Provided are a method, a system, and a computer program that use a Fibre Connection (FICON) protocol, in which a first device that is coupled to a second device receives an outbound exchange from the second device, wherein one or more Fibre Channel frames of the outbound exchange have a priority indicated by the second device. The first device responds to the second device with an inbound exchange, wherein one or more Fibre Channel frames of the inbound exchange have an identical priority to the priority indicated by the second device in the outbound exchange. In additional embodiments, priority is maintained across related exchange pairs.