Credit Derivatives

Useful documentation, relevant matrices, best practice statements, FAQs, memorandums and other useful material pertaining to the credit derivative industry.


DateTitle / DescriptionDocuments
October 6, 2011
Standardisation 2010 – Final Credit Derivatives Matrix and Legend
2010 Standardisation Matrix / corresponding legend
Credit_Standardisation Matrix - Final June 2010.pdf Standardization Legend - Credit Final.pdf
September 20, 2011
Cross Asset Standardisation Matrix – 2011 templates
2011 Standardisation Matrix templates for Credit, Equity and Interest Rate Derivatives
Cross Asset Standardisation Matrix - 2011 templates.xls
September 20, 2011
Standardisation Legend 2011- Credit- Final
2011 Standardisation Matrix Definitions and Reporting Explanations for Credit Derivatives
Standardization Legend 2011 - Credit- Final.doc
July 1, 2011
2011 Credit Clearing Comparative Analysis
For additional background, please see: http://www2.isda.org/news/credit-clearing-comparative-analysis-available
CIG Credit Clearing Comparative Analysis v1.0.pdf
July 1, 2011
2011 Credit Clearing Comparative Analysis: CCP Snap-Shot Matrices v1.0
For additional background, please see: http://www2.isda.org/news/credit-clearing-comparative-analysis-available
20110629 MN comments CCP Snap-Shot Matrices v1 0 29 June-11.pdf
May 27, 2011
Clarification Pertaining to the Documentation of Recovery Lock Credit Derivative Transactions
20110527_Final_Clarification-pertaining-to-RLs.pdf
January 20, 2011
Credit Derivatives Physical Settlement Matrix
Link to historical Confirmations documents
CDS-Confirmations.html
January 20, 2011
Credit Derivatives Physical Settlement Matrix
Link to historical Matrix spreadsheets
CDS-Matrix.html
November 8, 2010
Credit Derivatives Physical Settlement Matrix
2005 Matrix Supplement
2005-Supplement-for-CDS-Matrix.pdf
October 8, 2010
Credit Derivatives Physical Settlement Matrix
Commentary
Commentary-for-CDS-Supp.pdf