Credit Curve Construction
| Field Name | Description | Permissible Values |
|---|---|---|
| Reference | The credit identifier | Free text (no space) (e.g. DBAG) |
| Corp Ticker | Underlying single name CDS corporate ticker (optional) | Free text (no space) (e.g. DBAG) |
| Ccy | Credit curve’s 3-letter ISO 4217 currency code | EUR | USD | GBP | JPY |
| Sector | Credit curve’s sector | See permissible credit curve sectors |
| Doc Clause | Credit curve’s documentation clause | MR14 | MM14 | XR14 | CR14 | MR | MM | XR | CR |
| Seniority | Underlying single name CDS’s debt level seniority | SECDOM | SNRFOR | SNRLAC | SUBLT2 | JRSUBT2 | PREFT1 |
| Long Name | Underlying single name CDS’s legal entity name (optional) | Any (e.g. Deutsche Bank AG) |
| Recovery Rate | Credit curve’s recovery rate | Numeric between 0 and 1 |
| Quote Convention | ISDA CDS Standard Model quote convention | QUOTED_SPREAD | POINTS_UPFRONT | PAR_SPREAD |
| Fixed Coupon |
Credit curve’s fixed coupon For Quote Convention = "POINTS_UPFRONT" | "QUOTED_SPREAD" | 0.0025 | 0.0050 | 0.01 | 0.05 | 0.1 |
| Field Name | Description | Permissible Values |
|---|---|---|
| Reference | The credit identifier | Free text (no space) (e.g. DBAG) |
| Long Name | Underlying credit index name (optional) | See permissible values |
| Series | Underlying credit index series number (optional) | Numeric integer value |
| Version | Underlying credit index version number (optional) | Numeric integer value |
| Start Date | Underlying credit index start date | “DD/MM/YYYY” |
| Factor | Underlying credit index factor | Numeric between 0 and 1 |
| Ccy | Credit curve’s 3-letter ISO 4217 currency code | EUR | USD | GBP | JPY |
| Sector | Credit curve’s sector | See permissible credit curve sectors |
| Doc Clause | Credit curve’s documentation clause (optional) | MR14 | MM14 | XR14 | CR14 | MR | MM | XR | CR |
| Recovery Rate | Credit curve’s recovery rate | Numeric between 0 and 1 |
| Quote Convention | ISDA CDS Standard Model quote convention | QUOTED_SPREAD | POINTS_UPFRONT | PAR_SPREAD |
| Fixed Coupon |
Credit curve’s fixed coupon For Quote Convention = "POINTS_UPFRONT" | "QUOTED_SPREAD" | 0.0025 | 0.0050 | 0.01 | 0.05 | 0.1 |
| Field Name | Description | Permissible Values |
|---|---|---|
| Reference | The credit identifier | Free text (no space) (e.g. DBAG) |
| Long Name | Underlying credit index name (optional) | See permissible values |
| Series | Underlying credit index series number (optional) | Numeric integer value |
| Version | Underlying credit index version number (optional) | Numeric integer value |
| Tranche | Underlying credit index tranche |
0-3 | 0-10 | 0-15 | 3-6 3-7 | 6-12 | 7-15 | 10-20 | 12-100 15-25 | 15-100 | 20-35 | 25-35 | 35-100 Validation applies if a long name is provided |
| Series | Underlying credit index series number | Numeric integer value |
| Start Date | Underlying credit index start date | “DD/MM/YYYY” |
| Factor | Underlying credit index factor | Numeric between 0 and 1 |
| Ccy | Credit curve’s 3-letter ISO 4217 currency code | EUR | USD | GBP | JPY |
| Sector | Credit curve’s sector | See permissible credit curve sectors |
| Doc Clause | Credit curve’s documentation clause (optional) | MR14 | MM14 | XR14 | CR14 | MR | MM | XR | CR |
| Recovery Rate | Credit curve’s recovery rate | Numeric between 0 and 1 |
| Quote Convention | ISDA CDS Standard Model quote convention | QUOTED_SPREAD | POINTS_UPFRONT | PAR_SPREAD |
| Fixed Coupon |
Credit curve’s fixed coupon For Quote Convention = "POINTS_UPFRONT" | "QUOTED_SPREAD" | 0.0025 | 0.0050 | 0.01 | 0.05 | 0.1 |
| Field Name | Description | Permissible Values |
|---|---|---|
| Tenor | The node’s tenor | Any tenor (e.g. 5Y, 7Y) |
| Node Type | The node’s type | CDS | CREDIT_INDEX | FUNDING |
Generic Credit Permissible Values
| CREDIT SECTOR |
|---|
| Basic Materials |
| Consumer Goods |
| Consumer Services |
| Energy |
| Financials |
| Government |
| Healthcare |
| Industrials |
| Technology |
| Services |
| Telecommunications |
| Utilities |
| Undefined |
| CREDIT INDEX CURVE LONG NAME |
|---|
| CDX EM |
| CDX NA HY |
| CDX NA IG |
| CDX LATAM |
| ITRAXX ASIA EX JAPAN IG |
| ITRAXX AUSTRALIA |
| ITRAXX EUR |
| ITRAXX EUR HIVOL |
| ITRAXX EUR SNR FINANCIALS |
| ITRAXX EUR SUB FINANCIALS |
| ITRAXX EUR XOVER |
| ITRAXX JAPAN |
| ITRAXX SOVX WESTN EUROPE |
| ITRAXX SOVX CEEMEA exEU |
| ITRAXX SOVX CEEMEA |
| MCDX NA |
| CMBX NA AAA |
| CMBX NA AM |
| CMBX NA AJ |
| CMBX NA AS |
| CMBX NA AA |
| CMBX NA A |
| CMBX NA BBB |
| CMBX NA BBB- |
| CMBX NA BB |
| ABX HE |
| ABX HE PENAAA |
| ABX HE AAA |
| ABX HE AA |
| ABX HE A |
| ABX HE BBB |
| ABX HE BBB- |
| CREDIT INDEX TRANCHE CURVE LONG NAME | PERMISSIBLE TRANCHE VALUES |
|---|---|
| CDX NA HY | 0-15 | 15-25 | 25-35 | 35-100 |
| CDX NA IG | 0-3 | 3-7 | 7-15 | 15-100 |
| ITRAXX EUR | 0-3 | 3-6 | 6-12 | 12-100 |
| ITRAXX EUR XOVER | 0-15 | 15-25 | 25-35 | 35-100 | 0-10 | 10-20 | 20-35 |
| Not specified | Any of the tranche values above |
