Until recently the CDS Standard Model only incorporated a holiday calendar for Tokyo (for use in JPY fee calculations);
no other holiday calendars were incorporated. The new U.S. holiday known as “Juneteenth” (that was observed this year on
Monday, June 20th, 2022 – the June payment date for Standard Transaction Types) caused issues for some members regarding
fee calculations in the model. A holiday calendar for New York has since been incorporated into the model in order to
account for Juneteenth not being a New York Business Day in calculations and avoid such issues occurring in the
future – note that currently only the Juneteenth holiday has been added to such calendar.
Other relevant calendars (with holidays that have the potential to impact a payment date for a Standard Transaction Type)
will also be added for financial centres such as London.
The CDS Standard Model allows the use of multiple calendars, by the user combining them into one, in the calculation of fees
for credit derivatives (including the Initial Payment Amount). This is intended to allow the application of calendars as per
the Business Days applicable to the contract. i.e. for a single name CDS that references the Credit Derivatives Physical
Settlement Matrix: the Business Days specified in the Matrix for the Transaction Type and currency of the transaction
(unless specified otherwise in the Confirmation) – for example, London, New York and Tokyo Business Days for a
Standard Japan Corporate trade in USD.