Effective Sunday, February 21, 2021 (for trade date Monday, February 22, 2021), CME Group will launch the Phase 1 CME FX Link enhancements.

CME FX Link is a spot FX basis spread on CME Globex, which provides unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via a single spread trade.

With these enhancements, CME Globex will provide the actual OTC Spot FX leg fill price, notional value for base and counter currency on the iLink fills for the OTC Spot FX leg instruments.

With the phase 1 launch, upon a fill in the CME FX Link spread order, CME Globex will send the client system three iLink Execution Report – Fill messages as follows:

• Execution Report – Fill for the CME FX Link Spread; tag 31-LastPx = CME FX Link spread fill price reflecting the differential from the assigned FX Futures leg price that the OTC Spot FX fill price will ultimately take
• Execution Report – Fill for the CME Globex FX Futures leg; tag 31-LastPx = CME Globex FX futures leg fill price
• Execution Report – Fill for the OTC Spot FX leg; tag 31-LastPx = actual OTC Spot FX leg fill price

Currently, on CME Globex for CME FX Link iLink fills, the OTC Spot FX leg fill price (tag 31-LastPx) is shown as equal to the CME FX Link spread price.

Later in 2021, CME Group will launch phase 2 of this enhancement, which will provide Value date on the iLink fill messages. CME FX Link enhancements will apply to both iLink 2.x and iLink 3 customers.