Moody's Aligns CDS Data with ISDA


The new convention fixes CDS coupons at either 100 or 500 basis points, with outlying basis points at the present value of the CDS to be paid upfront. Moody's now identifies and captures the most appropriate strike price for a given CDS contract, and has taken the change into account by adapting its method for converting points upfront into spreads, which is what most client systems need to value their positions, says Silvio Borelli, director at Moody's CreditQuotes.

Recovery rates are now fixed

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