Credit Spread Curve Data Feed API by Region, Sector, Rating

Credit Spread Curve

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Credit Spread Curve

FinPricing offers the following curves for various currencies via API:

OIS curves
RFR (risk free rate) curves
SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
IBORs (LIBOR, EURIBOR, TIBOR, CDOR, EONIA, etc.) fallback rate curves
Swap rate curves
Basis curves
Spot rate or zero rate curves
Forward rate curves
Discount curves
Inflation Swap rate (CPI, RPI, HICP) curves
Nordic electricity futures curve
VIX futures curve
S&P 500 futures curve

1. Credit Spreads

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.

Credit spread is a spread that is added on the top of interest rate to reflect credit risk. Credit spread is the credit funding cost for a firm. For many products, credit spread is the major risk driver. Credit spread impacts discounting, default probability, and early termination.

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.

2. Data Sample

A typical credit spread curve is shown below.

Date	Tenor	CreditSpread	Region	Sector	Rating
2020-10-23	2021-01-23	0.006518998	EUR	Financial	Senor4
2020-10-23	2021-04-23	0.006518998	EUR	Financial	Senor4
2020-10-23	2021-07-23	0.007122877	EUR	Financial	Senor4
2020-10-23	2021-10-23	0.007519323	EUR	Financial	Senor4
2020-10-23	2022-01-23	0.007855513	EUR	Financial	Senor4
2020-10-23	2022-04-23	0.008253169	EUR	Financial	Senor4
2020-10-23	2022-07-23	0.008998799	EUR	Financial	Senor4
2020-10-23	2022-10-23	0.009467406	EUR	Financial	Senor4
2020-10-23	2023-01-23	0.008907722	EUR	Financial	Senor4
2020-10-23	2023-04-23	0.009186436	EUR	Financial	Senor4
2020-10-23	2023-07-23	0.009426462	EUR	Financial	Senor4
2020-10-23	2023-10-23	0.00966599	EUR	Financial	Senor4
2020-10-23	2024-01-23	0.009917789	EUR	Financial	Senor4
2020-10-23	2024-04-23	0.010190997	EUR	Financial	Senor4
2020-10-23	2024-07-23	0.010446824	EUR	Financial	Senor4
2020-10-23	2024-10-23	0.010682448	EUR	Financial	Senor4
2020-10-23	2025-01-23	0.011761074	EUR	Financial	Senor4
2020-10-23	2025-04-23	0.012184958	EUR	Financial	Senor4
2020-10-23	2025-07-23	0.012508203	EUR	Financial	Senor4
2020-10-23	2025-10-23	0.012831588	EUR	Financial	Senor4
2020-10-23	2026-01-23	0.009550895	EUR	Financial	Senor4
2020-10-23	2026-04-23	0.009560472	EUR	Financial	Senor4
2020-10-23	2026-07-23	0.009567311	EUR	Financial	Senor4
2020-10-23	2026-10-23	0.009574145	EUR	Financial	Senor4
2020-10-23	2027-01-23	0.009581982	EUR	Financial	Senor4
2020-10-23	2027-04-23	0.009591998	EUR	Financial	Senor4
2020-10-23	2027-07-23	0.009598739	EUR	Financial	Senor4
2020-10-23	2027-10-23	0.00960548	EUR	Financial	Senor4
2020-10-23	2028-01-23	0.009500011	EUR	Financial	Senor4
...	...	...	...	...	...
...	...	...	...	...	...
2020-10-23	2068-10-23	0.009500005	EUR	Financial	Senor4
2020-10-23	2069-10-23	0.009500004	EUR	Financial	Senor4

3. Related Topics