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 June 23, 2022)

Pursuant to a call of the ISDA working group on June 22, June 20, 2022 was a federal holiday in the U.S., in which the commercial banks and foreign exchange markets in the United States were generally closed. ISDA understands that some market participants may not have taken into account that June 20th was not a Business Day in the United States in their models used for determining upfront payments for their credit derivatives. ISDA encourages market participants to check that, absent contractual language to the contrary, their calculations of the Initial Payment Amount reflects the correct number of days given the adjustment of the June payment date from June 20 to June 21, and make any necessary adjustments to their model calculation.

The CDS model will be implementing a New York holiday calendar shortly which will include June 20, 2022 and future holidays.

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