• CME Reference Data API Notices: March 6, 2022

      • To
      • Reference Data API Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20220217
      • Notice Date
      • 17 February 2022
      • Effective Date
      • 05 March 2022

    • New Treasury Invoice Swaps Instrument Attributes

      Effective Sunday, March 5 (trade date Monday, March 6), CME Reference Data API will be enriched with additional referential data for Treasury Invoice spread contract listings.  These attributes will be available at the instrument level.

      Customers will now have access to the following:

      Treasury Invoice Swap Attributes
      Product or Instrument Attribute Name Description Type
      Instrument swapEffDate Swap start date Date
      Format:
      "YYYY-MM-DD"
      maturityDate Swap termination date Date
      Format:
      "YYYY-MM-DD"
      notionalPerContract Notional amount per contract Number
      ctdCusip Related treasury cusip String

      Note: Customers will also have access to the coupon rate (couponRate) which is an existing attribute in CME Reference Data API.

      These changes will be available for customer testing in New Release on Monday, February 28.

       

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