This topic describes the Treasury Fixing Prices dataset available from CME DataMine and is used for the valuation of portfolios.

Contents

Resources

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Data Availability and Sample Files

Product	Sample File	Start Date

Product	Sample File	Start Date
Cryptocurrency	10/24/2022	03/18/2021
Equities	10/24/2022	03/18/2021
FX	10/24/2022	03/18/2021
Interest Rates	10/24/2022	03/18/2021
Energy	05/18/2023	05/15/2023
Metals	05/18/2023	05/15/2023

As of April 11, 2024, Interest Rate prices are fractional rather than decimal.

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FAQ

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

No, the files are not compressed into zip files.

How many files are available per day?

1 file per asset class (Interest Rates, FX, Equity, & Crypto Currency)

How far back do you maintain these records?

Offerings go back to December 5, 2022.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any dates where data in unavailable?

Yes, there are missing dates for 2-Year USD MAC Swap Futures, 7-Year USD MAC Swap Futures, 20-Year USD MAC Swap Futures, 30-Year USD MAC Swap Futures.

When are these files delivered?

Once per day

What time will the files be delivered?

6:30-8:00 PM (Central Time) each CME Group business day