FIXML Settlement Price File Credit Default Swaps (CDS) Message Samples. Version: 1.2 6/14/13
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1 FIXML Settlement Price File Credit Default Swaps (CDS) Message Samples Version: 1.2 6/14/13
2 Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a futures Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Chicago Mercantile Exchange, Globex, ilink, E-mini, CME EOS Trader, Galax-C, FirmSoft, CME DataSuite, and CME DataMine are trademarks of Chicago Mercantile Exchange Inc. New York Mercantile Exchange, NYMEX, miny, and ClearPort are registered trademarks of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. FIX and FAST are trademarks of FIX Protocol Limited. FIX/FAST sm is a service mark of FIX Protocol Limited. Dow Jones sm, Dow Jones AIG Commodity Index sm, The Dow sm, Dow Jones Industrial Average sm, and DJIA sm are service marks of Dow Jones & Company, Inc. and American International Group, Inc. (AIG) and have been licensed for use for certain purposes by the Board of Trade of the City of Chicago, Inc (CBOT ). CBOT futures and options on futures contracts based on the Dow Jones Industrial Average sm are not sponsored, endorsed, sold or promoted by Dow Jones sm, and Dow Jones sm makes no representation regarding the advisability of trading such product(s). BM&FBOVESPA is a trademark of BM&FBOVESPA, KRX is a trademark of Korea Exchange, DME is a trademark of Dubai Mercantile Exchange, BMD is a trademark of Bursa Malaysia, BMV is a trademark of Bolsa Mexicana De Valores. All other trademarks are the property of their respective owners. The information within this document has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2013 CME Group Inc. All rights reserved.
3 Contents 1.0 OVERVIEW CREDIT DEFAULT SWAPS (CDS) FOR SINGLE NAMES CREDIT DEFAULT SWAPS (CDS) FOR SINGLE NAMES: RED CODE CREDIT DEFAULT SWAPS (CDS) FOR INDEXES CREDIT DEFAULT SWAPS (CDS) FOR INDEXES: RED CODE REVISION HISTORY...19 CDS Settlement Price File Sample Messages 3
4 1.0 Overview This document contains Settlement Price File samples for the following products: Credit Default Swaps (CDS) Single Names (with and without RED codes) Credit Default Swaps (CDS) Indexes (with and without RED codes) The settlement price files can be found at: ftp://ftp.cme.com/pub/settle/, as well as the firm/pub/settle directory on the CME Group private network. For more information and complete tag descriptions, refer to the FIXML Settlement Price File Message document. In general, all FIXML settlement price files contain: A standard xml header, ( <?xml version="1.0" encoding="utf-8"?>) A FIXML root element opening element (<FIXML>) An indicator stating that this file contains more than one message (<Batch>) Repeating Market Data Snapshot Full Refresh messages that contain: o The clearing business date in the main block, for example, <MktDataFull BizDt=" "> o An Instrument Block, containing details necessary to identify the contract o An Underlying Instrument Block, if applicable o Repeating "Full" Blocks, with prices and the conditions defining the price. CDS Settlement Price File Sample Messages 4
5 2.0 Credit Default Swaps (CDS) for Single Names Line Tag Example Description 1 <?xml version="1.0" encoding="utf-8"?> 2 <FIXML> 3 <MktDataFull 4 BizDt=" "> Clear date. 5 <Instrmt 6 Sym="JCPRXU" Symbol. 7 ID="JCPRXU" Security ID. 8 Desc="JCP.SR.XR.USD" A brief description of the CDS contract. 9 SecTyp="CDS" CDS =Credit Default Swap. 10 Src="H" Source of the Security ID. H=CME Clearinghouse. 11 SubTyp="S" Subtype. S=Single name. 12 MMY="201306" Contract period code. 13 MatDt=" " Maturity date of the CDS contract. 14 Mult="0.01" Contract multiplier. 15 Exch="CMD" Product exchange. 16 UOM="Ccy" Unit of measure. Ccy=Currency, as defined in UOMCcy. 17 UOMCcy="USD" Unit of measure currency. USD=US Dollars. 18 UOMQty="1" Unit of measure quantity. 1=One currency unit 19 PxUOM="IPNT" Price unit of measure. IPNT=Index Points. 20 ValMeth="CDS" Valuation method. CDS=CDS style collateralization to market and coupon. 21 CpnRt="1.0" Coupon rate: the premium expressed as a percentage. 22 IntAcrl=" " Interest accrual date (Date from which interest starts accruing). 23 CpnPmt=" " Coupon payment date (Date on which next premium is due). 24 NotnlPctOut="100.0" Notional percentage outstanding. 25 Snrty="SR" Seniority. SR=Senior. 26 RstrctTyp="XR" Restructuring type. XR=No restructuring specified. 27 DayCntMeth="ACT/360" Day count method. ACT/ Tenor="0M"> Tenor. 0 months left in tenor. 29 <AID 30 AltID=" US708130AC31" Alternate identifiers/aliases. 31 AltIDSrc="105"/> 105=Reference obligation ISIN. 32 <AID 33 AltID="JCPRXU " Alternate identifiers/aliases. 34 AltIDSrc="H"/> H=CME Clearinghouse. 35 <AID 36 AltID="JCP.SR.XR.USD.13M.100" Alternate identifiers/aliases. 37 AltIDSrc="101"/> 101=ITC Alias. 38 <AID 39 AltID="JCPRXU " Alternate identifiers/aliases. 40 AltIDSrc="100"/> 100=TCC alias. 41 <Evnt 42 EventTyp="5" Event type. 5= First trade date. 43 Dt=" "/> Date of event. 44 <Evnt 45 EventTyp="7" Event type. 7=Last eligible trade date. 46 Dt=" "/> Date of event. 47 <Evnt 48 EventTyp="19" Event type. 19=Position removal date. CDS Settlement Price File Sample Messages 5
6 49 Dt=" "/> Date of event. 50 <Evnt 51 EventTyp="100" Event type. 100=Next trade date. 52 Dt=" "/> Date of event. 53 <Evnt 54 EventTyp="8" Event type. 8=CDS start date. 55 Dt=" "/> Date of event. 56 <Evnt 57 EventTyp="9" Event type. 9=CDS end date. 58 Dt=" "/> Date of event. 59 <Evnt 60 EventTyp="101" Event type. 101=Previous prior coupon date. 61 Dt=" "/> Date of event. 62 <Evnt 63 EventTyp="102" Event type. 102=CDS effective date. 64 Dt=" "/> Date of event. 65 <Evnt 66 EventTyp="103" Event type. 103=First coupon date. 67 Dt=" "/> Date of event. 68 <Evnt 69 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date. 70 Dt=" "/> Date of event. 71 <Evnt 72 EventTyp="111" Event type. 111=Unadjusted next coupon date. 73 Dt=" "/> Date of event. 74 <Evnt 75 EventTyp="112" Event type. 112=Unadjusted previous coupon date. 76 Dt=" "/> Date of event. 77 <Evnt 78 EventTyp="113" Event type. 113=Unadjusted previous prior coupon date. 79 Dt=" "/> Date of event. 80 <Evnt 81 EventTyp="114" Event type. 114=Prior Clearing Business Date 82 Dt=" "/> Date of event. 83 <Evnt 84 EventTyp="115" Event type. 115=Next banking business date for traded currency. 85 Dt=" "/> Date of event. 86 </Instrmt> 87 <Full 88 Typ="6" Market data entry type. 6=Settlement price. 89 Px=" " Market data entry price. 90 Mkt="CMD" Exchange publishing the quote or trade. 91 QCond="6" Full curve. 92 PxTyp="1" Settlement price type. 1=Percent of par. 93 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 94 <Full 95 Typ="6" Market data entry type. 6=Settlement Price. 96 Px=" " Market data entry price. 97 Mkt="CMD" Exchange publishing the quote or trade. 98 QCond="6" Full curve. CDS Settlement Price File Sample Messages 6
7 99 PxTyp="6" Settlement price type. 6=Spread in basis points. 100 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 101 <Full 102 Typ="Y" Market data entry type. Y=Recovery rate. 103 Px="40.0" Market data entry price. 104 Mkt="CMD" Exchange publishing the quote or trade. 105 PxTyp="1" Recovery Rate expression. 1=In percent. 106 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 107 <Full 108 Typ="6" Market data entry type. 6=Settlement price. 109 Px=" " Market data entry price. 110 Mkt="CMD" Exchange publishing the quote or trade. 111 QCond="7" Flat curve. 112 PxTyp="6" Settlement price type. 6=spread in basis points. 113 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 114 <Full 115 Typ="B" Market data entry type. B=Trade volume. 116 Mkt="CMD" Exchange publishing the quote or trade. 117 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 118 Sz="0" /> Market data entry size. 119 <Full 120 Typ="C" Market data entry type. C=Open interest. 121 Mkt="CMD" Exchange publishing the quote or trade. 122 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 123 Sz="0" /> Market data entry size. 124 <Full 125 Typ="z" Market data entry type. z=price alignment interest rate. 126 Px="0.09" Market data entry price. 127 Mkt="CMD" Exchange publishing the quote or trade. 128 PxTyp="1" Settlement price type. 1=In percent. 129 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 130 <Full 131 Typ="y" Market data entry type. y=dirty settlement price. 132 Px=" " Market data entry price. 133 Mkt="CMD" Exchange publishing the quote or trade. 134 QCond="6" Full curve. 135 PxTyp="5" Settlement price type. 5=Premium percentage points over par. 136 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 137 <InstrmtExt> (Day counts and additional characteristics) 138 <Attrb 139 Typ="100" Instrument attribute type. 100=Number of days used to calculate initial coupon amount for trades cleared today. 140 Val="84"/> Value of above attribute type, 84 days. 141 <Attrb 142 Typ="101" Instrument attribute type. 101=Number of days used to calculate banked coupon amounts based on the net start-of-day 143 Val="0"/> Value of above attribute type, 0 days. 144 <Attrb 145 Typ="109" Instrument attribute type. 109=Number of days used to calculate banked coupon amounts based on trades cleared today. 146 Val="0"/> Value of above attribute type, 0 days. CDS Settlement Price File Sample Messages 7
8 147 <Attrb 148 Typ="103" Instrument attribute type. 103=Number of days used for calculating accrued coupon amounts based on the net start-ofday 149 Val="84"/> Value of above attribute type, 84 days. 150 <Attrb 151 Typ="102" Instrument attribute type. 102="Number of days used to calculate accrued coupon amounts based on the net start-of-day " 152 Val="84"/> Value of above attribute type, 84 days. 153 <Attrb 154 Typ="110" Instrument attribute type. 110=Number of days used for calculating Price Alignment Interest (PAI) 155 Val="1"/> Value of above attribute type, 1 day. 156 <Attrb 157 Typ="29" Instrument attribute type. 29=Tradeable indicator. 158 Val="Y"/> Value of above attribute type, Yes. 159 <Attrb 160 Typ="112" Instrument attribute type. 112=Is today a valid banking day for the traded currency? 161 Val="Y"/> Value of above attribute type. Y=Yes. 162 </InstrmtExt> 163 </MktDataFull> 164 </FIXML> 3.0 Credit Default Swaps (CDS) for Single Names: RED Code Line Tag Example Description 1 <?xml version="1.0" encoding="utf-8"?> 2 <FIXML> 3 <MktDataFull 4 BizDt=" "> Clear date. 5 <Instrmt 6 Sym="JCPRXU" Symbol. 7 ID="JCPRXU" Security ID. 8 Desc="JCP.SR.XR.USD" A brief description of the CDS contract. 9 SecTyp="CDS" CDS =Credit Default Swap. 10 Src="H" Source of the Security ID. H=CME Clearinghouse. 11 SubTyp="S" Subtype. S=Single name. 12 MMY="201306" Contract period code. 13 MatDt=" " Maturity date of the CDS contract. 14 Mult="0.01" Contract multiplier. 15 Exch="CMD" Product exchange. 16 UOM="Ccy" Unit of measure. Ccy=Currency, as defined in UOMCcy. 17 UOMCcy="USD" Unit of measure currency. USD=US Dollars. 18 UOMQty="1" Unit of measure quantity. 1=One currency unit 19 PxUOM="IPNT" Price unit of measure. IPNT=Index Points. 20 ValMeth="CDS" Valuation method. CDS=CDS style collateralization to market and coupon. 21 CpnRt="1.0" Coupon rate: the premium expressed as a percentage. CDS Settlement Price File Sample Messages 8
9 22 IntAcrl=" " Interest accrual date (Date from which interest starts accruing). 23 CpnPmt=" " Coupon payment date (Date on which next premium is due). 24 NotnlPctOut="100.0" Notional percentage outstanding. 25 Snrty="SR" Seniority. SR=Senior. 26 RstrctTyp="XR" Restructuring type. XR=No restructuring specified. 27 DayCntMeth="ACT/360" Day count method. ACT/ IssrShortNm="J C Penny Co Inc" Issuer Short Name 29 IssrTckr="JCP" Issuer Ticker 30 Tenor="0M"> Tenor. 0 months left in tenor. 31 <AID 32 AltID="UB78A0" Alternate identifiers/aliases. 33 AltIDSrc="104"/> 104=Red Codes for CDS. 34 <AID 35 AltID=" US708130AC31" Alternate identifiers/aliases. 36 AltIDSrc="105"/> 105=Reference obligation ISIN. 37 <AID 38 AltID="UB78A0AC1" Alternate identifiers/aliases. 39 AltIDSrc="106"/> 106=Pair clip. 40 <AID 41 AltID="JCPRXU " Alternate identifiers/aliases. 42 AltIDSrc="H"/> H=CME Clearinghouse. 43 <AID 44 AltID="JCP.SR.XR.USD.13M.100" Alternate identifiers/aliases. 45 AltIDSrc="101"/> 101=ITC Alias. 46 <AID 47 AltID="JCPRXU " Alternate identifiers/aliases. 48 AltIDSrc="100"/> 100=TCC alias. 49 <Evnt 50 EventTyp="5" Event type. 5= First trade date. 51 Dt=" "/> Date of event. 52 <Evnt 53 EventTyp="7" Event type. 7=Last eligible trade date. 54 Dt=" "/> Date of event. 55 <Evnt 56 EventTyp="19" Event type. 19=Position removal date. 57 Dt=" "/> Date of event. 58 <Evnt 59 EventTyp="100" Event type. 100=Next trade date. 60 Dt=" "/> Date of event. 61 <Evnt 62 EventTyp="8" Event type. 8=CDS start date. 63 Dt=" "/> Date of event. 64 <Evnt 65 EventTyp="9" Event type. 9=CDS end date. 66 Dt=" "/> Date of event. 67 <Evnt 68 EventTyp="101" Event type. 101=Previous prior coupon date. 69 Dt=" "/> Date of event. 70 <Evnt 71 EventTyp="102" Event type. 102=CDS effective date. 72 Dt=" "/> Date of event. 73 <Evnt CDS Settlement Price File Sample Messages 9
10 74 EventTyp="103" Event type. 103=First coupon date. 75 Dt=" "/> Date of event. 76 <Evnt 77 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date. 78 Dt=" "/> Date of event. 79 <Evnt 80 EventTyp="111" Event type. 111=Unadjusted next coupon date. 81 Dt=" "/> Date of event. 82 <Evnt 83 EventTyp="112" Event type. 112=Unadjusted previous coupon date. 84 Dt=" "/> Date of event. 85 <Evnt 86 EventTyp="113" Event type. 113=Unadjusted previous prior coupon date. 87 Dt=" "/> Date of event. 88 <Evnt 89 EventTyp="114" Event type. 114=Prior Clearing Business Date 90 Dt=" "/> Date of event. 91 <Evnt 92 EventTyp="115" Event type. 115=Next banking business date for traded currency. 93 Dt=" "/> Date of event. 94 </Instrmt> 95 <Full 96 Typ="6" Market data entry type. 6=Settlement price. 97 Px=" " Market data entry price. 98 Mkt="CMD" Exchange publishing the quote or trade. 99 QCond="6" Full curve. 100 PxTyp="1" Settlement price type. 1=Percent of par. 101 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 102 <Full 103 Typ="6" Market data entry type. 6=Settlement Price. 104 Px=" " Market data entry price. 105 Mkt="CMD" Exchange publishing the quote or trade. 106 QCond="6" Full curve. 107 PxTyp="6" Settlement price type. 6=Spread in basis points. 108 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 109 <Full 110 Typ="Y" Market data entry type. Y=Recovery rate. 111 Px="40.0" Market data entry price. 112 Mkt="CMD" Exchange publishing the quote or trade. 113 PxTyp="1" Recovery Rate expression. 1=In percent. 114 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 115 <Full 116 Typ="6" Market data entry type. 6=Settlement price. 117 Px=" " Market data entry price. 118 Mkt="CMD" Exchange publishing the quote or trade. 119 QCond="7" Flat curve. 120 PxTyp="6" Settlement price type. 6=spread in basis points. 121 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 122 <Full 123 Typ="B" Market data entry type. B=Trade volume. CDS Settlement Price File Sample Messages 10
11 124 Mkt="CMD" Exchange publishing the quote or trade. 125 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 126 Sz="0" /> Market data entry size. 127 <Full 128 Typ="C" Market data entry type. C=Open interest. 129 Mkt="CMD" Exchange publishing the quote or trade. 130 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 131 Sz="0" /> Market data entry size. 132 <Full 133 Typ="z" Market data entry type. z=price alignment interest rate. 134 Px="0.09" Market data entry price. 135 Mkt="CMD" Exchange publishing the quote or trade. 136 PxTyp="1" Settlement price type. 1=In percent. 137 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 138 <Full 139 Typ="y" Market data entry type. y=dirty settlement price. 140 Px=" " Market data entry price. 141 Mkt="CMD" Exchange publishing the quote or trade. 142 QCond="6" Full curve. 143 PxTyp="5" Settlement price type. 5=Premium percentage points over par. 144 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 145 <InstrmtExt> (Day counts and additional characteristics) 146 <Attrb 147 Typ="100" Instrument attribute type. 100=Number of days used to calculate initial coupon amount for trades cleared today. 148 Val="84"/> Value of above attribute type, 84 days. 149 <Attrb 150 Typ="101" Instrument attribute type. 101=Number of days used to calculate banked coupon amounts based on the net start-of-day 151 Val="0"/> Value of above attribute type, 0 days. 152 <Attrb 153 Typ="109" Instrument attribute type. 109=Number of days used to calculate banked coupon amounts based on trades cleared today. 154 Val="0"/> Value of above attribute type, 0 days. 155 <Attrb 156 Typ="103" Instrument attribute type. 103=Number of days used for calculating accrued coupon amounts based on the net start-ofday 157 Val="84"/> Value of above attribute type, 84 days. 158 <Attrb 159 Typ="102" Instrument attribute type. 102="Number of days used to calculate accrued coupon amounts based on the net start-of-day " 160 Val="84"/> Value of above attribute type, 84 days. 161 <Attrb 162 Typ="110" Instrument attribute type. 110=Number of days used for calculating Price Alignment Interest (PAI) 163 Val="1"/> Value of above attribute type, 1 day. 164 <Attrb 165 Typ="29" Instrument attribute type. 29=Tradeable indicator. 166 Val="Y"/> Value of above attribute type, Yes. CDS Settlement Price File Sample Messages 11
12 167 <Attrb 168 Typ="112" Instrument attribute type. 112=Is today a valid banking day for the traded currency? 169 Val="Y"/> Value of above attribute type. Y=Yes. 170 </InstrmtExt> 171 </MktDataFull> 172 </FIXML> 4.0 Credit Default Swaps (CDS) for Indexes Line Tag Example Description 1 <?xml version="1.0" encoding="utf-8"?> 2 <FIXML > 3 <MktDataFull 4 BizDt=" "> Clear date. 5 <Instrmt 6 Sym="CG11V2" Symbol. 7 ID="CG11V2" Security ID. 8 Desc="CDXIG11V2.SR.XR.USD" A brief description of the CDS contract. 9 SecTyp="CDS" CDS =Credit Default Swap. 10 Src="H" Source of the Security ID. H=CME Clearinghouse. 11 SubTyp="I" Subtype. I=Index. 12 MMY="201312" Contract period code. 13 MatDt=" " Maturity date of the CDS contract. 14 Mult="0.01" Contract multiplier. 15 Exch="CMD" Product exchange. 16 UOM="Ccy" Unit of measure. Ccy=Currency, as defined in UOMCcy. 17 UOMCcy="USD" Unit of measure currency. USD=US Dollars. 18 UOMQty="1" Unit of measure quantity. 1=One currency unit 19 PxUOM="IPNT" Price unit of measure. IPNT=Index Points. 20 ValMeth="CDS" Valuation method. CDS=CDS style collateralization to market and coupon. 21 CpnRt="1.5" Coupon rate: the premium expressed as a percentage. 22 IntAcrl=" " Interest accrual date (Date from which interest starts accruing). 23 CpnPmt=" " Coupon payment date (Date on which next premium is due). 24 NotnlPctOut="99.2" Notional percentage outstanding. 25 Snrty="SR" Seniority. SR=Senior. 26 RstrctTyp="XR" Restructuring type. XR=No restructuring specified. 27 DayCntMeth="ACT/360" Day count method. ACT/ IndxSeriesNo="11" Index series number. 29 IndxVerNo="2" Index version number. 30 OrigTenor="5Y" Original tenor. 6 months left in tenor. 31 Tenor="6M"> Tenor. 6 months left in tenor. 32 <AID 33 AltID="CDXIG11V2.SR.XR.USD.13Z.15 Alternate identifiers/aliases. 0" 34 AltIDSrc="101"/> 101=ITC Alias. 35 <AID 36 AltID="CG11V " Alternate identifiers/aliases. 37 AltIDSrc="100"/> 100=TCC Alias. 38 <AID CDS Settlement Price File Sample Messages 12
13 39 AltID="CG11V " Alternate identifiers/aliases. 40 AltIDSrc="H"/> H=CME Clearinghouse. 41 <Evnt 42 EventTyp="5" Event type. 5= First trade date. 43 Dt=" "/> Date of event. 44 <Evnt 45 EventTyp="7" Event type. 7=Last eligible trade date. 46 Dt=" "/> Date of event. 47 <Evnt 48 EventTyp="19" Event type. 19=Position removal date. 49 Dt=" "/> Date of event. 50 <Evnt 51 EventTyp="100" Event type. 100=Next trade date. 52 Dt=" "/> Date of event. 53 <Evnt 54 EventTyp="8" Event type. 8=CDS start date. 55 Dt=" "/> Date of event. 56 <Evnt 57 EventTyp="9" Event type. 9=CDS end date. 58 Dt=" "/> Date of event. 59 <Evnt 60 EventTyp="101" Event type. 101=Previous prior coupon date. 61 Dt=" "/> Date of event. 62 <Evnt 63 EventTyp="102" Event type. 102=CDS Effective date. 64 Dt=" "/> Date of event. 65 <Evnt 66 EventTyp="103" Event type. 103=First coupon date. 67 Dt=" "/> Date of event. 68 <Evnt 69 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date. 70 Dt=" "/> Date of event. 71 <Evnt 72 EventTyp="111" Event type. 111=Unadjusted next coupon date. 73 Dt=" "/> Date of event. 74 <Evnt 75 EventTyp="112" Event type. 112=Unadjusted previous coupon date. 76 Dt=" "/> Date of event. 77 <Evnt 78 EventTyp="113" Event type. 113= Unadjusted previous Prior coupon date. 79 Dt=" "/> Date of event. 80 <Evnt 81 EventTyp="114" Event type. 114=Prior Clearing Business Date 82 Dt=" "/> Date of event. 83 <Evnt 84 EventTyp="115" Event type. 115=Next banking business date for traded currency. 85 Dt=" "/> Date of event. 86 </Instrmt> 87 <Full 88 Typ="6" Market data entry type. 6=Settlement price. CDS Settlement Price File Sample Messages 13
14 89 Px=" " Market data entry price. 90 Mkt="CMD" Exchange publishing the quote or trade. 91 QCond="6" Full curve. 92 PxTyp="1" Settlement price type. 1=Percent of par. 93 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 94 <Full 95 Typ="6" Market data entry type. 6=Settlement Price. 96 Px=" " Market data entry price. 97 Mkt="CMD" Exchange publishing the quote or trade. 98 QCond="6" Full curve. 99 PxTyp="6" Settlement price type. 6=Spread in basis points. 100 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 101 <Full 102 Typ="Y" Market data entry type. Y=Recovery rate. 103 Px="40.0" Market data entry price. 104 Mkt="CMD" Exchange publishing the quote or trade. 105 PxTyp="1" Recovery Rate expression. 1=In percent. 106 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 107 <Full 108 Typ="6" Market data entry type. 6=Settlement price. 109 Px="27.25" Market data entry price. 110 Mkt="CMD" Exchange publishing the quote or trade. 111 QCond="7" Flat curve. 112 PxTyp="6" Settlement price type. 6=Spread in basis points. 113 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 114 <Full 115 Typ="B" Market data entry type. B=Trade volume. 116 Mkt="CMD" Exchange publishing the quote or trade. 117 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 118 Sz="0" /> Market data entry size. 119 <Full 120 Typ="C" Market data entry type. C=Open interest. 121 Mkt="CMD" Exchange publishing the quote or trade. 122 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 123 Sz=" " /> Market data entry size. 124 <Full 125 Typ="z" Market data entry type. z=price alignment interest rate. 126 Px="0.09" Market data entry price. 127 Mkt="CMD" Exchange publishing the quote or trade. 128 PxTyp="1" Settlement price type. 1=In percent. 129 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 130 <Full 131 Typ="y" Market data entry type. y=dirty settlement price. 132 Px=" " Market data entry price. 133 Mkt="CMD" Exchange publishing the quote or trade. 134 QCond="6" Full curve. 135 PxTyp="5" Settlement price type. 5=Premium percentage points over par. 136 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 137 <InstrmtExt> (Day counts and additional characteristics) 138 <Attrb 139 Typ="100" Instrument attribute type. 100=Number of days used to calculate initial coupon amount for trades cleared today. CDS Settlement Price File Sample Messages 14
15 140 Val="84"/> Value of above attribute type, indicating 84 days. 141 <Attrb 142 Typ="101" Instrument attribute type. 101=Number of days used to calculate banked coupon amounts based on the net start-of-day 143 Val="0"/> Value of above attribute type, indicating 0 days. 144 <Attrb 145 Typ="109" Instrument attribute type. 109=Number of days used to calculate banked coupon amounts based on trades cleared today. 146 Val="0"/> Value of above attribute type, indicating 0 days. 147 <Attrb 148 Typ="103" Instrument attribute type. 103=Number of days used for calculating accrued coupon amounts based on the net start-ofday 149 Val="84"/> Value of above attribute type, indicating 84 days. 150 <Attrb 151 Typ="102" Instrument attribute type. 102=Number of days used to calculate accrued coupon amounts based on the net start-of-day 152 Val="84"/> Value of above attribute type, indicating 84 days. 153 <Attrb 154 Typ="110" Instrument attribute type. 110=Number of days used for calculating Price Alignment Interest (PAI) 155 Val="1"/> Value of above attribute type, 1 day. 156 <Attrb 157 Typ="29" Instrument attribute type. 29=Tradeable indicator. 158 Val="Y"/> Value of above attribute type, indicating Yes. 159 <Attrb 160 Typ="112" Instrument attribute type. 112=Is today a valid banking day for the traded currency? 161 Val="Y"/> Value of above attribute type. Y=Yes. 162 </InstrmtExt> 163 </MktDataFull> 164 </FIXML> 5.0 Credit Default Swaps (CDS) for Indexes: RED Code Line Tag Example Description 1 <?xml version="1.0" encoding="utf-8"?> 2 <FIXML > 3 <MktDataFull 4 BizDt=" "> Clear date. 5 <Instrmt 6 Sym="CG11V2" Symbol. 7 ID="CG11V2" Security ID. 8 Desc="CDXIG11V2.SR.XR.USD" A brief description of the CDS contract. 9 SecTyp="CDS" CDS =Credit Default Swap. 10 Src="H" Source of the Security ID. H=CME Clearinghouse. 11 SubTyp="I" Subtype. I=Index. 12 MMY="201312" Contract period code. 13 MatDt=" " Maturity date of the CDS contract. CDS Settlement Price File Sample Messages 15
16 14 Mult="0.01" Contract multiplier. 15 Exch="CMD" Product exchange. 16 UOM="Ccy" Unit of measure. Ccy=Currency, as defined in UOMCcy. 17 UOMCcy="USD" Unit of measure currency. USD=US Dollars. 18 UOMQty="1" Unit of measure quantity. 1=One currency unit 19 PxUOM="IPNT" Price unit of measure. IPNT=Index Points. 20 ValMeth="CDS" Valuation method. CDS=CDS style collateralization to market and coupon. 21 CpnRt="1.5" Coupon rate: the premium expressed as a percentage. 22 IntAcrl=" " Interest accrual date (Date from which interest starts accruing). 23 CpnPmt=" " Coupon payment date (Date on which next premium is due). 24 NotnlPctOut="99.2" Notional percentage outstanding. 25 Snrty="SR" Seniority. SR=Senior. 26 RstrctTyp="XR" Restructuring type. XR=No restructuring specified. 27 DayCntMeth="ACT/360" Day count method. ACT/ IndxSeriesNo="11" Index series number. 29 IndxVerNo="2" Index version number. 30 OrigTenor="5Y" Original tenor. 6 months left in tenor. 31 Tenor="6M"> Tenor. 6 months left in tenor. 32 <AID 33 AltID="2I65BYCI4" Alternate identifiers/aliases. 34 AltIDSrc="104"/> 104=Red Codes for CDS. 35 <AID 36 AltID="CDXIG11V2.SR.XR.USD.13Z.15 Alternate identifiers/aliases. 0" 37 AltIDSrc="101"/> 101=ITC Alias. 38 <AID 39 AltID="CG11V " Alternate identifiers/aliases. 40 AltIDSrc="100"/> 100=TCC Alias. 41 <AID 42 AltID="CG11V " Alternate identifiers/aliases. 43 AltIDSrc="H"/> H=CME Clearinghouse. 44 <AID 45 AltID="CDX-NAIGS11V2-5Y" Alternate identifiers/aliases. 46 AltIDSrc="111"/> 101=RED Index Ticker. 47 <Evnt 48 EventTyp="5" Event type. 5= First trade date. 49 Dt=" "/> Date of event. 50 <Evnt 51 EventTyp="7" Event type. 7=Last eligible trade date. 52 Dt=" "/> Date of event. 53 <Evnt 54 EventTyp="19" Event type. 19=Position removal date. 55 Dt=" "/> Date of event. 56 <Evnt 57 EventTyp="100" Event type. 100=Next trade date. 58 Dt=" "/> Date of event. 59 <Evnt 60 EventTyp="8" Event type. 8=CDS start date. 61 Dt=" "/> Date of event. 62 <Evnt 63 EventTyp="9" Event type. 9=CDS end date. 64 Dt=" "/> Date of event. CDS Settlement Price File Sample Messages 16
17 65 <Evnt 66 EventTyp="101" Event type. 101=Previous prior coupon date. 67 Dt=" "/> Date of event. 68 <Evnt 69 EventTyp="102" Event type. 102=CDS Effective date. 70 Dt=" "/> Date of event. 71 <Evnt 72 EventTyp="103" Event type. 103=First coupon date. 73 Dt=" "/> Date of event. 74 <Evnt 75 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date. 76 Dt=" "/> Date of event. 77 <Evnt 78 EventTyp="111" Event type. 111=Unadjusted next coupon date. 79 Dt=" "/> Date of event. 80 <Evnt 81 EventTyp="112" Event type. 112=Unadjusted previous coupon date. 82 Dt=" "/> Date of event. 83 <Evnt 84 EventTyp="113" Event type. 113= Unadjusted previous Prior coupon date. 85 Dt=" "/> Date of event. 86 <Evnt 87 EventTyp="114" Event type. 114=Prior Clearing Business Date 88 Dt=" "/> Date of event. 89 <Evnt 90 EventTyp="115" Event type. 115=Next banking business date for traded currency. 91 Dt=" "/> Date of event. 92 </Instrmt> 93 <Full 94 Typ="6" Market data entry type. 6=Settlement price. 95 Px=" " Market data entry price. 96 Mkt="CMD" Exchange publishing the quote or trade. 97 QCond="6" Full curve. 98 PxTyp="1" Settlement price type. 1=Percent of par. 99 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 100 <Full 101 Typ="6" Market data entry type. 6=Settlement Price. 102 Px=" " Market data entry price. 103 Mkt="CMD" Exchange publishing the quote or trade. 104 QCond="6" Full curve. 105 PxTyp="6" Settlement price type. 6=Spread in basis points. 106 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 107 <Full 108 Typ="Y" Market data entry type. Y=Recovery rate. 109 Px="40.0" Market data entry price. 110 Mkt="CMD" Exchange publishing the quote or trade. 111 PxTyp="1" Recovery Rate expression. 1=In percent. 112 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 113 <Full 114 Typ="6" Market data entry type. 6=Settlement price. CDS Settlement Price File Sample Messages 17
18 115 Px="27.25" Market data entry price. 116 Mkt="CMD" Exchange publishing the quote or trade. 117 QCond="7" Flat curve. 118 PxTyp="6" Settlement price type. 6=Spread in basis points. 119 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 120 <Full 121 Typ="B" Market data entry type. B=Trade volume. 122 Mkt="CMD" Exchange publishing the quote or trade. 123 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 124 Sz="0" /> Market data entry size. 125 <Full 126 Typ="C" Market data entry type. C=Open interest. 127 Mkt="CMD" Exchange publishing the quote or trade. 128 OpenClsSettlFlag="4" Indicates type of price. 1=Entry from previous business day. 129 Sz=" " /> Market data entry size. 130 <Full 131 Typ="z" Market data entry type. z=price alignment interest rate. 132 Px="0.09" Market data entry price. 133 Mkt="CMD" Exchange publishing the quote or trade. 134 PxTyp="1" Settlement price type. 1=In percent. 135 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 136 <Full 137 Typ="y" Market data entry type. y=dirty settlement price. 138 Px=" " Market data entry price. 139 Mkt="CMD" Exchange publishing the quote or trade. 140 QCond="6" Full curve. 141 PxTyp="5" Settlement price type. 5=Premium percentage points over par. 142 OpenClsSettlFlag="1"/> Indicates type of price. 1=Final Settlement price. 143 <InstrmtExt> (Day counts and additional characteristics) 144 <Attrb 145 Typ="100" Instrument attribute type. 100=Number of days used to calculate initial coupon amount for trades cleared today. 146 Val="84"/> Value of above attribute type, indicating 84 days. 147 <Attrb 148 Typ="101" Instrument attribute type. 101=Number of days used to calculate banked coupon amounts based on the net start-of-day 149 Val="0"/> Value of above attribute type, indicating 0 days. 150 <Attrb 151 Typ="109" Instrument attribute type. 109=Number of days used to calculate banked coupon amounts based on trades cleared today. 152 Val="0"/> Value of above attribute type, indicating 0 days. 153 <Attrb 154 Typ="103" Instrument attribute type. 103=Number of days used for calculating accrued coupon amounts based on the net start-ofday 155 Val="84"/> Value of above attribute type, indicating 84 days. 156 <Attrb 157 Typ="102" Instrument attribute type. 102=Number of days used to calculate accrued coupon amounts based on the net start-of-day 158 Val="84"/> Value of above attribute type, indicating 84 days. CDS Settlement Price File Sample Messages 18
19 159 <Attrb 160 Typ="110" Instrument attribute type. 110=Number of days used for calculating Price Alignment Interest (PAI) 161 Val="1"/> Value of above attribute type, 1 day. 162 <Attrb 163 Typ="29" Instrument attribute type. 29=Tradeable indicator. 164 Val="Y"/> Value of above attribute type, indicating Yes. 165 <Attrb 166 Typ="112" Instrument attribute type. 112=Is today a valid banking day for the traded currency? 167 Val="Y"/> Value of above attribute type. Y=Yes. 168 </InstrmtExt> 169 </MktDataFull> 170 </FIXML> 6.0 Revision History Version Date Author Description 1.0 5/26/10 AB/NU Initial Release /21/10 NU Updated UOM and added UOMCcy for all samples /14/13 RP Updated with latest messages. CDS Settlement Price File Sample Messages 19
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