Credit Default Swaps (CDS)
Message Samples
Version: 1.2
6/14/13
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Contents
1.0 OVERVIEW ... 4
2.0 CREDIT DEFAULT SWAPS (CDS) FOR SINGLE NAMES ... 5
3.0 CREDIT DEFAULT SWAPS (CDS) FOR SINGLE NAMES: RED CODE ... 8
4.0 CREDIT DEFAULT SWAPS (CDS) FOR INDEXES ...12
5.0 CREDIT DEFAULT SWAPS (CDS) FOR INDEXES: RED CODE...15
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="2008-12-23">
o An Instrument Block, containing details necessary to identify the contract
o An Underlying Instrument Block, if applicable
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="2013-06-11"> 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="2013-06-20" 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="2013-03-20" Interest accrual date (Date from which interest starts accruing).
23 CpnPmt="2013-06-20" 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/360.
28 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 201306 1" 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 201306 1" Alternate identifiers/aliases.
40 AltIDSrc="100"/> 100=TCC alias.
41 <Evnt
42 EventTyp="5" Event type. 5= First trade date.
43 Dt="2008-09-19"/> Date of event.
44 <Evnt
45 EventTyp="7" Event type. 7=Last eligible trade date.
46 Dt="2013-06-19"/> Date of event.
47 <Evnt
Line Tag Example Description
49 Dt="2013-07-05"/> Date of event.
50 <Evnt
51 EventTyp="100" Event type. 100=Next trade date.
52 Dt="2013-06-12"/> Date of event.
53 <Evnt
54 EventTyp="8" Event type. 8=CDS start date.
55 Dt="2013-06-12"/> Date of event.
56 <Evnt
57 EventTyp="9" Event type. 9=CDS end date.
58 Dt="2013-06-20"/> Date of event.
59 <Evnt
60 EventTyp="101" Event type. 101=Previous prior coupon date.
61 Dt="2012-12-20"/> Date of event.
62 <Evnt
63 EventTyp="102" Event type. 102=CDS effective date.
64 Dt="2008-09-20"/> Date of event.
65 <Evnt
66 EventTyp="103" Event type. 103=First coupon date.
67 Dt="2008-09-22"/> Date of event.
68 <Evnt
69 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date.
70 Dt="2013-06-19"/> Date of event.
71 <Evnt
72 EventTyp="111" Event type. 111=Unadjusted next coupon date.
73 Dt="2013-06-20"/> Date of event.
74 <Evnt
75 EventTyp="112" Event type. 112=Unadjusted previous coupon date.
76 Dt="2013-03-20"/> Date of event.
77 <Evnt
78 EventTyp="113" Event type. 113=Unadjusted previous prior coupon date.
79 Dt="2012-12-20"/> Date of event.
80 <Evnt
81 EventTyp="114" Event type. 114=Prior Clearing Business Date
82 Dt="2013-06-10"/> Date of event.
83 <Evnt
84 EventTyp="115" Event type. 115=Next banking business date for traded currency.
85 Dt="2013-06-12"/> Date of event.
86 </Instrmt>
87 <Full
88 Typ="6" Market data entry type. 6=Settlement price.
89 Px="99.9993853" 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="102.4595" Market data entry price.
97 Mkt="CMD" Exchange publishing the quote or trade.
Line Tag Example Description
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="102.4601" 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="-0.2327186" 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 position.
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.
Line Tag Example Description
147 <Attrb
148 Typ="103" Instrument attribute type. 103=Number of days used for calculating accrued coupon amounts based on the net start-of-day position.
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 position."
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="2013-06-11"> 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="2013-06-20" 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.
Line Tag Example Description
22 IntAcrl="2013-03-20" Interest accrual date (Date from which interest starts accruing).
23 CpnPmt="2013-06-20" 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/360.
28 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 201306 1" 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 201306 1" Alternate identifiers/aliases.
48 AltIDSrc="100"/> 100=TCC alias.
49 <Evnt
50 EventTyp="5" Event type. 5= First trade date.
51 Dt="2008-09-19"/> Date of event.
52 <Evnt
53 EventTyp="7" Event type. 7=Last eligible trade date.
54 Dt="2013-06-19"/> Date of event.
55 <Evnt
56 EventTyp="19" Event type. 19=Position removal date.
57 Dt="2013-07-05"/> Date of event.
58 <Evnt
59 EventTyp="100" Event type. 100=Next trade date.
60 Dt="2013-06-12"/> Date of event.
61 <Evnt
62 EventTyp="8" Event type. 8=CDS start date.
63 Dt="2013-06-12"/> Date of event.
64 <Evnt
65 EventTyp="9" Event type. 9=CDS end date.
66 Dt="2013-06-20"/> Date of event.
67 <Evnt
68 EventTyp="101" Event type. 101=Previous prior coupon date.
69 Dt="2012-12-20"/> Date of event.
70 <Evnt
71 EventTyp="102" Event type. 102=CDS effective date.
72 Dt="2008-09-20"/> Date of event.
Line Tag Example Description
74 EventTyp="103" Event type. 103=First coupon date.
75 Dt="2008-09-22"/> Date of event.
76 <Evnt
77 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date.
78 Dt="2013-06-19"/> Date of event.
79 <Evnt
80 EventTyp="111" Event type. 111=Unadjusted next coupon date.
81 Dt="2013-06-20"/> Date of event.
82 <Evnt
83 EventTyp="112" Event type. 112=Unadjusted previous coupon date.
84 Dt="2013-03-20"/> Date of event.
85 <Evnt
86 EventTyp="113" Event type. 113=Unadjusted previous prior coupon date.
87 Dt="2012-12-20"/> Date of event.
88 <Evnt
89 EventTyp="114" Event type. 114=Prior Clearing Business Date
90 Dt="2013-06-10"/> Date of event.
91 <Evnt
92 EventTyp="115" Event type. 115=Next banking business date for traded currency.
93 Dt="2013-06-12"/> Date of event.
94 </Instrmt>
95 <Full
96 Typ="6" Market data entry type. 6=Settlement price.
97 Px="99.9993853" 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="102.4595" 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="102.4601" 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
Line Tag Example Description
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="-0.2327186" 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 position.
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-of-day position.
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 position."
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.
Line Tag Example Description
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="2013-06-11"> 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="2013-12-20" 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="2013-03-20" Interest accrual date (Date from which interest starts accruing).
23 CpnPmt="2013-06-20" 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/360.
28 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 0"
Alternate identifiers/aliases.
34 AltIDSrc="101"/> 101=ITC Alias.
35 <AID
36 AltID="CG11V2 201312 1.5" Alternate identifiers/aliases.
37 AltIDSrc="100"/> 100=TCC Alias.
Line Tag Example Description
39 AltID="CG11V2 201312 1.5" Alternate identifiers/aliases.
40 AltIDSrc="H"/> H=CME Clearinghouse.
41 <Evnt
42 EventTyp="5" Event type. 5= First trade date.
43 Dt="2011-06-24"/> Date of event.
44 <Evnt
45 EventTyp="7" Event type. 7=Last eligible trade date.
46 Dt="2013-12-19"/> Date of event.
47 <Evnt
48 EventTyp="19" Event type. 19=Position removal date.
49 Dt="2014-01-06"/> Date of event.
50 <Evnt
51 EventTyp="100" Event type. 100=Next trade date.
52 Dt="2013-06-12"/> Date of event.
53 <Evnt
54 EventTyp="8" Event type. 8=CDS start date.
55 Dt="2013-06-12"/> Date of event.
56 <Evnt
57 EventTyp="9" Event type. 9=CDS end date.
58 Dt="2013-12-20"/> Date of event.
59 <Evnt
60 EventTyp="101" Event type. 101=Previous prior coupon date.
61 Dt="2012-12-20"/> Date of event.
62 <Evnt
63 EventTyp="102" Event type. 102=CDS Effective date.
64 Dt="2008-09-22"/> Date of event.
65 <Evnt
66 EventTyp="103" Event type. 103=First coupon date.
67 Dt="2008-12-22"/> Date of event.
68 <Evnt
69 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date.
70 Dt="2013-06-19"/> Date of event.
71 <Evnt
72 EventTyp="111" Event type. 111=Unadjusted next coupon date.
73 Dt="2013-06-20"/> Date of event.
74 <Evnt
75 EventTyp="112" Event type. 112=Unadjusted previous coupon date.
76 Dt="2013-03-20"/> Date of event.
77 <Evnt
78 EventTyp="113" Event type. 113= Unadjusted previous Prior coupon date.
79 Dt="2012-12-20"/> Date of event.
80 <Evnt
81 EventTyp="114" Event type. 114=Prior Clearing Business Date
82 Dt="2013-06-10"/> Date of event.
83 <Evnt
84 EventTyp="115" Event type. 115=Next banking business date for traded currency.
85 Dt="2013-06-12"/> Date of event.
86 </Instrmt>
87 <Full
Line Tag Example Description
89 Px="100.6529084" 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="27.2993" 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="8604650259" /> 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="-1.0029084" 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.
Line Tag Example Description
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 position.
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-of-day position.
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 position.
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="2013-06-11"> 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.
Line Tag Example Description
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="2013-03-20" Interest accrual date (Date from which interest starts accruing).
23 CpnPmt="2013-06-20" 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/360.
28 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 0"
Alternate identifiers/aliases.
37 AltIDSrc="101"/> 101=ITC Alias.
38 <AID
39 AltID="CG11V2 201312 1.5" Alternate identifiers/aliases.
40 AltIDSrc="100"/> 100=TCC Alias.
41 <AID
42 AltID="CG11V2 201312 1.5" 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="2011-06-24"/> Date of event.
50 <Evnt
51 EventTyp="7" Event type. 7=Last eligible trade date.
52 Dt="2013-12-19"/> Date of event.
53 <Evnt
54 EventTyp="19" Event type. 19=Position removal date.
55 Dt="2014-01-06"/> Date of event.
56 <Evnt
57 EventTyp="100" Event type. 100=Next trade date.
58 Dt="2013-06-12"/> Date of event.
59 <Evnt
60 EventTyp="8" Event type. 8=CDS start date.
61 Dt="2013-06-12"/> Date of event.
62 <Evnt
63 EventTyp="9" Event type. 9=CDS end date.
Line Tag Example Description
65 <Evnt
66 EventTyp="101" Event type. 101=Previous prior coupon date.
67 Dt="2012-12-20"/> Date of event.
68 <Evnt
69 EventTyp="102" Event type. 102=CDS Effective date.
70 Dt="2008-09-22"/> Date of event.
71 <Evnt
72 EventTyp="103" Event type. 103=First coupon date.
73 Dt="2008-12-22"/> Date of event.
74 <Evnt
75 EventTyp="104" Event type. 104=Clearing business date prior to the next coupon date.
76 Dt="2013-06-19"/> Date of event.
77 <Evnt
78 EventTyp="111" Event type. 111=Unadjusted next coupon date.
79 Dt="2013-06-20"/> Date of event.
80 <Evnt
81 EventTyp="112" Event type. 112=Unadjusted previous coupon date.
82 Dt="2013-03-20"/> Date of event.
83 <Evnt
84 EventTyp="113" Event type. 113= Unadjusted previous Prior coupon date.
85 Dt="2012-12-20"/> Date of event.
86 <Evnt
87 EventTyp="114" Event type. 114=Prior Clearing Business Date
88 Dt="2013-06-10"/> Date of event.
89 <Evnt
90 EventTyp="115" Event type. 115=Next banking business date for traded currency.
91 Dt="2013-06-12"/> Date of event.
92 </Instrmt>
93 <Full
94 Typ="6" Market data entry type. 6=Settlement price.
95 Px="100.6529084" 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="27.2993" 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
Line Tag Example Description
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="8604650259" /> 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="-1.0029084" 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 position.
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-of-day position.
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 position.
Line Tag Example Description
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.
1.1 12/21/10 NU Updated UOM and added UOMCcy for all samples. 1.2 6/14/13 RP Updated with latest messages.
