ICE

Credit

ICE Data Derivatives sources, validates and delivers CDS Single Name and Index pricing to a global financial client base to support workflows across trading, risk, pricing, research and compliance.

Learn more about ICE Data DERIVATIVES

Data Derivatives

Analytics & Solutions

Extensive Coverage

2,500+ Single names, Indices, Tranches, Sovereigns & Quantos

End-of-day to every 20-minute curve updates

50,000 streaming tick prices daily

15+ years of historical pricing data

1,000+ Regions, Rating, CDS Sector Curves

Supporting a variety of workflows:

Our comprehensive CDS pricing solution enables market participants to integrate up-to-date market data into their analytics and workflows to help improve decision making, risk analysis and price verification processes.

Trading

Monitor CDS names, bonds and macro credit markets
Define and back-test trading strategies
Use intraday data as input to equity trading strategies
Contrast cash vs. derivative markets

Risk Management

Portfolio Risk Management - Input into VAR, DV01, Scenario analysis
Counterparty Risk - Monitor and price counterparty risk
Credit Risk Analysis - Market view of LGD, PD, implied ratings

Pricing & Valuations

Use CDS as input in pricing and valuations of CDS and bond positions
Use CDS to make credit valuation adjustments
Use CDS as input for pricing illiquid debt instrument

Credible and observed

Our data is sourced from multiple sources, including trades, indicative quotes and contributed curves from the largest, most active investors. Through our advanced extraction and parsing technology, we can process contributed curves and up to 6 million quotes per day in real-time from the market.

Using sophisticated modelling technology, ICE Data Derivatives builds upon our multiple sources to deliver full CDS pricing term structures from 6 months to 30 years. We calculate and provide key metrics including Hazard Rates, CPD, Liquidity Metrics, Input Analytics, as well as the full spectrum of CDS Price Types.

All data received by ICE Data Derivatives goes through a rigorous price validation process including both a real-time automated validation process as well as a manual price verification process. CDS curve models are scrutinized throughout the day by a dedicated team of CDS pricing specialists, to help ensure that our data reflects the market.

Delivery Options

CDS pricing data can be provided in CSV and XML format and is delivered in a range of different methods including ICE Curve Viewer, SFTP, API and Wire Protocol via the ICE Consolidated Feed.

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