Markit CDS Converter v2.1 Release Notes July 2009
Markit CDS
Converter v2.2
Release Notes
September 2009
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Confidential. Copyright © 2009, Markit Group Limited. All rights reserved. www.markit.com
Markit CDS Converter v2.1 Release Notes July 2009
Contents
Overview...............................................................................................................................................................3
Enhancements to the Markit CDS Converter....................................................................................................3
Adding Additional Currencies ............................................................................................................................3
TYO Holiday Calendar ......................................................................................................................................3
Variable Recovery Rate Field............................................................................................................................3
Rounding of the Cash Settlement Amount ........................................................................................................3
Comments or Questions about the Release? ..................................................................................................3
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Confidential. Copyright © 2009, Markit Group Limited. All rights reserved. www.markit.com
Markit CDS Converter v2.1 Release Notes July 2009
Overview
The Markit Converter (available at http://www.markit.com/cds) is a SNAC/STEC/STEM-compliant utility that converts
between upfronts to spreads and calculates cash settlement amounts for any valid CDS instrument (including Markit’s
indices). The ISDA CDS Standard Model code is used in all calculations for the Markit CDS Converter. All inputs into
the model—including the Markit-administered standardized interest rate curve—are standardized. For details on the
ISDA Standard Model, the standardized contract specifications, as well as the standard interest rate curve, please see
the documentation at http://cdsmodel.com.
Markit is pleased to announce enhancements to the Markit CDS Converter available at http://www.markit.com/cds.
The enhancements, detailed below, will be effective from Monday, the 14th of September, 2009.
Enhancements to the Markit CDS Converter
The enhancements for the current release of the Markit CDS Converter include:
 Adding AUD (Australia Dollar), NZD (New Zealand Dollar), HKD (Hong Kong Dollar), SGD (Singapore Dollar) as
currency options
 Referencing the TYO holiday calendar posted on cdsmodel.com for all JPY conversions
 Allowing input of any recovery rate between 0% and 100%
 Implementing the round halfway from zero rounding methodology
Adding Additional Currencies
The standardization of the Australian and New Zealand contracts require the addition of four new currencies to the
converter as per the ISDA Settlement Entity Matrix. The Markit CDS Converter now supports the AUD, NZD, HKD,
and SGD currencies as options. Please refer to http://cdsmodel.com for documentation regarding the convention,
sources, and availability of the interest rate curve.
TYO Holiday Calendar
As the roll date for curves trading in JPY (Japanese Yen) falls on a Japanese holiday, a holiday calendar is required to
correctly account for the accrual amount. The TYO holiday calendar published on http://cdsmodel.com contains
holiday dates around roll dates for the JPY currency until the year 2050. Any conversion using the JPY currency
references the TYO holiday calendar.
Variable Recovery Rate Field
Previously, the choices for the recovery rate field on the Markit CDS Converter were constrained to 20% (for the
subordinated tier) and 40% (for the senior tier). The field is a free form text field, allowing any valid recovery between
0% and 100% inclusive.
Rounding of the Cash Settlement Amount
The cash settlement amount should be rounded to a whole number, as per the converter specification on
http://cdsmodel.com. The Markit CDS Converter produces a cash settlement amount rounded using the round half
away from zero methodology. The logic for rounding is for:
 A Positive Cash Settlement Amount - Round down if less than 0.5, round up if more than or equal to 0.5.
 A Negative Cash Settlement Amount - Round up if less than 0.5, and round down if more than or equal to 0.5.
Comments or Questions about the Release?
For questions about the content of this release, please contact Markit via email at [email protected] or telephone:
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Europe - +800 6275 4800
North America - +1 877 762 7548
Asia - +65 6499 0079
Japan - +81 3 6402 0127
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Confidential. Copyright © 2009, Markit Group Limited. All rights reserved. www.markit.com