Defining Standard Recovery Rates

You can map a recovery rate to a specific region or jurisdiction according to ISDA standards for CDS Fixed Coupon trades.

Setting a default recovery rate will automatically assign the rate for upfront fee computation. Selecting a reference entity with these attributes will populate the rate field in the trade window.

Once the recovery rate field is populated in the trade window, it can be changed as desired.

Choose Calypso Navigator > Configuration > Credit Derivatives > Standard Recovery to open the Standard Recovery Configuration window.

Standard Recovery Configuration Window

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Enter the product type.

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Enter the key attributes for the recovery rate. Attributes default to ANY.

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Enter the recovery rate.

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Click Add to include the mapping to your environment.

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Click Save.