CME Reference Data API Notices: December 9, 2021

Topics in this issue include:

• CME Group Volatility Index (CVOL) Indicators - This Week New
• New Electricity Product Instrument Attributes - January 9, 2022 New
• Three-Month SOFR Futures vs Eurodollar Futures Underlying Legs - January 9, 2022 New

New - CME Group Volatility Index (CVOL) Indicators

Effective this Sunday, December 12 (trade date Monday, December 13), to support the new CME Group Volatility Index (CVOL) Indicators published on Benchmark Administration Premium MDP, CME Reference Data API will include two new href links at the product level providing the relationship between the index products and related futures products.

Products without any CVOL relationships will not include the new hrefs.

Futures products with a related CVOL Index will reflect a new "relatedIndexes" href. This link will return all CVOL Indicators related to the futures product. For example:

• relatedIndexes for the British Pound future product (Clearing code BP; CME Globex code 6B) will return
  • GBVL
  • FXVL 

CVOL products will reflect a new "relatedFutures" href. This like will return all FX futures products related to the CVOL product. For example:

• relatedFutures for the GBVL product will return
  • British Pound future product (Clearing code BP; CME Globex code 6B)
• relatedFutures for the FXVL product will return 
  • Euro FX future product (Clearing code EC; CME Globex code 6E)
  • British Pound future product (Clearing code BP; CME Globex code 6B)
  • Japanese Yen future product (Clearing code J1; CME Globex code 6J)
  • Australian Dollar future product (Clearing code AD; CME Globex code 6A)
  • Canadian Dollar future product (Clearing code C1; CME Globex code 6C)

relatedIndexes structure:

links": { "self": { "href": …/products/[guid] }, "relatedIndexes": { "href": …/products/[guid]/relatedindexes } }

relatedFutures structure:

links": { "self": { "href": …/products/[guid] }, "relatedFuturesProducts": { "href": …/products/[guid]/relatedfutures

These changes are currently available for customer testing in New Release.

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New - New Electricity Product Instrument Attributes

Effective Sunday, January 9, 2022 (trade date Monday, January 10), CME Reference Data API will be enriched with additional referential data for Electricity products.  These attributes will only be available for the outright futures at the instrument level.

Customers will now have access to the following:

• Repeating Group listing CME Clearing transformed Instruments
• Peak/Off Peak Indicators
• Number of Days for Peak products
• Number of Hours for Off-Peak products
• Date of Transformation

Example: Peak Type Repeating Group

Example of peakType=Peak Repeating Group using the PJM Western Hub Peak Calendar-Month Real-Time LMP Futures.

"clrSymbol": "L1" 
"peakType"         : "Peak", 
" TrdgUnitPeriodMult "  : "21", 
"transformationDate"  :"2022-01-03"
“transformedInstruments”:        
"_embedded": {
"transformedInstruments": [
{
"legs": [
{
"legNumber": 1
"daysHours": 11,
"transformedInstrument": "JD 20220103"
},
{
"legNumber": 2
"daysHours": 11,
"transformedInstrument": "JD 20220104"
},
{
"legNumber": 3
"daysHours": 11,
"transformedInstrument": "JD 20220105"
},
{
"legNumber": 5
"daysHours": 11,
"transformedInstrument": "JD 20220106"
.....
}

These changes are currently available for customer testing in New Release.

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New - Three-Month SOFR Futures vs Eurodollar Futures Underlying Legs

Effective Sunday, January 9, 2022 (trade date Monday, January 10), to support the launch of the Three-Month SOFR futures vs Eurodollar outright futures, the new outright future tradable product (CME Globex product code SED) will be reflected in CME Reference Data API as an outright future. The underlying products links will provide the cleared legs as described below.

Underlying links for SED Three-Month SOFR futures vs Eurodollar outright futures:

• Three-Month SOFR futures
  • marketSide=BUY
  • legNumber=1
  • ratio=1
• Eurodollar futures
  • marketSide=SELL
  • legNumber=2
  • ratio=1

This change will be available for customer testing on Monday, December 20.

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