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. [TYO.csv]

The New York holiday calendar (NYM) should be used in USD fee calculations beginning June 20, 2022. [NYM.csv]

 
Parameter Value
Value Date T
Curve Date T
LIBOR levels Markit Locked LIBOR or Risk Free Rate of T-1
Credit Curve CDS Fitting Instrument Identical to CDS valuation instrument
Credit Curve Model Constant Hazard Rate
 
Contract Group Contract Region ISDA Transaction Type Fixed Coupons (bps) Senior / Tier 1 Recovery Senior Non-Preferred / Total Loss Absorbing Capacity Recovery Subordinated Recovery
North America North America Standard North American Corporate 100 / 500 40% 20%
Europe Europe Standard European Corporate 25 / 100 / 300* / 500 / 750* / 1000 40% 20%
Standard Subordinated European Insurance Corporate 25 / 100 / 300* / 500 / 750* / 1000 20%
Standard European Financial Corporate 25 / 100 / 300* / 500 / 750* / 1000 40% 40% 20%
Standard European Senior Non Preferred Financial Corporate 25 / 100 / 300* / 500 / 750* / 1000 40%
Standard European CoCo Financial Corporate 25 / 100 / 300* / 500 / 750* / 1000 40% 20%
Standard Western European Sovereign 25 / 100 / 300* / 500 / 750* / 1000 40% 20%
Standard European Limited Recourse Corporate 25 / 100 / 300* / 500 / 750* / 1000 40%
Emerging Markets Europe / Middle East Standard Emerging European Corporate 100 / 500 25% 25%
Standard Emerging European Corporate LPN 100 / 500 25% 25%
Standard Emerging European & Middle Eastern Sovereign 100 / 500 25% 25%
Latin America Standard Latin America Corporate B 100 / 500 25% 25%
Standard Latin America Corporate BL 100 / 500 25% 25%
Standard Latin America Sovereign 100 / 500 25% 25%
Asia Ex-Japan Standard Asia Corporate 100 / 500 40% 20%
Standard Asia Financial Corporate 100 / 500 40% 20%
Standard Asia Sovereign 100 / 500 40% 20%
Singapore Standard Singapore Corporate 100 / 500 40% 20%
Standard Singapore Financial Corporate 100 / 500 40% 20%
Standard Singapore Sovereign 100 / 500 40% 20%
Japan Standard Japan Corporate 25 / 100 / 500 35% 15%
Standard Japan Financial Corporate 25 / 100 / 500 35% 15%
Standard Japan Sovereign 25 / 100 / 500 35% 15%
Oceania Australia Standard Australia Corporate 100 / 500 40% 20%
Standard Australia Financial Corporate 100 / 500 40% 20%
Standard Australia Sovereign 100 / 500 40% 20%
New Zealand Standard New Zealand Corporate 100 / 500 40% 20%
Standard New Zealand Financial Corporate 100 / 500 40% 20%
Standard New Zealand Sovereign 100 / 500 40% 20%
North America North America Bullet LCDS 0 / 100 / 250 / 500 70%
Standard U.S. Municipal Full Faith and Credit 100 / 500 75%
Standard U.S. Municipal General Fund 100 / 500 75%
Standard U.S. Municipal Revenue 100 / 500 75%
Islamic Standard Sukuk Sovereign 100/500 25% 25%
Standard Sukuk Corporate 100/500 40% 20%


Contract Group Contract Region Indexes Fixed Coupons (bps) Senior / Tier 1 Recovery Senior Non-Preferred /Total Loss Absorbing Capacity Recovery Subordinated Recovery
North America North America North American Corporate Index 100 / 500 40% 20%
CDX North America Investment Grade 100 40%
CDX North America Investment Grade BBB 100 40%
CDX North America High Yield 500 30%
CDX North America High Yield BB 500 30%
CDX North America High Vol 100 40%
CDX North America Crossover 100 40%
MCDX 100 75%
LCDX 100 70%
Europe Europe European Corporate Index 25 / 100 / 300* / 500 / 750* / 1000 40% 20%
iTraxx Europe Main 100 40%
iTraxx Europe Non Financials 100 40%
iTraxx Europe Senior Financials 100 40%
iTraxx Europe Sub Financials 100 20%
iTraxx Europe High Volatility 100 40%
iTraxx Europe Crossover 500 40%
iTraxx MSCI ESG Screened Europe Index 100 40%
Europe Europe Western European Sovereign Index 25 / 100 / 300* / 500 / 750* / 1000 40%
iTraxx Sovx Western Europe 100 40%
Emerging Markets Europe / Middle East Emerging European & Middle Eastern Corporate Index 100 / 500 25% 25%
iTraxx CEEMEA 100 25%
Emerging European & Middle Eastern Sovereign Index 100 / 500 25% 25%
iTraxx SovX CEEMEA 100 25%
Latin America Latin America Corporate Index 100 / 500 25% 25%
CDX LatAm Corp Index 500 25%
Latin America Latin America Sovereign Index 100 / 500 25% 25%
iTraxx SovX Latin America 100 25%
CDX EM 100 25%
Asia Ex-Japan Asia Corporate Index 100 / 500 40% 20%
iTraxx Asia ex-Japan IG 100 40%
iTraxx Asia ex-Japan IG (Restricited) 100 40%
iTraxx Asia ex-Japan HY 500 25%
Asia Sovereign Index 100 / 500 40% 20%
iTraxx SovX Asia Pacific 100 40%
Japan Japan Corporate Index 25 / 100 / 500 35% 15%
iTraxx Asia Japan 100 35%
Oceania Australia Australia Corporate Index 100 / 500 40% 20%
iTraxx Australia 100 40%

*Used for Compression trades

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ISDA Standard Model Settings for Fee Computations
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