ISDA CDS Standard Model

The ISDA CDS Standard Model is a source code for CDS calculations and can be downloaded freely through this website.

The source code is copyright of ISDA and available under an Open Source license.

 
Background

As the CDS market evolves to trade single name contracts with a fixed coupon and upfront payment, it is critical for CDS investors to match the upfront payment amounts and to be able to translate upfront quotations to spread quotations and vice versa in a standardized manner.

One of the primary goals in making the code available is to enhance transparency and to optimize use of standard technology for CDS pricing. Implementing the ISDA CDS Standard Model and using the agreed standard input parameters will allow CDS market participants to tie out calculations and thus improve consistency and reduce operational differences downstream.

 
Markit's role

Markit, in its role as administrator for this open source project, provides support for the maintenance of the code and moderates the forum on this open source website. In addition, Markit develops and maintains the documentation provided with the code and will provide support to future ISDA working groups around the open source code.

 
News (last updated November 15, 2021)

ISDA announced the following RFRs transition dates:

JPY and CHF RFRs: CHF and JPY need to be transitioned in the model before the end of the year as CHF-LIBOR and JPY-LIBOR are discontinuing. Therefore market participants will transition inputs to SARON (for CHF) and TONA (for JPY) on 20 December 2021. It was noted that this date aligns with the iBoxx transition.

AUD RFR: AUD is the only other currency with significant CDS volumes. BBSW is not discontinuing, however the relevant RFR (AONIA) is currently available in parallel to BBSW in the model. Therefore for consistency, market participants will transition inputs to AONIA (for AUD) on the same date as JPY and CHF (i.e. on 20 December 2021).

GBP-LIBOR, JPY-LIBOR and CHF-LIBOR: The IBOR-based and RFR-based rate curves are already available in parallel in the CDS Standard Model, however GBP-LIBOR, JPY-LIBOR and CHF-LIBOR rate curves will cease to be published after 31st December 2021.

USD and EUR RFRs: ISDA continue to hold working group calls to discuss feedback on the transition dates for USD and EUR.

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