Pricing Data > CDSSensitivities

Markit Pricing Data provides end of day metrics for the full curve of CDS single name as well as both on-the-run and off-the-run credit indices.

Customers

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

Statistics

  • 10.5k+curves
  • 1.9m+daily quotes

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Product Summary

Markit Pricing Data leverages a wide number of contributors to provide high quality data that delivers in-depth insight into the CDS marketplace.

Markit Pricing Data delivers information on the relationship between a CDS price and other market variables.

It helps customers understand how sensitive a particular CDS spread level is to changes in interest rates, credit quality, recover 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.

Our CDS sensitivities report provides the following 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

Key Benefits

  • Extensive coverage

    Sensitivities calculated on five-year tenor for CDS single names and on-the-run and off-the-run credit indices

  • Timeliness

    Metrics updated daily, providing efficiency to clients who otherwise calculate these metrics themselves

  • Independence

    Derived from market-standard analytics, using consensus-based and independent CDS data

  • Regulatory compliance

    Supports sensitivity analysis to help meet regulatory mandates such as IFRS 7, which requires disclosure of how firms perceive, measure and manage financial risk

Thought Leadership

  • CDS and speculative bubbles

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  • CDS curve report

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  • Asia and the credit markets

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  • LBOs, liquidity and covenants

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  • CDS in the Middle East

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  • LBOs and CDS

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