OTC FX Trade Submission
This page describes any trade submission rules unique to OTC FX products:
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CME ClearPort API supports submission of OTC FX trades to be cleared by CME Derivatives Clearing Organization (DCO). The Forwards trades are cleared as OTC FX Forwards (not futures) with the trades held at the original trade price. Positions are held on a gross basis with optional netting. Non Deliverable Forwards (NDFs) will settle to the EMTAÂ recommended official Fix in each pair, while the Cash Settled Forwards (CSFs) will use the WMR 4pm London Fix.
Cleared OTC FX Product Scope
Product Type | Currencies |
---|---|
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, Â USD/CAD, USD/JPY, EUR/GBP, GBP/USD, USD/CHF |
AUD/USD, EUR/USD, USD/CAD, USD/JPY, EUR/GBP, GBP/USD, USD/CHFÂ '10 am NY & 4pm London fixing"
Trade Submission Models Supported
Participants can submit OTCÂ FX trades using the either of the two models described below.
Risk Limit Check Model Supported
The Risk check model for OTC FX trades will use the "CME Hosted / Explicit Claim Model" workflow.Â
Submitting Allocations
Participants can allocate trades using one of the following allocation models supported by CME ClearPort.
OR
Conceptual Flows
Refer to the conceptual flows associated with the single side trade submission model and  the dual side trade submission model for OTC FX trades using the CME Hosted and Explicit Claim risk limit check model for more details.
FIXML Message Flows and Message Specification
For FIXML message flows associated with OTC FX Trades, refer to FIXML Message Flows. Refer to the detailed message specification and message samples for submitting OTC FX trades for Clearing using the CME ClearPort API.
OTC FX Trade Submission and Validation Rules
Submitting Contract Date for OTC FX Forwards
For OTC FX Options, the MMY field must contain the contract’s Expiration Date.
For OTC FX Forwards, the MMY field must contain the contract's Fixing Date.
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.Â
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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. |
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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 |
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