CME FX Link Spread
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:
Current 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 |
USD/CNH | Non-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.
- 1.1 Display Factor