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.


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 December 20, 2021)

ISDA announced the following RFRs transition dates and cessation of IBORs date:

JPY, CHF and AUD: Please note that the market standard transition date for switching interest rate inputs in the ISDA CDS Standard Model from IBORs to RFRs for CHF (from LIBOR to SARON), for JPY (from LIBOR to TONA), and for AUD (from BBSW to AONIA) is 20th December 2021.

USD and EUR: Please also note that in alignment with the recently published CDX and iTraxx Swaption Documentation, the market standard transition date for switching interest rate inputs in the ISDA CDS Standard Model for USD (from LIBOR to SOFR) and for EUR (from EURIBOR to €STR) is 4th April 2022.

Please also note that GBP-LIBOR, JPY-LIBOR, CHF-LIBOR curves as well as the 2-month USD-LIBOR rate curve will cease to be published in the model after 31st December.

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