CDX Initial Factor Processing Notes

Factor (91) is a required field for CDX trades. The trade looks for existing credit events, and will automatically populate the most recent factor if one exists. For a CDX with no credit events, the initial factor of 1.00 must be sent in with the trade.

Some trade/order management systems (OMS) are unable to provide this factor. This document explains how to seed the initial factor of 1.00 to prevent having to send it in with the trade.

1. Create a Credit Event corporate action effective prior to initial trade date

   1. Set all dates equal to the earlier of Issue Date (68) or Dated Date (1183)

      1. The date fields for a typical credit event will be different, but they can all be the same for the first one because they do not trigger any actual processing

   2. Using the earlier of Issue Date or Dated Date will ensure the trade panel picks up the factor

   3. Set Factor = 1.00

2. Book the trade

   1. Factor is retrieved automatically