[This message was posted by Matt Simpson of CME Group <[email protected]> to the "Derivatives" discussion forum at http://fixprotocol.org/discuss/15. You can reply to it on-line at http://fixprotocol.org/discuss/read/f7b1ba57 - PLEASE DO NOT REPLY BY MAIL.]
>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? [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]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=.
