Default Swap Calculator

Introduction

The Markit Default Swap Calculator provides an independent and accurate present value service for trades leveraging the vast breadth and quality of CDS data processed every day by Markit. Users submit trade details over the Internet, trades are priced using Markit curves and an independent tear-up value is supplied back to the user.

Benefits

Independent tear-up value using benchmark credit data
Markit data is widely regarded as the leading source of independent mark-to-market CDS data from a broad group of contributing banks. Markit provides truly independent valuations based on the cleaned and average prices taken from the main dealers in the CDS market.

Accurate pricing
Trades are reliably priced by obtaining the CDS curve interpolated using a Nelson-Siegel best fit algorithm. The associated default probabilities are then used in conjunction with supplied trade information to obtain an independent valuation.

No software required
The Markit Default Swap Calculator operates entirely over the Internet with no additional software required to use the service. The user simply sends and receives details of the trade over the Internet directly from their desktop or internal system.

Use industry standard Markit RED codes
Identify a reference entity in the user portfolio with market standard RED codes or maintain a mapping between user's ticker and Markit ticker using the online mapping screen.

Instant valuations
Valuations can be requested at any time. Upon receipt of trade details, results are passed back to the user immediately after processing, which means there is no waiting or batch processing involved.
Learn more about Default Swap Calculator (pdf)