EP083 – Support for CME Cleared Credit Default Swaps

This proposal extends FIX to support CME’s central clearing of standardised credit default swaps, including single-name and index CDS and a model capable of later supporting tranches. It covers CDS security definition, cleared-trade reporting, position and cash-flow reporting, credit-event handling and price reporting. New instrument attributes include restructuring type, seniority, notional percentage outstanding, original notional percentage outstanding, and tranche attachment and detachment points. It also adds CDS valuation and percent-of-par quotation methods.

The problem is that the existing FIX data model did not represent key CDS lifecycle concepts. These include changes in index notional after constituent defaults, attributes of the underlying bond, CDS-specific coupon and mark-to-market cash flows, position adjustments caused by succession and credit events, physical delivery of underlying bonds and recovery-rate reporting. The proposal addresses these gaps through changes to Instrument, UnderlyingInstrument, position amount, position quantity and market-data fields.