Credit market conventions

This page lists the credit templates the pinned release registers: the standard single-name credit default swap (CDS) contracts, and the total return swap templates.

Every table is printed from the template registry each time the documentation is built, in both languages, and the two printings must agree.

What each column means

Column	What it holds
Template	the registry code you book with
Registry name	the name the registry files the template under
Calendar	the calendar a CDS's dates are counted on
Spot lag	the business days from trade date to protection start

A standard CDS template fixes the premium schedule (its frequency, roll and date-generation rule), the premium day count, the standard coupon, and the default seniority and documentation clause a bare reference entity is booked on.

The catalog

Single-name CDS templates

Template	Registry name	Calendar	Spot lag
CDS-STANDARD	cds_standard	WeekendsOnly	1D
CDS-STANDARD-EU	cds_standard_europe	WeekendsOnly	1D

Total return swap templates

Template	Registry name
TRS-FIXED-FUNDING	fixed_funding
TRS-FLOAT-FUNDING	float_funding

Where these come from

Both tables come from the template registry, filtered by family. The products are on CDS, index CDS and bond TRS.