This page describes any trade submission rules unique to OTC FX products:
CME ClearPort API supports submission of OTC FX trades to be cleared by CME Derivatives Clearing Organization (DCO). The Forwards trades are cleared as OTC FX Forwards (not futures) with the trades held at the original trade price. Positions are held on a gross basis with optional netting. Non Deliverable Forwards (NDFs) will settle to the EMTA recommended official Fix in each pair, while the Cash Settled Forwards (CSFs) will use the WMR 4pm London Fix.
Cleared OTC FX Product Scope
OTC FX NDF
USD Settlement: USD/BRL, USD/PHP, USD/MYR, USD/INR, USD/KRW,
USD/CNY, USD/TWD, USD/IDR, USD/CLP, USD/PEN, USD/RUB, USD/COP
OTC FX CSF
(Cash Settled Forwards)
USD Settlement: EUR/USD, AUD/USD, GBP/USD, USD/SEK,
USD/DKK, NZD/USD, USD/NOK, USD/HKD, USD/HUF, USD/ILS, USD/MXN,
USD/SGD, USD/PLN, USD/ZAR, USD/CZK, USD/TRY, USD/THB
|Non USD, T+1 settlement: USD/CAD|
|Non USD, T+2 settlement: USD/JPY, AUD/JPY, EUR/JPY, CAD/JPY, EUR/AUD, EUR/CHF, EUR/GBP, USD/CHF|
OTC FX CSO
|AUD/USD, EUR/USD, USD/CAD, USD/JPY, EUR/GBP, GBP/USD, USD/CHF|
AUD/USD, EUR/USD, USD/CAD, USD/JPY, EUR/GBP, GBP/USD, USD/CHF '10 am NY & 4pm London fixing"
Trade Submission Models Supported
Participants can submit OTC FX trades using the either of the two models described below.
Single-Side Trade Submission - Submit single-sided trades so they can be matched in CME ClearPort and subsequently cleared by CME Clearing. Trade sides match when both participants have submitted their sides. If a match occurs, the resulting matched trade will then be eligible for clearing and the CME Front End Clearing System (FEC) notifies the designated clearing firms of a cleared trade, or in the case where the trade requires explicit claim in FEC by each clearing firm, a trade that is Pending Clear. When a clearing firm claims, FEC notifies the submitter of the claim status automatically if the submitter used WebSphere MQ as their method of transport. Submitters using Secure HTTP as their method of transport must continually request trade status.
Dual-Sided Trade Submission - Submit affirmed (matched, dual-sided) trades so they can be cleared by CME Clearing. In this model, CME ClearPort credit checks affirmed trades, or if required, clearing firms explicitly claim the trades pending clear. If the trade requires credit check in CME ClearPort then the entire trade clears immediately once it passes. If the trade requires explicit claim in FEC each clearing firm must accept their side for the entire trade to clear, and there is the potential for the trade to be partially cleared if the trade was allocated out to multiple customer accounts.
Risk Limit Check Model Supported
The Risk check model for OTC FX trades will use the "CME Hosted / Explicit Claim Model" workflow. In this risk check model, clearing members can choose to 1) set risk limits in CME Account Management Service and have CME perform risk checks on their behalf or 2) perform their own credit checks and explicitly accept and reject trades in FEC. The risk check method can be configured at the account level during account registration in CME Account Management Service. The ability to choose the risk check method at an account level in CME Account Management Service is available for Interest Rate Swaps, and OTC FX asset classes.
Participants can allocate trades using one of the following allocation models supported by CME ClearPort.
Pre-Clear Allocations: In this allocation model, allocations can be submitted at the time of trade submission. Allocations can be submitted for both the single sided and dual sided allocation model. In a single sided submission model, the allocations will be processed only after the trade is matched (affirmed) by ClearPort. All the allocations can be submitted in a single trade with multiple allocation blocks. As each allocation is claimed and cleared, the submitter is notified. Alternatively, allocations can be broken up and submitted as multiple trades by referencing the block trade and each allocated trade is cleared as a unique trade.
Post Clear Allocation: In this allocation model, when a bilateral trade is executed and the allocations/accounts are not known within the required reporting time frame, the trade is submitted using a temporary block/ holding account. The trade cleared in the block/holding account. Subsequently the counterparty that intended to allocate can submit allocations by allocating out of the holding account into the appropriate allocation accounts. In this model, the participants can submit partial allocations. The allocated trade will need to reference the original block trade (using the block UTI).
Refer to the conceptual flows associated with the single side trade submission model and the dual side trade submission model for OTC FX trades using the CME Hosted and Explicit Claim risk limit check model for more details.
FIXML Message Flows and Message Specification
For FIXML message flows associated with OTC FX Trades, refer to FIXML Message Flows. Refer to the detailed message specification and message samples for submitting OTC FX trades for Clearing using the CME ClearPort API.
OTC FX Trade Submission and Validation Rules
Submitting Contract Date for OTC FX Forwards
- For OTC FX Options, the MMY field must contain the contract’s Expiration Date.
- For OTC FX Forwards, the MMY field must contain the contract's Fixing Date.
Fixing Date of the contract is required in YYYYMMDD format.
Submitting Notional Amount in Base or Settlement Terms
The notional amount of the trade. This is sent in conjunction with the Ccy attribute described below.
Used to indicate whether the specified Notional Quantity (LastQty) isexpressed in Base or Settlement Currency terms.
The ISO 4217 code (e.g. USD) of either the CCY1 (the Base currency) or CCY2 (the Settlement currency) must be specified here.
Notional Quantities for OTC FX Options can only be submitted in Base Terms.
Other Amounts in OTC FX Trades
The API provides additional money amounts on the trade confirms. Described below are list of attributes that are available on outbound messages
Notional amount of the trade in Base (Ccy1) terms
This contains the notional value of the trade in Base (Ccy1) terms if the trade is sent in reverse convention.
CalcCcyLastQty = Notional Quantity in Settlement terms divided by the Price
Notional amount of the trade leg in Base (Ccy1) terms
This contains the notional value of the trade leg in Base (Ccy1) terms if the trade leg is sent in reverse convention.
LegCalcCcyLastQty = Notional Quantity in Settlement terms divided by the Price