The Markit CDS Converter Guide（Markit cd转换器指南）.pdf

The Markit CDS Converter Guide September 21, 2009 Markit CDS Converter Guide Contents Markit CDS Converter 3 Steps for Use 3 Interpretation of Results 4 Email Results 5 Interest Rate Curve 5 Comments or Questions 6 2 Confidential. Copyright © 2009, Markit Group Limited. All rights reserved. Markit CDS Converter Guide Markit CDS Converter 1 Markit has developed the Markit CDS Converter, an implementation of the ISDA CDS Standard Model , in close collaboration with ISDA and industry participants. The Markit CDS Converter is available at /cds. The Markit CDS Converter and the code behind it are critical to making sure that trades under the new quoting and trading conventions do not break during the trade confirmation process due to differences in points upfront. This is one of the common causes for trade breaks on indices. Steps for Use Here we illustrate how to go from conventional spreads to an upfront using the Converter as well as providing specifications for the fields. 1 The ISDA Standard CDS model is the source code for CDS calculations and can be downloaded through 3 Confidential. Copyright © 2009, Markit Group Limited. All rights reserved. Markit CDS Converter Guide 1. Specify all required trade inputs: Trade Date, Protection Buyer or Seller, Maturity, Tier (Recovery), Standard