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CDS Reference Data XML

Guide Friday, March 16, 2018

CDS Reference Data XML Guide

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Copyright

Unpublished work © 2017 IHS Markit Ltd

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Table of content

Introduction……………………………………………………..5

Using this Document…………………………………………..5

Tag / Field Description Tables – Definitions…………………5

Overview of the RED XML Files……………………………...5

Entities XML File……………………………………………….6

Entities XML File Tags / Fields……………………………….6

Obligations XML File…………………………………………12

Obligations XML File Tags / Fields…………………………12

Entities Mapped XML File……………………………………15

Obligations Mapped XML File……………………………….15

Entities Delta XML File……………………………………….16

Obligations Delta XML File…………………………………..16

Preferred Obligations XML File……………………………..16

Standard Reference Obligation (SRO) XML File………….16

SRO XML File Tags / Fields…………………………………16

Credit Indices XML Files……………………………………..18

Credit Index (Index Standard) XML File……………………19

Credit Index (Index Standard) XML File Tags / Fields……19

MCDXNA Index XML File……………………………………24

MCDXNA Index XML File Tags / Fields……………………24

Credit Index (Index Dynamic) XML File…………………….25

Credit Indices (Index Dynamic) XML Files Tags / Fields…26

Credit Index Split XML Files…………………………………27

Credit Index Reference Data XML File……………………..27

Credit Index Reference Data Files Tags / Fields………….27

Index Classification XML File………………………………..30

Index Classification XML File Tags / Fields………………..30

Index Classification Delta XML……………………………...31

Automating Downloads………………………………………31

All Reports…………………………………………………….32

Report Parameters…………………………………………...32

Report Status………………………………………………….34

Server is busy…………………………………………………34

Report is currently building…………………………………..34


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The overnight batch process is running……………………35

The connection dropped before report finished building….35

Automated Retrieval Samples………………………………35

Excel Visual Basic……………………………………………35

Curl…………………………………………………………….44 Appendix A – Unzipping a Download File in Visual Basic..44

Appendix B – Sample XML data…………………………….45

Obligations XML………………………………………………45

SRO XML……………………………………………………...47

MCDXNA Index XML File……………………………………49 Index Classification XML File………………………………..51

Additional Resources………………………………………...53

Contact Us…………………………………………………….53

Online Help……………………………………………………53


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Introduction

The Reference Entity Database (RED) contains the full legal names and standard reference obligations that are regularly traded in the credit derivatives market. Each entity and obligation pair is uniquely identified with a RED code that is administered by the CUSIP numbering agency. The RED code is designed to allow unambiguous settlement of trades.

Using this Document This document describes the XML files that can be downloaded from the RED database, including entity, obligation, and credit index XML files. For each XML file, the document provides a sample file and a table that defines each tag or field in the file.

Tag / Field Description Tables – Definitions

The tag or field tables include the following columns:

Tag / Field – The exact tag or field name as it appears in the XML file.

Values – Specifies the type of data that can appear in the field, e.g., Boolean, char,

date, float, number or varchar. Will also specify the max length of the field.

Required – Specifies if the field is required or not in the XML file.

Description – Provides a brief description of the data that appears in the field and

provides information about values, format, restrictions, etc.

Overview of the RED XML Files Markit stores historical RED entity and obligation information making it possible to record the corporate history of a reference entity. Upon implementation of a corporate action, RED will create a new reference entity in the database.

A ‘valid to’ date will be added to the old reference entity, it will then be marked as non-current.

A ‘valid from’ date will be added to the new reference entity that is created following implementation of the corporate action.

Also instruments of the old entity will be terminated with a ‘validto’ date and a new set of instruments with a ‘validfrom’ date will be created.

The RED XML files are available anytime for download; however, note that the files are updated daily at the start of the business day by approximately 6:30AM London time.

Dates are provided in YYYY-MM-DD format. Numbers, such as coupons, are provided in decimal form, e.g., 10% is shown as 0.1.

All XML files include a <header> section that provides a <version> tag and the <date> the XML file was created.

Please note the RED website has a date parameter embedded within the download request but it is only applicable for Dynamic index XMLs. You may find that the download dates of the other RED XMLs are different from the index dynamic file because of this reason.


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Entities XML File The Entities XML file contains all current RED entity data along with associated corporate actions, CDS succession events and credit events.

The RED scrubbing process is undertaken by Allen & Overy (A&O) in conjunction with Markit.

Entities XML File Tags / Fields

The following table describes each tag or field in the Entities XML file.

Tag / Field Values Required Description

header>name char (100) Y XML name

header>version number (3) Y XML report version

header>date date Y

XML date. This is the date on which the report was requested for download and first generated by the client. Note, we have a batch process that runs between Tuesday and Saturday. There are no data changes made on Sunday. The file generated on Saturday is the same as Monday. Some clients may notice that Saturday’s date is generated on the Monday XMLs. This is because the system would have logged any first attempt made by the client prior to Monday.

entity>referenceentity char (500) Y

The full company legal name including punctuation. Uses the Latin character set, e.g. Nestle is shown with no acute accent over the last ‘e’. Asian names are translated to their English equivalent.

entity>shortname char (60) Y

The Markit abbreviated company name based on the full legal name.

entity>ticker char (30) Y The Markit ticker for this entity.

entity>redentitycode char (6) Y The six-character RED code for this entity.

entity>entitycusip char (6) The six-character CUSIP code for this entity.

entity>lei char (20)

The Legal Entity Identifier (LEI) or provisional LEI (CICI).


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entity>entitytype char (20) Y

• Corp - A corporate • Sov - A sovereign • State - A state, regional government or provincial government • StatBody - A statutory body • Supra - A supranational • Insurer - An insurer • Monoline - A monoline insurer • Index - A credit index • Muni – A US municipal entity

entity>jurisdiction char (500) Y

The legal jurisdiction of this entity. E.g. ‘Delaware’ or ‘England & Wales’.

entity>country char (3) Y ISO code of the country where the entity is located.

entity>depthlevel char (4)

Number of Markit CDS pricing contributors.

Low = 0-3 contributors

Med = 4-8 contributors

High = 9 + contributors

entity>markitsector char (500) Markit Sectors classification (Tier 2)

entity> isdatradingdefinition char (9) Denotes the year the ISDA Definitions are applicable

entity>recorddate date

If this tag is populated with a date, it indicates that A&O have scrubbed & legally verified that the entity in good standing as of that date. If this tag is not populated, it indicates that the entity is un-scrubbed data and has not been legally verified by A&O.

entity>holdco char (5) Indicates if the reference entity is a holding entity.

entity>ratings>ratingpertier>tier char (10)

SNRFOR SNRLAC SUBLT2 SECDOM JRSUBUT2 PREFT1

entity>ratings>ratingpertier>averagerating char (4)

The Markit average rating is the average of S&P, Moody’s and Fitch for that tier of debt.


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entity>entityform char (20)

The entity legal form, e.g. ‘LTD’, ‘SA’, ’CORP’, ‘AG’, etc.

entity>companynumber>type char (200)

The description of the registry or organization that issued the company number. Currently, uses free format.

entity>companynumber>value char (50) The company number of this entity.

entity>alternativenames char (2000)

The list of alternative names for this entity. Items in the list are usually separated with semicolons.

entity>validto date

If this tag is included, this date is the date on which this entity ceased to exist following a corporate event. If this tag is not included, this company is an active entity.

entity>validfrom date

If this tag is included, this date is the date on which this entity came into existence following a corporate event. If this tag is not included, no entity-altering corporate events have occurred for this entity since the RED database was established.

entity>events>event>corporateaction>nextredentitycodes>nextredentitycode char (6)

The six-character RED code of the next Legal reference entity following a corporate event. Note: there can be more than one next entities.

entity>events>event>corporateaction>prevredentitycodes>prevredentitycode char (6)

The six-character RED code of the predecessor entity following a corporate event. Note: there can be more than one previous entities.

entity>events>event>corporateaction>type char (50)

• Merger • Demerger • Acquired • Dissolved • Renamed • Bankrupt • Ceased

entity>events>event>corporateaction>eventdate date

Date on which corporate event took place.


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entity>events>event>corporateaction>implementationdate date

Date on which corporate event was implemented within RED database.

entity>events>event>cdssuccession>cdssuccessor char (6)

The six-character RED code of the next CDS reference entity following a Succession Event. Note: there can be more than one CDS successor entities.

entity>events>event>cdssuccession>cdspredecessor char (6)

The six-character RED code of the previous reference entity prior to occurrence of a Succession Event. Note: there can be more than one CDS predecessor entities.

entity>events>event>cdssuccession>cdsweighting char (15)

Shows the percentage of debt that was moved to the next CDS reference entity. Must be one of the following values:

• 0 • <=25 • >25 & <=75 • >75 • 100

entity>events>event>cdssuccession>sequenceno number

The sequence order of succession events for an entity. Useful if there were multiple succession events on same day.

entity>events>event>cdssuccession>isda char (9)

Indicates which ISDA Definitions have been applied to the Succession Event, 1999, 2003, 2014 and 2003_2014

entity>events>event>cdssuccession>isdaresolved char (3)

Displays “yes” or “no” if the ISDA Determinations Committee came to a conclusion regarding a Succession Event.

entity>events>event>cdssuccession>isdaresolveddate date

Date on which the ISDA Determinations Committee came to a conclusion regarding a Succession Event.

entity>events>event>cdssuccession>eventdate date

Date on which the Succession Event took place, as per the ISDA DC decision.


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entity>events>event>creditevent>eventtype char (50)

• BANKRUPTCY • FAILURE TO PAY • RESTRUCTURING • OBLIGATION ACCELRATION • OBLIGATION DEFAULT • REPUDIATION / MORATORIUM

• GOVERNMENT INTERVENTION

entity>events>event>creditevent>defaultdate date Date of default.

entity>events>event>creditevent>cerrd date

Credit Event Resolution Request Date (CERRD), also known as Event Determination Date (EDD) is the date on which both the Credit Event notice and the notice of Publicly Available Information (PAI) are delivered to the relevant Credit Event Determination Committee.

entity>events>event>creditevent> isdadefinition char (9)

Indicates which ISDA Definitions have been applied to the Credit Event.

entity>events>event>creditevent>tiers>tier>tier char (20)

‘SNR’,’SUB’, ‘SNRLAC’, ‘SNR/SUB’,‘SNR/SNRLAC, ‘SUB/SNRLAC’, or ‘SNR/SUB/SNRLAC’

entity>events>event>creditevent>tiers>tier>auctions>auction>maturitybucket char (10)

Specific maturity bucket of the credit event auction.

entity>events>event>creditevent>tiers>tier>auctions>auction> noauctiondate date

Indicates the date on which ISDA announces No Auction.

entity>events>event>creditevent>tiers>tier>auctions>auction>auctiondate date Date of auction.

entity>events>event>creditevent>tiers>tier>auctions>auction>cashsettlementdate date

Date for when cash settlement is made.

entity>events>event>creditevent>tiers>tier>auctions>auction>rebate char (3)

Is there a rebate specified in protocol. Populated with ‘yes’ or ‘no’.

entity>events>event>creditevent>tiers>tier>auctions>auction>bidders number

Number of bidders for the auction.

entity>events>event>creditevent>tiers>tier>auctions>auction>maxinitialmktbidofferspread float

Maximum bid-ask that can be submitted in the Initial Bidding Period.


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entity>events>event>creditevent>tiers>tier>auctions>auction>initialmktquotationamt float

Notional Value used to calculate adjustment amount, if applicable.

entity>events>event>creditevent>tiers>tier>auctions>auction>relevantcurrency char (3) Currency of auction price.

entity>events>event>creditevent>tiers>tier>auctions>auction>auctionccyrate>deliverableobligationcurrency char (3)

Denominating currencies of deliverable obligations.

entity>events>event>creditevent>tiers>tier>auctions>auction>auctionccyrate>deliverableobligationfxrate float

The relevant currency and the currency of denomination of each deliverable obligation.

entity>events>event>creditevent>tiers>tier>auctions>auction>imm float Inside Market Midpoint

entity>events>event>creditevent>tiers>tier>auctions>auction>openinterestsize float

The difference between total quotation amount stated all Physical Settlement Buys and total quotation amount stated all Physical Settlement Sells.

entity>events>event>creditevent>tiers>tier>auctions>auction>openinterestdirection char (4) "buy" or "sell"

entity>events>event>creditevent>tiers>tier>auctions>auction>auctionprice float Final recovery price.

entity>events>event>creditevent>tiers>tier>confirmeddata char (10)

Has credit event date been confirmed via Markit’s auction process. Populated with ‘official’ or ‘unofficial’.

entity>isdatransactiontypes>isdatransactiontype>name char (200)

Determined by counterparties at the time of placing a trade. It is based on: The jurisdiction of the

entity (in its capacity as issuer or guarantor).

The most updated ISDA Physical Settlement Matrix (this Matrix sets out the terms of a standard transaction; counterparties choose the most appropriate type).

Markit obtains ISDA Transaction Type data from DTCC on a weekly basis.


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entity>isdatransactiontypes>isdatransactiontype>tier char (10)

Counterparties are able to determine the tier of their trade at the time of entering the transaction. The tier is based on: The entity in its capacity

as issuer or guarantor of the reference obligation.

The seniority of the reference obligation.

Obligations XML File The Obligations XML file contains all current RED obligation data and references the Entities XML file. Please note that ISIN and CUSIP codes are not unique within the Obligations file because an obligation may undergo a restructuring and retain its ID. An ISIN or CUSIP may also have one entity as its issuer and another as its guarantor. The RED Pair Code is unique however.

Obligations XML File Tags / Fields

The following table describes each tag or field in the Obligations XML file.



header>version number Y XML report version

header>date date Y

XML date. This is the date on which the report was requested for download and first generated by the client. Note, we have a batch process that runs between Tuesday and Saturday. There are no data changes made on Sunday. The file generated on Saturday is the same as Monday. Some clients may notice that Saturday’s date is generated on the Monday XMLs. This is because the system would have logged any first attempt made by the client prior to Monday.

obligation>obligationname char(700) Y The obligation name.

obligation>prospectusinfo>issuers>origissuerasperprosp char(500)

The original issuer name taken from the prospectus at the time the obligation was issued. Please note that this name is not the exact legal


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Tag / Field Values Required Description issuer name and represents a historic snapshot; hence, it may be different from the issuer.refentityname.

obligation>prospectusinfo>guarantors>origguarantorasperprosp char(500)

The original guarantor name taken from the prospectus when the pair was scrubbed. Please note that this name is not the exact legal issuer name and represents a historic snapshot; hence, it may be different from the guarantor entity name.

obligation>refentities>refentity>role char(10) Y

Specifies if the entity is the Issuer or Guarantor of the reference obligation.

obligation>refentities>refentity>referenceentity char(500) Y

The scrubbed exact legal name for the reference entity when it is in the role of issuer or guarantor of the obligation.

obligation>refentities>refentity>redentitycode char(6) Y

The six-character RED code for the reference entity. This field can be used to join with the Entities XML file.

obligation>refentities>refentity>holdco char(5)

Indicates if the reference entity is a holding entity.

obligation>refentities>refentity>redpaircode char(9) Y

The nine-character RED code for this entity-obligation pair.

obligation>refentities>refentity>tier char(8) Y

The instrument tier. Must be one of SECDOM, SNRLAC, SNRFOR, SUBLT2, JRSUBUT2, or PREFT1.

obligation>refentities>refentity>subordinationtype char(100)

Indicates the subordination type applicable to the reference obligation.

obligation>refentities>refentity>pairiscurrent boolean

Indicates if the pair with the issuer is current. The value is “false” if the pair with the issuer is not current.

obligation>refentities>refentity>pairvalidfrom date

The date from which the pair with the issuer is valid.

obligation>refentities>refentity>pairvalidto date

The date through which the pair with the issuer is valid.

obligation>refentities>refentity>ticker char(30) Y The Markit Ticker of the Entity

obligation>refentities>refentity>ispreferred boolean

Indicates that the market has adopted this obligation as the


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Tag / Field Values Required Description preferred reference obligation for this entity and tier of debt.

obligation>refentities>refentity>preferreddate date

Will show the last date the pair was made preferred by Markit.

obligation>refentities>refentity> preferredremovaldate date

Indicates the date on which preferred flag is removed.

obligation>refentities>refentity>indexconstituents>indexconstituent char(50)

If this issuer is a constituent of one or more indices, the nine-character RED codes for those indices listed.

obligation>refentities>refentity>recorddate date Y

If this tag is populated with a date, it indicates that A&O have scrubbed & legally verified the reference entity and obligation pairing.

obligation>refentities>refentity>publiccomments char(4000)

Comment inserted by Markit or A&O regarding special features of the reference entity and obligation pairing.

obligation>type char(50) Y

The type of instrument. Bond or dummy obligation. Dummy obligations will have ISIN values of XSNOREFOBL00 or XSUNKNOWN00.

obligation>isconvert boolean Y Indicates if this bond is convertible.

obligation>isperp boolean Y Indicates if this bond is perpetual.

obligation>coupontype char(10) Y The type of coupon. Must be one of Fixed, Float, or Struc.

obligation>ccy char(3) Y

The ISO (International Organization for Standardization) currency symbol.

obligation>maturity date

The maturity date of the obligation in yyyy-mm-dd format.

obligation>issuedate date

The issue date of the obligation in yyyy-mm-dd format.

obligation>coupon float Y

The coupon of an obligation or spread of a Floating Rate Note (FRN). For example, one percent (1%) is shown as 0.01.

obligation>isin char(50) Y The obligation’s ISIN.


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obligation>cusip char(50) The obligation’s CUSIP.

obligation>event char(20)

Event that the Obligation went through. • Issuer Substituted - The issuer was replaced by another entity. • Called - The obligations were called by the issuer. • Exchanged – The obligation has been exchanged for new debt. • Matured – The obligation has reached its maturity.

• Bought Back - The obligations were bought back by the issuer.

Entities Mapped XML File The Entities Mapped XML file is only applicable / available to RED By-Mappings clients. This file will contain a subset of entities from the full RED Entities XML that are selected individually by clients.

The Entities Mapped XML file has the same format as the Entities XML file with the additional one field below. See the Entities XML file section of this Guide for more details.


entity>myticker char (30)

The mapped client identifier

Obligations Mapped XML File The Obligations Mapped XML file is only available to RED By-Mappings clients. This file will contain a subset of RED pairs from the full RED Obligations XML file. It will contain the RED pairs that are linked to the entities that the client selected (see Entities Mapped XML File).

The Obligations Mapped XML file has the same format as the Obligations XML file with the additional one field below. See the Obligations XML file section of this Guide for more details.


obligation>refentities>refentity>myticker char(30)

The mapped client identifier


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Entities Delta XML File The Entities Delta XML file contains the changes to the Entities XML file over the last 10 days (i.e. if a change is made to RED today, this change is reflected in the next 10 days’ files.) In case any entity field has changed, the full new entity record is included in the Entities Delta XML file.

The Entities Delta XML file has the same format as the Entities XML file. See the Entities XML file section of this Guide.

Obligations Delta XML File The Obligations Delta XML file contains the changes to the Obligations XML file over the last 10 days (i.e. if a change is made to RED today, this change is reflected in the next 10 days’ files.) In case any bond field has changed, the full new bond record is included in the Obligations Delta XML file.

The Obligations Delta XML file has the same format as the Obligations XML file. See the Obligations XML file section of this Guide.

Preferred Obligations XML File The Preferred Obligations XML file is a subset of the main RED Obligations XML. It will only contain RED Pairs that have been flagged as preferred.

The Preferred Obligations XML file has the same format as the Obligations XML file. See the Obligations XML file section of this Guide.

Standard Reference Obligation (SRO) XML File The SRO Obligation XML file contains all SRO obligation data.

SRO XML File Tags / Fields

The following table describes each tag or field in the SRO Obligation XML file.

Tag/Field Values Required Description


header>version number(3) Y XML report version


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header>date date Y XML date. This is the date on which the report was requested for download and first generated by the client. Note, we have a batch process that runs between Tuesday – Saturday. There are no data changes made on Sunday. The file generated on Saturday is the same as Monday. Some clients may notice that Saturday’s date is generated on the Monday XMLs. This is because the system would have logged any first attempt made by the client prior to Monday.

entity>referenceentity char (500) Y The full company legal name including punctuation. Uses the Latin character set, e.g. Nestle is shown with no acute accent over the last ‘e’. Asian names are translated to their English equivalent.

entity>redentitycode char (6) Y The six-character RED code for this entity.

entity>sro>obligation>sroisin char(12) Y The SRO ISIN.

entity>sro>obligation>srotier char(8) Y The instrument tier. Must be one of SENIOR, SUB, SNRLAC.

entity>sro>obligation>sroredpaircode

char(9) Y The nine-character RED code for this entity-obligation pair.

entity>sro>obligation>underlyingobligations>underlyingobligation>isin

char(12) Y The obligation’s ISIN.

entity>sro>obligation>underlyingobligations> underlyingobligation> redpaircode

char(9) Y The nine-character RED code for this entity-obligation pair.


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entity>sro>obligation>underlyingobligations> underlyingobligation>maturity

date The maturity date of the obligation in yyyy-mm-dd format

entity>sro>obligation>underlyingobligations> underlyingobligation>coupon

float Y The coupon of an obligation or spread of a Floating Rate Note (FRN). For example, one percent (1%) is shown as 0.01.

entity>sro>obligation>underlyingobligations> underlyingobligation>tier

char(8) Y The instrument tier. Must be one of SECDOM, SNRFOR, SNRLAC and SUBLT2.

entity>sro>obligation>underlyingobligations>underlyingobligation> subordinationtype

char(100) Indicates the subordination type applicable to the reference obligation.

entity>sro>obligation>underlyingobligations> underlyingobligation>srovalidfrom

date Y The date from which the pair with the issuer is valid.

entity>sro>obligation>underlyingobligations> underlyingobligation>srovalidto

date The date through which the pair with the issuer is valid.

entity>sro>obligation>underlyingobligations> underlyingobligation>isdeliverable

boolean Y The underlying obligation is deliverable or not as per ISDA Credit Event Definition.

entity>sro>obligation>underlyingobligations> underlyingobligation>comments

char(4000) Comment inserted by Markit regarding the reference Obligation deliverability.

entity>sro>obligation>underlyingobligations> underlyingobligation>issro

boolean Y Indicates that the market has adopted this obligation as the SRO reference obligation for this entity.

entity>sro>obligation>underlyingobligations> underlyingobligation>reason

char(50) •ISDA DC

•CEASED

Credit Indices XML Files The Credit Indices XML feeds are designed to provide sufficient information required to trade each index series by providing (1) a collection of RED Codes for the constituents making up the index, (2) RED Index Codes that define the index series and version, and (3) a unique code for each set of transaction terms (i.e. maturity and coupon information) for the index (the different transaction terms provide for different tradable entities). The Credit Index XML files reference the Entities and Obligations XML files.

The Credit Indices XML files are separated into two different formats: Index Standard and Index Dynamic.


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The Index Standard file follows the traditional formatting of RED Index XML files. All

series and all versions will be displayed.

The Index Dynamic file will only display the latest active version of each index series.

Additionally, the file will display ‘latest constituent’ fields to display entities of constituents following corporate actions or CDS succession events.

Credit Index (Index Standard) XML File The Index Standard file follows the traditional formatting of RED index XML files. All series and

all versions will be displayed. Entities in the indices are updated for corporate actions only at the time of the series launch of the index.

Note: The Credit Indices XML files provide XML feeds for all of the credit index series (e.g.

CDX, iTraxx Europe, MCDXNA, etc.). All of the credit indices for the Index Standard use the same file format except for the MCDXNA file which is referenced separately below.

Credit Index (Index Standard) XML File Tags / Fields

The following table describes each tag or field in the Credit Index XML files.


header>name char(50) Y XML name


header>date date Y

XML date. This is the date on which the report was requested for download and first generated by the client. Note, we have a batch process that runs between Tuesday – Saturday. There are no data changes made on Sunday. The file generated on Saturday is the same as Monday. Some clients may notice that Saturday’s date is generated on the Monday XMLs. This is because the system would have logged any first attempt made by the client prior to Monday.

index>indexfamily char(500) Y

The index family, i.e. the organization providing the index.

index>indexsubfamily char(500) Y Displays the index family and index sub-family.

index>indexname char(500) Y The index series name as it appears in the annex.

index>effectivedate date Y The date from which the index series is effective. In yyyy-


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Tag / Field Values Required Description mm-dd format.

index>annexdate date Y The publication date of the annex.

index>series number Y

The series number of the index series; taken from the index prospectus.

index>version number Y

The version number of the index series. This number is updated each time a credit event affects an underlying component of the index to necessitate a new version.

index>activeversion boolean

Displays 'Y' if the version is the active version of the index series.

index>ccy char(3) Y The ISO currency symbol for the index series.

index>indexfactor float Y

Sum of weights of the original constituents as per each series and version. This will be 1 in any index without defaults and reduced in any index with defaults.

index>redindexcode char(9) Y The 9-character RED code used to trade an index series.

index>prevredindexcode char(9)

The previous index version as referenced by the RED Index Code.

index>nextredindexcode char(9)

The next index version as referenced by the RED Index Code.

index>firstpaymentdate date Y

The first payment date for the fixed rate return on the index as specified in the annex.

index>paymentfrequency char(4) Y

The frequency of payments of the fixed rate return in months or years, followed by ‘M’ for months or ‘Y’ for years, respectively; e.g. typical values are ‘3M’ or ‘1Y’.

index>recoveryrate float Y

The recovery rate is determined through the credit event auction process.

index>terms>term>tenor char(4) Y

The duration of this set of transaction terms for the index series. This value is expressed in years followed by the character ‘Y’, e.g.


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Tag / Field Values Required Description typical values are ‘5Y’ or ‘10Y’.

index>terms>term>coupon float Y

The fixed rate on the index contract. One percent (1%) is shown as 0.01.

index>terms>term>maturity date Y

The date on which the index series matures, i.e. the scheduled termination date. In yyyy-mm-dd format.

index>terms>term>tradeid char(50) Y

The unique trading ID used to trade an index series under a particular maturity.

index>constituents>constituent>refentity>originalconstituent>referenceentity char(500)

Y

The reference entity for this component. The reference entity may be either the obligor or a guarantor.

index>constituents>constituent>refentity>originalconstituent>redentitycode char(6)

The six-character RED code for the reference entity.

index>constituents>constituent>refentity>originalconstituent>holdco char(5)

Indicates if the reference entity is a holding entity.

index>constituents>constituent>refentity>originalconstituent>role char(10)

Specifies if the entity is the Issuer or Guarantor of the reference obligation.

index>constituents>constituent>refentity>originalconstituent>redpaircode char(9)

The nine-character RED code for this entity-obligation pair.

index>constituents>constituent>refentity>originalconstituent>jurisdiction char(100)

Y The legal jurisdiction of this entity. E.g. ‘Delaware’ or ‘England & Wales’.

index>constituents>constituent>refentity>originalconstituent>tier char(8)

The instrument tier. Must be one of SECDOM, SNRFOR, SNRLAC, SNRLAC, SUBLT2, JRSUBUT2, or PREFT1.

index>constituents>constituent>refentity>originalconstituent> subordinationtype char(100)

Indicates the subordination type applicable to the reference obligation.

index>constituents>constituent>refentity>originalconstituent>pairiscurrent boolean

Indicates if the pair with the issuer is current. The value is “false” if the pair with the issuer is not current.

index>constituents>constituent>refentity>originalconstituent>pairvalidfrom date

The date from which the pair with the issuer is valid.

index>constituents>constituent>refentity>originalconstituent>pairvalidto date

The date through which the pair with the issuer is valid.


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index>constituents>constituent>refentity>originalconstituent>ticker char(100)

Y The Markit Ticker of the Entity

index>constituents>constituent>refentity>originalconstituent>ispreferred boolean

Indicates that the market has adopted this obligation as the preferred reference obligation for this entity and tier of debt. The entity is in the role of issuer.

index>constituents>constituent>refentity>originalconstituent>docclause char(4) Y

Legal docclause information specified for this reference entity in the index annex.

index>constituents>constituent>refentity>originalconstituent>recorddate date

If this tag is included, this date is the date on which the jurisdictional documentation was produced for A&O during the scrubbing process. If this tag is not included, the XML feed includes un-scrubbed data.

index>constituents>constituent>refentity>originalconstituent>publiccomments char(4000)

Markit notes related to the pair.

index>constituents>constituent>refentity>originalconstituent>weight float Y

The weight of the original index constituent.

index>constituents>constituent>refentity>originalconstituent>isdatransactiontype>name char(500)

Determined by counterparties at the time of placing a trade. It is based on: The jurisdiction of the

entity (in its capacity as issuer or guarantor).

The most updated ISDA Physical Settlement Matrix (this Matrix sets out the terms of a standard transaction; counterparties choose the most appropriate type).

Markit obtains ISDA Transaction Type data from DTCC on a weekly basis.

index>constituents>constituent>refentity>originalconstituent>isdatransactiontype>tier char(15)

Counterparties are able to determine the tier of their trade at the time of entering the transaction. The tier is based on:

The entity in its capacity as issuer or guarantor of the reference obligation.

The seniority of the reference obligation.


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index>constituents>constituent>refobligation>type char(8)

The type of instrument. Bond or dummy obligation.

index>constituents>constituent>refobligation>isconvert boolean

Indicates if this bond is convertible. Must be one of “true” or “false”.

index>constituents>constituent>refobligation>isperp boolean

Indicates if this bond is perpetual. Must be one of “true” or “false”.

index>constituents>constituent>refobligation>coupontype char(10)

The type of coupon. Must be one of Fixed, Float, or Struc.

index>constituents>constituent>refobligation>ccy char(3)

The ISO (International Organization for Standardization) currency symbol.

index>constituents>constituent>refobligation>maturity date

The maturity date of the obligation in yyyy-mm-dd format.

index>constituents>constituent>refobligation>coupon float

The coupon of an obligation or spread of a Floating Rate Note (FRN). For example, one percent (1%) is shown as 0.01.

index>constituents>constituent>refobligation>isin char(12)

The obligation’s ISIN.

index>constituents>constituent>refobligation>cusip char(9)

The obligation’s CUSIP.

index>constituents>constituent>refobligation>event char(20)

Event that the Obligation went through. • Bought Back - The obligations were bought back by the issuer. • Issuer Substituted - The issuer was replaced by another entity. • Called - The obligations were called by the issuer. • Exchanged – The obligation has been exchanged for new debt. • Matured – The obligation has reached its maturity.

index>constituents>constituent>refobligation>obligationname char(500)

The obligation name.

index>constituents>constituent>refobligation>prospectusinfo>issuers>originalissuerasperprosp char(500)

The original issuer name taken from the prospectus at the time the obligation was issued. Please note that this name is not the exact legal issuer name and represents a


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Tag / Field Values Required Description historic snapshot; hence, it may be different from the issuer.refentityname.

index>constituents>constituent>refobligation>prospectusinfo>guarantors>originalguarantorasperprosp char(500)

The original guarantor name taken from the prospectus when the pair was scrubbed. Please note that this name is not the exact legal issuer name and represents a historic snapshot; hence, it may be different from the guarantor.refentityname.

MCDXNA Index XML File The key differences between the MCDXNA XML file and the other credit index XML files are that the MCDXNA file contains three additional fields used to correctly reference the MCDX obligations: ‘revsource’, ‘obligationtype’ and ‘isinsured’.

Additionally, the ‘tier’ will be populated as ‘LIEN1’, ‘LIEN2’, ‘LIEN3’ or null value.

MCDXNA Index XML File Tags / Fields

The following table describes the tags that are ADDITIONAL or contain CHANGED FIELD VALUES when compared to the Credit Indices XML. All of the other fields from the Credit Indices

XML are included in the MCDXNA file in the same format.


index>constituents>constituent>refentity>originalconstituent>revsource char(500)

Additional Field. Display

the Rev source name. This comprises of the entity name, the revenue source if applicable and the bond sub-type.

Legal name includes punctuation. Uses the Latin character set, e.g. Nestle is shown with no acute accent over the last ‘e’.

Asian names are translated to their English equivalent.

index>constituents>constituent>refentity> originalconstituent>tier char(8)

Changed Field Values. "LIENX" means that the Reference Obligation and all Reference Credit Obligations payable and secured pari passu with the Reference


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Tag / Field Values Required Description Obligation rank Xth in effective priority of payment among all Reference Credit Obligations. "Reference Credit Obligation" means any obligation of the Reference Entity in respect of borrowed money that has (a) the same source of payment as the Reference Obligation, or (b) the same source of payment as the Reference Obligation and any additional source of payment.

index>constituents>constituent>refobligation> originalconstituent>obligationtype char(500) Y

Additional Field. The type

of instrument. Today we do not have a type for Municipal bonds. This field for Municipals will display the following: “Revenue Obligation Liability” “General Fund Obligation Liability” Or “Full Faith and Credit Obligation Liability”

index>constituents>constituent>refobligation>isinsured boolean

Additional Field. Indicates if

this bond is insured. Must be one of “true” or “false”.

Credit Index (Index Dynamic) XML File The Index Dynamic file is a new file type from Markit RED. It has been offered as a way to more

fully understand the latest constituents on an index that have been changed from corporate actions, CDS succession events and credit events.

Note: The Credit Indices (Index Dynamic) XML file will only display the latest active version

of each index series. Older and non-active versions of an index series are not displayed.

Note: The Credit Indices (Index Dynamic) XML file will be offered for the following RED Index XMLs: CDX, iTraxx Europe, iTraxx Asia, iTraxx SDI, iTraxx SovX and MCDXNA.


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Credit Indices (Index Dynamic) XML Files Tags / Fields

The following table describes the tags that are ADDITIONAL when compared to the Credit

Indices (Index Standard) XML. All of the other fields from the Credit Indices (Index Standard) XML are included in the Credit Indices (Index Dynamic) file.

These fields will show the latest constituent of an index. For instance, if Entity A is renamed to Entity B; then Entity B will be shown as a latest constituent. If Entity A demerges to become Entity B and Entity C; and then Entity C is renamed to Entity D; then the latest constituents will be Entity B and Entity D. Prospective weightings of the constituents will be reflected of the change(s) from the corporate actions or CDS succession events. These weightings will be calculated from the original constituent weight.


index>constituents>constituent>refentity>latestconstituents>latestconstituent>referenceentity char(500) N

If the reference entity of the constituent went through a corporate action or CDS succession event, this field will display the latest entity following the event(s). Note that multiple latest constituents may exist.

index>constituents>constituent>refentity>latestconstituents>latestconstituent>redentitycode char(6) N

The six-digit RED code for the latest reference entity.

index>constituents>constituent>refentity>latestconstituents>latestconstituent>ticker char(100) N

The Markit Ticker of the latest reference entity

index>constituents>constituent>refentity>latestconstituents>latestconstituent>weight float N

The weight of the latest index constituent which is derived from the original index constituent weight as per each series and version.


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Credit Index Split XML Files The Credit Index Split XML files contain the same data as the Credit Index (Index Standard) XML file. However, instead of one XML file, the data is split into multiple XML files when downloading. This may allow for easier processing and using of the data for some clients. The files will have the same format as the Credit Index (Index Standard) XML file – please see that section of the XML Guide for more details.

The split is done via the Index series. For instance, instead of one CDX XML file containing all series of the index, the Split file will contain the following:

CDX XML file for Series 1-2












Note: The Credit Index Split XML files are only available for the Index Standard format of CDX,

iTraxx Europe and iTraxx Asia XML file. It is not available for other index families or the Index Dynamic files.

Note: As new series are added to the indices, Markit will add new XML files as needed. For

instance, if Series 19 is added to CDX, Markit would plan to add an additional XML as part of the download of the CDX Index Split.

Credit Index Reference Data XML File The Credit Index Reference Data file contains top-level index data of the credit indices (CDX, iTraxx Europe, iTraxx Asia, iTraxx SDI, iTraxx SovX, MCDXNA, LCDX and iTraxx LevX). No constituent data is included.

The purpose of this file is to provide a feed of available RED Index Codes for credit indices with relevant index reference data.

Note: The Credit Index Reference Data XML file contains data that is already included in

the main RED Index XML files. This file however is smaller, due to not including constituent data, and allows for easier processing


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Credit Index Reference Data Files Tags / Fields

The following table describes each tag or field in the Credit Index Reference Data XML file.




header>date date Y






index>effectivedate date Y

The date from which the index series is effective. In yyyy-mm-dd format.






index>activeversion boolean

Displays 'Y' if the version is the active version of the index series.


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index>ccy char(3) Y The ISO currency symbol for the index series.

index>indexfactor float Y

Sum of weights of the constituents. This will be 1 in any index without defaults and reduced in any index with defaults.

index>redindexcode char(9) Y

The 9-character RED code used to trade an index series.

index>prevredindexcode char(9)

The previous index version as referenced by the RED Index Code.

index>nextredindexcode char(9)

The next index version as referenced by the RED Index Code.

index>firstpaymentdate date Y

The first payment date for the fixed rate return on the index as specified in the annex.

index>paymentfrequency char(4) Y

The frequency of payments of the fixed rate return in months or years, followed by ‘M’ for months or ‘Y’ for years, respectively; e.g. typical values are ‘3M’ or ‘1Y’.

index>recoveryrate float

The recovery rate is determined through the credit event auction process.

index>terms>term>tenor char(4) Y

The duration of this set of transaction terms for the index series. This value is expressed in years followed by the character ‘Y’, e.g. typical values are ‘5Y’ or ‘10Y’.

index>terms>term>coupon float Y

The fixed rate on the index contract. One percent (1%) is shown as 0.01.


The date on which the index series matures, i.e. the scheduled termination date. In yyyy-mm-dd format.

index>terms>term>tradeid char(50) Y

The unique trading ID used to trade an index series under a particular maturity.


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Index Classification XML File In light of finalization of CFTC/SEC joint rules on security based swap, there is an industry

requirement to classify indices as narrow-based (“NB”) or broad-based (“BB”) for all active

versions of index. The classification is based on “Number & Concentration” and “Publicly

Available Information” (PAI ) tests.

The purpose of Index Classification XML file is to provide a feed on index classification for all

active versions of index

Index Classification XML File Tags / Fields

The following table describes each tag or field in the Index Classification XML File.




header>date date Y






index>effectivedate date Y

The date from which the index series is effective, in yyyy-mm-dd format.





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index>redindexcode char(9) Y The 9-character RED code used to trade an index series.


The date on which the index series matures, i.e. the scheduled termination date, in yyyy-mm-dd format.

index>terms>term>tenor char(4)

The duration of this set of transaction terms for the index series. This value is expressed in years followed by the character ‘Y’, e.g. typical values are ‘5Y’ or ‘10Y’.

index>indexclassification>numberandconcentrationtest char(4) Y

The test result, i.e. Pass or Fail

index>indexclassification>paitest char(4) Y The test result, i.e. Pass or Fail

index>indexclassification>classification char(12) Y

The classification of the index, i.e. Broad Based or Narrow Based

Index Classification Delta XML The Index Classification Delta XML file contains the changes to the Index Classification XML file over the last day (i.e. if a change is made to RED today, this change is reflected in the next day’s file.) In case any classification field has changed, the full new classification record is included in the Index Classification Delta XML file.

The Index Classification Delta XML file has the same format as the Index Classification XML file. See the Index Classification XML file section of this Guide.

Automating Downloads This section describes how to automatically retrieve data from the website.

NOTE: Most of these reports are also available online after logging into the RED site at

www.markit.com. The reports can then be found on the Downloads page of RED CDS.

Reports can be automatically retrieved from the website in the following format:

• 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.

http://www.markit.com/


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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

username - The user’s username.

password - The user’s password.

format xml Download in XML format.

Report Parameters

The following parameters are for retrieving the RED CDS XML file. Note that this report does not take a date parameter.

Parameter (case sensitive) Values (case insensitive) Description

report REDEntity A download of the entities in the RED database.

REDObligation A download of the obligations in the RED database.

REDEntityMapped A download for RED By-mappings customers only

of the entities in the RED database for which the client has mappings.

REDObligationMapped A download for RED By-mappings customers only

of the obligations in the RED database for which the client has mappings.

REDEntityDelta A download of the RED Entities Delta file showing changes over the last 10 days.

REDObligationDelta A download of the RED Obligations Delta file showing changes over the last 10 days.


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REDObligationPreferred A download showing all preferred pairs from the RED Obligations file.

REDSROObligation A download showing all SRO pairs and underlying obligations.

CredIndexAnnex A download of the CDX, MCDXNA and iTraxx credit index files.

CredIndexAnnexSplit A download of the split Credit Index Standard files. Only available for CDX, iTraxx Europe and iTraxx Asia index families.

REDIndexCodes A download of the Credit Index Reference Data XML report.

REDIndexClassification A download of the RED Index Classification XML report.

REDIndexClassificationDelta A download of the RED Index Classification Delta file showing changes over the last day.

family

(for CredIndexAnnex and report values only)

ITRAXX-ASIA ITRAXX-EUROPE

ITRAXX-SDI

ITRAXX-SOVX

CDX

MCDXNA

"IBOXX Index"

The index family to retrieve for the CredIndexAnnex report (used for the CredIndexAnnex value only).


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type

(for CredIndexAnnex report values only except IBOXX Index)

dynamic For the Credit Indices (Index Dynamic) files, the ‘type’ parameter should be specified as ‘dynamic’.

This parameter can be removed for the Index Standard or any other RED XML reports.

Please note that the Index Dynamic files only apply to CDX, ITRAXX-EUROPE, ITRAXX-ASIA, ITRAXX-SDI, ITRAXX-SOVX and MCDXNA

index families.

version 11 for Entities, 9 for REDIndexCodes and 10 for all other reports

The latest available version of these reports.

Report Status There are several situations you should be aware of when coding an automated feed out of our database. The following sections describe each of these scenarios.

Server is busy When the server is busy, you will receive the following message: "Database server is busy. Please try again later."

Report is currently building When a report is requested from the server, either through the front end or by a program, the server starts building the report and caches the results. Once the cache has been completed, the report is sent to the user. If the report is requested while it is being built, the message "This report is currently building, please try again in a few minutes" will display within the body of the report. Here is an example of the XML:

XML

<?xml version="1.0"?>

<data>

<header>

<name>V10 SRO RED Obligations</name>

<version>10</version>

<date>2014-06-12</date>

</header>

<row>

<status>This report is currently building, please try again in a few


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minutes</status>

</row>

</data>

The overnight batch process is running When the overnight process is running, which is currently between 4:00AM and 6:30AM London time, you are not able to retrieve reports from the server. If you try to retrieve reports during this time, the following error message will display: "Unable to perform download. Batch is currently running."

The connection dropped before report finished building A customer's network may time out before the report that was requested has finished building. In this situation, the file that is returned will have a header section but no data or body.

XML

<?xml version="1.0"?>

<data>

<header>



<date>2014-06-12</date>

</header>

</data>

Finally, while building your program interface, you may get the arguments wrong to the server, in which case you will receive an error message, such as “The type or report parameters are invalid: type=xxx, report=yyy.”

The download process can be automated with languages like Visual Basic, Java, and Perl, or a command line utility that behaves rather like ftp called Curl (which can be downloaded from the Internet as either source code or an executable; conduct an Internet search on “CURL”). The following sections provide examples in each of these languages.

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.


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Please note that the following must be selected on the References dialog box under the Tools > References menu in the VBA editor:

• OLE Automation (to connect to the website over the Internet)

• Microsoft Forms 2.0 object library (to hold data in the clipboard)

• Microsoft XML, version… >= 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.

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

' in the VBA editor:

' - 'OLE Automation' (to make a connection over the Internet)

' - 'Microsoft Forms 2.0 object library' (to copy data to the clipboard)


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Sub GetMarkitData()

Dim doc 'As MSXML2.ServerXMLHTTP ' For storing the downloaded report

Dim clipboard As DataObject ' For storing the report in clipboard to paste into 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

Dim i% ' For looping through each report listed on the 'Main' sheet

Dim timetaken# ' Record how long the download took to complete

Dim direc$ ' Where to store the downloaded ZIP file (for version=5)

Dim filenumber# ' For writing to the ZIP file

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 -> Text to Columns' menu setting to CSV (comma delimited) format which

' corresponds with the csv setting when downloading from the Markit website. Excel will

' then automatically put the download into separate cells.

ActiveSheet.Range("Report_List").TextToColumns Destination:=ActiveSheet.Range("Report_List"), _

DataType:=xlDelimited, _

TextQualifier:=xlDoubleQuote, _

ConsecutiveDelimiter:=False, _

Tab:=False, _

Semicolon:=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->References

' menu in the VBA editor) must be enabled for the following to work

Set doc = CreateObject("msxml2.ServerXMLHTTP")

doc.Open "POST", " https://products.markit.com/red/export.jsp", False

doc.setRequestHeader "Content-Type", "application/x-www-form-urlencoded"

' If you need to tell VB about your proxy server, you should change ServerXMLHTTP

' 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


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' Have we reached the end of the Report List on the Main sheet

If Range("Report_List").Offset(i) = "" Then Exit For

' Start timing

timetaken = Now()

' The type parameter specifies either 'bond' or 'cds' instrument type

s = "user=" & username _

& "&password=" & password _

& "&version=" & "5" _

& "&date=" & Format(Range("Date"), "yyyymmdd") _

& "&format=" & "csv" _

& "&report=" & Range("Report_List").Offset(i) _

& "&type=" & Range("Instrument_Type")

' Send the request to the Markit website

doc.send (s)

' Create or find a sheet for storing the downloaded report with the same name

' as that report.

For Each w In Worksheets

If w.Name = Range("Report_List").Offset(i) Then Exit For

Next

If w Is Nothing Then

Set w = Sheets.Add(after:=Sheets(Sheets.Count))

w.Name = Range("Report_List").Offset(i)

Else

w.Activate

End If

' Handle the response

If (Left$(doc.responseText, 2) = "PK") Then ' A ZIP file

' 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 & "\d" & (Year(Now) * 10000000000# + _

Month(Now) * 100000000 + _

Day(Now) * 1000000 + _

Hour(Now) * 10000 + Minute(Now) * 100 + Second(Now))

MkDir direc

filenumber = FreeFile

Open direc & "\file.zip" For Binary Access Write As #filenumber

Put #filenumber, 1, doc.responseBody

Close #filenumber

Set doc = Nothing


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' Use winzip to unzip it

Shell """" & Range("WinZIP") & """ -e -o """ & direc & "\file.zip"" """ & direc & """", vbHide = True

' -e extract

' -o overwrite

' Give winzip time to do its stuff

Application.Wait (Now + TimeValue("0:00:5"))

' Open unzipped file in a new workbook

myfile = Dir(direc & "\*")

Do While myfile <> ""

If myfile <> "." And myfile <> ".." And Right$(myfile, 4) <> ".zip" And myfile <> "Disclaimer.txt" Then

'This must be the .csv file contained in the ZIP file

w.AutoFilterMode = False

w.Cells.Clear

With w.QueryTables.Add(Connection:="URL;" & "file:" & direc & "\" & myfile, Destination:=w.Cells(1, 1))

.BackgroundQuery = False

.Refresh

.Delete

End With

w.Select

Columns(1).Select

Selection.TextToColumns DataType:=xlDelimited, ConsecutiveDelimiter:=True, Comma:=True, Space:=False

End If

myfile = Dir

Loop

Else

' Now paste the report into the sheet.

ActiveSheet.Cells.Clear

ActiveSheet.Range("A1").Select

Set clipboard = New DataObject

clipboard.SetText doc.responseText

clipboard.PutInClipboard

ActiveSheet.Paste

End If

' Record the time taken to retrieve the report.

Range("Report_List").Offset(i, 1) = Now() - timetaken

Next

End Sub

' This function creates a new Workbook and DialogSheet within the Workbook on which

' the username and password are prompted.

Function GetPassword(ByRef username$, ByRef password$) As Boolean

Dim thisW As Workbook ' Remember the current workbook


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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 = ActiveWorkbook

Application.ScreenUpdating = False

Set w = Workbooks.Add

Set d = DialogSheets.Add

d.DialogFrame.Characters.Text = "Markit Password Input Box"

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 = xlText

.Text = username

End With

d.Labels.Add(80, 80, 150, 12).Characters.Text = "Password"

With d.EditBoxes.Add(180, 80, 100, 12)

.InputType = xlText

.PasswordEdit = True

.Text = password

End With

With d.Buttons.Add(80, 120, 50, 12)

.Characters.Text = "OK"

.DefaultButton = True

.CancelButton = False

.DismissButton = True

End With

With d.Buttons.Add(140, 120, 50, 12)

.Characters.Text = "Cancel"

.DefaultButton = False

.CancelButton = True

.DismissButton = False

.OnAction = "EscapePressed"

End With

thisW.Activate

Application.ScreenUpdating = True

globalCancel = False

d.Show

username = d.EditBoxes(1).Text

password = d.EditBoxes(2).Text

w.Close savechanges:=False

GetPassword = Not globalCancel


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End Function

' The Escape key or Cancel button was pressed so record in the 'globalCancel' variable.

Sub EscapePressed()

globalCancel = True

End Sub

Java

Here is an example Java program for automating the download.

Java

import java.net.*;

import java.io.*;

import java.util.zip.*;

// HTTPClient.NVPair and HTTPClient.Codecs from http://www.innovation.ch/java/HTTPClient/

import HTTPClient.*;

public class MarkitDownloader {

public MarkitDownloader(

String host, // https://products.markit.com/red/export.jsp

String user, // username for Markit.com

String password, // password for Markit.com

String theDate, // e.g. 20040603

String theFormat, // e.g. csv

String thetype, // e.g. cds

String report, // e.g. COMPOSITES

) throws Exception

{

URL url = new URL(host);

java.net.HttpURLConnection con = (java.net.HttpURLConnection)url.openConnection();

con.setInstanceFollowRedirects(false); // We either get data back, or an error

con.setRequestMethod("POST");

con.setDoOutput(true);

NVPair formArgs[] = {

new NVPair("user", user),

new NVPair("password", password),

new NVPair("date", theDate), // yyyymmdd format

new NVPair("format", theFormat), // xml, csv or tab

new NVPair("report", report), // DataQuality, Composites etc.

new NVPair("type", thetype), // cds or bond

new NVPair("version", “5”)

};

NVPair httpHeaders[] = {


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new NVPair("dummy", "dummy") // will be replaced with Content-Type: etc...

};

byte data[] = Codecs.mpFormDataEncode(formArgs, null, httpHeaders);

// May have to remove this line for some proxy servers

con.setRequestProperty("Content-Length", ""+data.length);

con.setRequestProperty(httpHeaders[0].getName(), httpHeaders[0].getValue());

// If you need to specify a proxy set the system property as follows:

// System.setProperty(“https.proxyHost”, “proxy.bank.com”);

// System.setProperty(“https.proxyPort”, “8080”);

// If 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 );

OutputStream output = con.getOutputStream();

output.write(data);

output.close();

InputStream input;

byte buf[] = new byte[256];

if (version.equals("5")) { // These are sent ZIP'd

//SSLException thrown here if server certificate is invalid

ZipInputStream zis = new ZipInputStream(new BufferedInputStream(con.getInputStream()));

ZipEntry ze = zis.getNextEntry(); // required before 1st read

ze = zis.getNextEntry(); // 1st file is T&Cs

input = zis;

} else {

//SSLException thrown here if server certificate is invalid

input = new BufferedInputStream(con.getInputStream());

}

int count;

while ((count = input.read(buf, 0, buf.length)) > 0) {

System.out.write(buf, 0, count);

}

}

public static void main(String argv[]) throws Exception

{

MarkitDownloader me = new MarkitDownloader(

“https://products.markit.com/red/export.jsp” // host

,argv[0] // username

,argv[1] // password


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,argv[2] // date in yyyymmdd format

,”xml” // XML format. Can also be “tab” or “csv”

,”cds” // cds or bond

”dataquality” //dataquality or composites *

);

}

Perl

Here is an example Perl program for automating the download.

Perl

#!/usr/bin/perl

use strict;

use Crypt::SSLeay;

use HTTP::Request::Common;

use LWP::UserAgent;

use URI;

use Data::Dumper;

my $oUa = LWP::UserAgent->new();

$oUa->agent('curl/1.0');

# Proxy details removed

# $oUa->proxy('https', $sProxy);

my $oUri = URI->new('https://products.markit.com/red/export.jsp');

# Proxy details removed

# $oRequest->proxy_authorization_basic($sUser, $sPass);

my $oResponse = $oUa->post($oUri,

'Content_Type' => 'form-data',

'Content' => [

'user' => 'xxx',

'password' => 'yyy',

'version' => '5',

'date' => '20140612',

'format' => 'tab',

'type' => 'cds',

'report' => 'Composites'

]);

if ($oResponse->is_success())

{

print $oResponse->content;


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}

else

{

print "Request failed\n";

print $oResponse->content;

}

Curl

Here is an example Curl program for automating the download of RED SRO report:

Curl

curl -F username=XXXX -F password=XXXX -F format=xml -F report=REDSROObligation -F version=10 https://products.markit.com/red/export.jsp> REDSROObligation_10.zip

Appendix A – 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 & "\d" & (Year(Now) * 10000000000# + Month(Now) * 100000000 + Day(Now) * 1000000 + Hour(Now) * 10000 + Minute(Now) * 100 + Second(Now))

MkDir direc

filenumber = FreeFile

Open direc & "\file.zip" For Binary Access Write As #filenumber

Dim arr1() as Byte

arr1 = xmlDoc.responseBody

Put #iFileNum, 1, arr1

Close #filenumber

Set xmlDoc = Nothing

' Use winzip to unzip it

ID = Shell("""c:\program files\winzip\winzip32.exe"" -e -o ""c:\temp\file.zip"" """ & direc & """")

' Give winzip time to do its stuff

Application.Wait (Now + TimeValue("0:00:5"))


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' Open unzipped file in a new workbook

myfile = Dir(direc & "\*")

Do While myfile <> ""

If myfile <> "." And myfile <> ".." And Right$(myfile, 4) <> ".zip" Then

Workbooks.Open Filename:=direc & "\" & myfile, ReadOnly:=True

End If

myfile = Dir

Loop

Appendix B – Sample XML data Below are sample data for the RED XML files.

Note: The following example may not include all fields possible in the SRO XML file; for a definitive list, see the SRO XML schema (XSD or XML Schema Definition) file, which can be requested from Markit (see the Contact Us section of this Guide for further details).

NOTE: The following examples may not include all fields possible in the XML files; for a

definitive list, please refer to the XML schema (XSD or XML Schema Definition) files, which can be requested from Markit CDS Reference Data (see the Contact Us section of this Guide for further details).

Obligations XML

<data>

<header>

<name>V10 Red Obligation</name>


<date>2011-09-07</date>

</header>

<obligation>

<obligationname>STGEOR Frn 30Jun08</obligationname>

<prospectusinfo>

<issuers>

<origissuersasperprosp>St.George Bank Limited</origissuersasperprosp>

</issuers>

</prospectusinfo>

<refentities>

<refentity>


| 46

<role>Issuer</role>

<referenceentity>ST.GEORGE BANK LIMITED</referenceentity>

<redentitycode>7FHE97</redentitycode>

<redpaircode>7FHE97AA5</redpaircode>

<tier>SNRFOR</tier>

<pairiscurrent>false</pairiscurrent>

<pairvalidto>2008-06-30</pairvalidto>

<ticker>STGEOR</ticker>

<ispreferred>false</ispreferred>

<recorddate>2004-03-09</recorddate>

<publiccomments>These Notes matured on 30 June 2008</publiccomments>

</refentity>

</refentities>

<type>Bond</type>

<isconvert>false</isconvert>

<isperp>false</isperp>

<coupontype>Float</coupontype>

<ccy>EUR</ccy>

<maturity>2008-06-30</maturity>

<issuedate>2003-06-30</issuedate>

<coupon>0.0015</coupon>

<isin>XS0171664849</isin>

<cusip>Q8757FCJ3</cusip>

<event>Matured</event>

</obligation>

<obligation>

<obligationname>COCA 1.85 15Mar12</obligationname>

<prospectusinfo>

<issuers>

<origissuersasperprosp>Coca-Cola Amatil Limited</origissuersasperprosp>

</issuers>

</prospectusinfo>

<refentities>

<refentity>

<role>Issuer</role>


| 47

<referenceentity>COCA-COLA AMATIL LIMITED</referenceentity>

<redentitycode>1AA18D</redentitycode>

<redpaircode>1AA18DAA5</redpaircode>

<tier>SNRFOR</tier>

<pairiscurrent>true</pairiscurrent>

<ticker>COCA</ticker>

<ispreferred>false</ispreferred>


</refentity>

</refentities>

<type>Bond</type>



<coupontype>Fixed</coupontype>

<ccy>JPY</ccy>


<issuedate>2002-03-15</issuedate>



<cusip>Q2594WBH1</cusip>

</obligation>

</data>

SRO XML

<data>

<header>



<date>2014-06-02</date>

</header>

<entity>

<referenceentity>AXA</referenceentity>

<redentitycode>FF667M</redentitycode>

<sro>

<obligation>

<sroisin>XSSNRREFOBL0</sroisin>


| 48

<srotier>SENIOR</srotier>

<sroredpaircode>FF667MSN1</sroredpaircode>

<underlyingobligations>

<underlyingobligation>


<redpaircode>FF667MAD8</redpaircode>



<tier>SNRFOR</tier>

<srovalidfrom>2014-06-02</srovalidfrom>

<isdeliverable>true</isdeliverable>

<issro>true</issro>

</underlyingobligation>

</underlyingobligations>

</obligation>

<obligation>

<sroisin>XSSUBREFOBL0</sroisin>

<srotier>SUB</srotier>

<sroredpaircode>FF667MSU1</sroredpaircode>

<underlyingobligations>

<underlyingobligation>


<redpaircode>FF667MAC0</redpaircode>



<tier>SUBLT2</tier>

<srovalidfrom>2014-06-02</srovalidfrom>

<isdeliverable>true</isdeliverable>

<issro>true</issro>

</underlyingobligation>

</underlyingobligations>

</obligation>

</sro>

</entity>

</data>


| 49

MCDXNA Index XML File

<data>

<header>

<name>V10 Red Indices</name>


<date>2011-09-07</date>

</header>

<index>

<indexfamily>MCDXNA</indexfamily>

<indexsubfamily>MCDX.NA</indexsubfamily>

<indexname>MCDX.NA.10-V1</indexname>

<effectivedate>2008-05-07</effectivedate>

<annexdate>2008-05-06</annexdate>

<series>10</series>


<ccy>USD</ccy>

<indexfactor>1</indexfactor>

<redindexcode>5A79DPAA5</redindexcode>

<firstpaymentdate>2008-06-20</firstpaymentdate>

<paymentfrequency>3M</paymentfrequency>

<recoveryrate>0.8</recoveryrate>

<terms>

<term>

<tenor>3Y</tenor>



<tradeid>MCDXNAS10V1-3Y</tradeid>

</term>

<term>

<tenor>5Y</tenor>




</term>

<term>


| 50

<tenor>10Y</tenor>




</term>

</terms>

<constituents>

<constituent>

<refentity>

<originalconstituent>

<referenceentity>Arizona Transportation Board</referenceentity>

<redentitycode>0E46B9</redentitycode>

<role>Issuer</role>

<redpaircode>0E46B9AA9</redpaircode>

<jurisdiction>Arizona (US)</jurisdiction>

<tier>LIEN1</tier>

<pairiscurrent>true</pairiscurrent>

<ticker>ASTBH</ticker>

<ispreferred>true</ispreferred>

<docclause>CR</docclause>


<weight>0.02</weight>

<revsource>Motor Vehicle Tax and Fee Revenue</revsource>

</originalconstituent>

</refentity>

<refobligation>

<type>Bond</type>



<coupontype>Fixed</coupontype>

<ccy>USD</ccy>



<isin>US040654PR07</isin>

<cusip>040654PR0</cusip>

<obligationname>ASTBH .05 01Jul19 BondCall</obligationname>


| 51

<obligationtype>Revenue Obligation Liability</obligationtype>

<isinsured>false</isinsured>

<prospectusinfo>

<issuers>

<origissuersasperprosp>Arizona Transportation Board</origissuersasperprosp>

</issuers>

</prospectusinfo>

</refobligation>

</constituent>

</constituents>

</index>

</data>

Index Classification XML File

<data>

<header>

<name>V10 Red Index Classification</name>


<date>2017-05-01</date>

</header>

<index>

<indexfamily>ABX-HE</indexfamily>

<indexsubfamily>ABX.HE.A Indices</indexsubfamily>

<indexname>ABX.HE.A.06-1</indexname>



<series>6</series>


<redindexcode>0A08AFAA7</redindexcode>

<terms>

<term>



| 52

</term>

</terms>

<indexclassification>

<numberandconcentrationtest>Pass</numberandconcentrationtest>

<paitest>Pass</paitest>

<classification>Broad Based</classification>

</indexclassification>

</index>

<index>

<indexfamily>ABX-HE</indexfamily>

<indexsubfamily>ABX.HE.A Indices</indexsubfamily>

<indexname>ABX.HE.A.06-2</indexname>



<series>6</series>


<redindexcode>0A08AFAB2</redindexcode>

<terms>

<term>


</term>

</terms>

<indexclassification>

<numberandconcentrationtest>Pass</numberandconcentrationtest>

<paitest>Pass</paitest>

<classification>Broad Based</classification>

</indexclassification>

</index>

</data>


| 53

Additional Resources This section provides information about how to contact Markit for more information or support and how to

obtain online help.

Contact Us

For questions not answered in this guide, please contact Markit Client Relations by:

email at [email protected], or

phone

North America +1 877 762 7548

Europe 00800 6275 4800

Asia Pacific – Japan +81 3 6402 0127

Asia Pacific – Singapore +65 6499 0079

Or, the Markit CDS Reference Data Team by:

email at [email protected], or

phone in Europe at +44 (0) 207 260 2332

For information about Markit’s other services, please contact a Markit sales representative by:

• email at [email protected], or

• phone

U.S. +1 917 441 6658

U.K. +44 20 7260 2000

Asia +65 6499 0088

See the following section, Online Help, for instructions on how to contact Markit via email when using the

RED screens on Markit.com.

Online Help

Help is available online when you click the Support link in the top-right of the Markit Client site screen.

Documents

CDS Reference Data XML Guide - Research Center SAFEsafe-frankfurt.de/datacenter/documents/CDS Reference Data XML Gu… · CDS Reference Data XML Guide | 5 Introduction The Reference