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Product TypeCurrencies

OTC FX NDF

(Non-Delivarable Forwards)

USD Settlement: USD/BRL, USD/PHP, USD/MYR, USD/INR, USD/KRW,

USD/CNY, USD/TWD, USD/IDR, USD/CLP, USD/PEN, USD/RUB, USD/COP

OTC FX CSF

(Cash Settled Forwards)

USD Settlement: EUR/USD, AUD/USD, GBP/USD, USD/SEK,

USD/DKK, NZD/USD, USD/NOK, USD/HKD, USD/HUF, USD/ILS, USD/MXN,

USD/SGD, USD/PLN, USD/ZAR, USD/CZK, USD/TRY, USD/THB


 Non USD, T+1 settlement: USD/CAD 

Non USD, T+2 settlement: USD/JPY, AUD/JPY, EUR/JPY, CAD/JPY, EUR/AUD, EUR/CHF, EUR/GBP, USD/CHF

OTC FX CSO

(FX Options)

AUD/USD, EUR/USD,   USD/CAD, USD/JPY, EUR/GBP, GBP/USD, USD/CHF
Noteinfo

AUD/USD, EUR/USD, USD/CAD, USD/JPY, EUR/GBP, GBP/USD, USD/CHF  '10 am NY & 4pm London fixing"

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Field

XPath

Description

Contract Maturity

TrdCaptRpt/Instrmt/@MMY

Fixing Date of the contract is required in YYYYMMDD format.

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Submitting Notional Amount in Base or Settlement Terms

CME ClearPort API allows submitters to specify the notional trade quantity for OTC FX Futures and Forwards in base currency terms or settlement currency terms. OTC FX Option notional trade quantities must be submitted in base currency terms. For all OTC FX security types (Futures, Forwards and Options) the Ccy attribute must be specified to indicate whether the notional amount is specified in base currency or settlement currency terms. The notional amount is specified in the LastQty attribute.Currently, CME ClearPort API supports submission of OTC FX Options in base currency terms only. So the base currency must always be specified in the Ccy attribute.  


Field

XPath

Description

Notional Amount

TrdCaptRpt/@LastQty

The notional amount of the trade. This is sent in conjunction with the Ccy attribute described below.

Base Currency

TrdCaptRpt/@Ccy

Used to indicate whether the specified Notional Quantity (LastQty) isexpressed in Base or Settlement Currency terms.

The ISO 4217 code (e.g. USD) of either the CCY1 (the Base currency) or CCY2 (the Settlement currency) must be specified here.

Options

Notional Quantities for OTC FX Options can only be submitted in Base Terms.

 


Other Amounts in OTC FX Trades

The API provides additional money amounts on the trade confirms. Described below are list of attributes that are available on outbound messages

Field

XPath

Description

Notional amount of the trade in Base (Ccy1) terms

TrdCaptRpt/@CalcCcyLastQty 


This contains the notional value of the trade in Base (Ccy1) terms if the trade is sent in reverse convention.

CalcCcyLastQty = Notional Quantity in Settlement terms divided by the Price

Notional amount of the trade leg in Base (Ccy1) terms

TrdCaptRpt/TrdLeg/@LegCalcCcyLastQty

This contains the notional value of the trade leg in Base (Ccy1) terms if the trade leg is sent in reverse convention.

LegCalcCcyLastQty = Notional Quantity in Settlement terms divided by the Price