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Standard Credit Default Swap US Corporate Terms 2009

I cannot seem to find a simple listing of the current market standard definitions for US Single name Corporate Credit Default Swaps (CDS)  so I’m going to put a list here. I have found a sample term sheet circa 2004 from NYU/Stern which is useful. The problem is that between the various quantitative descriptions of how to value a credit default swap and the contractual descriptions of what constitutes a credit default swap there is a missing descriptive piece that scrupulously  enumerates what data is specifically needed to actually value a credit default swap. Quant treatments typically dismiss this as an exercise for the reader in the quest for wider applied math scope.  The ISDA/Contractual folks similarly want to be as complete as possible so they typically lean towards presenting a catalog of every possible data field. There are several different markets that trade credit default swaps each with their own set of market conventions. There are various conventions for US Corporates, European Corporates, Emerging Market, CDS hedges to CDX, Loans , Preferreds, etc. The trick is, if you want to reproduce market prices you need to use the appropriate conventions. For example, US Corp CDS pay premium quarterly whereas a Brazil Sovereign CDS is going to pay premium semiannually.  The CDS Trade conventions presented below are applicable to understanding JPM Quantitative Research group analytics available via 2009  JP Morgan/ISDA Open Source  agreement.  Credit mag took a shot here  in 2005; and FT-IDC still closer here;
  • Value Date: T
  • Trade Date: Negotiated
  • Effective Date: Trade Date + 1
  • Definitions: ISDA 2003
  • Calendar: US
  • Day Count Basis: ACT/360
  • Premium Frequency: 4 IMM roll dates per year- 20Mar, 20Jun, 20Sep, 20Dec modified following
  • Currency: US Dollar
  • Coupon Accrual on Default: YES
  • Libor Curve: Market level USD Libor term structure mark; BBA;
  • Credit Spreads: Market level – term structure mark
  • Recovery Rate: Market level – typically constant mark
  • Deliverable Debt Class: Senior Debt
  • Credit Event: Modified Restructuring, Bankruptcy, Failure to Pay
  • Premium: negotiated; Points upfront;
  • Notional: negotiated
  • Maturity Date: negotiated – in given year one of the IMM roll dates – 20Mar, 20Jun, 20Sep, 20Dec modified following
  • Termination Delivery: Physical Settlement

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