What You Need to Know (WYNK)

1. About the Data Clustering and the Data Tree

Clustering is one of our mind's principal abilities. We use classification and pattern recognition on a daily basis. We can create data-trees by successive layers of classification. To extrapolate patterns from a large time-series (a data-set based on time-order), we might need help from an expert or an algorithm. For instance, clustering might provide insight about Telecom Italia credit. Is Telecom Italia credit a Telecommunication's credit, or a fallen angel credit, or an Italian credit? Clustering classifies, splits, and extracts knowledge from data. Clustering doesn't necessarily give a unique result. It is a craftsman's work to find the relevant way of building the clusters.

1.1. Expert Tree

The Expert Tree aggregates the data according to our experts' data analysis. For instance, for financial time-series, our experts are using the market microstructure: quotation place, asset quality and industry sector to create an intuitive and performing Data Tree.

1.2. Machine Data Tree

The Machine Tree aggregates the data according to the joint evolution of the time series using a method developed by Hellebore Capital Management, using machine learning technics.
For CDS data, the calibration is achieved over the whole data sample. The Machine Tree is updated on a quarterly basis.

2. About the Grapple

A Grapple combines the relevant data, the appropriate data clustering and the most suitable graphic visualization tool. The user gets in one click a powerful, intuitive and useful data insight. A Grapple is a ready-to-use data analysis for everyone.

The GrappleStore offers the catalogue of Grapples. The Grapples are classified per Data Type and Data Tree with some preferred Grapples.

3. About the Tokens

Using a token enables an unlimited consultation of a Grapple during one day on any terminal. You have a Token account in your profile. If you want to enjoy all the features provided by DataGrapple, please register. It is free.

You cannot borrow or cumulate the tokens, but you get 15 free tokens once a week, every Friday evening. You are not charged for using DataGrapple unless you want to use more than your free tokens a week. If you want to purchase additional tokens, please contact the Customer Service. The price is only €0.49 per token. If you bought tokens, those will be only used once your free tokens are used. The purchased tokens have no expiry date. Using DataGrapple, you are just charged for what you use and what you like.

Hellebore Capital Limited is sponsoring the project for its clients. Hellebore Capital Limited can credit tokens on your account. Please ask your representative: datagrapple@helleborecapital.com

4. About the Supported Environment

BrowserSupport

DataGrapple works with all modern browsers, namely : Chromium (and its derivates: Chrome, Opera, Edge, ...), and Firefox.

Device Support

Datagrapple is designed to work on tablet (or larger) screens. Mobile phone users may experience a degraded experience.

5. About the Releases

DataGrapple was released on January 29, 2014. The first version included a wide dataset on the credit market: 400 corporate credit default swaps, Markit® credit derivatives indices and Markit® credit derivatives indices bases. This version included the CDS volumes reported by DTCC TIW. Since 2014, DataGrapple’s team has released twice a year a new version updating its dataset and its analytics. The project is focusing on combining data mining technologies with graphic representations.

• November 22, 2023
  • The public universe has been updated with 43 credit curves additions and 26 deletions. The universe now includes 549 reference entities.
    • The following entities have been added: ANA HOLDINGS INC. (ANAIR), Aetna Inc. (AET), Chevron Corporation (CVX), DOMINICAN REPUBLIC (DOMREP), DUFRY ONE B.V. (DUFNSW), DaVita Inc. (DVA), EQM Midstream Partners, LP (EQM), HONDA MOTOR CO., LTD. (HNDA), INEOS FINANCE PLC (INEOFIN), ITOCHU Corporation (CITOH), JAPAN TOBACCO INC. (JAPTOBJPY), JFE Holdings, Inc. (JFEHLD), K+S Aktiengesellschaft (SDFGR), KOMATSU LTD. (KOMATS), Kawasaki Heavy Industries, Ltd. (KAWHI), Kawasaki Kisen Kaisha, Ltd. (KAWKIS), Kingdom of Bahrain (BHRAIN), Kintetsu Group Holdings Co., Ltd. KINKI), Kobe Steel, Ltd. (KOBSTL), Marubeni Corporation (MARUB), Mitsubishi Heavy Industries, Ltd. (MITHI), Mitsui Chemicals, Inc. (MITTOA), Mitsui O.S.K. Lines, Ltd. (MITSOL), NISSAN MOTOR CO., LTD. (NSANY), Nidda Healthcare Holding GmbH (NIDDAH), Nippon Paper Industries Co.,Ltd. (NUNPC), Nippon Steel Corporation (NIPSTL), Nippon Yusen Kabushiki Kaisha (NIPYU), ORIX CORPORATION (ORIX), Oji Holdings Corporation (OJI), Panasonic Holdings Corporation (MATSEL), Rakuten Group, Inc. (RAKUTN), SUMITOMO CHEMICAL COMPANY, LIMITED (SUMICH), SUMITOMO CORPORATION (SUMI), Socialist Republic of Vietnam (VIETNM), Sumitomo Realty & Development Co., Ltd. (SUMIRD), Svenska Handelsbanken AB (SHBASS), Svenska Handelsbanken AB (SHBASSSLAC), TK Elevator Holdco GmbH (THYELE), TOYOTA MOTOR CORPORATION (TOYOTA), Takeda Pharmaceutical Company Limited (TACHEM), Tokyo Electric Power Company Holdings, Incorporated (TOKELP), ZF Europe Finance B.V. (ZFFNGR).
    • The following entities has been deleted: Autostrade per l'Italia S.p.A. (ATOSTR), CASINO GUICHARD-PERRACHON (COFP), Capital One Financial Corporation (COFF), Credit Suisse Group AG (CS), Credit Suisse Group AG (CSSUB), EP Infrastructure, a.s. (ENAPHO), Garfunkelux Holdco 2 S.A. (GFKLDE), INEOS Group Holdings S.A. (INEGRPSA), Iron Mountain Incorporated (IRM), K. Hovnanian Enterprises, Inc. (HOV), Liberty Interactive LLC (LINTA), Louisiana-Pacific Corporation (LPX), M&G PLC (MGNLN), M&G PLC (MGNLNSUB), Matterhorn Telecom Holding S.A. (MATTER), Nexi S.p.A. (NEXIIM), Orano (ORANOF), PETROLEO BRASILEIRO S/A PETROBRAS (PETBRA), Pactiv LLC (PTV), Petroleos Mexicanos (PEMEX), Sabre Holdings Corporation (SABHLD), Staples, Inc. (SPLS), TEGNA Inc. (TGNA), UNIVISION COMMUNICATIONS INC. (UVN), Unisys Corporation (UIS), Uniti Group Inc. (UNIT).
    • This new universe is composed of the most liquid entities as established on 22nd November 2023 (at least 3 different dealers quote on the 5Y CDS in the same day for two thirds of the last 90 days trading sessions, for at least one associated curve of the reference entity). Thus, the quality analysis can be improved on this universe of liquid and homogeneous entities, without the clutter of illiquid entities data.
  • The machine tree has been updated including the market data up to November 2023 using the rank correlation structure. The tree structure is slightly changed with the same number of clusters at coarse layer of Machine clusters (9 clusters) with few changes, the main difference being in the Europe Banks cluster gaining members from Europe Illiquid and Europe and giving members to US Illiquid.
• June 30, 2023
  • The public universe has been updated with 11 credit curves additions and 278 deletions. The universe now includes 532 reference entities. This new universe is composed of the most liquid entities as established on 8th June 2023 (at least 3 different dealers quote on the 5Y CDS in the same day for two thirds of the last 90 days trading sessions, for at least one associated curve of the reference entity). Thus, the quality analysis can be improved on this universe of liquid and homogeneous entities, without the clutter of illiquid entities data.
  • The machine tree has been updated including the market data up to June 2023 using the rank correlation structure. The tree structure is changed with less clusters at coarse layer of Machine clusters (9 instead of 12), with most changes on illiquid names and a merge of Europe Corporate and Europe Financials.
• November 7, 2022
  • The public universe has been updated with 53 credit curves additions and 8 deletion. This universe includes now 799 reference entities.
    • The following entities have been added: AMCOR PTY LTD (AMCOR), AMP GROUP HOLDINGS LIMITED (AMP), APA INFRASTRUCTURE LIMITED (APAAU), AURIZON NETWORK PTY LTD (AZJAU), AUSGRID FINANCE PTY LTD (AUSGRID), AUSNET SERVICES HOLDINGS PTY LTD (AUSNET), Alibaba Group Holding Limited (BABA), Arab Republic of Egypt (EGYPT), Ashland LLC (ASH), Baidu, Inc. (BIDU), Ball Corporation (BLL), CHORUS LIMITED (CHORUS), CROWN RESORTS LIMITED (CWNAU), CSR LIMITED (CSR), DaVita Inc. (DVA), EG Global Finance plc (EGBLFN), Export-Import Bank of India (EXIMBK), GOODMAN FUNDS MANAGEMENT LIMITED as responsible entity of the GOODMAN INDUSTRIAL TRUST (GMGAU), GPT RE LIMITED as responsible entity of the General Property Trust (GPT), ILIAD HOLDING (ILDFP), International Consolidated Airlines Group, S.A. (IAGLN), JEMENA LIMITED (JEMENA), KAIXO BONDCO TELECOM, S.A.U. (LORCAT), KT Corporation (KOREAT), Kingdom of Bahrain (BHRAIN), LENDLEASE CORPORATION LIMITED (LLC), Lagardere SA (MMBFP), NEWCREST MINING LIMITED (NCMAU), Netflix, Inc. (NFLX), Nexi S.p.A. (NEXIIM), ORIGIN ENERGY LIMITED (ORGAU), PACIFIC NATIONAL HOLDINGS PTY LTD (AIOAU), QBE INSURANCE GROUP LIMITED (QBE), SANTOS LIMITED (STOAU), SCENTRE MANAGEMENT LIMITED as responsible entity of Scentre Group Trust 1 (SCGAU), SGSP (AUSTRALIA) ASSETS PTY LTD (SGSPAA), SINGTEL OPTUS PTY LIMITED (OPTUS), SOUTHERN CROSS AIRPORTS CORPORATION HOLDINGS LIMITED (SYDAU), Sirius XM Radio Inc. (SIRI), Spark New Zealand Limited (TELNZ), Sultanate of Oman (OMAN), TABCORP HOLDINGS LIMITED (TABAU), TELSTRA CORPORATION LIMITED (TELSTRA), TRANSURBAN FINANCE COMPANY PTY LTD (TCLAU), Targa Resources Partners LP (NGLS), Tencent Holdings Limited (TENCNT), VICI Note Co. Inc. (VICINOT), VICINITY CENTRES RE LTD AS RESPONSIBLE ENTITY OF VICINITY CENTRES TRUST (VCXAU), VISTRA OPERATIONS COMPANY LLC (VST), WESFARMERS LIMITED (WESAU), Woodside Energy Group Ltd. (WPLAU), Woolworths Group Limited (WOWAU), Woori Bank (WOORIB).
    • The following entities has been deleted due to default or orphaning: Neles Oyj (METSO), ONO FINANCE II PUBLIC LIMITED COMPANY (ONOFII), Russian Federation (RUSSIA), SMURFIT KAPPA FUNDING DESIGNATED ACTIVITY COMPANY (MDPAC), SMURFIT KAPPA FUNDING DESIGNATED ACTIVITY COMPANY (MDPACSUB), Talen Energy Supply, LLC (TLN), Ukraine (UKRAIN), VICI Properties L.P. (MGP).
  • The machine tree has been updated including the market data up to October 2022 using the rank correlation structure. The tree structure is little changed, most affected names are illiquid names for which the cluster selection is much less stable over time.
• November 5, 2021
  • The public universe has been updated with 2 credit curves additions and 1 deletion. This universe includes now 754 reference entities. The following entities have been added: Iron Mountain Incorporated (IRM), Modulaire Global Finance plc (ALGECO). The following entity has been deleted: Lagardere SA (MMBFP).
  • The machine tree has been updated including the market data since June 2021 using the rank correlation structure. The tree structure is little changed, a slightly larger number of clusters has been chosen.
• June 11, 2021
  • The public universe has been updated with 16 credit curves additions and 8 deletions. This universe includes now 753 reference entities. Deleted entities are not trading anymore due to corporate actions, no default was reported in our universe since the last update in November 2020. The following entities have been added: MURPHY OIL CORPORATION (MUR), Bausch Health Companies Inc. (VRXCN), THE ADT SECURITY CORPORATION (ADT) Avient Corporation (POL), Delta Air Lines, Inc. (DAL), Tesla, Inc. (TSLA), T-Mobile USA, Inc. (TMUS), Ukraine (UKRAIN), RECKITT BENCKISER GROUP PLC (RCKBENGRP), UNILEVER PLC (ULVRPLC), Stellantis N.V. (STLA), TK ELEVATOR HOLDCO GMBH (THYELE), BELLIS ACQUISITION COMPANY PLC (ASSDLN), CIRSA FINANCE INTERNATIONAL S.A R.L. (LHMCFI), ZF EUROPE FINANCE B.V (ZFFNGR), PPF TELECOM GROUP B.V. (PPFTEL).
  • The machine tree has been updated including the market data since November 2020 using the rank correlation structure. The tree structure is little changed. It is worth to note that is the split of European Financials first level cluster into 2 clusters of Banks (low beta) and Insurers (including high beta banks).
• February 11, 2021
  • Release of a new version of DataGrapple. The entire website has been redeveloped with the latest standards and technologies. The style of the website has also been reviewed to look cleaner. This rework was also the occasion to get rid of some legacy code. You will find below the release notes of the update:
  • The Grapple store menu, on the left side of the Grapple store page, has been enhanced with links to grapple pages. It is now possible to expand or reduce each category to see the associated grapples.
  • All the grapple have been redone using the graphing library Plotly.
  • The MyGrapples functionality has been removed from the Grapple page. It is replaced by the Grapple store menu, from which you can access every grapple.
  • A new "Anchor" functionality was added to the grapples. This functionality allows you to add nodes from the current grapple's tree to the current grapple displayed. Anchors can be managed through the Data Tree menu.
  • On the blog page, the article search functionality has been modified to allow you to filter articles by date (year and month) making the search easier.
  • The Tech blog page has been removed.
  • You now have more flexibility to manage your user account, as it is now possible to change your email address, edit all your personal data, and delete your account.
• November 5, 2020
  • The public universe has been updated with 77 credit curves additions and 13 deletions. This universe includes now 679 reference entities. 13 reference entities have defaulted since April, they have been removed from the trees. This is an opportunity to remind that DataGrapple timeseries have a survival bias focusing only credit entities currently active. 53 Japanese reference entities cleared by JSCC have been added. 3 Italian bank CDS are now trading with the SLAC (Senior Loss Absorbing Capacity) subordination. Due to the large number of downgrades in the US, 8 new names have added to investment grade clearable CDS: BWA (BorgWarner Inc.), CICORP (Cigna Corporation), DHR (Danaher Corporation), FDX (FedEx Corporation), ORCL (Oracle Corporation), PXD (Pioneer Natural Resources Company), TRPCN (Transcanada Pipelines Limited), UTX (Raytheon Technologies Corporation). Argentina is already back within the DataGrapple universe post its CDS auction the 12 June 2020 (with an alleged timeseries pre-default like for any new added name).
  • The machine tree has been updated including the market data since April 2020 using the rank correlation structure. The tree structure is little changed. A few reference entities are removed from or added to the illiquid cluster. This cluster is the most instable cluster as it includes weakly correlated data. At a more granular level, European downgraded reference entities are joining the European crossover cluster.
• April 18, 2020
  • The public universe has been updated with 38 credit curves additions. LCH has decided to add European financials subordinated CDS. DataGrapple includes therefore 32 time series of financials subordinated CDS on European banks and insurance entities. In addition, DataGrapple includes RABOBKSLAC (Cooeperatieve Rabobank U.A., SLAC CDS), BYLAN (Bayerische Landesbank, senior CDS) and three new US corporate entities due to CDS succession events with a CDS split: CICOPR (Cigna Corporation), CLF (Cleveland-Cliffs Inc.) and OVV (Ovintiv Inc.). Lebanon sovereign CDS has been added but post its credit event and auction scheduled the 23 April 2020, it should leave the universe shortly. MNI (THE McCLATCHY COMPANY) left DatGrapple's universe post its auction the 10 March 2020. A few names should leave the universe due to the implication of the Covid-19 pandemic within the high yield universe.
  • The machine tree has been updated including the most recent volatile period. While the impact of the Covid-19 pandemic crisis is significant on the volatility, it does not affect the structure of the rank correlation. Worth to mention is the apparition of a clean REIT cluster in the US investment grade universe. The reit's entities were part of an illiquid CDS cluster in the former clustering.
• January 24, 2020
  • The new release of DataGrapple implements new Grapple rules. The public universe is the set of clearable credit derivatives, either on ICE or LCH. Early 2020, the universe includes 649 credit curves and 132 credit indices. DataGrapple leverages the Clearing information collected by a sister company OTCStreaming. The volumes displayed on most Grapples are from now on the daily cleared volumes available at market close or the following day. For Bubble Grapple, the bubble size is a function of the open interest.
  • In order to match market quotations, all prices are the quoted spread (using the standard CDS Model versus a spread computed via an internal model in earlier versions. DataGrapple keeps using a 100 coupon convention for all CDS while some high yield CDS are traded with a 500 coupon. This will be reviewed in a future version.
  • The probability of default are from now on computed as the logarithm average of the survival probability of the benchmark members for a better estimation of the average default rate.
  • The scope of publicly available Grapples has been reduced to the set of the most used. Only the 5 year maturity is now available while the bases time series have been removed from the public Grapples. Please contact us at info@datagrapple.com if you are interested in specific Grapples. DataGrapple offers Grapples' subscriptions on demand. With this new release, DataGrapple's team is as well able to create easily bespoke trees for exploring the timeseries.
  • The machine trees (CDS and PD) have been recalculated adding the period from March 2019 to the end of November 2019. The machine tree has been computed with the latest version of Hellebore Capital time series clustering library which aims to provide stable clusters over time.
• May 7, 2019
  • The CDS list has been increased to 663 reference entities. DataGrapple includes the 550 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the most recent vintages of credit indices in Asia, Europe and the US. Four entities left DataGrapple due to a credit event : ASTALDI SOCIETA PER AZIONI (ASTIM), Parker Drilling Company (PKD), SEARS ROEBUCK ACCEPTANCE CORP.(SRAC) and Windstream Services, LLC (WIN).
  • ICE and LCH cleared volumes are available in a sister company project OTCStreaming. We keep DTCC volumes in DataGrapple for the time being. They are updated with a 4-week-delay, once the information is publicly available. OTCStreaming includes as well reported transactions on a real time basis.
  • The machine trees (CDS and PD) have been recalculated adding the period from September 2018 to the end of March 2019. There are a few changes in the machine tree structure. Especially on the core names. The main change affects the sovereign cluster. The sovereign cluster includes now only all non European sovereigns. The European sovereigns CDS are now part of the European financial cluster.
  • Abbott Laboratories (ABT), Capital One Financial Corporation (COFF), China Petrochemical Corporation (SINOPE), Delta Air Lines, Inc. (DAL), Fresenius SE & Co. KGaA (FREGR), HAMMERSON PLC (HMSOLN), Hungary (REPHUN), Iron Mountain Incorporated (IRM), K+S Aktiengesellschaft (SDFGR), MGM Growth Properties Operating Partnership LP (MGP), Orano (ORANOF), RECKITT BENCKISER GROUP PLC (RCKBENGRP), RENTOKIL INITIAL PLC (RTOLN), Romania (ROMANI), Socialist Republic of Vietnam (VIETNM), VALE SA (CVRD) are new entrants in DataGrapple. Five names never traded before: ORANOF, RCKBENGRP, SDFGR, IRM (senior unsecured). For these names, an alleged time series has been created using a proxy by region and industry sector. The market liquidity on these name shall increase over the next 6 months.
• October 17, 2018
  • The CDS list has been increased to 655 reference entities. DataGrapple includes the 550 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the most recent vintages of credit indices in Asia, Europe and the US.
  • ICE and LCH cleared volumes are available in a sister company project Otcstreaming. We keep DTCC volumes in DataGrapple for the time being. They are updated with a 4-week-delay, once the information is publicly available.
  • The machine trees (CDS and PD) have been recalculated adding the period from March 2018 to the end of September 2018. There are a few changes in the machine tree structure. Especially on the core names. Worth to note, Danske Bank A/S is leaving the financial cluster to join the sovereign cluster. Due to the recent events affecting the company, this CDS has first and foremost a specific behavior.
  • APT PIPELINES LIMITED (APAAU), Ashland LLC (ASH), Alibaba Group Holding Limited (BABA), Rakuten, Inc. (RAKUTN), Takeda Pharmaceutical Company Limited (TACHEM), Tencent Holdings Limited (TENCNT), Tesla, Inc. (TSLA) are new entrants in credit indices and in CDS traded universe. For these names, an alleged time series has been created using a proxy by region and industry sector.
• November 20, 2017
  • The CDS list has been reduced to 637 reference entities. We have removed orphan/illiquid CDS. DataGrapple includes the 550 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the two most recent vintages of credit indices in Asia, Europe and the US.
  • We are working on adding in the next release the ICE and LCH cleared volumes in lieu of DTCC volumes.
  • The machine trees (CDS and PD) have been recalculated adding the period from March 2017 to the end of September 2017. The methodology has been changed. The machine tree is computed on the limited set of CDS with a full time series of quoted prices. The CDS without a full time series of quoted prices are tied to the closest machine tree cluster. The machine tree clustering engine has also been amended with our latest research. The result should be more stable going forward.
  • Alleged time series for new CDS have been updated using all data available as of the end of September. The time series of the new holdco CDS on European banks CDS has been computed using the ratio observed in September.
  • HUN, SYNNVX, BACRPLC,STANLNPLC, ICBC, TCGLN, HPLGR, HSBCHD, BHRAIN, IJSS ,RBSGRP, INTNEDGRP, EXIMBK, EDPPL, MRO, UBSGRP, AQUASM, GRFSM, ADRBID, LLOYDSGR, OIBV are the new entrants.
• April 07, 2017
  • The CDS list has been increased from 733 to 743 reference entities. DataGrapple includes the 500 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the credit indices from series 19 to the most recent series, the series 27 in Europe and Asia, the series 28 in the US.
  • DTCC has changed their policy in terms of data provision, they provide us with the volume-data with a 1 month delay (vs 1 week before). The latest volumes you see on the Grapples are still extrapolated, but on a longer period than before.
  • The machine trees (CDS and PD) have been recalculated adding the period from 20/09/2016 to the end of March 2017.
  • Alleged time series for new CDS have been updated using all data available as of the end of March.
  • CCU has been removed from the trees, because of its default event in February.
  • AAL, CAPP, CLNX, CSTM, DO, LEBAN, MUR, SABSM, SAUDI, SPMIM, UVN are the new entrants.
• October 10, 2016
  • The CDS list has been increased from 730 to 733 reference entities. DataGrapple includes the 500 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the credit indices from series 19 to the most recent series, the series 26 in Europe and Asia, the series 27 in the US.
  • The machine trees (CDS and PD) have been recalculated adding the period from 20/03/2016 to the end of September 2016.
  • Imputed time series (using our clustering methodology) for new CDS have been updated using all data available as of the end of September.
  • PORTEL and ISOLUX have been removed from the trees, because of their default events in July and August.
  • ARGENTINA, HNDA, MGP, PRUFIN, SSELN are the new entrants.
• May 11, 2016
  • The CDS list has been increased from 720 to 732 reference entities. DataGrapple includes the 500 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the credit indices from series 19 to the most recent series, the series 25 in Europe and Asia, the series 26 in the US.
  • The machine trees (CDS and PD) have been recalculated adding the period from 20/09/2015 to the end of March 2016.
  • Imputed time series (using our clustering methodology) for new CDS have been updated using all data available as of the end of March.
  • DTV has been removed from the trees, because of its succession event by SBC in March. BTU has been removed from the trees, because of its default in April.
  • A new kind of Grapple has been added, the sankey, which enables comparison between trees. It represents flows between the nodes of two trees. A connector links nodes sharing the same components from a tree to another. The size of the connector is proportional to the number of components it links.
• February 9, 2016
  • ABENGOA has been removed from the trees, because of its default on January 14th.
  • Probability of Default (PD) time series are now available in a new set of Grapples. The PD is computed with the credit reduced form model calibrated with the CDS prices and the market loss given default (LGD). For low 1Y CDS,
    
    CDS ≈ PD * LGD
    For close to default CDS,
    CDS NPV ≈ LGD
    
    A cluster's PD is the average PD of its members. Better than the CDS time series, the PD time series grapple with small and large CDS premium.
• September 30, 2015
  • The CDS list has been increased from 697 to 720 reference entities. DataGrapple includes the 500 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the credit indices from series 19 to the most recent series, the series 24 in Europe and Asia, the series 25 in the US.
  • The machine tree has been updated with the most recent market data.
  • Imputed time series for new CDS have been updated using the past 6 months of market data.
• March 26, 2015
  • The CDS list has been increased from 680 to 697 reference entities. DataGrapple includes the 500 most traded CDS over the last semester according to DTCC. In addition, DataGrapple includes the members of the credit indices from series 19 to the most recent series, the series 23 in Europe and Asia, the series 24 in the US.
  • The machine tree has been updated with the most recent market data. The clustering algorithm has been improved. DataGrapple's machine tree is now the most stable machine tree, using the past 9 years of data.
  • Imputed time series (using our clustering methodology) for new CDS have been updated using the past 6 months of market data.
• November 27, 2014
  • The CDS list has been increased from 425 to 680 reference entities. DataGrapple includes the 500 most traded CDS according to DTCC and the on-the-run credit index members including Asian credit index.
  • Improvement of the imputed CDS levels algorithm. We have used our machine learning technology to infer missing data in incomplete historical time series of recently introduced CDS, like LOXAM, newly added in the iTraxx Crossover S22.
  • Introduction of a free access Tech Blog. The first post explains the method used to design our Machine Tree.
  • Mailing of the blog's new entries to all subscribers on a daily basis.
• September 12, 2014
  • New design using HTML5 and D3.js. All Grapples designs have been improved.
  • Addition of the Data Tree navigator on each Grapple to ease exploration (drill-down) in the data tree.
  • Introduction of the GrappleStore and My Grapple pages to ease access or selection of Grapples.
  • Creation of a free access blog. The blog leverages a Grapple with a comment on the data time series.
  • Capability to open DataGrapple to other time series.
• June 3, 2014
  • New Grapples using a scatter plot for analyzing the CDS term structure and term structure evolution.
• February 3, 2014
  • New Grapples ranking the CDS as a function of their performance
  • Addition of the year to date (YTD) in the time frame selection.

6. About Us

The team has designed a large amount of software, from laser beam propagation simulation to financial markets trading and risk management tools. The team's skills include modeling, statistical analysis, database expertise, object oriented development and web applications. The team excels in agile developments: testing and adjusting its developments with its clients on a day to day basis. The team is currently developing software for financial institutions but it is looking to apply its knowledge to other areas.

Data analysis has gained a renewed scientific interest over the last ten years due to the accumulation of large data samples and the massive increase of computational power. Many ready-to-use building blocks have been made available. Bringing all the parts together in a user friendly application is quite a challenge. Our ambition is to fill the gap between the recent technological developments and the decision maker's curiosity. The project is leveraging very specific data, the CDS prices, but the DataGrapple project can tackle any time-series.

For more information about the DataGrapple project, or our company, you can contact us at info@datagrapple.com.