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CDS Sensitivities Data

Achieve a deeper understanding of the CDS market with objective sensitivity data

Our CDS Pricing leverages a wide number of contributors to provide high quality data that delivers in-depth insight into the CDS marketplace. Our Sensitivities service delivers information on the relationship between a CDS price and other market variables.

Our CDS Sensitivities helps customers understand how sensitive a particular CDS spread level is to changes in interest rates, credit quality, recovery assumptions and other factors that affect CDS pricing. To gauge the sensitivity of CDS prices to market conditions, investors can “shock” their positions by calculating standard metrics.

Key benefits:

  • Extensive coverage – Access sensitivities calculated on five-year tenor for CDS single names and on-the-run and off-the-run credit indices
  • Timeliness – Metrics are updated daily, providing efficiency to clients who otherwise calculate these metrics themselves
  • Independent data – End-of-day metrics are derived from market-standard analytics, using consensus-based and independent CDS data
  • Regulatory compliance support – Enhance sensitivity analysis to meet regulatory mandates such as IFRS 7, which requires disclosure of how firms perceive, measure and manage financial risk


  • Banks
  • Insurance companies
  • Mutual funds
  • Hedge funds
  • Regulators

Report Metrics

  • Credit DV01 – The difference between the current market value and a value derived by shifting the credit curve up by one basis point
  • IR DV01 – The difference between the current market value and a value derived by shifting the interest rate curve up by one basis point
  • Implied DP – Cumulative default probability that represents the probability of a credit event up to a given tenor
  • REC 01 – The difference between the current market value and a value derived by shifting the recovery assumption up by 1%
  • Risky PV01 – The sum of the discount factors weighted by the probabilities of survival and payment periods
  • Jump-to-Default – The cash amount lost or gained due to an instantaneous credit event using the assumed recovery
  • Default-to-Zero – The cash settlement amount on a generic notional of 10 million, assuming an instantaneous credit event with zero recovery


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IHS Markit Event 20 June 2019

North American Corporate Actions Forum 2019

IHS Markit Event 20 June 2019

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