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CDS Pricing Data

Access trusted pricing for Credit Default Swaps

Find live, snapped and end-of-day price updates for approximately 2,400 CDS entities and all the major credit indices, including CDX and iTraxx. IHS Markit also delivers a suite of value-added CDS services to provide greater transparency into the marketplace. Use our CDS composite and contributor-level data to support price discovery, risk management, compliance, research and valuations.

Our CDS pricing service aggregates contributed CDS data from market makers’ official books of record, live quotes and clearing submissions and results. We then process this data using rigorous automated cleaning tests in all of our services to publish 1.9+ million daily quotes, covering 9,000+ curves.

Key benefits:

Data integrity – Access high quality pricing sourced from multiple data contributors and put through a rigorous data-cleaning process
Timeliness – Get pricing updates on a streaming intraday basis, snapshot at defined intervals for same-day analysis and on an end-of-day basis
Extensive coverage – Leverage a wide breadth and depth of coverage, including approximately 2,400 entities and all the IHS Markit credit indices
Dedicated support – Get direct access to IHS Markit analysts for data queries and price challenges
Flexible distribution – Enjoy product delivery via the web, Price Viewer or through integration into your internal systems or third-party platforms

Download CDS Pricing Data brochure

Download CDS Sensitivities Data

Customers

Banks
Insurance companies
Mutual funds
Hedge funds
Regulators

Products and Solutions

End-of-day CDS pricing

Get end-of-day CDS single name composites on approximately 2,400 entities as well as index and tranche-level data for on-the-run and off-the-run indices from IHS Markit. We receive contributed CDS data on corporate, sovereign and municipal CDS single names and indices from the official record books of market makers. We then apply a rigorous curve-based cleaning process to the contributed data and discard data that fails these cleaning tests.
Same-Day CDS pricing

Our Sameday CDS service includes more than 2,400 corporate and sovereign CDS single names and all IHS Markit credit indices. Customers access the pricing for single names via six regional reports: Sameday Japan, Asia, Europe, London, New York and Midday London. Each same-day CDS report is downloadable at the close of the business day in the respective region, with the London report available at midday. Our credit indices include 12 snapshots per day across multiple regions.
Intraday CDS Pricing

Due to volatility, risk and regulatory concerns, market participants need to monitor the CDS market and access timely pricing data. Our streaming CDS pricing discovery tool enables you to monitor CDS prices and price movements throughout the day on observable data. Using our end-of-day CDS composite data along with real-time data captured from Parsing, Pricing Data from IHS Markit delivers a streaming feed of 10.5K+ CDS curves and 1.9M+ CDS price quotes.
CDS Clearing Data

Find daily CDS settlement prices for four clearinghouses globally: ICE Clear Credit, ICE Clear Europe, Japan Securities Clearing Corporation and LCH Clearnet S.A. These respective clearinghouses use CDS settlement prices from IHS Markit in their risk management processes. Get daily price and spread levels for cleared instruments from 500+ entities and sovereigns, including CDS single names, credit indices and options. A daily settlement price calculation ensures the objectivity of these prices.
CDS Sensitivities 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.
CDS Sector Curves

IHS Markit delivers daily CDS sector curves reports. We calculate these curves with spreads from our end-of-day CDS single name composite pricing data, which is based on contributor submissions that have undergone a rigorous cleaning process. The sector curves are calculated for average ratings from Moody’s, Fitch and S&P, ranging from AAA to CCC and are further broken down into the different sectors associated with these ratings.

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Experts

Gavan Nolan

Director – Business Development and Research, Fixed Income Pricing, IHS Markit

Events

IHS Markit Event 23 September 2019

Advances in Alternative Credit

Gain forward looking insight into the trends that (...)

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IHS Markit Event 24 September 2019

Breakfast Briefing: A Global Price for Carbon (...)

Launch of the IHS Markit Global Carbon Index

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Resources

Pricing Data – CDS sector curves

Pricing Data – Sensitivities

Pricing Data – Liquidity services

Pricing and Reference Data Brochure

Counterparty Risk in the Commodities Sector

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