ISDA Standard Model Settings for Fee Computations
The TYO holiday calendar should be used in all JPY fee calculations calculated after 11:59 PM, Tokyo local time on September 12, 2009. [dat csv]
 
ParameterValue
Value DateT
Curve DateT
LIBOR levelsMarkit Locked LIBOR of T-1
Credit Curve CDS Fitting InstrumentIdentical to CDS valuation instrument
Credit Curve ModelConstant Hazard Rate
 
Contract GroupContract RegionISDA Transaction TypeFixed Coupons (bps)Senior / Tier 1 RecoverySubordinated Recovery
North America Standard North American Corporate100 / 50040%20%
  North American Corporate Index100 / 50040%20%
Europe Standard European Corporate25 / 100 / 300* / 500 / 750* / 100040%20%
  Standard Subordinated European Insurance Corporate25 / 100 / 300* / 500 / 750* / 100040%20%
  Standard Western European Sovereign25 / 100 / 300* / 500 / 750* / 100040%20%
  European Corporate Index25 / 100 / 300* / 500 / 750* / 100040%20%
  Western European Sovereign Index25 / 100 / 300* / 500 / 750* / 100040%20%
Emerging MarketsEurope / Middle EastStandard Emerging European Corporate100 / 50025%25%
  Standard Emerging European Corporate LPN100 / 50025%25%
  Standard Emerging European & Middle Eastern Sovereign100 / 50025%25%
  Emerging European & Middle Eastern Corporate Index100 / 50025%25%
  Emerging European & Middle Eastern Sovereign Index100 / 50025%25%
 Latin AmericaStandard Latin America Corporate B100 / 50025%25%
  Standard Latin America Corporate BL100 / 50025%25%
  Standard Latin America Sovereign100 / 50025%25%
  Latin America Corporate Index100 / 50025%25%
  Latin America Sovereign Index100 / 50025%25%
AsiaEx-JapanStandard Asia Corporate100 / 50040%20%
  Standard Asia Sovereign100 / 50040%20%
  Asia Corporate Index100 / 50040%20%
  Asia Sovereign Index100 / 50040%20%
 SingaporeStandard Singapore Corporate100 / 50040%20%
  Standard Singapore Sovereign100 / 50040%20%
 JapanStandard Japan Corporate25 / 100 / 50035%15%
  Standard Japan Sovereign25 / 100 / 50035%15%
  Japan Corporate Index25 / 100 / 50035%15%
OceaniaAustraliaStandard Australia Corporate100 / 50040%20%
  Standard Australia Sovereign100 / 50040%20%
  Australia Corporate Index100 / 50040%20%
 New ZealandStandard New Zealand Corporate100 / 50040%20%
  Standard New Zealand Sovereign100 / 50040%20%
North America Bullet LCDS0 / 100 / 250 / 50070% 

*Used for Compression trades

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