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CREDIT DERIVATIVES

Stay ahead of the curve with FENICS Credit Curves.

Professors John Hull and Alan White teamed up with FENICS to develop a methodology for calculating ratings-based CDS indices and estimating CDS spreads. Called FENICS Credit Curves, the methodology gives traders a critical tool. Here’s how it works:

  • Credit curves are generated for over 500 reference entities each hour.
  • Data points in each curve can be actual trades, mids of actual bid/offer prices or calculated prices.
  • Each curve consists of 7 points for tenors from 1Y to 10Y.
  • Credit curve database holds over 24 million curve points, dating from 2001.
  • The FENICS Credit Curve engine converts all prices to total running points. This conversion allows GFI to calibrate its FENICS Credit Curves, whether a CDS is being quoted as upfront or not.
  • Credit curves are made available to customers in a CSV format file, via the GFI FTP download service.
Asset Type & Description Total History Timelines
Single Name Credit Derivatives Single name CDS from 1997, CDS loans since June 2006 Hourly .csv curves and quote files plus ranking and static data files, Streaming: one hour delayed feed via Contex
CDS Indices & Tranches Tranches and indices since 2002
Investment Grade Indices Indices since 2002
FENICS Credit Curves - Calculated Data Nearly 30 million data points since 2001
 

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