Enhanced on 02/11/2025

Market Derived Signals & Credit Default Swaps

Release notes

The data source for Credit Default Swap (CDS) pricing has transitioned from CMA-ICE to SPGMI, resulting in a new source for Market Derived Signals (MDS) and the MDS Z-Score, along with significantly expanded coverage of entities.

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The Market Derived Signals (MDS) and Credit Default Swaps (CDS) datasets provide an insight into credit risk through:

MDS: Statistical measures based on a statistical model, the Market Derived Signals Model. The Market Derived Signals Model is the best-performing statistical model that evaluates CDS spreads in order to provide an early warning of potential credit changes and capture the market's daily view about a company's perceived risk.

CDS: A contract between a seller and a buyer that obligates the seller, in exchange for a premium (spread) paid by the buyer, to insure the buyer against a loan default or other credit event. CDS are used for monitoring how the market views the credit risk across a wide range of companies, financial institutions and banks.

The Market Derived Signals and Credit Default Swaps data provides timely information to help you identify weakening credit and fortify the analyst surveillance process for both rated and unrated entities by:

  • Assessing, benchmarking and validating potential defaults, helping you build better risk protection into your business activities
  • Capturing the latest market sentiment about a company's perceived risk, helping you engage in efficient credit risk-driven analysis
  • Providing a gauge of the riskiness of corporate borrowers, helping you in speculation, hedging and arbitrage

Vendor information

At S&P Global Market Intelligence, we understand the importance of accurate, deep and insightful information. Our team of experts delivers unrivaled insights and leading data and technology solutions, partnering with customers to expand their perspective, operate with confidence, and make decisions with conviction.
  • Primary Entity TypeCompany
  • Coverage Count8,900+ entities
  • Geographic CoverageGlobal
  • Industry CoverageConsumer, Energy and Utilities, Financials, Healthcare, Industrials, Materials, Real Estate, Technology, Media & Telecommunications
  • History Initiated2008
  • Earliest Significant Coverage2010
  • Point In TimeNo
  • Data SourceStatistical Model
  • Field Count10s
  • Delivery ChannelAPI, Cloud, Desktop, Feed
  • Delivery PlatformAPI Drive, ClariFI®, Marketplace Workbench, S&P Capital IQ, S&P Capital IQ Pro, Snowflake, Xpressfeed™
  • Reporting FrequencyVariable
  • Dataset LatencyDaily

Sample Data

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Data Dictionary

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