Hi all,a quick question on ISDA conventions for CDS. As far as I now, according to ISDA 2003 CDS conventions, the protection leg in a cds contract starts from (TradeDate + 1). Following ISDA 2009 conventions instead, protection starts from (TradeDate - 60) (see for example this)Could anyone confirm this? many thanks

It is a trailing 60 day window. So, on trade date you are protected against the (unlikely) possibility that a credit event was deemed to have happened within the last 60 days. But at any future date you can only look back 60 days from that particular point in time. It was done to make contracts with the same maturity date but different trade dates completely fungible to facilitate central clearing.

Many thanks for your reply. Just to clarify: what do you mean by "completely fungible"? Could you provide an example please?

Consider buying protection on $10 mm ABC with maturity 12/20/2017 from counterparty X today and selling protection on $10 mm ABC with maturity 12/20/2017 to counterparty Y tomorrow. Under the pre-2009 rules there would be a tiny difference in the rights conferred by the two contracts (based on protection starting on the trade date), but this would be swamped by the difference in counterparty. By removing the link to trade date the contracts are now identical, up to counterparty, and so if they are centrally cleared will net out and your position will vanish.

Many thanks, that's clear now.

Think of it this way....An accrual point of view you would need to look back, so if you trading a single-name following SNAC convention your effective date for accrual purposes would be the last reset date so 3/20/2013 based off today's trade date.Your upfront would be composed of two parts, upfront for where contract rate (1% or 5% for NA) is to market rate and what side of the CDS you are on (Paying (Buy Protection) or Receiving Fixed (Sell Protection))You will also have traded accrued you would either receive or pay depending on the side of the CDS you are on.Reason being.... come 6/20 you will either pay or receive a full coupon period which you were not entitled to.The way I see the cleared market for CDS is a combination of a Future and BondThe Future aspect is the 'standardization' of contract specs (CME and ICE have these readily available on a daily basis). CME has their ITC Alias ID which is the CME Contract ID (Composition of Ticker + Seniority + Restructuring + Maturity + CCY + Fixed Rate), and ICE has their ICE Contract ID that is structured similar to CME's idThe bond portion of it is accrued aspect of it.For Cleared Swaps this all comes down to Netting... CME is a position based system, but since these contracts are all fungible, you could look at it you are decreasing or increasing your position in an existing contract, so the concept of ISDA's and confirms goes away essentially.This point is more valid I guess once Dodd-Frank mandates SEF, confirmation will be part of trade execution on the SEF.Right now most cleared swaps and swaps in general are traded off facility

I also like using the CDXT feature on BB to illustrate this point as well.

QuoteOriginally posted by: ekeenan81Think of it this way....An accrual point of view you would need to look back, so if you trading a single-name following SNAC convention your effective date for accrual purposes would be the last reset date so 3/20/2013 based off today's trade date.Your upfront would be composed of two parts, upfront for where contract rate (1% or 5% for NA) is to market rate and what side of the CDS you are on (Paying (Buy Protection) or Receiving Fixed (Sell Protection))You will also have traded accrued you would either receive or pay depending on the side of the CDS you are on.Reason being.... come 6/20 you will either pay or receive a full coupon period which you were not entitled to.The way I see the cleared market for CDS is a combination of a Future and BondThe Future aspect is the 'standardization' of contract specs (CME and ICE have these readily available on a daily basis). CME has their ITC Alias ID which is the CME Contract ID (Composition of Ticker + Seniority + Restructuring + Maturity + CCY + Fixed Rate), and ICE has their ICE Contract ID that is structured similar to CME's idThe bond portion of it is accrued aspect of it.For Cleared Swaps this all comes down to Netting... CME is a position based system, but since these contracts are all fungible, you could look at it you are decreasing or increasing your position in an existing contract, so the concept of ISDA's and confirms goes away essentially.This point is more valid I guess once Dodd-Frank mandates SEF, confirmation will be part of trade execution on the SEF.Right now most cleared swaps and swaps in general are traded off facilityUmm, what part of "that's clear now" did you object to? While I will confess that I don't fully understand your point, I am quite certain that it is well removed from the original question. This may be one of those cases where a new thread may be called for.