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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.