Uniform instrument definition and price specification of Credit Default Swaps, in particular for the TradeCaptureReport message to be used in CDS “OTC Clearing” processes.

Addresses enhancing the capabilities of the Instrument component block to specify the type of CDS reference obligation and new SecurityIDSource enumeration values for Markit RED codes. For TradeCaptureReport, ExecutionReport, NewOrderSingle and NewOrderMultileg messages it defines a new field TradePxNegotiationMethod as well as three other new fields UpfrontPrice, LastUpfrontPx and UpfrontPriceType for specifying upfront price component in swap deals.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2012-01-11] Added repository and FIXML Schema. ASBUILT document updated.

Files list:
FIX Protocol Gap Analysis - Instrument Definition and Trade Price Extensions for CDS v0.3_ASBUILT.pdf

Total Files3
File Size1.44 MB
Create DateJune 19, 2017