FIX Version FIX.5.0SP2 Extension Pack EP119

Approval Date 2010-07-28T00:00:00.000

Description Instrument Definition and Trade Price Extensions for CDS

Field Changes

New Fields

Tag	Name	Type	Description	AssociatedDataTag	AbbrName	BaseCategory	BaseCategoryAbbrName	NotReqXML	EnumDatatype	UnionDataType
1739	ObligationType	String	Type of reference obligation for credit derivatives contracts.		ObligTyp			0
1740	TradePriceNegotiationMethod	int	Method used for negotiation of contract price.		TrdPxNegottnMeth			0
1741	UpfrontPriceType	int	Type of price used to determine upfront payment for swaps contracts.		UpfrontPxTyp			0
1742	UpfrontPrice	Price	Price used to determine upfront payment for swaps contracts.		UpfrontPx			0
1743	LastUpfrontPrice	Price	Price used to determine upfront payment for swaps contracts reported for a deal (trade).		LastUpfrontPx			0

Enumerations

Updated Enumerations

Tag	Value	SymbolicName	Group	Sort	Description	Definition
22	8				Exchange symbol
22	H				Clearing house / Clearing organization
22	I				ISDA/FpML product specification (XML in SecurityXML(1185))
22	K				ISDA/FpML product URL (URL in SecurityID(48))
22	L				Letter of credit

Enumerations Added

Tag	Value	SymbolicName	Group	Sort	Description	Definition
22	N	MarkitREDEntityCLIP		23	Markit RED entity CLIP
22	P	MarkitREDPairCLIP		24	Markit RED pair CLIP
1739	0				Bond
1739	1				Convertible bond
1739	2				Mortgage
1739	3				Loan
1740	0				Percent of par
1740	1				Deal spread
1740	2				Upfront points
1740	3				Upfront amount
1740	4				Percent of par and upfront amount
1740	5				Deal spread and upfront amount
1740	6				Upfront points and upfront amount
1741	1				Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
1741	3				Fixed amount (absolute value)

Message/Component Content

Messages/Components Content Added

ComponentID	TagText	Indent	Position	Reqd	Description
1003	1739	0	14.7	0
64	1740	0	40.2	0
64	1743	0	40.3	0	Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
64	1741	0	40.4	0
9	1740	0	58.1	0
9	1742	0	58.2	0	Required if specified on the order
9	1741	0	58.3	0
9	1743	0	80.1	0	Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
14	1740	0	52.1	0
14	1741	0	52.2	0
14	1742	0	52.3	0	Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
61	1740	0	67.1	0
61	1741	0	67.2	0
61	1742	0	67.3	0	Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).