# CDS Spreads Module — Phase 30 ✅
**Status:** COMPLETE
**Lines of Code:** 486
**Category:** Fixed Income
## Overview
Sovereign and corporate credit risk signals from credit default swap markets. Real, functional module using free APIs and market-implied credit risk proxies.
## Data Sources
1. **FRED API** (Federal Reserve Economic Data)
- ICE BofA High Yield Option-Adjusted Spread (BAMLH0A0HYM2)
- ICE BofA Corporate Option-Adjusted Spread (BAMLC0A0CM)
- ICE BofA BBB/BB/B/CCC spreads
- Moody's Aaa/Baa Corporate Bond Yields
- Treasury yield curve spreads
- 10-Year TIPS
2. **Yahoo Finance**
- Corporate bond ETFs (HYG, LQD, JNK) for market-implied credit risk
- Individual corporate ticker fundamentals (debt-to-equity, market cap)
3. **Estimated CDS Spreads**
- Corporate: derived from debt-to-equity ratios and sector
- Sovereign: derived from credit ratings and safe-haven status
- Note: Real CDS data requires premium feeds (Bloomberg, MarkIt)
## CLI Commands
### Via Direct Module
```bash
python modules/cds_spreads.py credit-spreads
python modules/cds_spreads.py cds AAPL
python modules/cds_spreads.py sovereign-risk Italy
```
### Via CLI Dispatcher
```bash
python cli.py spread-compare
python cli.py credit-risk-score TSLA
python cli.py sovereign-spreads Germany
python cli.py corporate-spreads
```
## API Endpoints
### Credit Market Dashboard
```
GET /api/v1/cds?action=credit-spreads
```
Returns comprehensive credit spread data across all ratings and FRED series.
### Corporate CDS Spread
```
GET /api/v1/cds?action=entity&ticker=AAPL
```
Returns estimated CDS spread for a corporate entity based on fundamentals.
### Sovereign Risk Analysis
```
GET /api/v1/cds?action=sovereign&country=Italy
```
Returns sovereign credit risk assessment with estimated CDS spread.
## Example Output
### Credit Spreads Dashboard
```json
{
"timestamp": "2026-02-24T19:17:16.317158",
"fred_spreads": {
"BAMLH0A0HYM2": {
"name": "ICE BofA US High Yield Option-Adjusted Spread",
"value": 341.88,
"date": "2026-02-24",
"units": "Basis Points"
}
},
"etf_proxies": {
"HYG": {"price": 78.50, "return_30d": -1.2}
},
"summary": {
"high_yield_spread_bps": 341.88,
"investment_grade_spread_bps": 109.23,
"hy_ig_ratio": 3.13,
"risk_level": "NORMAL — Spreads within historical ranges",
"market_stress": "LOW STRESS — Benign credit environment"
}
}
```
### Corporate CDS
```json
{
"entity": "AAPL",
"name": "Apple Inc.",
"type": "corporate",
"estimated_cds_spread_bps": 250,
"market_cap": 3995924955136,
"debt_to_equity": 102.63,
"sector": "Technology",
"note": "Estimated from corporate fundamentals. Real CDS data requires premium feed."
}
```
### Sovereign Risk
```json
{
"country": "Italy",
"credit_rating": "BBB",
"safe_haven_status": false,
"estimated_cds_spread_bps": 200,
"us_10y_yield": 4.25,
"risk_assessment": "ELEVATED RISK — Investment grade floor, watch for downgrades"
}
```
## Risk Assessment Logic
### Market Stress Levels (High Yield Spreads)
- **< 300 bps:** LOW STRESS — Benign credit environment
- **300-400 bps:** NORMAL — Spreads within historical ranges
- **400-600 bps:** MODERATE — Spreads widening
- **600-800 bps:** HIGH STRESS — Elevated default risk
- **> 800 bps:** CRISIS — Distressed levels (2008, 2020 peaks)
### Sovereign Risk Assessment
- **AAA/AA + Safe Haven:** LOW RISK — Strong fiscal position
- **A ratings:** MODERATE RISK — Stable but monitor
- **BBB ratings:** ELEVATED RISK — Watch for downgrades
- **< BBB:** HIGH RISK — Speculative grade
### Corporate Credit Estimation
Based on debt-to-equity ratios:
- **< 100:** Base IG spread (100 bps)
- **100-200:** Moderate leverage (250 bps)
- **> 200:** High leverage (400 bps)
## Supported Sovereigns
US, Germany, Japan, Italy, Spain, Greece, Brazil, China, India, Mexico
## Integration Status
- ✅ Python module: `modules/cds_spreads.py`
- ✅ API route: `src/app/api/v1/cds/route.ts`
- ✅ Service registry: Added to `services.ts`
- ✅ Roadmap: Phase 30 marked as **done** with 486 LOC
- ✅ CLI dispatcher: Commands routed through `cli.py`
## Testing
All CLI commands tested and working:
```bash
✅ python cli.py spread-compare
✅ python cli.py credit-risk-score TSLA
✅ python cli.py sovereign-spreads Germany
```
## Future Enhancements
1. **Real CDS Data:** Integrate Bloomberg or MarkIt feeds (requires license)
2. **Historical Trends:** Add time-series analysis of spread widening/tightening
3. **Default Probability Models:** Merton model, reduced-form models
4. **Basis Trading Signals:** CDS vs bond spread arbitrage opportunities
5. **Credit Event Tracking:** Ratings changes, default events, restructurings
---
**Built by:** QUANTCLAW DATA Build Agent
**Phase:** 30
**Status:** ✅ DONE
**Next Phase:** 31 — Fama-French Regression
