• New Price Data Added to CDS FIXML Settlement Price Files Attributes Removed from non-RED FIXML Settlement & Product Reference Files

      • To
      • Clearing Member Firms; Back Office Managers; Software Providers
      • From
      • CME Clearing
      • #
      • 10-248
      • Notice Date
      • 10 June 2010
      • Effective Date
      • 11 June 2010
    • Please be advised that as of June 11, 2010 CME Clearing will modify the Production CDS FIXML Settlement Price files to carry additional price information. A new attribute will be added to differentiate the new price. This change was made to the New Release files on May 10, 2010. 
      Changes to CDS FIXML Settlement Price Files (Both RED and Non-RED File Versions)
      Currently, only the Percent of Par (Full Curve, PxTyp=”1”, OpenClsSettlFlag=”1”) and Par Spread (Full Curve, PxTyp=”6”, OpenClsSettlFlag=”1”) are provided for each contract.
      As of June 11, 2010, the MktDataFull messages will contain both full and  flat curve prices, and a new identifier, Quote Condition (QCond), will be used to further define whether the price relates to a full curve (“6”) or a flat curve (“7”). Also, the Recovery Rate and Issuer will be added to the file. Sample new MktDataFull “Full” Blocks:

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