SD-Market Data for credit includes very rich coverage of CDS, CDS index instruments and CDO instruments with maturities from 3 months to 10 years.

SD-Market Data includes CDS spread in basis points and/or the upfront fee and the running spread as per SNAC. For CDS index instruments it includes Market spread and/ or market price in the bond-style convention. The CDO instruments data includes spread per tranche and/ or upfront fee – from which SD calibrates base correlation and implied correlation for the traded tranches.

SD derives its CD market data from multiple sources, including interdealer brokers, market makers, credit derivatives data aggregators and data vendors. The system receives the intraday data for many names. Some major data updates (twice a day – at 17.00 hrs London and 17.00 hrs New York) are used for very illiquid names. Once these updates are received, the data is cross-referenced, cleaned and validated.

Typical number of sources for SD-Market Data for credit per instrument:

• Liquid CDS:  6-10 sources
• Illiquid CDS: 4-6 sources
• Liquid Indices: 10-14 sources
• Illiquid indices: 4-5 sources
• CDO tranches: 4-8 sources