This Extension Pack provides enhancements to address clearinghouse netting of CDS trades for the same instrument into single trades for keeping positions need to account for the termination of the original cleared trades, in addition to the creation of netted trades, each with a unique USI assigned by the clearinghouse. This EP addresses specifically the ability to accommodate terminated trades in the netting process as well as a method to reference a Unique Swaps Identifier(USI) as part credit events associated with the life cycle of a CDS trade.

Update History

[Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161.

[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 and EP162 was corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2013-09-26] Revised the FIXML Schema and FIX Repository to reflect changes in EP161.

[Updated 2013-04-25] Update of repository and FIXML Schema due to correction of EP164.

Files list:
FIX Protocol Gap Analysis CDS Trade Netting-Credit-Succession Rev 0.2_ASBUILT.pdfViewDownload

Total Files3
File Size2.03 MB
Create DateJune 20, 2017