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:

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:

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.

 Example 2: New Zealand Dollar/US Dollar Spot FX Basis Spread Trades for Monday, after the NZD trade date rollover.

Settlement Date

Settlement date is sent in iLink messaging as follows.

Base and Counter Currency Notional Valuation

In iLink messaging base and notional currency values are sent in the following tags.

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.

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.

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".

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.

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.

When displaying FX Link instruments, CME Group recommends that customer systems use the Display Factor (tag 9787). 

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.

CME STP Support for FX Link Trades

Details on the CME STP support for FX Link trades is available in the following topics:

CME STP - CME FX Link Messaging

• CME STP - FIXML Message Samples

CME STP FIX - CME FX Link Messaging

• CME STP FIX - Samples