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Credit Index Pricing Data

Get accurate prices on your credit indices

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.

Why IHS Markit?

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Experts

Gavan Nolan

A published author, Mr. Nolan has written about the credit markets from the accounting scandals of the last decade through the financial and European sovereign debt crises. He is a well-known commentator on the credit default swaps (CDS) markets, including credit fundamentals and CDS mechanics, in particular ISDA definitions, credit events and auctions. He has been a frequent contributor to both print and broadcast media, and quoted in Financial Times, Wall Street Journal, Daily Telegraph, Bloomberg, Reuters, Dow Jones, Global Capital, CNBC and BBC's R4 Today programs. Mr. Nolan played a key role in developing the Markit CDS pricing product, the leading service in the CDS market. Prior to joining Markit in 2003, now IHS Markit, he worked at J.P. Morgan and TD Securities in a variety of fixed-income roles. Mr. Nolan holds a Bachelor of Science in Economics from Queen Mary College, University of London, UK.

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