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Credit Spread Curve Data API

A dataset by FinPricing
Pricing available upon request Get a Quote
5 SampleHead SampleHead SampleHead
1 5 years Value Value Value
2 5 years Value Value Value
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Credit Spread Curve Data API

Volume

100,000 records

Use Cases

Geography

Asia (1)
Japan
Europe (51)
Albania
Andorra
Austria
Belarus
Belgium
Bosnia and Herzegovina
Bulgaria
Croatia
Czech Republic
Denmark
Estonia
Faroe Islands
Finland
France
Germany
Gibraltar
Greece
Guernsey
Holy See
Hungary
Iceland
Ireland
Isle of Man
Italy
Jersey
Latvia
Liechtenstein
Lithuania
Luxembourg
Macedonia (the former Yugoslav Republic of)
Malta
Moldova (Republic of)
Monaco
Montenegro
Netherlands
Norway
Poland
Portugal
Romania
Russian Federation
San Marino
Serbia
Slovakia
Slovenia
Spain
Svalbard and Jan Mayen
Sweden
Switzerland
Ukraine
United Kingdom
Åland Islands
North America (2)
Canada
United States of America
Oceania (1)
Australia

Categories

Data Attributes

Attribute Example Description
5 5 years maturity at 5 years

History

1 years of past data available

Product Description

There is only one base interest rate per currency, corresponding to the bank’s unsecured lending/borrowing rate (such as LIBOR). The interest rate used to discount cashflows may include a credit spread above or below the base rate. The risk-free discount factor is exp (-rT) where r is the interest rate and T is the maturity. The risky discount factor is exp[-(r+s)T] where s is the credit spread. Credit spread can be derived by either structural model or reduced-form (intensity) model. The structural approach regards default as an endogenous event by focusing on the capital structure of the firm. Whereas the reduced-form approach does not explain the event of default endogenously, but characterizes it exogenously by a jump process. Structural models are derived from theory and often contain some unobservable assumptions, while reduced-form models use only market observable information. Therefore, many practitioners in the credit trading arena have tended to gravitate toward the reduced-from models given their mathematical tractability and market compatibility. Many researchers group similar credits. These groupings are loosely referred to as rating categories. Regardless of how the rating categories are constructed and of how many categories there are, it is necessary to specify the default likelihood for each category and provide a credit spread to correspond to each category. FinPricing offer forward credit spread curves for various sectors and ratings. These curves are derived/bootstrapped through a compilation of market prices of credit-bearing instruments provided by major dealers. We review the contributed information on a daily basis to ensure accuracy and consistency. More details at https://finpricing.com/lib/CdCreditSpreadCurve.html

Suitable Company Sizes

Small Business
Medium-sized Business
Enterprise

Pricing

Free sample available
License Starts at
One-off purchase Not available
Monthly license Not available
Yearly license Available
Usage-based Not available
Revenue share Not available

Quality

Self-reported by the provider
market quotes

Delivery

Methods
S3 Bucket
SFTP
Email
UI Export
REST API
SOAP API
Streaming API
Feed API
Frequency
secondly
minutely
hourly
daily
weekly
monthly
quarterly
yearly
real-time
on-demand
Format
.bin
.json
.xml
.csv
.xls
.sql
.txt

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>5 years Historical

> 60 years Curve tenors

>45 Interest rate coverage

>100 Forex volatility surfaces