Achieve a deeper understanding of the CDS market with objective sensitivity data
Our CDS Pricing leverages a wide number of contributors to provide high quality data that delivers in-depth insight into the CDS marketplace. Our Sensitivities service delivers information on the relationship between a CDS price and other market variables.
Our CDS Sensitivities helps customers understand how sensitive a particular CDS spread level is to changes in interest rates, credit quality, recovery assumptions and other factors that affect CDS pricing. To gauge the sensitivity of CDS prices to market conditions, investors can “shock” their positions by calculating standard metrics.
- Extensive coverage – Access sensitivities calculated on five-year tenor for CDS single names and on-the-run and off-the-run credit indices
- Timeliness – Metrics are updated daily, providing efficiency to clients who otherwise calculate these metrics themselves
- Independent data – End-of-day metrics are derived from market-standard analytics, using consensus-based and independent CDS data
- Regulatory compliance support – Enhance sensitivity analysis to meet regulatory mandates such as IFRS 7, which requires disclosure of how firms perceive, measure and manage financial risk