I am reading the ISDA document here regarding the change to roll conventions on CDS that came in at the end of 2015 and in particular section 11 relating to the short end tenors. Additionally, I am reading the ISDA standard CDS examples document here around the standardisation of CDS coupons.
I think that my question is best asked in the context of an example. On Thu 19 Mar 2020, we receive both 3M and 6M CDS quotes from our market data provider.
For the 3M quote, using the CDS 2015 roll conventions, the maturity date is Fri 20 Mar 2020. The second document referenced above has the following statement in point 5 in the Standardizing coupon dates section:
A trade's first coupon payment date is determined by the trade date (T): it's the first coupon payment date after T+1 (calendar, unadjusted). This is consistent with the first coupon dates of, eg, CDX.
If I took this literally, I would get a first coupon payment date of Mon 22 Jun 2020 on the 3M CDS above which would not make sense. Is it correct to ignore this here and to assume that the 3M CDS has a fee leg, with a single coupon, with accrual starting on Fri 20 Dec 2019 and ending on Fri 20 Mar 2020 (inclusive of Fri 20 Mar 2020)?
For the 6M quote, the CDS 2015 unadjusted maturity is Sat 20 Jun 2020. Using the statement quoted above, the first and only coupon payment would be on Mon 22 Jun 2020. In other words, is it correct to assume that the 6M CDS traded on Thu 19 Mar 2020 has a fee leg, with a single coupon, with accrual starting on Fri 20 Mar 2020 and ending on Sat 20 Jun 2020 (inclusive of Sat 20 Jun 2020) with payment on Mon 22 Jun 2020?