[This message was posted by Matt Simpson of CME Group <[email protected]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/6df3d6f8 - PLEASE DO NOT REPLY BY MAIL.]
Dean - The intent is to use the existing percent-of-par PriceType enum in the same way it is used for fixed income. While a CDS instrument has the concept of an underlying which is the bond or index on which the CDS is based the price itself is stated in conventional "percent of par" terms where the ratio of deal spread to coupon rate deterimines the percent of par value. This is the price of the CDS instrument rather than the underlying. Because of the consistent use I think we are on solid ground using a single enum called "Percentage (i.e. percent of par)" Regarding the CpnRt the examples in the proposal will be changed to show the decimalized format. Matt > 1) I suggest using slightly different terminology than "percent-of-par" > which collides with fixed income. How about "percent of par of > underlying" and require PriceType with that value. > > 2) The examples needs CpnRt(223) to be FIXed to ".02" and ".0155". > > > The Global Technical Committee has reviewed and preliminary approved > > the Cleared Credit Default Swap proposal submitted by the CME. The > > document now enters a 15 day public comment period in which public > > review and feedback is encouraged. Once the Public Comment period > > closes, the Global Technical Governance Board will meet to review > > public comments before final approval. > > > > Please post feedback, comments, and questions as replies to this > > discussion thread. > > > > A link to the proposal can be found at http://www.fixprotocol.org/docum- > > ts/4282/FIX%20Gap%20Analysis%20Support%20for%20CME%20Cleared%20Credit- > > %20Default%20Swaps_v03.doc > > > > The public comment period ends on January 6, 2009. [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
