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”
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.