News Updates
 
June 24, 2021

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.

 
April 29, 2021

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.

 
April 7, 2021

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.

 
February 11, 2021

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. 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.

 
June 15, 2019

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.

 
May 11, 2019

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.

 
December 6, 2018

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.

 
December 8, 2017

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.

 
December 20, 2015
ISDA semi-annual roll for single names change

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
  Sep 20, 2015 - Dec 19, 2015 Dec 20, 2015 - Mar 19, 2016 Mar 20, 2016 - Jun 19, 2016 Jun 20, 2016 - Sep 19, 2016
0M Dec 20, 2015 Matured Jun 20, 2016 Matured
3M Mar 20, 2016 Mar 20, 2016 Sep 20, 2016 Sep 20, 2016
6M Jun 20, 2016 Jun 20, 2016 Dec 20, 2016 Dec 20, 2016
9M Sep 20, 2016 Sep 20, 2016 Mar 20, 2017 Mar 20, 2017
1Y Dec 20, 2016 Dec 20, 2016 Jun 20, 2017 Jun 20, 2017
2Y Dec 20, 2017 Dec 20, 2017 Jun 20, 2018 Jun 20, 2018
3Y Dec 20, 2018 Dec 20, 2018 Jun 20, 2019 Jun 20, 2019
4Y Dec 20, 2019 Dec 20, 2019 Jun 20, 2020 Jun 20, 2020
5Y Dec 20, 2020 Dec 20, 2020 Jun 20, 2021 Jun 20, 2021

Click here for additional information.

 
November 8, 2014

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.

 
September 20, 2014

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.

 
October 1, 2013

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.

 
May 24, 2013

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.

 
March 25, 2013

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.
 
April 28, 2011

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.

http://forum.cdsmodel.com/mvnforum/mvnforum/index
 
March 26, 2010

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.

 
October 5, 2009

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.

 
June 9, 2009

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.

 
May 20, 2009

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.

 
May 5, 2009

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.

Copyright © 2009 Source: ISDA and Markit Group Limited. All rights reserved.