This document is designed to be a user guide which highlights the functionality in the CME FX Link Implied Rates Monitor. Details of the underlying calculations behind the data displayed in the tool can be found in the Methodology.
The CME FX Swap Rate Monitor calculates an implied interest rate differential based on pricing data from CME Group FX futures and the FX Link central limit order book. The interest rate differential implied by the OTC FX spot and FX futures markets is a useful measure when comparing the impact of interest rates to highlight potential areas of underperformance or potential investment opportunities.
Use the instructions below to maximize the value of this tool for your FX exposures.
The summary view allows users to evaluate the current implied interest rate differential and corresponding FX Link and FX futures data for the first three available expiries, for all available pairs.
In this view, data can be selected and is depicted by contract expiry (see Figure 1).
The current view allows users to evaluate the current implied interest rate differential and a history of the rate differential at the point in time when the FX Link spread was approximately equivalent to a 3M, 2M, 1M swap, for the first 3 available expiries.
In this view, data can be selected and is depicted by currency pair (see Figure 2):
The historical data view allows users to evaluate the progression of the implied interest rate differential and corresponding FX Link and FX Futures data for a given currency pair and the first three available expiries (see Figure 3):
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