PUBLIC COMMENT PERIOD - Cleared Credit Default Swap Proposal

, ,
1

Imported from previous forum

2

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/documents/4282/FIX%20Gap%20Analysis%20Support%20for%20CME%20Cleared%20Credit%20Default%20Swaps_v03.doc

The public comment period ends on January 6, 2009.

3

[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
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.

  1. 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-
ents/4282/FIX%20Gap%20Analysis%20Support%20for%20CME%20Cleared%20Credit-
%20Default%20Swaps_v03.doc

The public comment period ends on January 6, 2009.

4

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.