CME FX Link is the only cleared and capital efficient pool of firm liquidity for FX swaps, which leverages existing OTC workflows.
It is the first ever anonymous, automated connection between CME FX Futures and the OTC FX Marketplace, enabling participants across the industry to better manage their FX exposures, and more easily access the capital efficiencies of FX futures.
CME FX Link provides a transparent central limit order book on CME Globex for trading spreads between OTC FX Spot and CME FX futures, seamlessly connecting the two markets. Today, there are nine major FX PBs live, with credit lines in place with major bank FX house entities, along with integrated post-trade messaging provided by Traiana, RTN and IHS Markit.
FX Link is visible on multiple platforms with execution supported on Bloomberg, Fidessa and CME Direct, with market data available through Refinitiv and TT.
Scope includes spreads between OTC Spot FX and the front two serial and quarterly expiries in: EUR/USD, GBP/USD, AUD/USD, NZD/USD, USD/JPY, USD/CAD, USD/CHF, USD/MXN & USD/ZAR.
See an hour-by-hour view of the bid-ask spread of CME listed FX futures, FX Link, and spot FX on EBS markets, alongside order book depth, market activity, and volume data.
Gain greater transparency to the FX Swap market and observe credit agnostic, centrally cleared FX Swap rate pricing – calculated using FX Link and FX Futures central limit order books.
See how dealers are advancing electronic FX swaps trading on CME
CME FX Link is traded as the differential between FX futures and OTC Spot FX, resulting in simultaneous execution of a FX futures contract and an OTC Spot FX transaction via a single spread trade. A central prime broker intermediates the OTC Spot FX transactions resulting from the spread, leveraging existing OTC FX credit relationships, and supporting anonymity of trading.
Watch this short video to understand the product and its mechanics in more detail.
"Today could actually turn out to be a reasonably significant day for the FX industry. The reason I feel it may be significant is down to my long-standing belief that greater automation and efficiency in FX forwards and swaps is the key to long term growth in the broader FX industry, and there is a chance that FX Link may help deliver the regulatory and capital efficiency to help drive that, in an automated environment."
Customers use FX Link to manage various FX swap and basis trading needs. The addition of Committed Cross functionality offers participants the opportunity to pre-negotiate large transactions outside of the order book at a single price either directly with chosen counterparties or by using a broker.
Eligible Currencies
AUD/USD, EUR/USD, GBP/USD, NZD/USD, USD/CAD*, USD/CHF*, USD/JPY*, USD/MXN*, and USD/ZAR*.
*CCY pairs quoted inversely to futures.
Basis Spread Quotation
Quoted and traded as the difference between futures and spot as represented with both legs in OTC price convention
Basis Spread Construction
The buyer of the spread buys CME FX futures and sells OTC Spot FX, while the seller sells CME FX futures and buys OTC Spot FX.
For FX futures currency pairs that are quoted inverse to OTC FX convention*, the buyer of the spread sells FX futures and sells OTC FX spot and vice versa for a seller of spreads in the above listed pairs.
*Inverse Pairs: JPY/USD, CAD/USD, MXN/USD, CHF/USD, ZAR/USD
Minimum Order Quantity
AUD/USD, EUR/USD, GBP/USD, NZD/USD, USD/CAD, USD/CHF, and USD/JPY = 5 spreads; USD/MXN and USD/ZAR = 15 spreads
Trading Venue/Hours
CME Globex: Sunday – Friday, 5:00 p.m. - 4:00 p.m. Chicago Time (CT), with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT).
Spread Listing Schedule
Spreads vs. front three FX futures expiration months. New spreads added 10 business days prior to the last trade date of an expiring CME FX Future.
Currency Pair |
AUD/USD |
EUR/USD |
GBP/USD |
NZD/USD |
USD/CAD |
USD/CHF |
USD/JPY |
USD/MXN |
USD/ZAR |
|---|---|---|---|---|---|---|---|---|---|
Spread Minimum Price Increment |
0.00001 |
0.000005 |
0.00001 |
0.00001 |
0.00001 |
0.00001 |
0.001 |
0.0005 |
0.0005 |
Spread Notional (per leg) |
100,000 AUD | 125,000 EUR | 62,500 GBP | 100,000 NZD | 100,000 CAD | 125,000 CHF | 12,500,000 JPY | 500,000 MXN | 500,000 ZAR |
Currency Pairing |
Value Date |
Minimum Price Increment* |
Spot Notional Per One Spread** |
|---|---|---|---|
AUD/USD |
T+2 |
0.00001 (0.1 pip) |
100,000 AUD |
EUR/USD |
T+2 |
0.000005 (0.05 pip) |
125,000 EUR |
GBP/USD |
T+2 |
0.00001 (0.1 pip) |
62,500 GBP |
NZD/USD |
T+2 |
0.00001 (0.1 pip) |
100,000 NZD |
USD/CAD |
T+1 |
0.000001 (0.01 pip) |
100,000 CAD |
USD/CHF |
T+2 |
0.000001 (0.01 pip) |
125,000 CHF |
USD/JPY |
T+2 |
0.0001 (0.01 pip) |
12,500,000 JPY |
USD/MXN |
T+2 |
0.00001 (0.1 pip) |
500,000 MXN |
| USD/ZAR | T+2 | 0.00001 (0.1 pip) | 500,000 ZAR |
Settled Bilaterally via physical delivery on value date
* The minimum price increment (“MPI”) of a spot FX transaction is separate and distinct from and is not necessarily a reflection of the MPI of a spot FX basis trade, which the Exchange shall determine.
** The spot notional per one spread for the USD/CAD, USD/CHF, USD/JPY, USD/MXN, and USD/ZAR currency pairings shall be defined in terms of the quote, or term, currency of each pairing rather than the base currency since the CME pricing and notional convention for related CME FX futures contracts is inverted from the over-the-counter (“OTC”) convention.
Product Code |
Contract Size |
Futures Quotation |
Tick |
|---|---|---|---|
6A |
100,000 AUD |
USD per AUD |
0.0001 (10.00 USD) |
6E |
125,000 EUR |
USD per EUR |
0.00005 (6.25 USD) |
6B |
62,500 GBP |
USD per GBP |
0.0001 (6.25 USD) |
6N |
100,000 NZD |
USD per NZD |
0.0001 (10.00 USD) |
6C |
100,000 CAD |
USD per CAD |
0.00005 (5.00 USD) |
6S |
125,000 CHF |
USD per CHF |
0.00005 (6.25 USD) |
6J |
12,500,000 JPY |
USD per JPY |
0.0000005 (6.25 USD) |
6M |
500,000 MXN |
USD per MXN |
0.00001 (5.00 USD) |
| 6Z | 500,000 ZAR | USD per ZAR | 0.000025 (12.50 USD) |
Cleared via CME Clearing
*** Full product specifications for existing CME FX futures contracts are available on www.cmegroup.com/fx and in CME’s Rulebook.
Today, CME FX Link is available to trade on Bloomberg, Fidessa, CME Direct or through an API directly into your own proprietary platform. Market Data only is available through Refinitiv and TT.
Get ready to start using CME FX Link with our Onboarding Guide. The guide provides instructions for trading firms, direct participants, prime brokers and account managers.
What is CME Direct?
Trade and follow market data in real-time on CME Direct, our fast, secure and highly-configurable trading front-end. Strategies, analytics, integrated workflow, real-time excel, chat and mobile. Become a CME Direct user and get access to FX Link on the go with CME Direct Mobile, a full-feature trading system that provides seamless connectivity between CME Direct and your mobile device.
Strategies, analytics, integrated workflow, real-time excel, chat and mobile – built on Globex, ready for FX Link.
Become a CME Direct user and get access to FX Link on the go with CME Direct Mobile, a full-feature trading system that provides seamless connectivity between CME Direct and your mobile device.
Two Simple Steps to Enable FX Link on CME Direct
- Contact GlobalAccountManagement@cmegroup.com to enable the FX Link market permission for your trading firm
- Ask your FCM to permission the FX Link Market or Spot FX products to your trading firm’s accounts
Already a CME Direct User?
Add the preconfigured trading grid by following these simple steps:
- Right click on the button and save the .xml file to your computer
- Import the grid into CME Direct with the “Import View” option in the main menu
Not yet a CME Direct User?
Simply complete the online Firm & User Registration Form or contact our team to get started.
Market Data and Trade Execution now available on Bloomberg
Integrated with Bloomberg Tradebook for seamless order submission.
Bloomberg users can view and execute FX swaps in G5 currency pairs using FX Link’s firm liquidity pool.
Bloomberg supports non-native order types, enabling customers to use algos and icebergs for increased trading efficiencies.
Post-trade messaging leverages existing OTC workflows, for operational convenience.
Bloomberg Security Identifier Construction:
“LK” + <Currency Pair> + <CME Expiry Month Code> + <Expiry Year (YY)>
Examples: Sept 2021 Expiry
LKEURU21
LKJPYU21
LKGBPU21
LKAUDU21
LKCADU21
Examples: Dec 2021 Expiry
LKEURZ21
LKJPYZ21
LKGBPZ21
LKAUDZ21
LKCADZ21
Watch the market in real time on Refinitiv.
If you already use Refinitiv for your latest Market Data and require assistance, simply email Support@Refinitiv.com
Example RICs:
Spot RICs:
<AUDUSD> <EURUSD> <USDCAD>
Spreads FX LINK RICs:
<JYM8-USDJPY> <1CDU8-USDCAD>
Chains:
0#UROXF-EURUSD:
0#BPXF-GBPUSD:
0#ADXF-AUDUSD:
0#JYYF-USDJPY:
0#CDYF-USDCAD:
0#SFYF-USDCHF:
0#NEXF-NZDUSD:
0#MPYF-USDMXN:
Keep up-to-date with what’s happening in the FX marketplace. Sign up to receive product news, market trends, expert views, and statistics about our markets – from G10 to Emerging markets, across Futures, Options and FX Link.
Why sign up?
- Be among the first to read The FX Report – delivered straight to your inbox
- Stay connected in real-time – access more insights across our complex, and access developments over time in FX Link
- Act faster – sign up once and save time in the future.
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