GFI collates its CDS Price and Trade data from its brokerage desks in Tokyo, Hong Kong, Singapore, London and New York.
Prices are captured for Single Named CDS, Indices and Tranches, from the GFI CreditMatch® trading system, while trades for these instruments, are captured from the back office Credit Trade Capture system. All the data is collated centrally, checked and cleansed by a Data Operations team.

The data is made available to customers in a series of CSV files via GFI’s FTP Service, with the CSV file being updated every hour. GFI applies a 1-hour delay to the data prior to making it available. A streaming record feed with 1 hour delay can also be provided based on user requirements via the Gissing Contex market data delivery system.

Key facts about GFI’s CDS data

• Price and Trade information for Single Name CDS, Indices, and Index Tranches
• CDS data coverage across a number of sectors in Asia, Europe, North and South America.
• More than 3000 prices and trades captured each day for single name CDS, and more than 800 per day for Index Tranches.
• Over 3000 reference entities actively traded representing international corporations and sovereigns.
• Over 2 million price points stored in the GFI CDS database; dating from 1997, and increasing by approximately 66,000 each month.
• Consists only of real market price and trade information, reflecting accurate market sentiment.
• GFI is contractually able to re-distribute Red codes to any customer who has a licence for Red Codes.

Key facts about GFI FENICS® Credit Curves

• Credit curves generated for over 2000 reference entities each hour.
• Data points in each curve can be actual trades, price (mid), or calculated data points.
• Each curve consists of 7 points for tenors from 1Y to 10Y
• Credit curve database holds over 24 million curve points, dating from 2001.
• Coverage of the CDS data is broken down by Sector (eg. Financial, Index, Energy etc).
• The 3 main indices within the CDS market are: iTraxx Asia, iTraxx Europe and CDX

GFI FENICS® Credit Curves

Using the GFI CDS data, Professors John Hull and Alan White have teamed up with GFI to develop a methodology for calculating ratings-based CDS indices and estimating CDS spreads. The Hull & White’s methodology require the calculation of spread change index, spread level index and slope parameter to be incorporated into the calculation of the GFI FENICS® Credit curves.

The curves are calculated for over 2000 reference entities with each curve consisting of the following contract terms:
1Y, 2Y, 3Y, 4Y, 5Y and 10Y

The curves consist of mid price points for the contracts, and each point is populated using either a traded price, a mid price calculated from the bid/offer quote, or a GFI FENICS® Credit calculated price.

GFI FENICS® Credit curves are calculated each hour for over 1900 reference entities.  The calculation of the curves gives preference to real trades and quoted mid points where available, and in their absence will calculate a running point level using the methodology developed, to ensure a credit curve always exists for each reference entity.

The credit curves are made available to customers in a CSV format file, via the GFI FTP download service.

Total Running Points Calculation

GFI has recently incorporated within its credit curve engine a calculation of the Total Running Points.  This calculation allows GFI to accurately calculate its GFI FENICS® Credit curves when a CDS is being quoted as running points and an upfront. White papers are available on GFI FENICS® Credit curve methodology and the Total Running Points calculation for more detail.