Pricing Data > CDSLiquidity

Markit Pricing Data delivers an independent set of liquidity measures, including an easily understood and transparent liquidity score.

Customers

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

Statistics

  • 10.5k+curves
  • 1.9m+daily quotes

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Product Summary

The ability to exit a position with minimal price impact is important to many market participants. Markit Pricing Data provides insight into the flow of information in the CDS market to help assess liquidity.

Markit Pricing Data produces and derives liquidity metrics using a transparent methodology to enable customers to assess liquidity in the CDS market.

Our CDS liquidity metrics leverage the broad dataset available via Markit’s parsing service, our end-of-day single name and index data, as well as volume data for indices and single names.

    Report metrics

    • Bid/offer spreads
    • Number of quoting sources
    • Number of quotes per day
    • Number of end-of-day source
    • Number of unique price points
    • DTCC notional volumes and number of contracts
    • Daily trade reporting
    • Moving averages
    • Liquidity Score from 1 to 5, with 1 being most liquid and 5 being least liquid

    Key Benefits

    • Depth of data

      Includes number of contracts traded, total trade notional net and gross volumes, and aggregated metrics, such as daily, monthly and weekly moving averages for bid-ask spreads and quoting counts of unique marketmakers

    • Transparency

      Clearly documented liquidity score methodology and display of several liquidity metrics

    • Extensive coverage

      Liquidity metrics and scores for approximately 2,600 CDS entities

    • Flexible distribution

      Reports available in CSV, Tab and XML formats, via automated download or Markit Desktop

    Thought Leadership

    • CDS and speculative bubbles

      View
    • CDS curve report

      View
    • Asia and the credit markets

      View
    • LBOs, liquidity and covenants

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    • CDS in the Middle East

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    • LBOs and CDS

      View