Market CDS quotes technical question

Fabes · August 22nd, 2007, 9:24 am

Hi all,There is something for which I need some precision concerning the quotation of CDS spreads on the main data providers (Bloomberg, Markit etc.).To illustrate my question, let's focus on 5Y CDS Spread quotation that I can find on a provider on the date 2007-08-22. Is this quotation the fair CDS spread of a CDS :(a) starting 2007-08-22 and ending 2012-08-22 ?(b) starting 2007-08-22 and ending 2012-06-20 ?(c) starting 2007-08-22 and ending 2012-09-20 ?(d) starting 2007-09-20 and ending 2012-09-20 ?(e) other possibility?Thank you very much.

qhedge · August 22nd, 2007, 9:59 am

Wibble · August 22nd, 2007, 10:22 am

I presume we're not talking about indices here, so it's the quote to enter into a trade on an instrument for 5 years; conventionally it'll be the next IMM date + 5 years but there'll be an upfront payment of some description at T+3 due to the long stub. An index trade is just until the end of the series that you're trading

NoelWatson · August 22nd, 2007, 10:27 am

e). Starts at T+1, ends on next roll data after five years i.e. 20/09/2012

guoted · August 27th, 2007, 8:10 pm

e) is correct I believe for normal corporate single name CDS contracts. If the contract involves upfront payment, cash is usually settled at T+3. Otherwise, T+1 will be the effective date which is used to calcualte the accruals from spread. Note however, the roll of single names aren't always every 3 month. For CDS on emerging market (non-asian) countries, the roll is monthly.Regards,Ted