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Discussions > Derivatives > CDS Trading in FIX

CDS Trading in FIX

Complete message thread from old site

Robert Mitchell
1620 days ago,(2009/11/12)

How do people handle CDS standard contracts in FIX?

FIX Trading Community
1615 days ago,(2009/11/17)

[ original email was from Robert Stowsky - rstowsky@progress.com ]
Support for "standardized" versions of CDS contracts was added for 5.0 SP2. Look at volume 7 under Exchange Cleared Credit Default Swaps.

Regards,

Robert

> How do people handle CDS standard contracts in FIX?

Robert Mitchell
1614 days ago,(2009/11/18)

Thank you Robert. I am cross-posting this question from the SP2 forum:

Hi Gang,

Page 258 of vol. 7 of the specification describes CDS Instrument Definitions and includes PriceUnitofMeasure (1191) which "Reflect[s] that prices are stated in terms of 'percent of par'"

I have been led to believe that CDS pricing is stated in terms of upfront spread to the standard coupon. Am I reading the spec incorrectly or is there a disconnect here?

Thanks in advance!

> Support for "standardized" versions of CDS contracts was added for 5.0
> SP2. Look at volume 7 under Exchange Cleared Credit Default Swaps.
>
> Regards,
>
> Robert
>
> > How do people handle CDS standard contracts in FIX?

Matt Simpson
1614 days ago,(2009/11/18)

From the standpoint of trading CDS prices can be expressed in one of three ways; percent of par which is also referred to as price terms, deal spread in basis points, and upfront running which is the percentage above or below par.

CME will accept a trade for clearing in any of these price terms. For clearing purposes we convert all prices into a standard percent of par on which all valuation is based. Settlement prices are published as percent of par as well.

We use tag 1196 PriceQuoteMethod=PCTPAR in our security definitions to indicate that the price on all CDS instruments is quoted percent of par terms. Volume 7 needs to be updated to reference this field rather than 1191

Matt Simpson
> Thank you Robert. I am cross-posting this question from the SP2 forum:
>
> Hi Gang,
>
> Page 258 of vol. 7 of the specification describes CDS Instrument
> Definitions and includes PriceUnitofMeasure (1191) which "Reflect[s]
> that prices are stated in terms of 'percent of par'"
>
> I have been led to believe that CDS pricing is stated in terms of
> upfront spread to the standard coupon. Am I reading the spec incorrectly
> or is there a disconnect here?
>
> Thanks in advance!
>
>
> > Support for "standardized" versions of CDS contracts was added for 5.0
> > SP2. Look at volume 7 under Exchange Cleared Credit Default Swaps.
> >
> > Regards,
> >
> > Robert
> >
> > > How do people handle CDS standard contracts in FIX?