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.

Please be advised that the Administrator of the CDS Standard Model (IHS Markit now a part of S&P Global) has added the Juneteenth holiday to the ISDA CDS Standard Model. Further information can be found on the CDS Standard Model website:

ISDA Standard Model Settings for Fee Computations

RFR Test Grids

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.

The ISDA Standard Model will limit availability of historical interest rates to one year for the IBOR and RFR curves with effect from June 13th, 2022.

Additionally, the publication of the following IBOR rate curves in the model will cease with effect from October 7th, 2022:

	AUD-BBSW
	EUR-EURIBOR
	USD-LIBOR
	HKD-HIBOR
	SGD-SOR
	CAD-CDOR
	NZD-BKBM

Please note that there will be no transition for the following curves:

	HKD-HIBOR
	SGD-SOR
	CAD-CDOR
	NZD-BKBM

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.

ISDA announced the following RFRs transition dates:

Please be advised that, in alignment with the newly published CDX and iTraxx Swaption Documentation, the recommended market transition date for switching interest rate inputs in the ISDA CDS Standard Model to SOFR (for USD) and to €STR (for EUR) is 4th April 2022.

Note that both IBOR-based and RFR-based rate curves are already available in parallel in the ISDA CDS Standard Model.

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.

Version 29 the Credit Derivatives Physical Settlement Matrix (and related Confirmation template), adding the “[STANDARD] EUROPEAN LIMITED RECOURSE CORPORATE” Transaction Type has been published on the ISDA website at the following link – https://www.isda.org/2017/12/08/credit-derivatives-physical-settlement-matrix-5/ The assumed recovery on this transaction type will be 40%

Effective 17 May 2021, Refinitiv Benchmark Services (UK) Limited discontinued publishing 6MO and 1Y tenor LIBOR rates for CAD currency. As a result of this change, Interest Rate Curves for CAD that are published on https://www.markit.com/news/InterestRates_CCY_yyyymmdd.zip will no longer contain the 6MO and 1Y tenors.

Click here for additional information.

The transition date for GBP-LIBOR to SONIA has been moved from 24 May 2021 to Monday 12 July 2021. GBP-LIBOR curves will be maintained in the model for the remainder of 2021.

CHF and AUD RFRs are now published and available for testing. The Test Grids for RFRs (USD, EUR, JPY, CHF and AUD) will be available the week of May 31st.

A new version 1.8.3 of the ISDA CDS Standard Model supporting a full curve of swap rates with no deposits has been released. The change covers both the model code and the Excel add-in. This version supports both IBOR and RFR rates.

This version change does not impact IBOR calculations.

RFR documentation (as of March 13th) has been revised to clarify that there is no change to the interpolation method in the model as part of the IBOR to RFR transition.

The transition of the interest rate inputs to the ISDA CDS Standard Model to SONIA will take place on the weekend of May 24, 2021 and daily XMLs will be available for testing beginning March 22, 2021.x Documentation, sample XML (similar but not equal to IBOR XML), and Test Grids will be available in mid-March 2021 on https://www.cdsmodel.com/. RFRs will be available in a similar manner to IBORs via a different URL and cURL download command and additionally via https://rfr.ihsmarkit.com/ , subject to users annually accepting or attesting to the Terms of Use.

Although the use of RFRs will become the market convention, the RFR and IBOR rates will be available in parallel for the shorter period of one year after the relevant RFR goes live or until the IBOR ceases to exist. Additional curves will be transitioned to RFRs in succession on dates to be determined.

ISDA introduced the 2019 Narrowly Tailored Credit Event Supplement (NTCE Supplement) to the 2014 ISDA Credit Derivatives Definitions. Narrowly tailored credit events (NTCEs) are arrangements with corporations that cause a credit event leading to settlement of CDS contracts while minimizing the impact on the corporation. ISDA published a statement from its Board of Directors in April 2018 noting concerns with the impact of such events on the efficiency, reliability and fairness of the overall CDS market. The supplement amends the definitions of “Outstanding Principal Balance” and “Failure to Pay” in the 2014 Definitions, and adds a guidance memo on the interpretation of the Failure to Pay Definition as a new Exhibit F to the 2014 Definitions. This update had no impact to the model.

Click here for more information.

ISDA published a protocol to update terms of legacy CDS transactions referencing certain German Banks to reflect changes in documentation practices. The protocol changed the Transaction Type for affected trades from “Standard European Financial Corporate” to “Standard European Senior Non Preferred Financial Corporate” or “European Financial Corporate” to “European Senior Non Preferred Financial Corporate”. On May 2, 2019, the market began pricing SNRLAC tier (assumed recovery 40%) in addition to SNRFOR (continued assumed recovery 40%) for applicable German banks.

Click here for more information on the protocol.

On the June 6, 2018 EMMI announcement that, as of December 3, 2018, it would discontinue publication of the 2-week, 2-month and 9-month EURIBOR tenors (see https://www.isda.org/2018/06/06/euribor-discontinuation-of-tenors/). These tenors were switched off for use in the ISDA CDS Standard Model on December 7, 2018.

A new CDS debt tier was implemented between Senior and Subordinated debt. This new debt tier was to be known as SNRLAC - Senior Loss Absorbing Capacity and addressed subordination requirements under TLAC/MREL.

The new tier encompasses three types of debt subordination:

Contractual subordination – Senior Non Preferred debt, e.g., Spanish Banks issuing Senior Non Preferred Bonds

Structural subordination – Senior Bonds issued by bank holding companies, e.g., UK bank holding company issuing TLAC-eligible debt

Statutory subordination – Senior Bonds issued by German Banks, e.g., German Bank issuing senior debt covered by statutory subordination

It encompasses two new Transaction Types with assumed recovery rates of 40%:

Standard European Senior Non Preferred Financial Corporate

Standard European Financial Corporate

Click here for additional information.

The CDS market switched to a semi-annual maturity roll quoting convention for single names CDS on December 21, 2015 (similar to CDS indices).

The maturities associated with the tenor points changed from the previous convention (highlighted in red below for the first two quarters that the changes affected)

For example, on December 22, 2015, a 5 year tenor under the current convention matures on March 20 2021, whereas under the new convention, it matures on December 20 2020

Click here for additional information.

ICE Benchmark Administration (IBA) was named the administrator of the London Interbank Offered Rate (LIBOR) in February 2014, and introduced a new licensing arrangement that any distribution of LIBOR rates within four hours of initial publication (11:45am London time) is liable for per user fees. As LIBOR rates are a component of the model for the following currencies: USD, GBP, JPY, CHF, and in order that no per user fees apply to users of the model, the publication times for JPY and CHF will be delayed as follows:

JPY publication time has moved from 16:00 Tokyo local time to 15:45 London local time (23:45 / 00:45 Tokyo local time), SLA 17:15 London local time.

CHF publication time has moved from 16:00 Zurich local time to 16:45 Zurich local time, SLA 18:15 Zurich local time.

The 2014 ISDA Credit Derivatives Definitions (2014 Definitions) updated the 2003 ISDA Credit Derivatives Definitions and relevant supplements (2003 Definitions). The 2014 Definitions were a complete overhaul of the 2003 Definitions. Many new provisions were added, and existing provisions updated and amended. The 2014 Definitions therefore represented a new standard for CDS contracts. Effectively SECDOM and SNRFOR merged into one tier for CDS at an assumed recovery of 40%.

Click here for additional information.

Effective October 1st, 2013, The Association of Banks in Singapore will discontinue publishing the 2MO, 9MO and 1Y tenor SOR rates for the SGD currency. As a result of this change, Interest Rate Curves for SGD that are published on https://www.markit.com/news/InterestRates_CCY_yyyymmdd.zip will no longer contain the 2MO, 9MO and 1Y tenors.

Also please note that SGD Interest Rate Curve publication time has been moved from 10:30 to 13:30 London local time.

New sample files:

SGD Interest Rate Curve

Click here for additional information.

Effective June 3rd, 2013, British Banking Association will discontinue publishing 9MO tenor LIBOR rate for USD, GBP and CHF currencies. As a result of this change, Interest Rate Curves for USD, GBP and CHF that are published on
https://www.markit.com/news/InterestRates_CCY_yyyymmdd.zip will no longer contain the 9MO tenor.

New sample files:

	USD Interest Rate Curve
	GBP Interest Rate Curve
	CHF Interest Rate Curve

Click here for additional information.

An updated version of ISDA CDS Standard Model was adopted by the industry on March 22, 2013, with an implementation date of March 25th. It incorporates the following:

	Efforts by the industry to standardize trading of single names pre and post default (EDD Functionality). Click here for additional information.
	Resolving a numerical noise issue in certain edge cases. Click here for additional information.

With the expectation that at a future point in time cleared instruments will settle T+1, rather than the current T+3 standard, the ISDA Credit Steering Committee recommends that calculators and converters using the ISDA CDS Standard Model (https://www.cdsmodel.com/) are updated as soon as practicable to reflect the optionality introduced by this choice of settlement method.

If you have any questions around this change, please post them through the public discussion forum on the CDS model website.

The new 'Bullet Syndicated Secured Loan Credit Default Swap' contract is scheduled to launch on 5-April. This will coincide with the rolling of the Markit LCDX.NA Index. The new Bullet LCDS will be a 'Standard' Contract trading with a full first coupon, accruing from the previous quarterly roll date (20-Mar / Jun / Sep / Dec). There will be four available coupons, paid quarterly: 0, 100, 250 and 500 basis points (bps), with most of the liquidity expected to be at 250 bps. From Series 14 onwards, LCDX will also trade with a full first coupon, fixed at 250 bps for the new Series. The ISDA CDS Standard Model will be used to calculate fees for the Single Name and Index contracts, using a 70% recovery assumption. The Markit CDS Converter at https://www.markit.com/converter.jsp supports these calculations.

The ISDA Credit Steering Committee recommends the use of the ISDA CDS model for all fee calculations starting on Monday, June 1, 2009. The recommendation covers single-name corporate (bond and loan) and sovereign CDS for all regions and currencies and CDS index swaps including but not limited to Markit CDX and iTraxx and MCDX for all regions and currencies. The specification of the ISDA model for fee calculations is available at https://www.cdsmodel.com/. The intent of this recommendation is to complete the transition to the ISDA CDS model begun with the earlier recommendation for CDX contracts. Implementations such as the Markit Converter and Bloomberg's CDSW will by default use the ISDA CDS model and related standard settings starting on June 1.

For users accessing the USD interest rates from the following file https://www.markit.com/news/InterestRates_yyyymmdd.zip, please be advised that the file will be discontinued as of June 12, 2009. Users should access USD interest rates from the following file: https://www.markit.com/news/InterestRates_USD_yyyymmdd.zip.

The ISDA Credit Steering Committee recommends the use of the ISDA CDS model for all fee calculations starting on Monday, June 1, 2009. The recommendation covers single-name corporate (bond and loan) and sovereign CDS for all regions and currencies and CDS index swaps including Markit CDX and iTraxx for all regions and currencies. The specification of the ISDA model for fee calculations is available at www.cdsmodel.com. The intent of this recommendation is to complete the transition to the ISDA CDS model begun with the earlier recommendation for CDX contracts. Implementations such as the Markit Converter and Bloomberg's CDSW will by default use the ISDA CDS model and related standard settings starting on June 1.

The ISDA Credit Steering Committee recommends the use of the ISDA CDS model for calculations regarding Markit CDX Index trades starting on Thursday May 7, 2009. In order to facilitate the transition, implementations such as the Markit Converter and Bloomberg's CDSW will by default use the ISDA CDS model and related standard settings. It is recommended that standard interest rate curve fixing for various currencies like EUR, GBP, JPY (similar to USD) be used while calculating unwind, assignment and upfront fees.