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XML User Guide

1. ssssssssssssssssssseseseeeneeeeeeenn nenne 24 Asset Backed Securities ABS Feed Export 26 ABS Bid Ask Spread Adjustments Misini pinpas paoa a eaaa ia A nnne nnne 26 ABS Ratings ee eiaei Eea a aenda Enek aaa ada aeh aeaa ei aaa a eaa aaa aaa iiaeaa a Ee a 27 ABS SEClO Sicca aana a a EAE A G a aa aa a a aa 27 Creating a User with the Ability to Upload susssussnussnunennunnnunnnunenunenunennunnnunnnunenunennnnnnunnnnnennnennnennn nnn 28 Uploading an XML File via the Web eee e eren eren nennen enne nnnm nnne nennen nnn nnenns 29 Mapping Customer Entity Codes to Markit Entity Codes eere 31 Automating XML File Transmission to Markit eese 34 EP dscis ce E 34 Ale culs e 35 Retrieving Data from the Markit Website eeeeeeeeeeeee eene nnnnn nnne nnn nnn nnnnnnnnn 37 NC IE 37 Daily Contributor and Composite Reports sssssssssee eene nennen nennen nennen 38 Industry Sector and Rating Reports enne rennen nnne nnne neret 39 CDS Sameday Reports wesc P 39 LCDS Sameday Reports re iie arit ctetu oe BR eod ate vita a aa aaa aaa A E aaa 39 Note Same Day LCDS Composite reports for all regions to include Legacy and Bullet Composites 40 RED Entity and Obligation Cred
2. 4511 K amp F Industries Inc K amp F Industries Inc Mapped 1512 Hard Rock Hotel Inc Hard Rock Hotel Inc Mapped 1515 Southern Foods Group DF SouthnFoods Southern Foods Group Mapped 1523 Chief Auto Parts Inc AZ CHAP Chief Auto Parts Inc Mapped 1524 United Defense Industries Inc DEFENS United Defense Industries Inc Mapped 1525 Fort James Corp GP Fortlames Fort James Corp 37BBB8 Mapped 1526 ITT Destinations Inc HOT ITTD ITT Destinations Inc Mapped 1528 Extended Stay America Inc ESA Extended Stay America Inc Mapped 1533 Rural Cellular Corporation RCCC Rural Cellular Corporation Mapped 4534 Detroit Diesel Corporation DCX DetDie Detroit Diesel Corporation Mapped 4535 California Pizza Kitchen Inc CPK California Pizza Kitchen Inc Mapped 1536 CORESTAFF SERVICES CS6 COST CORESTAFF SERVICES Mapped Click heading to sort gt NOTE See the Mappings section in the Markit com User Guide for more information about using this feature The Markit com User Guide is available on the Markit com website on the Help page click Help in the upper right corner of the screen to access this page The upload error report referred to the customer codes AOL and BARIC among others The customer code AOL was found in the Markit database but since it was found to be within a company hierarchy in the Markit database the Mapping status is set to Assumed It is important that the correc
3. Spread3y Spread4y Spread5y Spread7y The spread for this point on the curve lt lt lt lt lt lt lt lt lt 66 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com k Markit Data XML Guide Version 10 3 7 Spread10y Float Float Spread15y Spread20y Spread30y ImpliedRating Calculated on a weekly basis by comparing the issuer s 5Y senior standard trading convention spread to the 5Y spreads of our sector curves and applying the rating of the logarithmically nearest rating curve specific to that sector lt lt lt lt lt Int Int Int Int Int Int Int Int CompositeDepth6m The number of distinct contributors to the composite point CompositeDepth1 y CompositeDepth2y CompositeDepth3y CompositeDepth4y CompositeDepth5y CompositeDepth7y lt lt lt lt lt lt lt lt CompositeDepth10y lt Int Int CompositeDepth15y lt CompositeDepth20y CompositeDepth30y Int Owner For Composite Curves the owner will state VarChar9 Composite Recovery The recovery rate Float RecoveryDepth The number of distinct contributors to the Int recovery rate Sector ICB The ICB industry sector of the reference Char50 entity Region The region of the reference entit
4. Wi poco ts If m And myfile lt gt Disclai mer txt Then This must be the w AutoFilterMode w Cells Clear False With w QueryTables Add Connection URL amp file Destination w Cells 1 1 BackgroundQuery False Refresh Delete End With w Select Col umns 1 Select Selection TextToColumns DataType x Deli mited Comma True Space False End If myfile Loop Dir Else Now paste the report ActiveSheet Cells Clear ActiveSheet Range Al Select Set clipboard New DataObject clipboard SetText doc responseText clipboard PutI nClipboard ActiveSheet Paste into the sheet End Record the time taken to retrieve the report Range Report_List Offset i 1 Now Next End Sub This function creates a new Workbook and DialogSheet the username and password are prompted Markit Data XML Guide Version 10 3 7 Now TimeValue 0 00 5 CSv file contained in the ZIP file And Right myfile 4 lt gt zip And myfile lt gt amp direc amp amp myfile Consecuti veDelimiter True ti metaken within the Workbook on which Function GetPassword ByRef username ByRef password As Boolean Dim thisW As Workbook Remember the current workbook Dim w As Workbook The new workbook for putting the password input box onto Dim d As DialogSheet The dialogsheet for putting the password input box onto Dim o Set thisW Acti veW
5. data elements in file valid data elements in file bond prices inserted into database bond prices rejected by database invalid bonds supplied bonds not found in Mark it database curves inserted into database curves rejected by database recoveries inserted into database recoveries rejected by database converts inserted into database converts rejected by database In the above example we can see from the status report that a number of default swap entity codes require mapping to their equivalent Markit codes AOL TYCO and BARIC Errors of this kind are resolved in the entity mapping screen which we will look at next In addition two bond prices were transmitted but for bonds that were not found in the Markit database The error message for a missing bond is improved if the XML file includes a descriptive bond name with the lt bondname gt tag So for example in the previous screen the bond with Cusip 3133MJH60 was not provided with a bond description and so a bond name does not appear in the error 29 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com r k Markit Data XML Guide Version 10 3 7 At the end of the status report is a summary section outlining overall statistics for the file transfer Bonds not found in the Markit database are retrieved from our static bond data provider 30 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved
6. 10 5 0 3 0 02 0 033 0 0343 L 6 system lt fileid gt lt date bondname gt bondi d book gt lt lt lt snapti me pricebi d lt priceask gt equitymi d equityi mpliedvol equitydelta lt creditspread gt Sr Ta position l conversionratio gt The tags in the example XML above are described in the following table XML Tag Type and Validation Notes bondname Optional Char 100 A description of the bond which is only used when reporting an error during the automated upload process bondid Mandatory Used to uniquely The bond ID identify the bond The particular type of ID is specified with the type attribute which can be one of the following isin cusip common fonds sedol sicovam svm valoren wpk book Char 10 The trading book from which this bond Mandatory price was taken 19 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 XML Tag snaptime pricebid priceask equitymid equityimpliedvol Type and Validation Mandatory HH MM ZONE Mandatory 1 for 10096 Mandatory 1 for 10096 Mandatory 0 2 for 20 Notes The time at which the convertible price and other market data was snapped ZONE can be one of LDN EUR NY TOKYO SINGAPORE or HK Markit then adjusts this time
7. Rating3Y A quantitative measure of the quality of our data for a 3Y CDS lt lt lt Rating4Y A quantitative measure of the quality of our data for a 4Y CDS Rating5Y A quantitative measure of the quality of our data for a 5Y CDS Rating7Y A quantitative measure of the quality of our data for a 7Y CDS Rating10Y A quantitative measure of the quality of our data for a 10Y CDS Rating15Y A quantitative measure of the Y Var quality of our data for a 15Y char2 CDS Rating20Y A quantitative measure of the Y quality of our data for a 20Y CDS lt lt lt lt B a lt E n lt lt lt lt lt Rating30Y A quantitative measure of the quality of our data for a 30Y CDS RecoveryXcomposit The composite recovery level Y e without your contribution being used in the calculation RedCode The six digit RED code Y Char 6 Region The region of the reference Y Y Y Y Char entity 20 Running Coupon _ The coupon to be paid annually until maturity in addition to the Upfront payment 63 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Sector ICB The ICB industry sector of the Y Char reference entity 50 ShortName The abbreviated short name for Y Char the reference entity 100 Spread6m The spread for this point on the Y PT Float curve SpreadOrRate The cre
8. rd readLine be pully d total BytesRead line length Output the first chunk o he response to a string i esponseText length lt 350 responseText line r n wr write line This wi probably not be the new line char used by the original ibut this shouldn t matter for comparisons with a diff tool wr newLine Wr ush fos close is close Output the response text if esponseText indexOf Database server is busy gt 0 return reportResponse DBBUSY j ise responseText indexOf Error logging in gt 0 return reportResponse LOGI NERROR else if responseText indexOf This report is currently building return report Response BUI LDI NG else i responseText indexOf You are not permissioned gt 0 return reportResponse NOPERMI SSION else System out printin Your report has been downloaded to fileName return reportResponse SUCCESS catch SocketTi meoutException e return reportResponse TI MEOUT l catch HttpException e e printStackTracet catch lOException e e printStackTrace finally method releaseConnecti on a reportResponse FAILURE report gt 0 n Here is an example Curl program for automating the download of bond composites Curl curl F user user version 5 F password password F date F type bond https www Markit com e i DNE i F forma Jsp gt Compos
9. Fatal Error in upload file line 198 char 1 Message The input ended before all started tags were ended Last tag started was import The lt header gt section specifies the system and file ID performing the feed which for our example looks like this lt header gt system Global system 80f 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark tt bg qe fileid date 20 Jun 2002 lt date gt lt header gt The lt system gt tag contains the name of the system that is feeding the Markit database and was agreed with Markit The system name is mandatory and case sensitive The lt fileid gt is set to 1 In actuality there may be several feeds from one system in which case this fileid would be set to the fileid for one of those feeds The lt date gt tag specifies the date for which the data applies This tag is mandatory and can be in one of the following formats dd Mmm yyyy e g 01 Jan 2006 or yyyymmdd e g 20060101 Default Swap Mark to Market Feed Now we come to the main part of the XML upload file the lt data gt element This element is where default swap and bond data is provided Please note that bid and ask prices and spreads can be provided by adding bid or ask to price and spread tags see example in the enhancements section below Without bid or ask appended you will be submitting
10. Telecommunications Utilities lt blank gt Blank entry indicates a cross industry rating only or IndustryName generic curve Char 50 Flags whether the curve is interpolated Y Interpolated interpolated N not interpolated Char 1 For cases where the report type Changes is used this shows the previous business day Note this is PrevDate only relevant for the older v5 report Date Senior unsecured rating Values are AAA AA A BBB BB B Rating CCC Char 3 Recovery The mean recovery rate of the constituent curves Float Spread6M The mean spread across the constituent entities for Float SpreadiY the given point on the curve Float Spread2Y Float Spread3Y Float Spread4Y Float Spread5Y Float Spread7Y Float Spread10Y Float Spread15Y Float 72 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Field Description Type Spread20Y Float Spread30Y Float 73 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Credit Index Report Columns Field Description Type Composite Price The top and tailed quartiles and then averaged Float 126 index price Composite Spread The top and t
11. XCompositePrice Description The composite price excluding your own Bond Bond Bond ype Composites Contributions DataQuality XCompositePriceAsk pread XCompositePriceBid XCompositeUsdParAswS excluding your own excluding your own asset swap spread excluding your own The composite ask price The composite bid price The composite dollar par Y Float 70 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Bond Theoretical Report Columns Field Description Type AvRating The average of the Moody s and S amp P ratings VarChar adjusted to the seniority of the instrument and rounded to not include the and levels CCY The currency for the bond VarChar Country The country of the reference entity VarChar Coupon The bond s coupon For FRNs the coupon is zero Float 0 Cusip The unique CUSIP for this bond VarChar Date The date for which the data was contributed Date ImpliedRating The Implied Ratings are calculated on a weekly basis VarChar by comparing the issuer s 5Y senior standard trading convention spread to the 5Y spreads of our sector curves and applying the rating of the logarithmically nearest rating curve specific to that sector Instrument The common instrument name for the bond VarChar Isin The unique ISIN
12. ent DYEXI STS DBBUSY BUILDING LOGI NERROR NOPERMI SSI ON host succeeded Report String ing password r SE version eport int String tring output type r Stri 5 5 NameVal uePair nvpuser NameValuePair nvppasswo NameValuePair nvpdate NameVal uePair nvpformat new NameVal uePair user user rd new NameValuePair password new NameVal uePair date date new NameVal uePai mat format password yyyymmdd format xm csv or tab NameValuePair nvpreport NameValuePair nvpfamily NameValuePair nvpversion NameValuePair nvpArray new NameVa nvptype nvpreport nvpfamily nvpver method setRequestBody nvpArray f there is no response from the method getParams setSoTi meout 60 Generate a unique filename based on String fileName type _ report ormat Add a output folder if if lou I loutput utpu 0 3 F t i r r NameValuePair nvptype r r r se slash to the put endsWith fe y s putFile new File output usCode clie executeMet hod usCode 200 uest succeded a ht hd m e aoe eR m MA A ream is method getResponseBo e response is actually a zip t ead the response body ing content TypeHeader con ae Tyballre Uer a tar tad is a zip true Stream zi he first tNextEntry he report entry tNext Entry T t h ge Ses od get ders S Disclaimer new ZiplnputSt
13. for an asset swap spread that has been adjusted to USD with a conversion factor and the basis swap position Optional The position as indicated by the letter L for a large position 5 000 000 or more the letter S for a small position or the letter F when although there is no position behind the price the price is a firm one When providing data expressed as a spread to a benchmark bond yield the convention used for US Corporates which are expressed as a spread to Treasury bonds there are three options Ts A spread over a specific benchmark bond which is provided in the lt benchspread gt tag add bid or ask to this tag name for bid and ask spreads along with the ID of the bond with the lt benchid gt tag The bond s yield is extracted from the Markit database which records changes in government bond yields in real time A spread over an interpolated benchmark curve in which case the spread of the corporate bond is provided in the interpbenchspread tag and Markit adds this data to their internally held benchmark government bond curve which is stored in real time in the database A spread over a bond where the bond s yield is supplied In this case the lt benchspread gt is used to provide the corporate bond s spread to the Treasury and the lt benchyield gt tag is used to provide the yield of the benchmark Note that you can add bid or ask to the tag names for specifying bid or ask quotes When publi
14. or Domestic Currency Sovereign Debt Government SNRFOR Senior Unsecured Debt Corporate Financial Foreign Currency Sovereign Debt Government SUBLT2 Subordinated or Lower Tier 2 Debt Banks Appendix H Table of Document Clauses Doc Clause Abbreviation CR MR MM XR Description Cum Restructuring or Old Restructuring Modified Restructuring Mod Mod Restructuring Introduced in June 2003 Ex Restructuring 78 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com
15. 0 95 e XR 0 935 e Japanese XR 0 75 The algorithm works by first adjusting all spreads to CR with the following formula CR Avgssum submitted spread ratio number of spreads This amount is then adjusted to the required documentation clause average by multiplying by the ratio e g MM Avg CR_ Avg 0 96 EntityTier Thin 3 or more contributions from anyone 2 contributions from anyone By entity and tier i e averaging across currency and documentation clause boundary By entity and tier 77 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Appendix G Table of Seniority Levels Seniority or Tier Abbreviation Description JRSUBUT2 Junior Subordinated or Upper Tier 2 Debt Banks LIEN1 First Lien Secured Debt with a First Lien on a pool of assets Introduced in August 2006 LIEN2 Second Lien Secured Debt with a Second Lien on a pool of assets Introduced in August 2006 LIEN3 Third Lien Secured Debt with a Third Lien on a pool of assets Introduced in August 2006 MEZZ Mezzanine Contractually or Structurally Subordinated Unsecured Debt falling between senior debt and equity Commonly used in leveraged buyouts or by middle market companies Introduced in August 2006 PREFT1 Preference Shares or Tier 1 Capital Banks SECDOM Secured Debt Corporate Financial
16. Mandatory Describes the type of restructuring events that trigger the default swap contract and takes the following values CR MR MM or XR See Appendix H Table of Document Clauses for a full explanation of each value Contains the details of the credit curve and the assumed recovery rate for the entity The following is a list of valid credit curve points lt spread6m gt spread1y lt spread2y gt lt spread3y gt lt spread4y gt lt spread5y gt lt spread7y gt lt spread10y gt lt spread15y gt lt spread20y gt lt spread30y gt A value of 0 0001 represents one basis point Each spread represents the on market rate for a transaction with a current start date T 1 and maturity date equal to the next quarterly roll date following the number of years specified e g on the 5th of May 2004 spread3y means the on market rate for a trade starting on the 6th of May 2004 and ending on the 20th of June 2007 Specifies the recovery rate for this credit and seniority A value of 0 5 represents 50 percent materialitycurve activitycurve Material Position means a then current inventory position of the contributor at the Submission Time which is either of a minimum size of US 20 000 000 or US 10 000 delta meaning sensitivity to a 1 basis point change in credit spread Note the minimum notional and delta is subject to change and any coding connected to this field should be amendable Active Instruments means for a
17. New York As with the daily composite reports the data is delivered in Zip format Parameter case sensitive Values case insensitive Description Same Day LCDS New York A report of LCDS updated for and available at NY market close 39 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Parameter case sensitive Values case insensitive Description Same Day LCDS London A report of LCDS updated for and available at London market close Same Day LCDS Europe A report of LCDS updated for and available at Europe market close A report of LCDS updated for and available at Tokyo market close Same Day LCDS Tokyo Type LCDS A download containing loan default swap data version 5 The latest available version of these reports Note Same Day LCDS Composite reports for all regions to include Legacy and Bullet Composites RED Entity and Obligation Credit Index Annex and Corporate Actions Reports The following parameters are for retrieving the RED Entity and Obligation full or unmapped and mapped versions reports as well as the Credit Index Annex and Corporate Actions reports Note that this report does not take a date parameter Parameter case sensitive Values Description report REDEntity A download of the entities in the RED database REDObligation A download of the obliga
18. Notes name Optional Char 100 A description of the instrument id Mandatory Used to The bond ID uniquely identify the bond The particular type of ID is specified with the type attribute which can be one of the following isin cusip common fonds sedol sicovam svm valoren wpk book Mandatory Char 10 The trading book from which this instrument price was taken snaptime HH MM ZONE The time at which the instrument price and Mandatory other market data was snapped ZONE can be one of LDN EUR NY TOKYO SINGAPORE HK Markit then adjusts the time to GMT taking into account daylight savings pricebid Mandatory 1 for 10096 The closing price for the instrument Note that bid offer or mid can be provided although the pice user must have filled in Bid Ask Adjustment priceask form for this to work with anything other than both bid and ask benchspreadbid Mandatory 1 for 100 The closing spread for the instrument Note bendh d that bid offer or mid can be provided enchsprea although the user must have filled in Bid Ask benchspreadask Adjustment form for this to work with anything other than both bid and ask benchid Mandatory Attribute type The ID of the relevant treasury bond takes following values isin cusip common fonds sedol sicovam svm valoren wok benchyield Optional 1 for 10096 The yield of the relevant treasury bond recorded at the above s
19. PriceBid The bid price Y Y PriceMid The mid price Y Y Prepay The prepayment rate Y Y PrepayType The prepayment rate type Y Y Quality The overall data quality flag P for Y passed and F for failed Region The region of the reference entity Y Y Y SnapTime The time of day London local time at Y Y which the bond price was snapped SpreadAsk The ask spread Y Y SpreadBid The bid spread Y Y SpreadMid The mid spread Y Y Ttest The outlier t test score for this point Y Sameday CDS Report Columns Field Description Type AvRating The average of the Moody s and S amp P ratings VarChar adjusted to the seniority of the instrument and rounded to not include the and levels 75 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Field Description Type Coy The ISO currency of the instrument VarChar Country The country of the reference entity VarChar DataRating A quantitative measure of the quality of Markit data VarChar Date The date for which the data was contributed Date DocClause The documentation clause VarChar ImpliedRating Calculated on a weekly basis by comparing the VarChar issuer s 5Y senior standard trading convention spread to the 5Y spreads of our sector curves and applying the rating of the logarit
20. are many applications for such a dataset including price testing front office research market risk valuations and collateral management Each contributor to Markit is committed on a daily basis to provide pricing data from all its books of record and feeds to automated trading systems as well as other sources of accurate pricing For a book of record system this means the daily closing price as recorded for that security or derivative in that system for automated trading systems it means the last price fed to that system by the trading desk Each contributor needs to build a feed to Markit to ensure that a comprehensive daily supply of this data is maintained The data items are outlined fully later in this document In summary the requirements are e Bonds Identifier CUSIP ISIN etc e Price e Timestamp e Position information optional e Default Swaps e Identifier entity code tier of debt currency and documentation clause e Default swap curve e Position information optional 5 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Overview of Steps to Build an XML Feed The steps involved in connecting a customer XML feed to Markit are as follows 1 2 Customer Details The Markit database is initialized with customer details Agreeing to the Scope and System Names The list of customer trading businesses and Syste
21. output is captured to a text file named markit log Some customers experience problems when transmitting large XML files because the connection over the Internet times out before the status report is returned It is possible to send the XML upload files in asynchronous mode This means that you do not have to wait for the status report instead a unique ID is immediately returned and this ID is then used by the customer to poll Markit s website for the status file 34 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com r k Markit Data XML Guide Version 10 3 7 As soon as the validation passes around 10 seconds after the file has uploaded a unique key is returned across the Internet e g 3837 The number is the upload report key The upload then proceeds normally After it is finished the normal report appears on the screen Once you have this number the upload report key you are free to stop the connection and come back for the upload report You can get the upload report in two ways e Go to www Markit com log in as an upload user click on the Report tab enter the upload report key into the input box and click submit The upload report displays in the web browser e Use the automatic report download mechanism e g curl F uploadReportKey 3837 F user xmlupload F password 98q34ts https www Markit com upload jsp Either of these methods returns the report as pure text Ag
22. the time tag The following is example XML for the default swap feed handling these items as shown in red lt xml version 1 0 gt import xmlns xsi httop www w3 0rg 2001 XMLSchema i nstance xsi noNamespaceSchemaLocat ionz http www markit com import xsd header system Gl obal system filei d 1 lt fileid gt lt date gt 20 Jan 2005 date header data lt Bid ask curves provided with bidcurve and askcurve tags gt lt Curves contain an upfront element on the three year e 14 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark The time tag used to indicate an intra day curve e credswap lt l cr lt l lt lt cr lt entity gt lt entityname gt lt tier gt lt baseccy gt lt doccl ause gt lt cancellability gt Markit Data XML Guide Version 10 3 7 3250083 lt entity gt ALLIED WASTE INDUSTRIES lt entityname gt LIEN tier USD lt baseccy gt XR lt doccl ause gt Y lt cancellability gt ti me 17 00 LDN ti me bi dcurve lt spread3y gt 05 22 lt spread3y gt spread5y 0 19 lt spreadsy gt spread7y 0 15 lt spread7y gt lt recovery gt 0 7 recovery lt bi dcurve askcurve lt spread3y gt 0 27 lt spread3y gt spread5y 0 14 lt spreadsy gt lt spread7y gt 0 20 lt spread7y gt lt recovery gt 0 7 recove
23. to GMT inclusive of daylight savings changes The closing bid price for the convertible bond Note bid and offer must be provided This has a type attribute that specifies how the price is being quoted either type par to indicate that the price is expressed as a percent of par or type unit to indicate that the price is expressed in terms of a unit of equity The closing ask price for the convertible bond Note bid and offer must be provided The equity mid price at the time the convertible bond price was provided This amount is expressed in local currency For sterling it is expressed in pounds and pence The equity implied volatility equitydelta creditspread 0 1 for 1096 0 0001 for 1bp Number The sensitivity of the convertible bond to changes in the underlying equity price This value has a type attribute to specify how the delta is being quoted which can take the following values unit to indicate that the delta is expressed as change in bond price one unit Dollar Euro Sterling etc This is the default quoting type if the type is not specified percent to indicate that the delta is expressed as a percentage change in price of the bond percentage change in equity price parity to indicate that the delta is expressed as the price change in the bond divided by change in stock price conversion ratio The pure credit spread for the convertible bond s cashflows From th
24. used in the CURL script is incorrect Report is not available for this date There is no report available for the date being specified Could not validate date The date format being used is incorrect Unknown report arguments The report arguments being specified are either in an incorrect format or do not exist Error generating version X report Unable to perform download Batch is currently running The version being specified does not exist for the report being requested The overnight batch is currently running and therefore the report is currently not available Database server is busy Please try again later The server is currently too busy to process the request Wait a few minutes and try again This report is currently building please try again in a few minutes The report has been requested for a second time before the first request has been completed You are not permissioned to see CDS Please contact Markit There is no report name being specified in the CURL script You are not permissioned to see composites Please contact Markit The username password combination being used in the CURL script is incorrect You are not permissioned to see XXX Sameday data If you would like to be permissioned for Markit Sameday data please contact info markit com You are not permissioned to see the Sameday data being requested XXX data has not ye
25. x www form url encoded f you need to tell VB about your proxy server you should change Server XMLHTTP above to ServerXMLHTTP 4 0 or 5 0 depending on your version of MSXML and add doc setProxy 2 proxy bank com 8080 change me doc setProxyCredentials username password change me Turn off SSL cert checking with this doc setOption 2 doc getOption 2 SXH SERVER CERT IGNORE ALL SERVER ERRORS Have we reached the end of the Report List on the Main sheet If Range Report_List Offset i Then Exit For Start timing ti metaken Now The type parameter specifies either bond or cds instrument type S user amp username _ amp passwordz amp password _ versionz amp 5 _ amp datez amp Format Range Date yyyymmdd amp format amp csv amp reportz amp Range Report_List Of fset i amp typez amp Range Instrument Type QQ nm gp mm ppm 45 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Shel True For Next Send the request to t doc send s Create or find a shee as that for report Each w In Worksheets If w Name If w Is Nothing Then Else Set w w Name w Activate End If Handle the response he Marki t websi oring t Range Report_List 0 Sheets Add after Sheets S Range Report_List Offset i Markit Data XML
26. Appendix C Unzipping a Download File in Visual Basic eene 57 Appendix D Obtaining the Time Zone recie eiteein inen rincon anac rasan ra itcus vocan rasan ma simaa acu 58 Appendix E Report Column XML Tag Definitions ecce nnnnnnnnnnt 59 GDS Report GColU imri i terrd rer ice eed er aee reae a ea tdeo dude E ENNET 59 CDS Theoretical Report Columns sesseeesseeseeeeeeneennnnee eene nre nere nen rennen tenen enne 65 LEDS Report Columrs 5 enite ciun nette mete Pei als Pepe bine To ende ee s alanis Egan ai aa eai Ei 66 Bond Report Gol mns iced etie beer ned ies aen eet ete aste bun idetx a aiatbet d are a 67 Bond Theoretical Report Columns esses eene nnne entente neret enne 71 Sector Report CoOlUrmris eie ee ET ted nocuit eade dieu sineret tdt e eee eut xi ade mde 71 Credit Index Report Columns eee esee enne enne nnne emen nenre mener nennen 74 Credit Index Annex Report Columns ccccececceceeeeeeceeeeeeneeeeeeeeaeeeeeenaeeeeeseseaeeeeeeaeeeteeseceeesseneeeeeees 74 ABS Report Columns E 74 Sameday CDS Report Columns crasso enne nennen nenne nennen nnne nennen ennt 75 Appendix F Table of Composite Fallback Levels eere nnne nnne 77 Appendix G Table of Seniority Levels cesse
27. Composites Reports The following parameters are for retrieving a download of loan credit index composite prices Parameter case sensitive Values case insensitive Description report COMPOSITES A download of the credit index composite and theoretical price and spreads Theoretical prices and spreads are dependant on permissioning family LEVX The index family to retrieve LCDX type Loancredindex Specifies that this is a loan credit index report version 4 The latest available version of these reports RED Loans Reports The following parameters are for retrieving a download of RED Loans report as well as the Loan Credit Indices Annexes reports Note that these reports do not require a data parameter Parameter case sensitive Values Description report redloanssl A download of the of the entities and related obligations in the RED LCDS North American Service redloanseurope A download of the of the entities and related obligations in the RED LCDS European Service LOANSINDEXANNEX A download of the LCDX and LevX Loan Credit Index Annexes family LCDX The index family to retrieve for iTraxx LevX LOANSINDEXANNEX report values only version 6 The latest available version of these reports 42 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Entity Mapping Report Th
28. Guide Version 10 3 7 he downloaded report fset i Then Exit For heets Count with the same name If Left doc getResponseHeader Content Type 17 application x zip Then A ZIP file amp Range WinZlP Save version 5 zip file to a directory requires WinZip or similar utility to be installed On Error Resume Next direc c VtemplMarkit MkDir direc On Error GoTo 0 direc direc amp d amp Year Now Mont h Now Day Now Hour Now MkDir direc DiminputFile As Byte inputFile doc responseBody ilenumber FreeFile m bodyl As Byte Dim body2 As Byte bodyl doc responseBody ReDim body2 UBound body1 body2 bodyl Open direc amp file zip Put filenumber 1 Close filenumber Set doc Nothing Use winzip to unzip it Shel EXE e extract 0 overwrite se For inputFile c program filesiwi nzi pi wi nzi p32 exe e amp direc eee o mh amp 100000000002 _ 100000000 _ 1000000 _ 10000 Minute Now p direc amp file zip 46 of 78 100 Second Now Binary Access Write As filenumber amp direc amp ae Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com amp direc amp Afile zip vbHi de mark Give winzip time to do its stuff Application Wait Open unzipped file in a new workbook myfile Dir direc amp Do While myfile lt gt
29. Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Appendix D Obtaining the Time Zone In UNIX it is possible to construct the time tag in the correct format with the time zone with the date command using this format date H M Z In Windows with Visual Basic use the following example code to provide the time zone which builds the lt time gt tag in the correct format Private Type SYSTEMTI ME wYear As Integer wMonth As Integer wDayOf Week As Integer wDay As Integer wHour As Integer wMi nute As Integer wSecond As Integer wMilliseconds As Integer End Type Private Type TIME_ZONE_ Bias As Long StandardName 0 To 63 StandardDate As SYSTE StandardBias As Long DaylightName 0 To 63 DaylightDate As SYSTE FORMATI ON As Byte TI ME As Byte TI ME DaylightBias As Long End Type Private Declare Function GetTi meZonel nformation _ Lib kernel 32 IpTi meZonel nformation As _ TIME ZONE I NFORMATI ON As Long Function ti mezone Dim tz As TIME ZONE INFORMATI ON Select Case GetTi meZonel nf or mati on tz Case 1 timezone GMT Case 2 timezone BST Case Else timezone UNKNOWN End Select End Function 58 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Appendix E Report Column XML Tag Definitions This section provides a detailed d
30. Sector This information is also found on the download tab on the website and is available in csv xml and tab Parameter case sensitive Values case insensitive Description report composites This report displays composite pricing for structured finance indices type convert Structured finance index version 4 Latest available version of this report For sample code to retrieve this report see the Curl section 43 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Automated Retrieval Samples Excel Visual Basic Here is an example Visual Basic program for automating the download which was developed and tested in MS Excel 2000 Please note that the following must be selected on the References dialog box under the Tools gt References menu in the VBA editor e OLE Automation to connect to the website over the Internet e Microsoft Forms 2 0 object library to hold data in the clipboard e Microsoft XML version gt 5 The example code works alongside a sheet that has the Date Instrument_Type WinZip and Report List C4 C9 named ranges defined as in the following example screen i MarkitReportsDownloader xls Complete Report List IG CONTRIBUTIONS SUB IG CONTRIBUTIONS COMPOSITES BY CONVENTION Note that the following must be enabled on the References dialog box
31. a 3250083 lt entity gt ALLIED WASTE INDUSTRIES lt entityname gt LIENI lt tier gt USD lt baseccy gt XR docclause Y lt cancellability gt 0 800 0 860 0 900 0 7 lt spread3y gt spread5y spreadl0y gt recovery gt Ford lt entity gt Ford Motor Company lt entityname gt LIEN tier USD lt baseccy gt XR docclause Y lt cancellability gt 090 lt spread3y gt 115 spread5y 145 spread10y l l 7 lt recovery gt The following table describes in detail the tags for the above XML 13 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Tag Comments credswap Specifies that a default swap curve is being supplied entity Contains the customer s code for identifying the reference entity and is mandatory entityname Optional and is used to supply a longer description up to 70 characters for the reference entity This is useful if the customer entity codes are not mnemonic The name provided will appear on the Markit Entity mapping Screen tier Mandatory Must be one of e g LIEN1 LIEN2 LIEN3 See Appendix G Table of Seniority Levels for a full list and explanation of each value baseccy Used to specify the ISO currency code in which the default swap curve is quoted in this case USD docclause Mandatory Describes the type of restructuring e
32. ailed quartiles and then averaged Float 126 index spread Date The date of pricing information Date Depth The number of good contributions used to calculate Number 3 the composite for this instrument Heat The heat calculated as today s absolute change in Float 126 spread divided by the absolute average daily change over the month excluding today s change Index ID The Markit index ID Varchar2 100 Maturity The index maturity date Date Model Price The theoretical price based on components Float 126 Model Spread The theoretical spread based on components Float 126 Name The index name Char 100 On The Run Y N flag to indicate if this is the latest series and Char 1 version of the index RED Code The RED Code of the index Varchar2 9 Series The index series number Number Term The index period Varchar2 4 Version The index version number Number Credit Index Annex Report Columns Please refer to XML Technical Documentation for Markit RED for details of the Credit Index Annex Report You may also request the XSD for this report from Markit see the Contact Us section52 of this guide ABS Report Columns Field Description ABS ABS ABS CompositeContributionsData Quality Avlife The average life of the instrument Y Y Y before prepayment AvRating The average of the Moody s and S amp P Y Y Y ratings adjusted to the seniority of the instrument and rounded to not include the and leve
33. ain any language can be used just HTTP POST the uploadReportKey to https www Markit com export jsp with your username and password Please note that it is important that the URL argument begins with https not http Now let s take a look at how we can automate the process with various programming languages Java Example Here is example Java code that connects to the Markit website and transmits your XML file Java import java net import java io import HTTPClient from http www innovation ch j ava HTTPCli ent Provides HTTPClient NVPair and HTTPClient Codecs public class MarkitUploader public MarkitUploader String host String user String password String theFile hrows Exception String thisLine URL url new URL host java net HttpURLConnection con java net HttpURLConnection url openConnection con setRequestMethod POST con setDoOut pu rue VPair formArgs new NVPair user user new NVPair password password new NVPair asynch Y VPair fileArgs new NVPair theFile theFile will be replaced with Content Type etc VPair httpHeaders new NVPair dummy dummy byte data Codecs mpFormDataEncode formArgs fileArgs httpHeaders f you need to specify a proxy set the system property as follows II System setProperty https proxyHost proxy bank com I System setProperty http
34. ask side curve upfront For specifying the upfront payment in a high yield credit The data is provided as a decimal number i e 0 0001 represents one basis point maturity For specifying a fixed maturity date for a trade Provided in yyyy mm dd format term For specifying a number of integer years or integer months to maturity upfront For specifying any upfront payment in the trade expressed as a percentage of notional This can appear with the spread tag The data is provided as a decimal number i e 0 0001 represents one basis point spread For specifying the spread at which the trade was transacted This can appear with the upfront tag The data is provided as a decimal number i e 0 0001 represents one basis point size The size and direction of the trade or an indication of the size of the trade To indicate the trade size use S for Small less than 5 000 000 notional M for Medium 5 000 000 to 10 000 000 notional or L for Large 10 000 000 or greater Otherwise provide the size and direction of the trade in currency i e 1000000 for a one million dollar default swap sell Cash Bond Feed We now come to the bond A bond is denoted with the bond tag There are several examples the first example is delivered with a bond price bid offer or mid examples provided the second example with a local currency asset swap spread and the remaining examples describe how to submit data expressed as a spread to a b
35. assword F format csv F type lcds F report BULLET COMPOSITES F version 6 F date 20070109 FdoNotGzip true https www markit com export jsp gt lcds zip To download the LCDS reports through the download api use exactly the same parameters as the CDS composites report except change the type to LCDS from CDS 51 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Additional Resources This section provides information about how to contact Markit for more information or support and how to obtain online help gt NOTE Access the companion guide to this guide the Markit com User Guide on the Markit com website under Help or contact your sales representative to request copies See the following two sections Contact Us and Online Help for details Contact Us For questions not answered in this guide please contact the Markit Client Relations e support markit com e Phone Region Telephone Europe 800 6275 4800 America 1 877 762 7548 Asia 65 6499 0079 Japan 81 3 6402 0127 For information about Markit s other services please contact a Markit sales representative by e email at sales markit com or e For full contact information click here Online Help Help is available online when you click the Help link in the Markit com header as shown below On the Help page you can access
36. ata XML Guide Version 10 3 7 The following table describes the tags in detail Tag Comments bond Specifies that the following data applies to a Bond bondname Optional Used to provide better error messages in the event that there is a problem during upload for example if the bond details are not in the Markit database bondid Mandatory Used to uniquely identify the bond The particular type of ID is specified with the type attribute which can be one of the following isin cusip common fonds sedol sicovam svm n o valoren wpk book Mandatory and describes the trading book or desk from which the price was Sourced bondprice Contains the information required for specifying a bond price and the time at which the bond price was recorded time 24 hour HH MM TMZ where TMZ is LDN EUR NY TOKYO SINGAPORE SYDNEY or HK Markit performs any time zone adjustment to GMT price The bond s clean price in decimal i e 0 9 for 90 percent Negatives and zero are not permitted pricebid The bond s clean Bid price in decimal i e 0 9 for 90 percent Negatives and zero are not permitted priceask The bond s clean Ask price in decimal i e 0 9 for 90 percent Negatives and zero are not permitted spread Describes the price as aspread The type of spread is described with an attribute localpar for an asset swap spread denominated in the currency of the bond or usdpar
37. ce described e The maximum file size is 2MB If this file size is exceeded you will receive the following error message Cannot find file Check the file exists and does not exceed 2MB in size The solution to this problem is to split the file among several file ids e There are reserved symbols in XML The ampersand character becomes amp amp the apostrophe becomes amp apos the double quote becomes amp quot the less than sign becomes amp lt and the greater than sign becomes amp gt See www w3 org for a description of the XML standard A useful trick for testing the correctness of the XML file is to load it into the Internet Explorer browser Netscape does not interpret XML files Alternatively please validate the XML against the import xsd schema found at www markit com import xsd in advance this will also catch missing element errors In some cases upon upload following error might be displayed on the screen Invalid byte 1 of 1 byte UTF 8 sequence cp usr java jdk lib tools jar usr share tomcatb5 bin bootstrap jar usr share tomcatb bin commons logging api jar usr share tomcatb common lib jsk platform jar usr share tomcat5 common lib jsk resources jar If you get an error as above please check for the following in your XML file in order as listed e There are no smart quotes curly double quotes or trademark symbol copy pasted from word e There is no space at the start of the file e The file is encode
38. d in utf 8 or 7 bit ASCII character codes In the following examples the XML file is laid out in a way that makes it easy to read with extra whitespace in between the elements and the data This is purely for display purposes please remove that whitespace in any files you send Carriage returns and tabs outside of elements are completely ignored and can be removed or left in The first line of the XML file should look like this lt xml version 1 0 gt This is standard XML syntax it says the file will contain XML and that the XML used is version 1 0 See www W3 org for more details The second line of the XML file should look like this note that the code is case sensitive i mport xml ns xsi http www w3 org 2001 XMLSchema instance xsi noNamespaceSchemaLocation http www Markit com import xsd gt This specifies the schema file used for checking the syntax of the submitted XML file If Markit upgrade to a new schema file customers will be able to convert to the new one by amending this line when they are ready See the error messages section for a description of errors when this line is entered incorrectly The lt import gt section contains header information within the lt header gt element followed by the bond and default swap data in the lt data gt element Remember that the last line of the XML file will be the closing lt import gt tag If this is missing you will get the error message CRITICAL ERROR
39. dit spread or recovery Y Float rate StaleDays The number of days for which Y Int this spread has not changed Standard Curve Indicates via Y or N whether it is Y a default curve i e default currency and doc clause combination StdDev Standard deviation of all Y contributions that are considered for the outlier test calculated for par values Blank for recoveries Ticker The ticker for the reference Y RA um Li entity Co mo Tier The seniority of the instrument ad See table of seniority levels Ttest The outlier t test score for this Float point Type The type of the instrument Char Used to indicate whether this is 20 a recovery or a default swap Upfront The upfront equivalent of the contributed level Upfrontem The upfront value for the Y Y Float Uptrontiy corresponding tenor Y Y uii Upfront2y Y Y i Upfront3y Y Y Float Upfront4y Y Y Float 64 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Upfront15y Upfront20y Upfront30y vo A e o p e Y Float Y LP v 1 d Ld CDS Theoretical Report Columns Field Description Type AvRating The average of the Moody s and S amp P ratings VarChar adjusted to the seniority of the instrument and rounded to not include the and levels Coeff1 Coefficient used in a given model to generate this Float cu
40. e or spread tags which each take a type attribute Fatal Error in upload file line 7 char 3 This error occurs when an XML tag hasa Message Expected an element name space between the opening or closing bracket and the tag name at the line specified in the error message Error in upload file line 9 char 153 An unknown tag was found within the XML file Message Unknown element position T que at the line specified in the error message In this case the position tag was spelled incorrectly Fatal Error in upload file line 198 char j j ieci j ified j L Moston The wel ended beore ail A closing tag is missing at the line specified in started tags were ended Last tag started the error message In this case the final was import lt import gt tag that appears at the end of the XML file is missing Fatal Error in upload file line 2 char 62 The URL for Markit was not correctly specified Message An exception occurred Type NetAccessorException Message The in the DOCTYPE tag at the top of the XML file host address 0 could not be resolved It is important that this line reads scanFirst failed IDOCTYPE import SYSTEM http www mark it com import dtd gt Fatal Error in upload file line 10 char i i 31 Message Expect ed end of tag entity A tag was opened but B corresponding closing tag was not found in this case the closing entity tag lt entity gt was not found on line 10 o
41. e at the 2y tenor ParSpread3y The Par Spread equivalent of the contributed value at the 3y tenor ParSpread4y The Par Spread equivalent of the contributed value at the 4y tenor ParSpread5y The Par Spread equivalent of the contributed value at the 5y tenor ParSpread7y The Par Spread equivalent of the contributed value at the 7y tenor ParSpread1 Oy The Par Spread equivalent of the contributed value at the 10y tenor ParSpread15y The Par Spread equivalent of the contributed value at the 15y tenor ParSpread20y The Par Spread equivalent of the contributed value at the 20y tenor ParSpread30y The Par Spread equivalent of the contributed value at the 30y tenor ParSpreadXcomposi The composite par spread e without your contribution being used in the calculation PointRating A quantitative measure of the Var quality of our CDS data at this char2 point 62 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 Primary Coupon The coupon used when converting Par Spreads to Upfronts in the data cleaning process Quality The overall data quality flag Y Char P for passed and F for failed 1 Rating6M A quantitative measure of the Y Var quality of our data for a 6M char2 CDS Rating1Y A quantitative measure of the Y Var quality of our data for a 1Y char2 CDS Rating2Y A quantitative measure of the Var quality of our data for a 2Y char2 CDS
42. e following parameters are for retrieving a download of the entity mappings screen Note this report does not take a date parameter Parameter case sensitive Values case insensitive Description report mappings A download of the entity mappings screen version 2 The latest available version of this report Structured Finance Index Components Reports Parameter case sensitive Values case insensitive Description report sfxcomponents This report displays the components or constituent names of structured finance indices family ABX HE Home equity and commercial mortgage CMBX backed families are available type abscredidx Structured finance index version The latest available version of this report For sample code to retrieve this report see the Curl section Structured Finance Index Composites Reports Parameter case sensitive Values case insensitive Description report xcomposites This report displays composite pricing for structured finance indices family ABX HE Home equity and commercial mortgage CMBX backed families are available type abscredidx Structured finance index version Latest available version of this report For sample code to retrieve this report see the Curl section Convertibles Composites Reports The Convertible API includes the following fields ISIN Bid Offer Equity Price Delta Depth Tier Rating Currency Region and
43. e website in one of three formats CSV This format is useful for loading directly into Excel but the files are difficult to parse with a computer program because the data may contain commas and double quotes which are used as separators Tab Delimited This file format is very easy to parse by a program because none of the data contains tabs so this character can be safely used as a delimiter XML This format is designed for reading with a SAX parser which makes the handling of data very straightforward A SAX parser is also able to cope with structural changes to the XML very easily The tables below describe which parameters you must pass in from your program to retrieve a particular report All Reports The following parameters are required for all reports Parameter case sensitive Values Description user The user s username password The user s password date In yyyymmdd format The date of the download file to be retrieved This is not required for the RED and Mapping reports format csv Download in csv format tab Download in Tab delimited format xml Download in XML format 37 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com a k Markit Data XML Guide Version 10 3 7 Daily Contributor and Composite Reports The following parameters are for retrieving the daily contributor and composite reports that correspond to the reports on the Download sc
44. ead size The size and direction of the trade or an indication of the size of the trade To indicate the trade size use S for Small less than 5 000 000 notional M for Medium 5 000 000 to 10 000 000 notional or L for Large 10 000 000 or greater Otherwise provide the size and direction of the trade in currency i e 1000000 for a one million dollar default swap sell 23 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Tag Comments attach The index tranche attachment point detach The index tranche detachment point correlationbid The implied correlation for the bid price spread of an index tranche correlationask The implied correlation for the ask price spread of an index tranche Asset Backed Securities ABS Feed Import The ABS feed provides for an asset backed security s price spread and average life to be provided to Markit Instrument spreads expressed as Discount Margins or Asset Swap spreads can be relative to a treasury as with UK asset backed securities or a swap curve Where the instrument spread is relative to a specific treasury this information should be recorded too In the following sample code the first abs shows an instrument spread to swaps while the second abs shows an instrument spread to treasury lt xml versionz 1 0 lt i mport xmlns xsi z http w
45. eating a User with the Ability to Upload To create a user who is able to upload an XML file to Markit you must first log into www Markit com as the administrator using the login and password provided by Markit After agreeing to our Terms and Conditions a screen similar to the example below displays User Admin Home Welcome to the User Administration screen for creating and deleting users and resetting passwords You will need to create a user on this screen and log in as that user before you can access the data on the website If you have any questions please contact support markit com Users Username Real Name Department nmeglothin Nikia McGlothin Back Office a ocasey Otis Casey Trading pweimer Phil Weimer Trading reirrintano Robin Cirrintano Trading shawn1 Shawn Haugen Trading skirschbaum Scott Kirschbaum Trading tprice Tom Price Trading trialuser trial Trading vb artoszewicz Victoria Bartoszewicz Trading wahmad Waqas Ahmad Trading xmifeed XML 2 Core Upload Click heading to sort Click the Add button to create a new user To create a user that is able to perform an XML upload set the user s department to Upload The password for Upload users does not expire In addition we allow this user to maintain and edit the credit default swap entity mappings if you select the Can edit mappings check box In actuality this function is typically assigned to another user but for the purposes of this
46. enchmark yield lt xml version 1 0 gt lt i mport xmlns xsi z http www w3 0rg 2001 XMLSchema i nstance xsi noNamespaceSchemaLocat ionz http www Markit com i mport xsd header system Gl obal system fileid fileid date 20 Jun 2004 date header data lt Data expressed as a Bid Offer cash price gt bond bondname RATP 5 75 25 OCT 10 bondname bondid type isin gt FRO000482721 lt bondi d lt book gt Finvision lt book gt snapti me 16 30 LDN snapti me pricebi d 102153762 pricebi d priceask 1 02291526 priceask position L lt position gt 16 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark lt bond lt l lt bond gt lt bondname gt bondid type cusip gt lt book gt lt bondprice gt ti me price type cash gt lt bondprice gt Markit Data XML Guide Version 10 3 7 Data expressed as a mid cash price gt GLOPAR 10 625 05Dec08 bondname 37957TAD lt bondi d FYEUR lt book gt 17 00 lt time gt 0 875 lt price gt lt position gt L lt position gt bond Asset bond lt bondname gt lt bondid type cusip gt lt book gt lt bondprice gt ti me lt l swap spread gt PACLIF 5 5 28May09 lt bondname gt TT9379837 lt bondi d gt AEUE lt book gt 17 00 GMT ti
47. escription of the column definitions for the Markit download reports CDS Report Columns The following table describes the columns for the CDS reports Field Description CDS CDS CDS Composit Contribution Data e Quality Assumed Recovery The recovery level used to convert the Upfront value to a Conventional spread AvRating The average of Moody s and Y S amp P ratings adjusted to instrument s seniority and rounded to not include and levels Buildable A Y N flag to indicate whether a contributed curve is buildable CarryFwd Indicates the number of days a contribution has been carried forward A price is carried forward by adjusting for the average change in all good points from one day to the next CarryFwd5y See CarryFwd Ccy The currency of the instrument Y CleaningPriceType The price type used for the data cleaning process CompositeDepth The composite depth for the corresponding entity tier maturity doc clasue and currency combination CompositeDepth5 The number of distinct Y y contributors at the composite fallback level CompositeLevel6 The fallback level of the Y m composite calculation CompositeLevelly Can be one of CcyGrp DocAdj Y EntityTier or Thin CompositeLevel2y See table of Composite Y Fallback Levels below CompositeLevel3y Y CompositeLevel4y Y CompositeLevel5y Y 59 of 78 Confidential Copyright 2010 Markit Group Limited A
48. example we provide both abilities to the same user Below is an example of the Create User screen Click the Submit button to create this user Username xmlupload Realname XML Upload Password 7 Re enter Password Department Upload Can edit mappings M Can run java applets M Timezone global zl ET EET 28 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Uploading an XML File via the Web Log off as the administrator click Log off on the top right of the screen and log in as the user created in the previous example The Upload screen displays as in the following example screen Upload Mappings Upload Report pE a Upload File Upload Enter your file to upload C Documents and Set Browse Uy Go straight to the results C Give me a key so I can look up the results later This screen is used to manually transmit an XML file to the Markit com website This process can be automated later but during development this screen is useful for quickly validating your XML file Type the name of the XML file you want to upload in the Enter your file to upload input box or click the Browse button and select the file The system processes your information immediately when you click the Upload button You can either view the results of the upload immediately by selectin
49. f the XML file Unknown bond description LAND BRANDENBURG A customer has transmitted a price to Markit for 04 24 2009 5 25 and isin DE0001076388 a bond that was not found in the Markit database This error message is improved with a bond description if the lt bondname gt XML tag is supplied with a bond name Entity BNROMA is within a hierarchy The The customer entity code was found in the curve will not be inserted until the mapping is confirmed Markit database however it must be mapped on the Markit Entity screen before it is uploaded into the Markit database Entity CRDSUI has a match in data element The customer entity code was found in the 255 The curve will not be inserted until the mapping is confirmed Markit database however it must be mapped on the Markit Entity screen before it is uploaded into the Markit database 53 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Error Message Description Entity GGX flagged as de merged Ignoring data element 19 Entity RKCC flagged as bankrupt Ignoring data element 2 This customer entity code is mapped to a Markit code that has been de merged and Markit have updated their database to reflect this This entity will be flagged as De Merged in the Status column of the Markit Entity screen and must be re mapped This cust
50. for this bond VarChar Maturity The final maturity date for the bond Date Model The model used to calculate this theoretical This will VarChar always be CDSImplied ModelCDSSpread The spread from the theoretical calculation Float ModelPrice The price from the theoretical calculation Float Region The region of the reference entity VarChar Sector The industry sector of the reference entity VarChar ShortName The abbreviated short name for the reference entity VarChar Ticker The ticker of the bond issuer VarChar Tier The tier or seniority of the bond VarChar Sector Report Columns Field Description Type Indicates the type of data contained within a report dependent on the Type and Report chosen Values are Sector when Type Levels and Report Par is chosen sectorZero when Type Levels and Report Zero is chosen Note that the value will be common to all entries Type within a given report Char 12 71 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com k Markit Data XML Guide Version 10 3 7 Field Description Type Date The date of the sector curve Date The ICB industry classification Note as ICB does not research sovereign entities Markit uses an additional classification of Government Values are Basic Materials Consumer Goods Consumer Services Financials Government Health Care Industrials Oil amp Gas Technology
51. g the Go straight to the results option useful when developing or you can retrieve the results asynchronously with a unique key provided by the system if you choose the Give me a key so can look up the results later option Use this option when automating large feeds since the network connection may time out before the upload has finished See the asynchzY option in the section Automating XML File Transmission to Markit For this example we choose Go straight to the results Having specified the XML filename and transmitted it to the Markit database with the Upload button the data is validated and inserted into the Markit database This process may take a few minutes Any errors that occurred during the upload are displayed on the screen as in the following example File passed XML validation Started parse on THU SEP 19 18 59 49 2002 Data is being uploaded for 19 SEP 2002 ERROR ENTITY Entity AOL has a match within a hierarchy near line 28 The curve will not be inserted until the mapping ie confirmed ERROR ENTITY Unable to find match for entity TYCO near line 84 ERROR ENTITY Unable to find match for entity BARIC near line 176 ERROR IMPORT ORA 20000 BondMtmi No such instrument RAIT P 7 375 18Hov22 CUSIP TT3354201 for book Demo near line 95 ERROR IMPORT ORA 20000 BondMtz Ho such instrument CUSIP 3133MJH60 for book Demo near line 105 Completed parse on THU SEP 19 19 00 29 2002 STATISTICS
52. given contribution date instruments flagged by the contributor as those in which they have traded on that date a minimum volume of either 20 000 000 notional or 10 000 delta meaning sensitivity to a 1 basis point change in credit spread Note the minimum 10 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Tag Comments notional and delta is subject to change and any coding connected to this field should be amendable Default Swap Feed Enhancements for Bid Ask Quotes amp Trades The default swap feed is enhanced to handle e Bid and Ask default swap curves e Intra day default swap data with the introduction of the time tag e Default swap trade and quote data The following is example XML for the default swap feed handling these items as shown in red lt xml version 1 0 gt import xmlns xsiz http www w3 0rg 2001 XMLSchema i nstance xsi noNamespaceSchemaLocat ionz http www markit com import xsd gt header system Gl obal system fileid 1 lt ifileid gt lt date gt 20 Jan 2005 date lt header data lt Bid ask curves provided with bidcurve and askcurve tags gt lt The ti me tag used to indicate an intra day curve e credswap entity typez RED 748924 entity lt entityname gt AK Corp lt entityname gt lt tier gt SNRFOR
53. gt 5 lt delta gt lt The price of the index is also provided gt credi ndex ti me 17 00 NY ti me upfront 0 4 upfront spread 0 05 spread credi ndex close lt An intra day quote expressed as a running spread gt lt and an upfront gt lt quote gt ti me 14 08 NY ti me upfront 0 45 lt upfront gt lt spreadbid gt 0 05 lt spreadbid gt lt spreadask gt 0 07 spreadask correlationbid 0 275 correlationbi d lt correlationask gt 0 29 correlationask delta 1 delta lt The price of the index is also provided gt credi ndex ti me 14 08 NY ti me upfront 0 4 upfront spread 0 05 spread credi ndex quote lt A trade expressed as a spread trade t i me 14 08 NY ti me spread 0 067 lt spread gt delta 1 delta credi ndex ti me 14 08 NY ti me upfront 0 4 upfront spread 0 05 lt spread gt credi ndex size 10000000 size trade lt A trade expressed as a price or upfront gt 22 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 trade ti me 14 08 NY ti me upfront 0 30 upfront spread 0 067 lt spread gt lt delta gt l lt delta gt lt credindex gt ti me 14 08 NY ti me upfront 0 4 lt u
54. h The following screen displays 32 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Finding mapping for 101COM Search for barrick Search Searc Ticker Name Map Tree Main Screen Click heading to sort mark This screen allows us to search the Markit database by long name Enter barrick you can use all upper or all lower or mixed case letters i e the search is case insensitive into the Search for field and press Enter or click the Search button If you know it you can enter a Markit Entity code and the system will search for an exact match or you can enter any criteria and the system will search for Markit long names that contain the search criteria you entered The screen displays a list of the tickers that match your search as shown in the example below Select the ticker you want and click the Map button to map the customer code to the Markit code Finding mapping for 101COM Search for Barrick Search Search ABX Barrick Gold Corp ABX Finlnc Barrick Gold Fin Inc Map Tree Main Screen Click heading to sort mark 33 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Automating XML File Transmission to Markit After you have successfully manually transmitted data to the Markit database t
55. he final step is to automate the process To automate file transmission it must be possible to perform the transmission from the command line without the need to access the web front end The following are the latest times for when data should be submitted Default Swap and Recovery Rate data 1 00AM GMT time Loan Default Swap and Recovery Rate data 1 00AM GMT time Bond data 2 30AM GMT time Convertible Bond data 1 00AM GMT time Note these times are adjusted during daylight savings time Friday night s data should be submitted on Friday evening or Saturday morning since the weekend can be used for upgrades to the website Our processing of this data completes at approximately 7 00AM UK time the following morning Once you are automatically transmitting data to Markit com the status report at the end of the upload can be directed to a file and emailed internally to the relevant group of people managing the data FTP File Transfer Protocol is a common solution for automating file transmission However programming languages that are capable of communicating over the secure https port for example Visual Basic Java and Perl and a package called curl are preferable to FTP for the following reasons e Acomputer program communicating over https uses the authentication and authorization rules that are built into the web front end e Acomputer program communicating over https can take advantage of SSL encryption e T
56. he web page can respond immediately to a computer program and send back an error report which is not possible with FTP e There is no obvious standard secure FTP package that works across operating systems e FTP is not secure since the login password and data are transmitted in clear text across the network The FTP server is also vulnerable to hacking Curl Example Let s look at the curl package first Curl is available as source code or as a binary from the following websites http curl sourceforge net download html http curl haxx se download html The first step is to download the curl program and the OpenSSL packages that enable curl to transmit information securely with SSL appropriate for your computer from one of these websites Once the curl program has been successfully installed along with the SSL library you can automate the process of transmitting the XML file to Markit as follows curl F user xmlupload F password 98q34tsi F asynchzY F theFile prices xml https www Markit com upload jsp gt key txt This command sets the username and password so that curl can log into the website and then it sets the File to upload input box on the upload screen to the name of the XML file So continuing with our example we are logging in as xmlupload and transmitting a file called prices xml The curl program prints output to a computer screen that would otherwise go to the web page In the example above the
57. hmically nearest rating curve specific to that sector RedCode The six digit RED code VarChar Region The region of the reference entity VarChar ShortName The abbreviated short name for the reference entity VarChar Spread6M The spread for this point on the curve Float Spread1Y Float Spread2Y Float Spread3Y Float Spread4Y Float Spread5Y Float Spread7Y Float Spread10Y Float Spread15Y Float Spread20Y Float Spread30Y Float Ticker The ticker for the reference entity VarChar Tier The seniority of the instrument See table of seniority VarChar levels TimeZone The time zone indicating the market close Values VarChar are L London N New York T Tokyo E Europe 76 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Appendix F Table of Composite Fallback Levels Markit Data XML Guide Version 10 3 7 Flag Currency Grouping CcyGrp Documentation clause Adjusted DocAdj Contributors 3 or more contributions from anyone 3 or more contributions from anyone Boundary Three distinct groups AUD JPY Everything else USD EUR GBP etc For the same documentation clause DocClause For currencies that share the group as per above An adjustment is made between different documentation clauses by applying the following ratios which are expressed as the factor used to adjust back to CR e CR 1 0 e MM 0 96 e MR
58. ion 10 3 7 mark Table of Contents MONI T ECT I 1 Mair kit D atta 1 Luigppnifuplm Nina 5 Background InforimatiOn 2e eu cuin curii io urne ue cute ui scoeedeteccstacevednersancuaceoeetscucecausseaatedseueseatn 5 Overview of Steps to Build an XML Feed eese eee eee eeeee eene nennen enne natnm entem enne nnn 6 Customer Detall cen 7 Agreeing to the Scope and System Names cccssscsssessseeeseseeeeseeeeseeeeseeeeaseneeeseeesseeaeneseeesseeeeseeseneneeas 7 Constructing an XML File oiii eroi asau danada dadada aada Sada Eo coc acd e Ro c usa Dv Road Saaai danai 8 Default Swap Mark to Market Feed ssssssssssseeeeeeeeen ener nere en rennen ener ennemis 9 Default Swap Feed Enhancements for Bid Ask Quotes amp Trades sssssssssssss 11 Loan Default Swap Mark to Market Feed sss eene nennen rene nennen nennen 13 Loan Default Swap Feed Enhancements for Bid Ask sssseeeeeeeeen emen 14 e siena 16 Convertible B nd Feed EE 19 Credit Index and Index Tranche XML Feed 2 c ccceeeecceeeeeeeeeeeeeeeeeseeseaeeeeeceneeeeeeeaeeeeeeeneeeeesneeeeeees 21 Asset Backed Securities ABS Feed Import
59. is spread the bond s fixed income value known as the bond floor can be calculated by performing a risky discount The FX assumption used when pricing bonds that have the fixed income component in a different currency to the equity Note this number must be 20 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 XML Tag Type and Validation Notes provided as an FX multiplier be supplied Optional conversionratio Number position L for a Large position over 5 million S for a Small position F for a Firm price Otherwise the actual position can The position underlying the price This position is used as information when publishing prices back to the website The current conversion ratio from the convertible bond into the underlying equity taking into account any adjustments since issuance Credit Index and Index Tranche XML Feed This section describes the construction of a credit index and index tranche feed Here is a sample of the XML lt xml versionz 1 0 lt i mport xmlns xsi z http xsi noNamespaceSchemaloca ions header system Gl obal fileid 1 date 20 Jan 2005 lt header gt lt data gt www w3 org 2001 XMLSchema instance t http www Markit com i mport xsd gt system lt fileid gt date lt Credit Inde
60. it t tab es zip The curl sample below may be used to retrieve Structured Finance Index Components Curl curl k report sfxcomponents https www markit F username user F F fami com export Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com p y a SSW ABX sp word password HE F datez yyyymmdd F format zxml abx _components zip 50 of 78 F type abscredidx F version 5 F report Composites F F Markit Data XML Guide Version 10 3 7 mark The curl sample below may be used to retrieve Structured Finance Index Composites Curl curl k F username user F password password F date yyyymmdd F format xml F report xcomposites F famil yzABX HE F type abscredidx F version 5 Sp gt https www markit com expo jsp abx composites zip t The curl sample below may be used to retrieve Convertibles Composites Curl curl F username Username F password Password F date 20060919 F format csv F report COMPOSITES F type convert F version 5 https www markit com export jsp gt ConvertibleMarket zip The curl sample below may be used to retrieve Loans Default Swap data Curl Version 5 curl F username FP password F format csv F type lcds F report COMPOSITES F version 5 F date 20070109 FdoNotGzip true https www markit com export jsp gt lcds zip Curl Version 6 curl F username F p
61. it Index Annex and Corporate Actions Reports 40 Credit Index Composites Theoretical and Sameday Reports sseeeeee 41 Loan Credit Index Composites Reports sesssssssesseeeeeeeeen een enne rene nere nennen 42 RED Loans Reports de eese a ba del ae da bee tuba R Le sinclar TE Ead DOE 42 Entity Mapping Report dre ep aee t dedii een iei deret ie cuum s E bep tuu EEEE 43 Structured Finance Index Components Reports ssssssseeeeeeenen nennen 43 Structured Finance Index Composites Reports nennen 43 Convertibles Composites Reports ssessssssesesseeeeeeeen nennen nere rennen nenne nre n teretes enne 43 Automated Retrieval Samples esseceseeeesssrecesneresnccecsaneceanereseneessanessaneeeneeeeesanessenesessaeersnessnnenenaes 44 2c BT EEP OOOememnmnm 44 3 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark UAV Elise 48 e M lies 50 Additional RCSOUICOS wi E EE 52 erui acts ihe oe HS 52 eue mS 52 Appendix A Error Codes during XML Upload esee eene eene nnne nnnnnnnnnnnt 53 Appendix B Error Messages during Download 4 cessere enne nennen nnnnnnnnnnn 56
62. ity The spread that must be applied to the issuing entity s credit curve to make a default probability PV match the dirty price The average price of all good contributions The average ask price of all good contributions The average bid price of all good contributions A quantitative measure of the quality of our bond data The asset swap spread calculated from the ae a a ae l DLL Float Int Char3 Float Float Float Float CompositePrice Contributor Indicates whether the Char10 contribution was your own With Yours otherwise this field is blank Country The country of the issuing Y Varchar2 organization Coupon The bond s coupon For Y Float FRNs the coupon is 0 Cusip The bond s CUSIP Y Y Char9 Date The date for which the data Y Date was contributed Depth The number of distinct Y Y Int contributors 68 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Field Distance ImpliedRating Instrument Isin IsOutlier Description The percentage distance from the mean of a contribution Calculated on a weekly basis by comparing the issuer s 5Y senior standard trading convention spread to the 5Y spreads of our sector curves and applying the rating of the logarithmically nearest rating curve specific to that sector The instrument name The bo
63. kit Data XML Guide Version 10 3 7 variable Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark java i OPEN java java java i np ea l i java i ava l l l l l u de te Dut put Stream Wite ion eam java java java java i nputStreamReader java net Socket Ti meout Exceptio java util zi p Zi pl nputStream org apache commons httpclient org apache commons httpclient org apache commons httpclient org apache commons httpclient ic class Exampl eDownloader e static HttpClient client ne c enum reportResponse SUCCESS RE TIMEOUT c static void main Str ingl mpl eDownl oader downl oadRepor leds type composites II 5 version xml format http www markit bob username xxxx password ooo ooo Momo mo e arg report com export jsp 19Jun08 date Reports output folder a from Markit param param param param param param date param output return whether pt report report x format T host user T password or not the download public static reportResponse downl oad format String host String user Str Create post method to send to serve PostMethod method new Post Met hod ho Markit Data XML Guide Version 10 3 7 n HttpException NameVal uePair e methods Post Met hod w Htt b ALREA pC
64. l 12 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Loan Default Swap Mark to Market Feed Now we come to the main part of the XML upload file the data element The Loan Default Swap Mark to Market Feed is structurally very similar to the Default Swap Mark to Market Feed This element is where default swap and bond data is provided Please note that bid and ask prices and spreads can be provided by adding bid or ask to price and spread tags Without bid or ask appended you will be submitting mid prices Let s look at how we would specify a USD denominated ALLIED WASTE loan default swap curve lt xml version 1 0 gt i mort xml ns xsi http www w3 org 2001 XMLSchema instance xsi noNamespaceSchemaLocation http www Markit com import xsd gt header system Gl obal system fileid 1 lt fileid gt date 20 Jun 2004 date lt header data credswap entity entityname tier baseccy docclause cancellability credcurve lt spread3y gt spread5y spreadl0y recovery lt credcurve gt credswap credswap entity entityname tier baseccy docclause cancellability lt credcurve gt lt spread3y gt lt spreadsy gt lt spreadl0y gt recovery credcurve credswap dat
65. ll rights reserved www markit com mark CompositeLevel7y CompositeLevel1 Oy CompositeLevel1 Sy CompositeLevel2 Oy CompositeLevel3 Oy CompositeCurveR ating ContributedCoupon ContributedLevel A quantitative measure of the quality of our CDS data averaged over the points on this curve The coupon used by the contributor to calculate their contributed upfront value The level contributed for the corresponding tier ccy doc clause and maturity Markit Data XML Guide Version 10 3 7 Y Char 12 Y Char 12 Y Char 12 Y Char 12 Y Char 12 ContributedLevel6m ContributedLevel1 y ContributedLevel2y ContributedLevel3y ContributedLevel4y ContributedLevel5y ContributedLevel7y ContributedLevel1 Oy ContributedLevel1 5y ContributedLevel20y ContributedLevel30y ContributedPriceTyp e Contributor ConvSpread6m The level contributed for the 6m tenor The level contributed for the 1y tenor The level contributed for the 2y tenor The level contributed for the 3y tenor The level contributed for the 4y tenor The level contributed for the 5y tenor The level contributed for the 7y tenor The level contributed for the 10y tenor he level contributed for the 15y tenor The level contributed for the 20y tenor The level contributed for the 30y tenor The price type contributed by the contirbutor If the contribution is yours this field displays Yours otherwise it is bla
66. ls Benchmark For FRNs this is the fixing rate Null Y Y Y for fixed coupons Coy The ISO currency of the instrument Y Y Y CompositePriceBid Mid Ask The average ask price of all good Y contributions CompositeSpreadBid Mid AskiThe average ask spread of all good Y contributions 74 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Field Description ABS ABS ABS CompositeContributionsData Quality Contributor Indicates whether the contribution was Y Y your own with Yours and whether it is a composite with Composite Coupon Type The ABS coupon type which is Fixed Y Y Y or a Floating Rating Note FRN Coupon The ABS coupon Y Y Y Cusip The ABS CUSIP Y Y Y Date The date for which the data was Y Y Y contributed Depth The number of distinct contributors for Y Y Y this ABS instrument Distance The percentage distance between your Y submitted point and the mean of all the others DealTicker The ticker of the ABS issuer Y Y Y DealName The abbreviated short name for the Y Y Y ABS deal Instrument The instrument name Y Y Y Isin The ABS ISIN Y Y Y IsOutlier Y N flag to indicate that this point failed Y ithe outlier t test Maturity The ABS contractual maturity date Y Y Y PriceAsk The ask price Y Y
67. mark XML User Guide 3 LL LAA Za N uw SV QAR ZEEE e Markit Data XML Guide Version 10 3 7 mark Copyright Unpublished work 2010 Markit Group Limited This work is an unpublished copyrighted work and contains confidential information Only authorized users are permitted to access this work Any unauthorized use disclosure reproduction or dissemination in full or in part in any media or by any means without the prior written permission of Markit Group Limited will subject the unauthorized party to civil and criminal penalties Trademarks Mark it Markit Markit Loans Markit RED and Markit Metrics are trademarks of Markit Group Limited Other brands or product names are trademarks or registered trademarks of their respective holders and should be treated as such Data Services Agreement and Use Restrictions You are bound by the terms and conditions of the Data Services Agreement as agreed to by your employer or its affiliate In particular access to the Markit website is limited to the number of locations and to the number of users specifically set forth in such Data Services Agreement whether such use is through physical transfer of a copy electronic access through a wide area network of any description or by any other means whatsoever The Markit system and website contain trade secrets Accordingly you are expressly prohibited from i modifying translating reverse engineering or disassembli
68. me spread type localpar gt 0 021 lt spread gt position lt bondprice lt bond lt l lt bond s currency lt bond gt lt bondname gt lt bondid type isin gt lt book gt snapti me i nterpbenchspreadbi d i nterpbenchspreadask lt bond lt Spread over a specif bond lt bondname gt bondid typez isin book snapti me benchspreadbi d benchid type isin gt lt bond lt lt bond gt lt bondname gt bondid typez isin book snapti me benchspread benchyi el d lt bond data F lt position gt Spread over the interpolated benchmark curve for this gt e g Treasury for USD Corps gt NW 3 5 Aug15 bondname gt X 0212575462 bondi d NY PROP book 16 30 NY snapti me 0 002254 interpbenchspreadbi d 0 002254 lt interpbenchspreadask gt c benchmark bond gt IBP 6 0 Mar20 bondname gt XS0213104630 lt bondi d NY PROP lt book gt 16 30 NY snapti me 0 002254 benchspreadbi d XS0213101230 lt benchi d Mid spread over a specific benchmark with yield provided gt G 5 5 Apr 15 lt bondname X 723423944 lt bondi d NY PROP book 16 30 NY snapti me 0 002254 benchspread 0 03 benchyi el d 17 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit D
69. mid prices The default swap feed is enhanced to include an activity and materiality flag both of which are optionals Let s look at how we would specify a USD denominated TYCO default swap curve lt xml version 1 0 gt i mort xmlns xsi http ww xsi noNamespaceSchemaLocatio lt header gt lt system gt lt fileid gt lt date gt lt header gt lt data gt credswap entity entityname tier baseccy docclause lt credcurve gt lt spread3y gt lt spreadsy gt lt spreadl0y gt lt recovery gt lt credcurve gt credswap credswap entity type RED gt entityname tier baseccy docclause credcurve lt spread3y gt spread5y spreadl0y recovery credcurve Confidential Copyright 2010 Markit Group Limited All rights reserved w w3 0rg 2001 XMLSchema i nstance nz http www Markit com i mport xsd Gl obal 20 Jun 2004 TYCO lt entity gt Tyco Intl SNRFOR lt tier gt USD lt baseccy gt CR lt docclause gt 0 800 lt spread3y gt 0 860 lt spread5y gt 0 900 lt O65 lt recovery gt 4H98A7 lt entity gt Ford Motor Credit SNRFOR lt tier gt USD lt baseccy gt MR lt doccl ause gt 0 150 lt 0 175 0 210 0 5 lt Ispread3y Ispread5y l recovery gt 9 of 78 spreadl0y gt spreadl0y gt lt system gt lt fileid gt date lt enti
70. mples of these programs are provided Retrieving Data Back from the Markit Website Once the Markit processes are complete composite theoretical and other contributor data that is quorate is available for download from the Markit website In this guide we will follow the steps outlined above for an imaginary customer who is feeding information from a system called Global 6 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Customer Details For security reasons Markit needs to know the IP address from which the customer will access the website i e the IP address of the customer s Internet facing routers go to www whatsmyip org and tell us the IP address displayed by this website we will try to work out the address range of your routers This security measure safeguards against users who have recently changed jobs accessing the website with their old account details but from their new employer s network Once the customer has informed Markit Markit will install an administration account for the customer which the customer can use to create a hierarchy of users The IP address has not been set up correctly if you receive the following error message when logging into the system You are not authorized to log in from this computer 157 190 10 2 Contact Markit to obtain authorization The IP address in this error message will be for
71. ms that will provide data to Markit is agreed and their names entered into the Markit database Constructing the XML File The customer develops their XML file for transmission to the Markit database This section describes how to construct an XML file for default swaps bonds and convertible bonds Creating a User with the Ability to Upload An administrator login is provided to the customer This login enables the customer to administer user accounts The customer must set up a user with the privileges to upload XML files to the website Uploading the XML File Via the Web The contributor s XML file is transmitted to the Markit database Initially a number of errors display on the upload screen caused by unknown default swap entity codes and prices for bonds that Markit does not hold in our database Missing entity codes are handled by the mapping logic in the following step Bond details not held in the Markit database will be obtained by Markit within a few business days If erroneous data is transmitted to Markit the errors can be corrected by simply re submitting the corrected XML file Mapping Customer Entity Codes to Markit Entity Codes for CDS This step is required only for default swap feeds and involves mapping customer entity tickers to Markit entity tickers with the Markit Entity Mapping screen Automating the XML File Transmission to Markit The customer can automate the transfer of the XML file via a computer program and exa
72. naptime avlife Mandatory Float The weighted average life of the instrument prepay Optional 1 for 100 Prepayment speed and type of measure Attribute type takes following values cpr psa smm pps mpr cpy position Optional L M S or a ve or L M S characterizes a large medium or small ve value position Also a notional value can be provided where ve notional represents a long position 25 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Asset Backed Securities ABS Feed Export The following parameters are for retrieving a download of ABS data Parameter case sensitive Values case insensitive Description report Composites The composites report is a download of the composite pricing you are permissioned to view Contributions The contributions report is a download of the individual price contributions that you are permissioned to view Dataquality As a contributor you also receive a report informing you which of your prices passed which failed and which test they failed Type abs Specifies that this report is an ABS report Version 5 The latest available version of this report ABS Bid Ask Spread Adjustments To facilitate dealers in providing both bid and ask prices on instruments where they typically only provide a mid or a bid price Markit has allowed contributors to s
73. nd s ISIN Y N flag to indicate that this point failed the outlier t test Bond Bond Composites Contributions Bond DataQuality ype Float Char3 Char100 QO 2 5 A a4 n2 Char1 IsStale Maturity IY N flag to indicate that this point is stale The bond s maturity date Char1 lt Date Price PriceAsk PriceBid Quality Region The price The ask price The bid price The overall data quality flag P for passed and F for failed The region of the reference entity lt x x Float Float Float Char1 Char20 Sector ShortName SnapTime The ICB industry sector of the reference entity The abbreviated short name for the reference entity The time of day London local time at which the bond price was snapped lt x x lt x lt lt lt StaleDays Ticker Tier The number of days for which this bond price has not changed The ticker of the bond issuer The seniority of the instrument See the table of seniority levels lt Int Char100 Char8 Ttest UsdParAswSpread The outlier t test score for this point The dollar par asset swap spread calculated from the Price lt Float lt lt Float 69 of 7 8 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Field
74. ndex composite and theoretical spread and prices and Sameday Index reports Parameter case sensitive Values Description report COMPOSITES A download of the credit index composite and theoretical price and spreads Theoretical prices and spreads are dependant on permissioning CONSTITUENTS COMPOSITES A download of composite prices for the single name default swaps underlying the index TRANCHE COMPOSITES A download of the composite spreads and upfronts on credit index tranches SAME DAY INDICES A download of the same day credit index composite and theoretical price and spreads Theoretical prices and spreads are dependant on permissioning family ITRAXX ASIA The index family to retrieve ITRAXX EUROPE T CDX If you are permissioned for an index family the download will include MCDXNA theoretical values Otherwise an IBOXX Index unpermissioned version of this report is TRAC X Asia Index provided without theoretical values TRAC X Europe Index TRAC X NA Index ITRAXX SDI ITRAXX SOVX type Credindex Specifies that this is a credit index report 41 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Parameter case CONSTITUENTS COMPOSITES sensitive Values Description version 4 The latest available version of these 5 for reports Loan Credit Index
75. ng any of the information services or data found on such system and website or ii creating derivative works based thereon in each case except as expressly permitted if at all by the Data Services Agreement governing your use thereof Unauthorized copying of the Markit website or this user manual constitutes copyright infringement Software piracy is theft To the extent anything in this user manual is inconsistent with or conflicts with the terms and conditions of the applicable data services agreement or the terms of use the terms and conditions of the Data Services Agreement or the Terms of Use as applicable shall control Each user upon his initial accessing of the Markit website must agree and acknowledge as a condition to his access thereto to be bound by the terms and conditions of the data services agreement through which it was provided a username and password Limited Warranty and Disclaimer Except for the express limited warranties set out in the applicable Data Services Agreement Markit makes and the user and the client it is associated with receives no warranties express implied statutory or allegedly extended in any communication with the user or the client it is associated with Markit specifically disclaims any implied warranty or merchantability or fitness for a particular purpose Markit does not warrant that the operation of the program or website or use of this publication shall be uninterrupted or error free In n
76. nk The conventional spread level for the 6m tenor Converted from the 60 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark ConvSpread1y The conventional spread level for the 1y tenor Converted from the par spread par spread ConvSpread2y The conventional spread level for the 2y tenor Converted from the par spread ConvSpread3y The conventional spread level for the 3y tenor Converted from the par spread ConvSpread4y The conventional spread level for the 4y tenor Converted from the par spread ConvSpread5y The conventional spread level for the 5y tenor Converted from the par spread ConvSpread7y The conventional spread level for the 7y tenor Converted from the par spread ConvSpread1 Oy The conventional spread level for the 10y tenor Converted from the par spread ConvSpread15y The conventional spread level for the 15y tenor Converted from the par spread ConvSpread20y The conventional spread level for the 20y tenor Converted from the par spread ConvSpread30y The conventional spread level for the 30y tenor Converted from the par spread Country The country of the issuing Y organization Date The date for which the data Y was contributed DocClause The documentation clause Y MM Modified Modified Restructuring MR Modified Restructuring CR Old Restructuring XR No Restructuring Im
77. o event shall Markit be liable for any damages including without limitation direct damages punitive or exemplary damages damages arising from loss of data cost of cover or other special incidental consequential or indirect damages of any description arising out of the use or inability to use the Markit system or website or accompanying documentation however caused and on any theory of liability This user guide may be updated or amended from time to time and at any time by Markit in its sole and absolute discretion and without notice thereof Markit is not responsible for informing any client of or providing any client with any such update or amendment Please regularly check the Markit website to obtain the current version of this manual Any download or distribution of data from the Markit website is subject to restrictions on the use thereof as set forth in the Data Services Agreement entered into between Markit and the client institution through which you were provided a username and password Access to the website is expressly conditioned upon the compliance by each user with the restrictions terms and conditions set forth in its client institution Data Service Agreement It is the responsibility of each user to be familiar with the restrictions terms and conditions contained in the Data Services Agreement 2 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Vers
78. omer entity code is mapped to a Markit code that has been flagged as bankrupt in the Markit database Unable to find match for entity RNBRK in data element 4 The customer entity code does not match a code within the Markit database This code will be flagged as Not Found in the Status column of the Markit Entity screen and must be mapped to the correct entity within the Markit database before default swap data for this reference entity feeds in ERROR BondMtm Invalid bond price ows 029 high 029 for Instrument ESKOM 0 31Dec32 ISI NzDS8834723423 CusipzTT333904 for book ASWP An attempt was made to feed an invalid bond price into the Markit database Bond prices may not be zero or negative ERROR EK SNRFOR 30Y Default ORA 02290 check constraint MARKIT MTMNOZEROS violated An attempt was made to feed a default swap spread of zero into the Markit database Default swap spreads may not be zero or negative Duplicate curve provided for PGNIG SNRFOR Curve will not be inserted for data element 194 The XML file contains two lt credcurve gt elements that refer to the same curve The first one that was encountered will have been entered into the Markit database The second one will not be entered into the database Must provide at least one valid delta in creddelta at data element 1 A lt creddelta gt tag does not contain any delta tags i e it is empty Must provide at least
79. one of the customer s routers Agreeing to the Scope and System Names The first step is to agree with Markit the trading businesses within the customer s organization that trade credit instruments all corporate financial and sovereign bonds and credit default swaps and comprise the dataset that the customer is legally obliged to supply Markit Once this list has been established it should be easy to define a list of systems books of record and feeds to automated trading systems that will feed the Markit database The system name helps the customer organize their feeds If errors or problems occur the customer and Markit can use the system name to refer to the feed causing the problem In the example used in this guide the customer informs Markit that they have a system called Global Since a system may have more than one feed e g from different time zones each feed is assigned a unique numeric file ID usually the file ID of 1 7 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Constructing an XML File We now look at building an XML file of bond and default swap data Below are several tips to remember when constructing an XML file e The XML tags are case sensitive and all Markit tags are in lowercase If a tag is presented in uppercase you will receive an unknown element error e The elements must appear in the sequen
80. one valid spread in a credcurve element at data element 123 An attempt was made to feed a lt credswap gt XML tag that contained no spread information At least one of the spread tags must be supplied System Global is not recognised Please contact Markit to agree system names The system tag within the XML file refers to a system that has not been agreed with Markit Please contact Markit so that the details of this System can be entered into the Markit database m Global does not have a fileid of ease contact Markit to agree a new d ys Syste 2 PI filei The lt fileid gt tag within the XML file refers to a fileid that has not been agreed with Markit Please contact Markit so that this fileid can be entered into the Markit database X Date 26 Jun 2002 provided in header record is not today s date 27 JUN 2002 Contact Markit if you wish to upload backdated data Data will only be inserted automatically through the web for today s date The data will be stored in a holding area and can be entered into the database by Markit however this would involve re running the data quality credit curve sector curve and theoretical calculations 54 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Error Message Description Cannot perform upload at present It is An upload to Markit was s
81. opyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Field Description Type Sector The ICB industry sector of the reference entity VarChar ShortName The abbreviated short name for the reference entity VarChar Spread6M The spread for this point on the curve Float Spread1Y Float Spread2Y Float Spread3Y Float Spread4Y Float Spread5Y Float Spread7Y Float Spread10Y Float Spread15Y Float Spread20Y Float Spread30Y Float Ticker The ticker for the reference entity VarChar Tier The seniority of the instrument VarChar LCDS Report Columns Field Description LCDS Composite Type Cancellability The cancellability of the LCDS contract Y VarChar9 Ticker The ticker for the reference entity Y VarChar30 ShortName The abbreviated short name for the reference entity VarChar100 RedCode Tier The six digit RED code The seniority of the instrument See table of seniority levels on page 75 VarChar6 VarChar8 CompositeCurveRating A quantitative measure of the quality of our CDS data averaged over the points on this curve VarChar3 Date The date for which the data was contributed lt Coy The currency of the instrument DocClause The documentation clause Spread6m Spreadty Spread2y
82. orkbook Application ScreenUpdating False Set w Workbooks Add Set d DialogSheets Add d DialogFrame Characters Text Markit Password Input 47 of 78 Box Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark For Each o In d DrawingObjects o Delete Next Left Top Width Height d Labels Add 80 60 150 12 Characters Text Username With d EditBoxes Add 180 60 100 12 InputType xl Text Text username End With d Labels Add 80 80 150 12 Characters Text Password With d EditBoxes Add 180 80 100 12 InputType xl Text PasswordEdit True Text password End With With d Buttons Add 80 120 50 Characters Text OK DefaultButton True Cancel Button False DismissButton True End With With d Buttons Add 140 120 50 Characters Text Cancel DefaultButton False Cancel Button True DismissButton False OnAction EscapePressed End With thisW Activate Application ScreenUpdating True global Cancel False d Show username d EditBoxes 1 Text password d Edit Boxes 2 Text w Close savechanges False Get Password Not global Cancel End Function The Escape key or Cancel Sub EscapePressed gl obal Cancel End Sub True Java 12 12 button was pressed so record in the globalCancel Here is an example Java program for automating the download 48 of 78 Mar
83. pecify a set of adjustments to be applied to instruments based on their ratings and sectors These adjustments can be multiplicative or additive and a different parameter can be provided for each combination of price spread sector and rating Adjusted values are calculated from the mid point according to the following formulas This method makes the process invertible Multiplicative negative mid point Multiplicative positive mid point Additive all cases Where f is the adjustment factor given a rating r and a sector s B is the bid price spread A is the ask price spread M is the mid price spread 26 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark The template is available upon request and provides for adjustments in the following sectors and ratings ABS Ratings AAA AA A BBB BB B Other ABS Sectors Auto Lease Auto Loan CDO CMBS Credit Card Dealer Floorplan Equip Lease Franchise Loan Home Equity Insurance Premium Loan Manufactured Housing Marine Loan Motorcycle Loan Other Other Consumer Loan Receivables Recreational Vehicle RMBS Small Business Loan Student Loan Time Share Loan Trade Receivable Truck Loan Whole Business Securitization 27 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Cr
84. pfront spread 0 05 spread credi ndex size 10000000 size trade lt credtranche gt data import The following table provides a description of the tags in the above XML example Tag Comments credindex Specifies that a credit index is being supplied red The RED ID used to identify the credit index name The name of the credit index instrument This name is used to improve the readability of an error message should an error occur and is optional spread The spread of the credit index term The term to maturity of the index e g 5Y for a 5 year index time Indicates that the data is intra day and not end of day mark to market data The format for the time tag is 24 hour HH MM TMZ where TMZ is LDN EUR NY TOKYO SINGAPORE SYDNEY or HK Markit performs any time zone adjustment to GMT upfrontbid The upfront bid payment The data is provided as a decimal number i e 0 0001 represents one basis point upfrontask The upfront ask payment The data is provided as a decimal number i e 0 0001 represents one basis point spreadbid The bid spread The data is provided as a decimal number i e 0 0001 represents one basis point spreadask The ask spread The data is provided as a decimal number i e 0 0001 represents one basis point delta The sensitivity of the tranche to the underlying index i e number of BP change in the tranche spread for a 1bp change in the index spr
85. pliedRating Calculated on a weekly basis Y by comparing the issuer s 5Y senior standard trading convention spread to the 5Y spreads of our sector curves and applying the rating of the logarithmically nearest rating curve specific to that sector IsBackwardation A Y N flag to indicate whether a customer s docclause is backwardated The docclause that is not conventionally traded B z EN d an 61 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark IsOutlier Y N flag to indicate that this point failed the outlier t test for that currency is rejected 41 OO 2 i IsStale Y N flag to indicate that this point is stale IQRange Interquartile range of all contributions that are considered for the outlier test calculated for par values Blank for recoveries Maturity The maturity of this point in a relative date format e g 1y 5y etc Missing5Y A Y N flag indicating if the contributed curve is missing the 5y tenor MissingRecovery JA Y N flag indicating if the contributed curve is missing a recovery rate ParSpread The Par Spread equivalent of the contributed level ParSpread6m The Par Spread equivalent of the contributed value at the 6m tenor ParSpread1y The Par Spread equivalent of the contributed value at the 1y tenor ParSpread2y The Par Spread equivalent of the contributed valu
86. re txt entry n NNO s new NameVal uePair type new NameVal new NameVal new NameVa p uePair r uePai uePai uePai sion ort report ily null rsion String val ueOf versi on nvpuser nvppassword nvpdate nvpformat rt omo ooo p m e in thi parameters e werspon T S ti me then the report request times out rv 10 soo oon t user U x diate Se 4 it do ends Wi ready have one St Wa A eName met hod dyAsStream hen create a ZiplnputStream to dre Hd E Type getValue ication x zip am new BufferedlnputStream is 49 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Curl Markit Data XML Guide Version 10 3 7 Make sure the output folder actually exists i foutputFile getParent File exists i loutputFile getParentFile mkdirs System err printin Error creating output folder j Write the response to a e FileOutputStream fos new FileOutputStream out put File BufferedWriter wr new BufferedWriter new FileWriter outputFile BufferedReader rd new BufferedReader new InputStreamReader is iTo store the response as a string so we can check for error messa String responseText new String int totalBytesRead 0 String line while line
87. reen on the website Note that as of February 23rd 2009 Markit is publishing a new fixed coupon composite report in addition to the existing daily par spreads reports The report provides upfronts and quoted spreads on curves trading with the fixed coupon trading conventions as introduced throughout 2009 Please see the bond and CDS column definitions for a detailed description of each report The report columns are also described online on the Download screen Also note that all Current Reports are delivered in zip format Parameter case sensitive Values Description report FIXED_COUPON A report displaying upfront and quotes spread composites For type below only use CDS IG_CONTRIBUTIONS A report of investment grade contributions SUB IG CONTRIBUTIONS A report of sub investment grade contributions This is separated from the Investment Grade report since this data is subject to visibility rules COMPOSITES BY CONVENTI CDS only report of composite spreads for the ON currency and documentation clause that is conventionally traded based on the entity s region COMPOSITES A report of composites THEORETICALS A report of the price obtained from the theoretical credit curve For the bond the price is backed out from the credit curve at the bond s maturity using a probability of default model and for a default swap the price comes directly from the curve DATAQUALITY A report of the comparison of a contributor s data again
88. rve Coeff2 Coefficient used in a given model to generate this Float curve Coeff3 Coefficient used in a given model to generate this Float curve Coeff4 Coefficient used in a given model to generate this Float curve Coeff5 Coefficient used in a given model to generate this Float curve Coeff6 Coefficient used in a given model to generate this Float curve Coeff7 Coefficient used in a given model to generate this Float curve Coeff8 Coefficient used in a given model to generate this Float curve Coeff9 Coefficient used in a given model to generate this Float curve Coeff10 Coefficient used in a given model to generate this Float curve CompositeRecovery The recovery rate Float Contributor Indicates whether the contribution was your own with VarChar Yours Country The country of the reference entity VarChar Currency The currency of the instrument VarChar Date The date for which the data was contributed Date DocClause The documentation clause VarChar ImpliedRating Implied Ratings are calculated on a weekly basis by VarChar comparing the issuer s 5Y senior standard trading convention spread to the 5Y spreads of our sector curves and applying the rating of the logarithmically nearest rating curve specific to that sector Model The model used to calculate this theoretical curve VarChar RedCode The six digit RED code VarChar Region The region of the reference entity VarChar 65 of 78 Confidential C
89. ry lt askcurve gt edswap gt Trade and quote data is supplied within the trade tag e This example shows a fixed maturity and term to maturity gt credswap entity lt entityname gt lt tier gt lt baseccy gt lt doccl ause gt lt cancellability gt lt quote gt ti me gt lt maturity gt spreadbi d spreadask lt quote quote ti me maturity spreadbi d lt spreadask gt lt quote gt edswap gt lt data gt lt i mport gt Ford lt entity gt Ford Motor Company lt entityname gt LENI tier USD lt baseccy gt XR lt docclause gt Y lt cancellability gt 13 20 LDN ti me 2010 03 20 maturity Q5 spreadbi d 06 lt spreadask gt 13 20 LDN lt ti me 2010 03 20 maturity 05 spreadbi d 06 lt spreadask gt The following table describes in detail the tags for the above XML Tag time Comments Used to indicate that the data is intra day and not end of day mark to market data 15 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Tag Comments The format for the time tag is 24 hour HH MM TMZ where TMZ is LDN EUR NY TOKYO SINGAPORE SYDNEY or HK Markit will perform any time zone adjustment to GMT bidcurve For specifying a bid side curve askcurve For specifying an
90. s Zero The industry sector curve levels are expressed in zero coupon format The latest version of this report version parzero Par The industry sector curve levels are expressed in par format CDS Sameday Reports The following parameters are for retrieving the daily CDS Sameday composite reports These reports are intra day updates for the CDS market made available at the close of each primary time zone As with the daily composite reports the data is delivered in Zip format Parameter case sensitive Values case insensitive Description report Same Day CDS New York A report of CDS updated for and available at NY market close Same Day CDS London A report of CDS updated for and available at London market close Same Day CDS Europe A report of CDS updated for and available at Europe market close Same Day CDS London Midday A report of CDS updated for and available at London Midday Same Day CDS Asia A report of CDS updated for and available at Asia market close Same Day CDS Japan A report of CDS updated for and available at Japan market close type A download containing default swap data version 6 The latest available version of these reports LCDS Sameday Reports The following parameters are for retrieving the daily LCDS Sameday composite reports These reports are intra day updates for the CDS market made available at the close of each primary time zone i e Asia London and
91. s essere rete seen eene nennen nnne nnnm entres 78 Appendix H Table of Document Clauses ueeeeeeeieeeeeeeeeeeeeeene nene n unen unnn ana nntn nnns nnn nnns a nnn 78 4 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Introduction This document describes how to e Construct an XML file for those customers that are contributing data to the Markit website e Retrieve data from Markit s website using the download facilities Please note that Markit has the right to modify the format of the XML feeds outlined in this document Markit will provide notification of any changes and will run the old and new structures in parallel before phasing out the old structure If you encounter problems or at any time need additional support please contact us using the details in the Contact Us section Background Information Markit was founded in 2001 as the first independent source of credit derivative pricing Today our data valuations and trade processing services are regarded as the market standard in the global financial markets helping our clients to reduce risk and improve operational efficiency Composite pricing for the credit products is compiled from contributions made by the major players in the credit markets This dataset covers single name credit default swaps indices iTraxx CDX ABX LCDX etc and bonds There
92. s proxyPort 8080 f your proxy requires Basic authorization uncomment the following String ppassword username password change these String encodedPassword Codecs base64Encode ppassword con setRequestProperty Proxy Authorization Basic encodedPassword Take this line out on some networks with a proxy con setRequestProperty Content Length data length con setRequestProperty httpHeaders 0 getName httpHeaders 0 getValue OutputStream output con getOutputStream 35 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark output write data output close II SSLException thrown here if server certificate is invalid BufferedReader input new BufferedReader new InputStreamReader con getI nputStream T while thisLine input readLine null System out printin thisLine public static void main String argv throws Exception MarkitUploader me new MarkitUploader argv 0 argv 1 argv 2 argv 3 The requirements for the example Java class are JDK JRE 1 4 which includes https support or a previous JDK JRE with JSSE Java Secure Sockets Extension Once installed there is a potential issue concerning the relatively old Root Certificates included with the JDKs The Verisign Class 4 Public Primary CA certificates are located on yo
93. se is updated with corporate actions and this information is presented in the Status column using the following three codes Status Meaning Merged The entity was part of a merger and the customer may assign a new Markit code De Merged The entity was part of a de merger and the customer may assign a new Markit code Bankrupt The entity is bankrupt and data is no longer accepted by Markit for this code The Status column can be filtered by choosing a status code from the Status drop down list In this example the Status column is not filtered instead it is set to All The Search button is used to search for a matching entity code in the Markit database by company long name for the selected Customer Ticker The Map button is used to map selected Matched or Assumed codes typically status codes of Matched and Assumed are assigned the status of Matched or Assumed respectively when the Customer data is first imported The Unmap button reverses i e unmaps a code that was previously mapped The Ignore button flags the selected entity code to be ignored during the upload process and removes it from any error reporting The Delete button removes the selected row from the database The Tree button displays the company hierarchy for the selected Markit entity code Returning to our example we want to map the BARIC customer code to its equivalent in the Markit database First select the table row for BARIC and then click Searc
94. shing prices as a spread to a Treasury bond the system uses the following algorithm for determining the Treasury against which to spread unless over half of contributors have chosen another benchmark Time to maturity Chosen Benchmark Bond gt 15 years Spread to the 30 year on the run benchmark 18 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Time to maturity 9 to 15 years Chosen Benchmark Bond Spread to the 10 year on the run benchmark 4 to 8 years 1 to 4 years Spread to the 5 year on the run benchmark Spread to the 1 year on the run benchmark Convertible Bond Feed This section describes the construction of a convertible bond feed Here is a sample of the XML lt xml version 1 0 gt i mport xml ns xsi http www w3 org 2001 XMLSchema i nstance xsi noNamespaceSchemaLocationz http www Markit com i mport xsd header system fileid date lt header data convert bondname bondid typez cusip book snapti me pricebid type par gt priceask type par gt equitymi d lt equityimpliedvol gt equitydelta type unit gt lt creditspread gt sa position conversionratio convert data Gl obal 1 20 Jun 2004 GLOPAR 5 05Dec08 37967TAD FYEUR 17 00 LDN 0 87 0 88
95. st the Markit XComposite as well as measurements of the quality of the data in the form of an outlier t test a stale data test and a flat curve test LIQUIDITY METRICS A report returning liquidity information bid ask spreads market depth liquidity Scores for CDS For typ e below only use CDS type CDS A download containing default swap data LCDS A download containing loan default swap data A download containing bond data version 5 for all reports other than The latest version for these reports CDS DATAQUALITY 6 CDS IG CONTRIBUTIONS 6 CDS SUB_IG_CONTRIBUTIONS 6 38 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Industry Sector and Rating Reports The following parameters are for retrieving the industry sector and rating levels and daily changes reports in either par or zero format Note that as of March 2006 Markit adopted ICB categories to generate our sector curves The Industry Classification Benchmark ICB is a four tiered system used to classify entities based on their revenue Sources i e sectors The four tiers are Industry Super Sector Sector and Sub Sector Note that over time Markit will use the new ICB tier names Markit Data XML Guide Version 10 3 7 Parameter case sensitive Values Description report Sector The aggregated risk reports sectortype levels An industry sector curves download of curve level
96. t been released please contact Markit The Sameday data for the region being specified has not been released 56 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Appendix C Unzipping a Download File in Visual Basic Visual Basic Save version 5 zip file to a directory requires WinZip or similar utility to be installed On Error Resume Next direc c temp Markit MkDir direc On Error GoTo 0 direc direc amp id amp Year Now Hour Now 10000 Minute Now MkDir direc 10000000000 Month Now 100000000 Day Now 1000000 100 Second Now filenumber FreeFile Open direc amp file zip For Binary Access Write As filenumber Dim arri1 as Byte arrl xml Doc responseBody Put iFileNum 1 arrl Close fil enumber Set xml Doc Nothing Use winzip to unzip it ID Shell c program files winzip winzip32 exe e o c ltemplfile zip amp direc amp Give winzip time to do its stuff Application Wait Now Ti meVal ue 0 00 5 Open unzipped file in a new workbook myfile Dir direc amp Do While myfile lt gt If myfile lt gt And myfile lt gt And Right myfile 4 lt gt zip Then Workbooks Open Filename direc amp amp myfile ReadOnly True End If myfile Dir Loop 57 of 78 Confidential Copyright 2010
97. t entity is mapped within the hierarchy Click the Tree button to view the corporate hierarchy Click Search to find another ticker to the one that was Assumed or click Map to quickly map the Assumed Markit ticker to the Customer Ticker The customer codes BC and BMY were found in the Markit database and since they are not part of a corporate hierarchy and there is no ambiguity about which company this may be the Mapping status is set to Matched Click Map to quickly map the Matched Markit ticker to the Customer Ticker The customer code BARIC was not found in the Markit database so it is set to a status of Not Found and its mapping must be manually resolved To manually resolve a mapping click Search and search the Markit database select the matching Markit ticker and then click Map on the Search screen Please note that credit curves are recorded in the database only for Mapped tickers The Customer Longname column displays the customer s long entity names which are supplied with the entityname tag in the XML file The Markit Ticker column displays the Markit entity code that corresponds to the customer s ticker Where this field is blank the customer must map it using the Search button 31 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com k Markit Data XML Guide Version 10 3 7 The Longname column displays either the very accurate long name from the RED database if
98. t listed on the Main sheet Dim ti metaken Record how long the download took to complete Di m direc Where to store the downloaded ZIP file for version 5 Di m filenumber For writing to the ZIP file 44 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Dim myfile For iterating through the ZIP file Pop up a password input box If Not GetPassword username password Then Exit Sub End If Set the Data gt Text to Columns menu setting to CSV comma delimited format which corresponds with the csv setti ng when downloading from the Markit website Excel will then automatically put the download into separate cells Acti veSheet Range Report_List TextToColumns Destination ActiveSheet Range Report List DataType x Delimited Text Qualifier x Doubl eQuote Consecuti veDeli miter False Tab False Semi col on False Comma True Space False Other False Loop through the Report List range on the Main sheet For i 0 To 100 Open a connection to the Internet Note that OLE Automation on in the References dialog box under the Tools gt References menu in the VBA editor must be enabled for the following to work Set doc CreateObj ect msxml 2 Server XMLHTTP doc Open POST https www Markit com export jsp False doc setRequestHeader Content Type application
99. tarted while another already running elsewhere upload was already running for that system and fileid Wait until the other upload has completed Fatal Error in upload file line 2 char 18 ie j i Mecum Ever tuetom 2 qub de dd It is important that SYSTEM appears in upper scanFirst failed case in the DTD line lt DOCTYPE import SYSTEM http www mark it com import dtd Fatal Error in upload file line 2 char 62 The filename for the DTD was not correctly Wi Message An exception occurred VE di Type Net Accessor Exception Reade canid specified in the DOCTYPE tag at the top of the not open file 0 scanFirst failed XML file It is important that this line reads IDOCTYPE import SYSTEM http www mark it com import dtd Time 18 30 is not a valid time Must be The time must be in 24 hour format with a time in format HH MM TZN in data element 1 zone string 55 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Appendix B Error Messages during Download The following table lists the error messages that can be returned when experiencing issues with CURL based downloads Error Message Description A report name must be specified for vX downloads There is no report name being specified in the CURL script Error logging in The username password combination being
100. the customer is a RED subscriber or the Markit abbreviated name The Filter and Clear buttons are used to control the filtering of data using the various columns Click the Clear button to clear the filter The Status column displays the status of the mapping between the customer entity code and the Markit entity code It is only when the status reads Mapped that default swap data feeds into the Markit database The following table provides a description of each status code Status Meaning Mapped The customer entity code is mapped to a corresponding Markit entity code and default swap data that references this entity feeds through to the Markit database The customer clicked the Map button for a selected code with a Markit ticker entered Unmapped The customer clicked the Unmap button for a selected code to unmap a previously Mapped code Matched A matching Markit code was found and it is not within a hierarchy Assumed A matching Markit code was found but it is within a hierarchy Special attention must be given to selecting the correct entity within the hierarchy Not Found No Markit entity was found with a code that matches the customer code Ignore The customer clicked the Ignore button for a selected code to set the status of a code to Ignore The default swap curve for this entity is ignored during the upload process This status is useful for credit curves that represent basket trades etc The Markit databa
101. the companion Markit com User Guide a list of Frequently Asked Questions FAQ Release Notes which describe the latest Markit com enhancements and other useful documents As shown in the following graphic click Contact Us to send an email message directly to the Markit Client Relations Team RED Scrubs Calculators Indices Options 52 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com Markit Data XML Guide Version 10 3 7 mark Appendix A Error Codes during XML Upload Errors that begin with CRITICAL halt the upload process immediately Other errors apply to the line in the XML file referred to Errors that begin with curl are due to an incorrect parameter passed to curl For example curl 26 failed creating formpost data is caused when the value assigned to theFile is a file that does not exist A Login Failed error when trying to transmit data with curl may result from an URL argument that does not begin with https Error Message Description The derivatives database is unavailable at The database is off line present Please try again later Error in upload file line 84 char 20 An attribute to one of the tags has been set to Message Attribute type does not match i Boe its defined enumeration or notation list an incorrect value on the line specified in the error message This error may be for the lt bondid gt pric
102. tier lt baseccy gt USD lt baseccy gt lt doccl ause gt CR lt doccl ause gt ti me gt 17 00 LDN lt ti me bi dcurve gt lt spread3y gt 0 05 lt spread3y gt lt spreadsy gt 0 05 lt spreadsy gt spread7y 0 05 lt spread7y gt lt recovery gt 0 5 recovery bi dcurve askcurve lt spread3y gt 0 05 lt spread3y gt spread5y 0 05 spread5y spread7y 0 05 lt spread7y gt lt recovery gt 0 5 recovery lt askcurve gt credswap lt Trade and quote data is supplied within the trade tag e lt This example shows a fixed maturity and term to maturity gt credswap entity TYCO entity lt entityname gt Tyco Intl lt entityname gt lt tier gt SNRFOR tier lt baseccy gt USD lt baseccy gt lt doccl ause gt CR doccl ause gt lt quote gt ti me 13 20 LDN ti me 11 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 maturity 2010 03 20 maturity spreadbi d 04 spreadbi d lt spreadask gt 042 spreadask size 10000000 size quote quote ti me 13 24 LDN ti me maturity 2012 03 20 maturity gt spreadbi d 03 spreadbi d lt spreadask gt 5 spreadask size 10000000 size quote trade ti me 13 30 LDN time maturity 2010 03 20 maturi
103. tions in the RED database REDEntityMapped A download for RED By mappings customers of the entities in the RED database for which the client has mappings REDObligationMapped A download for RED By mappings customers of the obligations in the RED database for which the client has mappings REDEntityDelta A download of the changes in the RED Entities XML for the past five business days REDObligationDelta A download of the changes in the RED Obligations XML for the past five business days CredindexAnnex A download of the CDX and iTraxx credit index annexes REDCorporateAction A download of all the corporate actions implemented 40 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Parameter case sensitive Values ITRAXX ASIA ITRAXX EUROPE CDX MCDXNA IBOXX Index family for CredlndexAnnex report value only TRAC X Asia Index TRAC X Europe Index TRAC X NA Index ITRAXX SDI ITRAXX SOVX 7 for REDCorporateAction 8 for REDEntity amp REDEntityDelta 6 for all other reports version Description The index family to retrieve for the CredlndexAnnex report used for the CredindexAnnex value only The latest available version of these reports Credit Index Composites Theoretical and Sameday Reports The following parameters are for retrieving a download of credit i
104. ty spread 043 lt spread size 10000000 size trade trade ti me 14 10 LDN ti me term at term spread 05 spread size 10000000 size lt trade gt lt credswap gt data i mport The following table describes in detail the tags for the above XML Tag time bidcurve askcurve maturity term spread size Comments Used to indicate that the data is intra day and not end of day mark to market data The format for the lt time gt tag is 24 hour HH MM TMZ where TMZ is LDN EUR NY TOKYO SINGAPORE SYDNEY or HK Markit will perform any time zone adjustment to GMT For specifying a bid side curve For specifying an ask side curve For specifying a fixed maturity date for a trade Provided in yyyy mm dd format For specifying a number of integer years or integer months to maturity For specifying the spread at which the trade was transacted This can appear with the upfront tag The data is provided as a decimal number i e 0 0001 represents one basis point The size and direction of the trade or an indication of the size of the trade To indicate the trade size use S for Small less than 5 000 000 notional M for Medium 5 000 000 to 10 000 000 notional or L for Large 10 000 000 or greater Otherwise provide the size and direction of the trade in currency i e 1000000 for a one million dollar default swap sel
105. tyname gt lt entityname gt www markit com mark mater ma ma ma ma a er er er er lt materia lt activity lt ac lt ac lt ac lt ac iv iv iv iv itycurve gt ialityrecovery gt N lt mater itycurve gt curve gt lt activitycurve gt iaia Markit Data XML Guide Version 10 3 7 iality3y gt Y lt materiality3y gt iality5y N lt materiality5y gt ialityl0y Y materialityl0y yrecovery ity3y Y facti vity3y ity5y N lt activity5y gt ityldy gt Y lt activityl0y gt ityrecovery gt N lt activityrecovery gt lt credswap gt lt data The following table describes the tags in detail Tag credswap entity entityname tier Comments Specifies that a default swap curve is being supplied Contains the customer s code for identifying the reference entity and is mandatory Optional and is used to supply a longer description up to 70 characters for the reference entity This is useful if the customer entity codes are not mnemonic The name provided will appear on the Markit Entity mapping Screen Mandatory Must be one of e g SECDOM SNRFOR SUBLT2 JRSUBUT2 PREFT1 See Appendix G Table of Seniority Levels for a full list and explanation of each value baseccy docclause credcurve recovery Used to specify the ISO currency code in which the default swap curve is quoted in this case USD
106. under the Tools gt References menu in the VBA editor OLE Automation in order to make a connection over the internet Microsoft Forms 2 0 object library to copy data to the clipboard CodeGuru zip library cGzipLibrary dll and unzip32 dll from http codeguru com vb gen vb_gr aphics fileformats article php c6743 copied into windir system32 e g c wINDOWS system32 Visual Basic Option Explicit These are global variables used by the GetPassword function The password and username variables are global so that the values entered are remembered between calls to GetPassword The globalCancel variable is global so that it can flag to GetPassword when Escape or the Cancel button was pressed Public globalCancel As Boolean password username Note Enable the following in the References dialog box under the Tools References menu jn the VBA editor OLE Automation to make a connection over the Internet Microsoft Forms 2 0 object library to copy data to the clipboard Sub GetMarkitData Dim doc As MSXML2 Server XMLHTTP For storing the downloaded report Dim clipboard As DataObject For storing the report in the clipboard to paste into the Spreadsheet Dim s The string sent to the server for retrieving the report Dim w As Worksheet Used when searching for a sheet with a name that corresponds with a report Dimi For looping through each repor
107. ur machine in the java home lib security cacerts file You need to keep this file up to date with CAs you are willing to trust i e this directory must include the root CA and intermediate CA both Verisign which signed www Markit com s server certificate These certificates can be downloaded from Verisign using the following commands lusr javalj 2sdk1 4 utere cies import alias vc3ppca keystore lusr java j2sdk1 4 0 0l jre lib security cacerts storetype jks storepass XXXXXX file vc3ppca cer fusr java j2sdk1 4 0_01 bin keytool import alias vc3ppca2 keystore lusr java j2sdk1 4 0 0Ol jre lib security cacerts storetype jks storepass XXXXXX file vc3ppca2 cer You will need to modify the paths and provide the correct storepass password for your CAcerts file 36 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Retrieving Data from the Markit Website This section describes how to automatically retrieve data from the website gt NOTE Most of these reports are also available online in the Download tab of Markit com Composite and cleaned contributor data is available for automated download from the Markit website once all contributor data has been submitted and all the Markit processes have completed This should be at around 7 00AM UK time 2 00AM EST for the previous day s closing data Reports can be automatically retrieved from th
108. vents that trigger the default swap contract and takes the following values MR MM or XR See Appendix H Table of Document Clauses for a full explanation of each value cancellability Refers to whether the contract is the cancellable European version protection terminates upon refinancing represented by Y or the non cancellable North American version represented by a N or the Bullet cancellable version represented by a B credcurve Contains the details of the credit curve and the assumed recovery rate for the entity The following is a list of valid credit curve points lt spread6m gt spread1y lt spread2y gt lt spread3y gt lt spread4y gt lt spread5y gt lt spread7y gt lt spread10y gt lt spread15y gt lt spread20y gt lt spread30y gt A value of 0 0001 represents one basis point Each spread represents the on market rate for a transaction with a current start date T 1 and maturity date equal to the next quarterly roll date following the number of years specified e g on the 5th of May 2004 spread3y means the on market rate for a trade starting on the 6th of May 2004 and ending on the 20th of June 2007 recovery Specifies the recovery rate for this credit and seniority A value of 0 7 represents 70 percent Loan Default Swap Feed Enhancements for Bid Ask The default swap feed is enhanced to handle e Bid and Ask default swap curves e Intra day default swap data with the introduction of
109. ww w3 0rg 2001 XML Schema i nstance xsi noNamespaceSchemalocat ionz http www markit com i mport xsd header system Global system fileid 1 lt fileid gt date 20 Jan 2005 lt date lt header gt lt data gt lt abs gt lt name gt CONSECO 98 2 Class C lt name id type isin gt 8765437967TA id book FYEUR book snapti me 17 00 LDN snapti me pricebi d 0 87 pricebi d priceask 0 88 priceask benchspreadbi d 0 031 benchspreadbi d benchspreadask 0 028 benchspreadask lt avlife gt 5 3 lt avlife gt prepay type cpr gt 0 09 lt prepay gt lt position gt L lt position abs abs name CONSECO 98 2 Class C name id type isin gt 8765437967TA id book FYEUR book snapti me 17 00 LDN snapti me price 0 87 price lt benchspread gt 0 031 lt benchspread lt benchspreadyi el d 0 034 benchspreadyiel d benchid type isin gt X 0213104630 lt benchi d avlife bid avlife prepay type cpr gt 0 09 lt prepay gt lt position gt L lt position gt abs data import 24 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 The tags in the above example XML are described in the following table XML Tag Type and Validation
110. www markit com Markit Data XML Guide Version 10 3 7 mark Mapping Customer Entity Codes to Markit Entity Codes Errors with default swap entity codes are resolved with the Markit Entity mapping screen which is accessed by choosing the Mappings option at the top of the screen access to this screen is granted using the Can Edit Mappings feature on the User Maintenance screen This screen is populated with entities that were reported during the upload process So continuing with our example the screen looks like this Mappings Mapping Statistics Mapping Status Number Percentage Download Lew tn xmi Customer Ticker Customer Longname Mark It Ticker Longname Status Show all z Filter Clear Customer Ticker Customer Longname Mark It Ticker Longname RED Code Status 15 Collins amp Aikman Corp CKC COLLINS amp AIKMAN CORPORATION Mapped 1500 Wesco Distribution Inc WCC Distrib Wesco Distribution Inc Mapped 1501 Red Roof Inns Inc ACCOR RRI Red Roof Inns Inc Mapped 1502 Doskocil Manufacturing Company Inc wreomer Doskocil Manufacturing Company Inc Mapped 1504 Borden Inc BORDEN Borden Inc Mapped 1506 Brooks Fiber Properties Inc MCIA BFPRP Brooks Fiber Properties Inc Mapped 1507 Wyndham International Inc Wyndham International Inc Mapped 1508 Mallinckrodt Inc Mallinckrodt Inc Mapped 1510 Continental Airlines Inc Continental Airlines Inc 2D17GE Mapped
111. x data is provided within the credindex tag gt credi ndex red 123456789 name CDX NA IG term 5Y lt An intra day quote lt and an upfront lt quote gt ti me upfrontbi d upfrontask spread quote red lt name term expressed as a running spread 14 08 NY ti me 0 45 upfrontbi d 0 50 upfrontask 0 05 spread lt A trade expressed as a spread gt trade ti me spread size trade 14 08 NY ti me 0 067 spread 10000000 size lt A closing mark expressed as a price or upfront gt close ti me upfront spread close Confidential Copyright 2010 14 08 NY ti me 0 30 upfront 0 067 lt spread gt 21 of 78 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 credi ndex lt Credit Index tranche data gt credtranche red 123456789 red name NAIG Equity lt name attach 0 attach detach 0 03 detach term 5X term lt An closing mark expressed as a running spread gt lt and an upfront gt close ti me 17 00 NY ti me upfront 0 46 upfront spreadbi d 0 055 spreadbi d spreadask 0 07 spreadask correlationbid 0 27 correlationbi d correlationask 0 29 correlationask lt delta
112. y Char20 AvRating The average of Moody s and S amp P ratings Char3 adjusted to instrument s seniority and rounded to not include and levels Bond Report Columns The following table describes the columns for the Bond reports Field Description Bond Bond Bond ype Composites Contributions DataQuality AvRating The average of the Moody s Y Char3 and S amp P ratings adjusted to the seniority of the instrument and rounded to not include the and levels 67 of 78 Confidential Copyright 2010 Markit Group Limited All rights reserved www markit com mark Markit Data XML Guide Version 10 3 7 Field BenchmarkName Bond Bond Composites Contributions Description The underlying benchmark bond Bond DataQuality ype Varchar2 BenchmarkSpread BenchmarkYield CarryFwd Ccy CompositeCDSImpliedSpr ead CompositeDefaultProbSpr ead CompositePrice CompositePriceAsk CompositePriceBid CompositePriceRating CompositeUsdParAswSpr ead The yield spread of the underlying benchmark yield The yield of the benchmark Indicates the number of days a contribution has been carried forward A price is carried forward by adjusting for the average change in all good points from one day to the next The currency of the instrument The spread generated by evaluating the credit curve for the issuing entity at bond matur

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