Currency swaps Options All Exchange-Traded FX CME FX Contracts $62,983 $31,966 $16,307 $14,710 $390 $172 Dec-08 $50,042 $24,494 $14,941 $10,608 $254 $96 Jun-09 Dec-09 Jun-10 OTC or Interbank FX Derivatives $48,732 $49,181 $53,153 $23,105 $23,129 $25,624 $15,072 $16,509 $16,360 $10,555 $9,543 $11,170 Exchange Traded FX Derivatives $225 $292 $347 $107 $147 $172 Dec-10 $57,796 $28,433 $19,271 $10,092 $314 $174 Jun-11 $64,698 $31,113 $22,228 $11,358 $389 $176 Dec-11 $63,349 $30,526 $22,791 $10,032 $308 $190 Jun-12 $66,645 $31,395 $24,156 $11,094 $325 $205

Source: Bank for International Settlements (BIS) and CME Group Research

Table 2: Gross Market Value of Interbank or OTC FX Derivatives

(Billions USD) Jun-08 $2,262 $802 $1,071 $388 Dec-08 $4,084 $1,830 $1,633 $621 Jun-09 $2,470 $870 $1,211 $389 Dec-09 $2,070 $683 $1,043 $344 Jun-10 $2,544 $930 $1,201 $413 Dec-10 $2,482 $886 $1,235 $362 Jun-11 $2,336 $777 $1,227 $332 Dec-11 $2,555 $919 $1,318 $318 Jun-12 $2,217 $771 $1,184 $262

Foreign exchange contracts Forwards and forex swaps Currency swaps Options

Source: Bank for International Settlements (BIS)

| FX Markets Gaining Momentum | November 20, 2012 | CME GROUP