CME FX Link is a CME Globex-traded basis spread, traded as a differential, between FX futures and OTC spot FX. The spread results in a simultaneous execution of FX futures, cleared by CME Clearing, and OTC spot FX, subject to OTC documentation and credit relationships.

Let’s look at the replication of an FX swap using FX Link.

Replication of an FX swap

Assume an asset manager has a long position in spot EUR/USD.

The asset manager intends to roll his spot position into an IMM-dated EUR/USD forward expiring one month in advance to take advantage of his market view that the euro will continue to appreciate against the US dollar for another month.

The asset manager has two alternatives to roll his cash position.

First, the asset manager could buy an IMM-dated FX swap on April 16; that is, sell spot euro April 16 for delivery April 18 to offset the original spot euro position, while simultaneously buying a second IMM-dated EUR/USD forward that will expire Monday, May 14 for settlement Wednesday, May 16.

Alternatively, the asset manager could buy the May EUR/USD spread in FX Link on April 16; resulting in a transaction that sells spot EUR/USD April 16 for settlement April 18, while concurrently buying May EUR/USD futures that will cease trading May 14 for delivery May 16.

Offsetting the cash position with a spot transaction while concurrently buying the May EUR/USD futures to effectively roll the position forward by one month into an FX futures contract.

Either alternative will result in the one month forward transfer of a risk positive, long position in EUR/USD, while holding the forward exposure via a futures contract can potentially provide certain capital and counterparty risk mitigation benefits versus the OTC FX forward.


We have reviewed one scenario where market participants could use CME FX Link to manage risk and positions across OTC FX spot and CME FX futures. FX Link seamlessly connects the two markets – allowing you to better manage and optimize margin and credit lines across CME FX futures and OTC spot FX transactions.

Test your knowledge


In case you didn’t know, the CFA Institute allows its members to self-determine and report continuing education credits earned from external sources. CFA Institute members are encouraged to self-document such credits in their online CE tracker. CME Institute offers a variety of courses, webinars, and white papers to support your professional education.

What did you think of this course?

To help us improve our education materials, please provide your feedback.

Extend your learning

Put your knowledge into practice with the Trading Simulator

Get hands on experience with the latest Trading Challenge

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2022 CME Group Inc. All rights reserved.