CME Data Insights is a suite of Simple Binary Encoding (SBE) market data channels. The Settlements and Valuations channels provide robust market data across CME Globex, OTC and floor venues:  

• Futures and Options Settlements Fixing prices

• Marker prices

• End of day High/Low prices

• Cleared volume and open interest

• AIR TRF Funding Values

• Eris B and C datasets

• CME, CBOT, NYMEX and COMEX channel support

Contents

Testing and Certification

Certification is mandatory for Settlements and Valuations.

Settlements and Valuations Data Overview

The following section is an overview of Settlements and Valuations.

Settlements and Valuations Data

The following section provides information on the data provided on Settlements and Valuations.

Instrument Types Support

The supported instrument types (tag 167-SecurityType) for Settlements and Valuations are:

• Futures

• Options on futures

• Options on combos

• Forwards

Price Format Support 

The Settlements and Valuations channels, for client system convenience, supports CME Globex and Clearing price formats. The Clearing price format is expressed in the "true dollar price" and CME Globex price format can be in either the true dollar price or cents. CME Globex prices are only sent for instruments that trade on CME Globex. 

Settlements

A settlement is an official CME Group price established for the instrument at a given point in the trading day. Settlements and Valuations sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:  

• Final/Preliminary settlements

• Settlement at Trading Tick

• Settlement at Clearing Tick 

• Settlement at Cabinet Price

Syntax for Settlement Prices

Settlement at Trading Tick / Settlement at Clearing Tick

If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:

• tag 269-MDEntryType = 6 (Settlement Price)

• tag 270-MDEntryPx = the CME Globex price value on the CME Clearing settlement tick

• tag 9732-FormattedLastPx = Clearing price value

• tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)

• tag 5796-TradingReferenceDate

If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.

Message with unrounded price value:

• tag 269-MDEntryType=6 (Settlement Price)

• tag 270-MDEntryPX = the CME Globex price value on CME Clearing settlement tick

• tag 9732-FormattedLastPx = Clearing price value

• tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)

• tag 5796-TradingReferenceDate

Message with rounded price value:

• tag 269-MDEntryType=6 (Settlement Price)

• tag 270-MDEntryPX = CME Globex price value rounded to CME Globex trading tick

• tag 9732-FormattedLastPx= Clearing price value

• tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)

• tag 5796-TradingReferenceDate 

End of Day Session High/Low

The end of day High-Low message is sent on Settlements and Valuations channels. They are a summary of the CME Globex and open outcry session. The value is based on prior day settlement and different than CME Globex, which is based on session activity. 

Syntax for High/Low

Fixing Prices

Fixing prices are sent on Settlements and Valuations channels.  

Syntax for Fixing/Marker Prices

Fixing Price Examples

To determine fixing prices, client systems must utilize the Clearing product code (tag 37500-ClearingProductCode), fixing description (tag 2455-MDStatisticDesc) and exchange (tag 207-SecurityExchange) to determine the fixing and timing for FX and equity products. The table below provides examples. 

Marker Prices 

Marker prices are communicated using the same tag attributes as either fixing prices (MDEntryType tag 269=W) or settlements (MDEntryType tag 269=6). To obtain marker price tickers, clients can use the CME Reference Data API. Client systems can identify marker prices by utilizing the Clearing Product Code found on the Settlement and Valuations channel, which corresponds to Clearing symbols on the RD API. For instance, CL1 (Singapore) and CL2 (London) are examples of marker prices.

Cleared Volume and Open Interest

Cleared Volume contains the number of contracts that have been through the clearing process for an active instrument for the previous trading day. 

Open Interest is sent using Market Data Incremental Refresh (tag 35-MsgType=X) message data blocks which contain the total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day.

Syntax for Cleared Volume and Open Interest

AIR TRF Funding Values

The Daily Financing Rate will be denoted as 269-MDEntryType=h and the Accrued Financing Rate will be denoted as 269-MDEntryType=i, via SBE template MDIncrementalRefreshSettle. The applicable trade date for the Values will be included in tag 5796-TradingReferenceDate.

The Funding Values will be sent according to the following approximate schedule:

Eris B and C Datasets

Eris B&C datasets provide current pricing components, historical settlement and conversion data for Eris Swap Futures; an alternative to traditional Over the Counter Interest Rate Swaps (OTC IRS) currently offered by CME Group.

• A - Swap NPV is excluded from this update

• B - Past payments of fixed and floating coupons