This topic provides information about CME FX Link, which provides a central limit order book for trading spreads between CME FX Futures and the OTC FX market.
CME FX Link is traded on CME Globex as the differential between CME FX Futures and OTC Spot FX, resulting in the simultaneous execution of FX Futures cleared by CME Group, and OTC Spot FX transactions subject to bilateral OTC relationships.
The CME FX Link spreads consist of OTC FX Spot vs. each of the front three quarterly CME FX Futures. Three consecutive CME FX Link months are listed for eligible currency pairs. A new spread will be added two weeks prior to the last trade date of an expiring CME FX Future. The OTC FX Spot leg is only tradeable as part of the CME FX Link spread.
The spreads are traded as a differential between FX Futures and OTC spot, with both legs expressed in OTC quote convention. Therefore, the spread construction is either non-inverted or inverted, depending on whether the quoting convention of the related futures leg is inverted or non-inverted with respect to the typical OTC convention for that currency pair.
With a non-inverted CME FX Link Spread (XF):
- The CME FX Future follows the same convention as the OTC market.
- The buyer of the spread buys CME FX futures and sells OTC spot. The seller sells CME futures and buys OTC spot.
With an inverted CME FX Link Spread (YF):
- The CME FX Future is inverted from the standard OTC convention.
- The buyer of the spread sells CME FX futures and sells OTC spot. The seller buys CME futures and buys OTC spot.
The following currency pairs are available:
| Currency Pair | Inverted/Non-Inverted |
|---|---|
| EUR/USD | Non-Inverted |
| GBP/USD | Non-Inverted |
| AUD/USD | Non-Inverted |
| NZD/USD | Non-Inverted |
| USD/JPY | Inverted |
| USD/MXN | Inverted |
| USD/CAD | Inverted |
| USD/CHF | Inverted |
| USD/ZAR | Inverted |
Display Factor
When displaying FX Link instruments, CME Group recommends that client systems use the Display Factor (tag 9787). More information regarding the Display Factor can be found at this link.
CME FX Link on CME Globex
The following section outlines the functional considerations for CME FX Link CME Globex.
MDP Messaging Considerations
For the OTC Spot leg, the Security Definition (35-MsgType=d) is the only MDP3 message available. For CME FX Future legs on a CME FX Link spread trade, only the MDP3 trade volume will be sent. The CME FX Link spread will have standard MDP3 messaging updates.
iLink Messaging Considerations
iLink Execution Report - Fill messages include the actual OTC Spot FX leg fill price and full transaction details for the OTC Spot FX leg instruments.
Spot Leg Name and Expiration Date Formats
To ensure continuity, all spot instruments are set with a maturity date (tag 200-MaturityMonthYear) of 12/2050 and an expiration date (tag 865-EventType=7 and tag 1145-EventTime) of 12/31/2050. The actual value date for settlement of spot FX transactions resulting from CME FX Link spreads is as defined by CME Group rules, based on standard market value date and value date roll conventions.
Consequently, with this release the spot leg name will be assigned with the following static iLink tag 107-SecurityDesc and MDP 3.0 tag 55-Symbol values:
Product Name |
|
|---|---|
| Euro / US Dollar Spot FX | EURUSDZ5031 |
| US Dollar / Canadian Dollar Spot FX | USDCADZ5031 |
| British Pound / US Dollar Spot FX | GBPUSDZ5031 |
| Australian Dollar / US Dollar Spot FX | AUDUSDZ5031 |
| US Dollar / Japanese Yen Spot FX | USDJPYZ5031 |
| US Dollar / Mexican Peso Spot FX | USDMXNZ5031 |
| US Dollar/Swiss Franc Spot FX | USDCHFZ5031 |
| New Zealand Dollar/US Dollar Spot FX | NZDUSDZ5031 |
| U.S. Dollar/South African Rand Spot FX | USDZARZ5031 |
Value Date
Value dates are for transaction settlement dates based on trading business days. For the OTC Spot FX spread leg fills, tag 64-SettlDate will contain the value date (T+2).
In addition to the trading date, currency pair settlement change at the rollover time. Most currency pairs follow the end of day rollover time, but some currencies have different trade date rollover time, such as the New Zealand Dollar.
Trade and Value Date for New Zealand Dollar/US Dollar Spot FX
Trading date rollover for the New Zealand Dollar/US Dollar Spot FX (NZD) occurs at 7:00 a.m. Auckland time and the value dates can change during the active session.
Example 1: New Zealand Dollar/US Dollar Spot FX Basis Spread Trades for Monday, before the NZD trade date rollover.
*Trade is made at 11:00 a.m. (CT) on Monday | Trade Day | Value Date (T+2) |
|---|---|---|
CME FX Link spread: 6N:XF:NZDUSD:M1 | Monday | N/A |
CME Futures Leg: 6NM1 | Monday | N/A |
CME FX Spot Leg (non-tradable): NZDUSDZ5031 | Monday | Wednesday |
Example 2: New Zealand Dollar/US Dollar Spot FX Basis Spread Trades for Monday, after the NZD trade date rollover.
*Trade is made at 3:00 p.m. (CT) on Monday | Trade Day | Value Date (T+2) |
|---|---|---|
CME FX Link spread: 6N:XF:NZDUSD:M1 | Monday | N/A |
CME Futures Leg: 6NM1 | Monday | N/A |
CME FX Spot Leg (non-tradable): NZDUSDZ5031 | Tuesday | Thursday |
Settlement Date
Settlement date is sent in iLink messaging as follows.
Tag | Field Name | Binary Type | Binary Length | Required | Description |
|---|---|---|---|---|---|
64 | SettlDate | LocalMktDate | 2 | N | Specific date of trade settlement for the Spot leg. |
Base and Counter Currency Notional Valuation
In iLink messaging base and notional currency values are sent in the following tags.
Tag | Field Name | Binary Type | Binary Length | Required | Description |
|---|---|---|---|---|---|
1056 | CalculatedCcyLastQty | Decimal64NULL | 9 | N | Total amount traded (in notional) in counter currency for the Spot leg |
381 | GrossTradeAmt | Decimal64NULL | 9 | N | Total amount traded (in notional) in base currency for the Spot leg |
Security Exchange
The tag 207-SecurityExchange value "XFXS" is sent for CME FX Link spreads in the MDP3 Security Definition (35=d) message. The tag 207-SecurityExchange value "GLBX" is sent for FX Spot legs in the MDP3 Security Definition (35=d) message.
| Tag | FIX Name | Req | Valid Values | Format | Description |
|---|---|---|---|---|---|
| 207 | SecurityExchange | Y | XFXS=CME FX Link spread GLBX=FX Spot leg | Exchange | Exchange used to identify a security. |
FX Spot Security Type and Length
The tag 167-SecurityType value "FXSPOT" for the spot instruments is populated for iLink and MDP3 Security Definition (35=d) messages.
Tag | FIX Name | Req | Valid Values | Format | Description |
|---|---|---|---|---|---|
167 | SecurityType | N | FXSPOT=FX Spot | String (6) | Indicates instrument is future or option. |
Spread Security SubTypes
The tag 762-SecuritySubType value of "XF" is sent for non-inverted spreads in the MDP3 Security Definition (35=d) message. The tag 762-SecuritySubType value of "XF" is sent for inverted spreads in the MDP3 Security Definition (35=d) message with a tag 762-SecuritySubType value of "YF".
| Tag | FIX Name | Req | Valid Values | FIX Type | |
|---|---|---|---|---|---|
762 | SecuritySubType | C | XF=Non-inverted YF=Inverted | String | Indicates Spread type. |
Spot Leg CFI Code
The OTC Spot leg is populated with a CFICode (tag 461) and LegCFICode (tag 608) of "IFXXXP". The following table contains the values for the six-character CFICode string for the OTC Spot leg.
Byte | Valid Values | Description |
|---|---|---|
| 1 | I | I=Spot |
| 2 | F | F=Foreign Exchange |
| 3 | X | X=Undefined |
| 4 | X | X=Undefined |
| 5 | X | X=Undefined |
| 6 | P | P=Physical |
Minimum Allowable Order Quantity
CME FX Link spreads require an order quantity (iLink tag 38-OrderQty) greater than 1. The minimum allowable order quantity for the spread is determined via tag 562-MinTradeVol on the MDP3 Security Definition (35-MsgType=d) message.
CME Globex iLink and MDP3 Messaging Example
The following section illustrates an example of an iLink CME FX Link spread trade.
Example Spread
CME FX Link: 6E:XF:EURUSD:Z7
CME Futures Leg: 6EZ7 with the last traded CME Globex price of 12035.5
CME FX Spot Leg (non-tradable): EURUSDZ5031
In this example a buy order for a CME FX Link spread is accepted and filled. The CME FX Link spread assigned CME Globex fill price of 0.1 is equal to the OTC Spot FX leg fill price. The assigned CME FX futures leg price is the last traded price on CME Globex of 12035.5.
Resulting Market Data
The CME FX Link spread trade results in trade, volume, book data and statistic information. Volume information for the spread and CME FX Future is sent. There is no resulting market data for the OTC FX Spot leg.
CME FX Link Spread CME Globex Tag Summary
The following table is an overview of the iLink and MDP3 tags associated with the CME FX Link Spread.
Display Factor
When displaying FX Link instruments, CME Group recommends that customer systems use the Display Factor (tag 9787).
When displaying FX Link instruments, CME Group recommends that customer systems use the Display Factor (tag 9787).
| Spread Name | Inverted/Non-Inverted | MDP 3.0 tag 6937-Asset | iLink tag 55-Symbol MDP3.0 tag 1151-SecurityGroup | MDP 3.0 tag 969-MinPriceIncrement | iLink and MDP 3.0 tag 167-SecurityType | MDP 3.0 tag 207-SecurityExchange | MDP 3.0 tag 762-SecuritySubType | MDP 3.0 tag 461-CFICode | MDP 3.0 Channel | MDP 3.0 tag 562-MinTradeVol |
|---|---|---|---|---|---|---|---|---|---|---|
Euro / US Dollar Spot FX Basis Spread | Non-Inverted | EURUSD | 6E | 0.05 | FUT | XFXS | XF | FMCXSX | 314 | 5 |
| US Dollar / Canadian Dollar Spot FX Basis Spread | Inverted | USDCAD | 6C | 0.1 | FUT | XFXS | YF | FMCXSX | 314 | 5 |
| British Pound / US Dollar Spot FX Basis Spread | Non-Inverted | GBPUSD | 6B | 1 | FUT | XFXS | XF | FMCXSX | 314 | 5 |
| Australian Dollar / US Dollar Spot FX Basis Spread | Non-Inverted | AUDUSD | 6A | 1 | FUT | XFXS | XF | FMCXSX | 314 | 5 |
| US Dollar / Japanese Yen Spot FX Basis Spread | Inverted | USDJPY | 6J | 0.1 | FUT | XFXS | YF | FMCXSX | 314 | 5 |
| US Dollar / Mexican Peso Spot FX Basis Spread | Inverted | USDMXN | 6M | 5 | FUT | XFXS | YF | FMCXSX | 314 | 15 |
| US Dollar/Swiss Franc Spot FX Basis Spread | Inverted | USDCHF | 6S | 1 | FUT | XFXS | YF | FMCXSX | 314 | 5 |
| New Zealand Dollar/US Dollar Spot FX Basis Spread | Non-Inverted | NZDUSD | 6F | 1 | FUT | XFXS | XF | FMCXSX | 314 | 5 |
US Dollar/South African Rand Spot FX Basis Spread | Inverted | USDZAR | 6Z | 1 | FUT | XFXS | YF | FMCXSX | 15 |
FX Spot Leg CME Globex Tag Summary
The following table is an overview of the iLink and MDP3 tags associated with the OTC FX Spot leg.
| Product Name | MDP 3.0 tag | iLink tag 55-Symbol MDP3.0 tag 1151-SecurityGroup | MDP 3.0 tag 969-MinPriceIncrement | iLink and MDP 3.0 tag 167-SecurityType | MDP 3.0 tag 207-SecurityExchange | MDP 3.0 tag 461-CFICode | MDP 3.0 Channel |
|---|---|---|---|---|---|---|---|
| Euro / US Dollar Spot FX | EURUSD | 01 (zero-one) | 0.1 | FXSPOT | GLBX | IFXXXP | 314 |
| US Dollar / Canadian Dollar Spot FX | USDCAD | 01 (zero-one) | 0.1 | FXSPOT | GLBX | IFXXXP | 314 |
| British Pound / US Dollar Spot FX | GBPUSD | 01 (zero-one) | 1 | FXSPOT | GLBX | IFXXXP | 314 |
| Australian Dollar / US Dollar Spot FX | AUDUSD | 01 (zero-one) | 1 | FXSPOT | GLBX | IFXXXP | 314 |
| US Dollar / Japanese Yen Spot FX | USDJPY | 01 (zero-one) | 0.1 | FXSPOT | GLBX | IFXXXP | 314 |
| US Dollar / Mexican Peso Spot FX | USDMXN | 01 (zero-one) | 5 | FXSPOT | GLBX | IFXXXP | 314 |
| US Dollar/Swiss Franc Spot FX | USDCHF | 01 (zero-one) | 1 | FXSPOT | GLBX | IFXXXP | 314 |
| New Zealand Dollar/US Dollar Spot FX | NZDUSD | 10 (one-zero) | 1 | FXSPOT | GLBX | IFXXXP | 314 |
US Dollar/South African Rand Spot FX | USDZAR | 01 (zero-one) | 1 | FXSPOT | GLBX | IFXXXP | 314 |
CME STP Support for FX Link Trades
Details on the CME STP support for FX Link trades is available in the following topics: