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This topic provides information about CME FX Link. 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 PairInverted/Non-Inverted
EUR/USDNon-Inverted
GBP/USDNon-Inverted
AUD/USDNon-Inverted
NZD/USDNon-Inverted
USD/JPYInverted
USD/MXNInverted 
USD/CADInverted
USD/CHFInverted

Display Factor

When displaying FX Link instruments, CME Group recommends that customer systems use the Display Factor (tag 9787). More information regarding the Display Factor can be found at the following link.

CME FX Link CME Globex Impacts

The following section outlines the functional CME FX Link CME Globex  impacts.  

MDP Messaging Considerations

For the OTC Spot leg, the Security Definition (35-MsgType=d) will be the only MDP3 message available and no other MDP3 information will be 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

On CME Globex for CME FX Link iLink fills, the OTC Spot FX leg fill price (31-LastPx) will be shown as equal to the CME FX Link spread price (reflecting the differential from the assigned FX Futures leg price that the OTC Spot FX fill price will ultimately take), while actual OTC Spot FX leg fill price and full transaction details can be consumed via CME Straight Through Processing (STP). The assigned CME Globex FX futures leg price on a CME FX Link spread fill will have the following pricing priority:

  1. the last traded price on CME Globex
  2. the best/bid offer 
  3. the last settlement

This CME Globex futures leg price heirarchy is also referred to as the CME Globex price and is commonly used in spread leg pricing.

Spot Leg Name and Expiration Date Formats

To ensure daily continuity (not actual expiry) of the spot instruments thourhgout time, all spot instruments will be 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

iLInk: tag 107-SecurityDesc
MDP 3.0: tag 55-Symbol

Euro / US Dollar Spot FXEURUSDZ5031
US Dollar / Canadian Dollar Spot FXUSDCADZ5031
British Pound / US Dollar Spot FXGBPUSDZ5031
Australian Dollar / US Dollar Spot FXAUDUSDZ5031
US Dollar / Japanese Yen Spot FXUSDJPYZ5031
US Dollar / Mexican Peso Spot FXUSDMXNZ5031
US Dollar/Swiss Franc Spot FXUSDCHFZ5031
New Zealand Dollar/US Dollar Spot FXNZDUSDZ5031

Display Factor

When displaying FX Link instruments, CME Group recommends that customer systems use the Display Factor (tag 9787). More information regarding the Display Factor can be found at the following link.

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

207SecurityExchangeYXFXS=CME FX Link spread
GLBX=FX Spot leg
ExchangeExchange 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".

TagFIX NameReqValid ValuesFIX 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

1I

I=Spot

2F

F=Foreign Exchange

3X

X=Undefined 

X

X=Undefined 

5X

X=Undefined  

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 fill.

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


New iLink Order Fill

Over iLink, a buy side order for a CME FX Link spread is sent and is filled. The CME FX Link spread assigned CME Globex fill price of 0.1 is equal to the OTC Spot FX leg fill price.  Often front end systems will represent the price in terms of a display price of 0.00001. The display price is calculated by multiplying the tag 9787-DisplayPrice of 0.0001 for 6E:XF:EURUSD:Z7 by the CME Globex traded price of 0.1. The assigned CME FX futures leg price is the last traded price on CME Globex of 12035.5. The actual OTC Spot FX leg fill price and full transaction details can be consumed via CME Straight Through Processing (STP).


cme-fx-link-new-order-fill

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-resulting-market-data

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). More information regarding the Display Factor can be found at the following link.

Spread NameInverted/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-InvertedEURUSD6E0.1FUTXFXSXFFMCXSX3205
US Dollar / Canadian Dollar Spot FX Basis SpreadInvertedUSDCAD6C0.1FUTXFXSYFFMCXSX3205
British Pound / US Dollar Spot FX Basis SpreadNon-InvertedGBPUSD6B 1FUTXFXS XFFMCXSX3145
Australian Dollar / US Dollar Spot FX Basis SpreadNon-InvertedAUDUSD 6A1FUTXFXS XFFMCXSX3145
US Dollar / Japanese Yen Spot FX Basis SpreadInvertedUSDJPY 6J0.1FUTXFXS YFFMCXSX3145
US Dollar / Mexican Peso Spot FX Basis SpreadInverted USDMXN 6M5FUTXFXS YF FMCXSX32015
US Dollar/Swiss Franc Spot FX Basis SpreadInverted USDCHF6S1FUTXFXS YFFMCXSX3145
New Zealand Dollar/US Dollar Spot FX Basis SpreadNon-InvertedNZDUSD6F1FUTXFXS XFFMCXSX3205

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

MDP3 Channel
Euro / US Dollar Spot FXEURUSD02 (Zero-2)0.1FXSPOTGLBXIFXXXP 320
US Dollar / Canadian Dollar Spot FXUSDCAD02 (Zero-2)0.1FXSPOTGLBXIFXXXP 320
British Pound / US Dollar Spot FXGBPUSD01 (Zero-1)1FXSPOT GLBXIFXXXP 314
Australian Dollar / US Dollar Spot FXAUDUSD01 (Zero-1)1FXSPOTGLBXIFXXXP 314
US Dollar / Japanese Yen Spot FXUSDJPY01 (Zero-1)0.1FXSPOTGLBXIFXXXP 314
US Dollar / Mexican Peso Spot FXUSDMXN02 (Zero-2)5FXSPOTGLBXIFXXXP  320
US Dollar/Swiss Franc Spot FXUSDCHF01 (Zero-1)1FXSPOTGLBXIFXXXP 314
New Zealand Dollar/US Dollar Spot FXNZDUSD02 (Zero-2)1FXSPOTGLBXIFXXXP 320