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 will report:
- A single-sided Future trade with Multi Leg Reporting Type (MLegRptTyp)= 2
- A single-sided FX Spot trade with Multi Leg Reporting Type (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 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 for the FX Spot will be FXSPOT.
- Future: SecTyp=”FUT”
- FX Spot: SecTyp=”FXSPOT”
The Trade Type (TrdTyp) will be:
- OTC / Large Notional Off Facility Swap (54) for the FX Spot leg
- Regular Trade (0) for the Futures leg
Strategy Link ID (StrategyLinkID) will be used to link the trade legs together.
Calculation Currency Last Quantity (CalcCcyLastQty), will be used to calculate the quantity of the other side of the currency trade.