Credit

Once you have created a curve group, you can add credit curves to it.

On this page, we will discuss how to:

create (or edit when existing) a credit curve
add credit curve nodes
add funding nodes for XVA calculations

When performing XVA calculations, in addition to the credit curves associated to counterparties, you will need to create a SELF curve to allow for DVA calculations. You will also need to add the relevant funding nodes to allow for FCA and FBA calculations.

Credit Curve Construction

There are three types of credit curves in Xplain:

Single name CDS curves
Credit index curves (e.g. CDX NA IG)
Credit index tranche curves (e.g. CXD NA IG 3%-7% tranche)

Permissible values for credit curve names and associated nodes can be found on the Credit Curves Permissible Values page.

Part of our ‘NEW CURVE GROUP’ example that replicates the ‘LONDON’ curve group, this page will guide you through the process of defining a curve using two examples: manually defining the ‘CELESTIAL USD Senior Unsecured CR14’ CDS curve with a 5y node, or importing all the data. You can download the example .CSV data import files here.

You can also add other types of curves and volatility surfaces to the curve group. Once all required items have been added, you can proceed to the curve configuration set up page.

1. Creating a Credit Curve

Under Curves/Curve Groups, at the curve group level, under Credit, you can create a credit curve either manually or by importing the definition data.

Alt for image — Creating a CDS or Credit Index Curve
Curves/Curve Groups/NEW CURVE GROUP/Credit

Case 1: Manually Creating a Credit Curve

To manually create a curve, click on Add New and select CDS or Credit Index or Credit Index Tranche (or edit an existing one by double-clicking on the line item).

Case 2: Importing Credit Curve List Definition Data

To import a curve (or a list of curves), click on (import) and select the relevant curve list definition .CSV import file.

You can download the import file template here .

A Curve Id will be automatically generated as Reference & “*” & Ccy & “*” & Seniority & “_” & Doc Clause for a CDS curve and Reference & “_” & Ccy for a Credit Index curve. Such Curve Id will constitute the credit curve’s unique identifier.

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

2. Adding Credit Curve Nodes

Under Curves/Curve Groups, at the curve group level (or also globally at the curve list level when importing), under IR + Inflation, you can create credit curve nodes either manually or by importing the definition data.

Case 1: Manually Creating a Credit Curve Node

To manually create a curve node, click on Edit, then on Add New (or edit an existing one by double-clicking on the line item).

Case 2: Importing Credit Curve Nodes Definition Data

To import a node (or a list of nodes), click on (import) and select the relevant curve node list definition .CSV import file.

You can download the import file template here .

The import example below is performed at the credit curve level but in practice, the curve node import should be performed at the credit curve list level (i.e. across all credit curves).

A description of a credit curve node’s attributes and corresponding permissible values are set out in the table below.

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

Adding SELF Curve and nodes for XVA Calculations

To perform XVA Calculations, you will need to create a Self Curve and add the relevant funding nodes. The process is the same as above, the only difference is you can add Funding Nodes in order to perform XVA Calculations. For this example, you can manually create one by clicking on Add New and selecting CDS.