CME FX Link

 One Spread, Connecting Two FX Markets

What is CME FX Link?

CME FX Link 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 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 eight major FX PBs live, with credit lines in place with major bank FX house entities.

 
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.

View: The numbers you need

Since launch, 3,651,406 contracts have been traded, equivalent to over $343,415 billion in notional, with eight currencies live and active.

On September 18, volume reached a single-day record of 41,013 contracts traded, with a notional of $4.27B, a 21% increase on the previous record set July 31.

Data correct as of close of Q3 2019.

Take another look at our top-of-book.

Liquidity Profile Charts

Data correct as of close of Q3 2019.

 

Stay up-to-date with the Volume Tracker, delivered to your mailbox every Monday

 

Understand: What is FX Link?

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.

Colin Lambert of Profit&Loss described what the Launch of FX Link could mean to the FX industry

"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."


Explore: How to use it

Over the course of our first year, FX Link has been used in multiple ways, to manage various FX swap, forward and basis trading needs.

Replicate an FX Swap

Manage FX Hedges/Futures Basis Risk

Optimizing an Exchange Listed FX Option Hedge

Convert an FX forward from non-IMM to IMM-dated

FXL: Hedge FX Risk of a Non-IMM Dates FX Exposure

Replacement of OTC FX Option Delta Hedge

Learn: How it works

Spread Functionality Specifications

Eligible Currencies

AUD/USD, EUR/USD, GBP/USD, NZD/USD, USD/CAD*, USD/CHF*, USD/JPY*, and USD/MXN*

*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

Minimum Order Quantity

AUD/USD, EUR/USD, GBP/USD, NZD/USD, USD/CAD, USD/CHF, and USD/JPY = 5 spreads; USD/MXN = 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 Futures.

Currency Pair

AUD/USD

EUR/USD

GBP/USD

NZD/USD

USD/CAD

USD/CHF

USD/JPY

USD/MXN

Spread Minimum Price Increment

0.00001

0.00001

0.00001

0.00001

0.00001

0.00001

0.001

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

Spot Leg Specifications

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

0.00001 (0.1 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

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, and USD/MXN 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.

Futures Leg Specifications***

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

0.0001 (12.50 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)

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.

Follow FX Link: Get The FX Report, straight to your inbox

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.

Subscribe

Start: How to get connected

Today, CME FX Link is available to trade on CME Direct or through an API directly into your own proprietary platform. Market Data is available through Refinitiv.

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.

Download the guide

Contact Us 

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

  1. Contact GlobalAccountManagement@cmegroup.com to enable the FX Link market permission for your trading firm
  2. Ask your FCM to permission the FX Link Market or Spot FX products to your trading firm’s accounts

Download the Grid

Already a CME Direct User?

Add the preconfigured trading grid by following these simple steps:

  1. Right click on the button and save the .xml file to your computer
  2. Import the grid into CME Direct with the “Import View” option in the main menu

Contact Us 

Not yet a CME Direct User?

Simply complete the online Firm & User Registration Form or contact our team to get started. 

Prefer to use Bloomberg?

Simply leave a message with the Bloomberg Customer Support number most convenient to you and log your interest in trading on their platform.

New York: +1 212 617 2000

London: +44 20 7330 7500

Tokyo: +81 3 3201 8900 

Singapore: +65 6212 1000

And for those who use Bloomberg and are looking for support, please follow these instructions:

  1. The green <Help> key on the Bloomberg Terminal® keyboard connects you with fast answers and 24-hour comprehensive support, so you can find, interpret, and act upon the information and analysis you need.
  2. To start a chat with Bloomberg's live 24-hour Help Desk, press the <Help> key twice.

Market Data now available on Refinitiv

Watch the market in real time on Refinitiv.

Get started with 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:

Subscribe to weekly volume updates, and follow the market

More in FX