Credit Index Pricing Data

Stay informed with credit default swaps (CDS) index pricing datasets and pricing for credit options and credit tranches. We provide observable and theoretical prices based on constituents, sensitivity and liquidity metrics including trading volumes. Dataset options include end-of-day, same-day and intraday.

Credit Derivative instruments pricing:

• Credit Index Options Gain more transparency with our credit options pricing service, which is fueled by quotes and direct contributions from major market makers and includes coverage expanded beyond observable instruments using implied volatility modelling. Multiple daily snaps are provided with payer and receiver bid/mid/ask pricing, implied volatilities and ATM forwards covering a wide range of option strikes and expiries. Off-the-run pricing uses corresponding on-the-run volatility surfaces when observable data is sparse.
• Credit Index Tranches Leverage our credit tranches pricing service, which uses dealer quotes from major market makers and is backed by rigorous automated cleaning tests. Base correlations are calculated using a stochastic recovery model.