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CDS Single Name Pricing Sensitivities and Liquidity

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Single Name CDS Prices: coupon spreads, par spreads and upfront prices across European, Asian and North American Closes. London prices include EOD close and a midday prices. Sensitivity metrics such as DV01, IR01, DTZ as well as on the run and off the run (where available) liquidity metrics (bid ask spreads and market depth) are also included.

Industry Domain:


Financial Markets

Publisher:


IHS Markit

Content Type:


Structured

Access/Delivery Methods:


REST, Python, S3 Proxy, SQL

Keywords

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Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
CDS Single Name Pricing Sensitivities and LiquiditySingle Name CDS Prices: coupon spreads, par spreads and upfront prices across European, Asian and North American Closes. London prices include EOD close and a midday prices. Sensitivity metrics such as DV01, IR01, DTZ as well as on-the-run and off-the-run (where available) liquidity metrics (bid ask spreads and market depth) are also included.ParquetWeekday
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