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|