CME STP FIX - CME FX Link Messaging

CME FX Link is a spot FX basis spread offering that is matched on CME Globex. A trade results in the creation of a new spot FX trade capture report message.

For each of the two trade counterparties, CME STP FIX will report:

• A single-sided Future trade with Multi Leg Reporting Type (tag 442-MLegRptTyp) = 2

• A single-sided FX Spot trade with Multi Leg Reporting Type (tag 442-MLegRptTyp) = 2

There will be four single-sided legged trades in total.

• The Future will be a single-sided CME Cleared Future while the FX Spot will be a single-sided un-cleared FXSPOT trade.

• The Exchange (tag 207-Exch) for the Future will be CME and the Exchange for the FX Spot trade will be FXS.

  • Future: Exch=”CME”

  • FX Spot: Exch=”FXS”

• The Security Type (tag 167-Sec) for the FX Spot will be FXSPOT.

  • Future: SecTyp=”FUT”

  • FX Spot: SecTyp=”FXSPOT”

• Strategy Link ID (tag1851-StrategyLinkID) will be used to link the trade legs together.

The Trade Type (tag 828-TrdTyp) will be:

• OTC / Large Notional Off Facility Swap (54) for the FX Spot leg

• Regular Trade (0) for the Futures leg

Calculation Currency Last Quantity (tag 1056-CalcCcyLastQty) will be used to calculate the quantity of the other side of the currency trade.