Thursday, February 26, 2009


NEW YORK, Thursday, February 26, 2009 –The International Swaps and Derivatives Association, Inc. (ISDA) today announced the launch of the ISDA CDS Standard ModelTM as an open source project. The model has its basis in J.P. Morgan’s CDS Analytical Engine, which was transferred to ISDA on January 29, 2009. The code underlying the model is widely used in the industry to price CDS contracts. Making the code available as open source increases availability and transparency of CDS pricing. Markit, as administrator, will provide support and maintenance for the project.

The code is available through an open source license at Along with the code, standard inputs to the model, such as recovery value and yield curve, will be described and made available in due course, together with an online discussion forum, which will allow for community input.

Markit, in its role as administrator, will provide support for the maintenance and further development of the code, following open source principles and under the direction of ISDA.

“ISDA's primary goal in making the code available is to enhance transparency and to optimize use of standard technology for CDS pricing, thereby helping promote the development of the credit derivatives industry as a whole,” said Robert Pickel, Executive Director and Chief Executive Officer, ISDA. “We are very pleased to be able to provide this service freely to the entire industry.”

Armins Rusis, Executive Vice President and Global Co-Head of Fixed Income at Markit, said, "The standard model provides a critical piece of fixed-coupon CDS trading infrastructure, ensuring that counterparties calculate upfront fees in a consistent manner. A market standard valuation model that is freely available to all will enhance trade accuracy and help ensure continued operational improvements in the CDS business. Markit appreciates the opportunity to assist ISDA and the industry in this important undertaking for the CDS market."

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