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Markit Indices and CDS Data (+iTraxx)

A Credit Default Swap (CDS) is a contract between two parties, a protection buyer who makes fixed periodic payments, and a protection seller, who collects the premium in exchange for making the protection buyer whole in case of default. iBoxx uses CDS to indicate that the underlying reference entities and obligations are senior unsecured bonds, issued by corporate or sovereign issuers.

This data source includes both iTraxx and CDX Indices. CDX indices are a family of tradable credit default swap (CDS) indices covering North America and emerging markets. iTraxx indices are a family of European, Asian and emerging market tradable credit default swap indices.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 49000 Credit Default Swaps, 5000 bonds, and 10500 companies, and 10150 indices. For the iTraxx indices, we cover approximately 650 Indices.

Index coverage includes:


Some of the data items available include:

  • Bond Items: Accrued Cash, Accrued Interest, Ask Price, Asset Swap Margin, Benchmark Isin, Benchmark Spread, Benchmark Spread To Bm-Curve, Bid Price, Bloomberg Ticker, Cash Accrued (Mid Day Values), Component Weight, Convexity, Country, Coupon, Daily Excess, Return, Daily Return, Database Domain, Day Count Designation, Debt, Description, Dirty Price Used In Valuations, Dollar-Value Of 01, Duration, Duration Weighted Exposure, Effective Duration, Excess Retrun, Ex-Dividend, First Coupon Date, First Settle Date, Frequency, Industry Description, Interest Accrued Date, Isin Identifier, Issuer, Market Value, Market Value Base Weight, Market Value For A Particular Liquid Index, Maturity Bands, Maturity Date, Mid Price, Modified Duration, Notional Outstanding, Number Of Price Contributors, Option Adjusted Convexity/Spread, Outstanding Eurl, Paid Cash, Portfolio Date, Pricing Type, Rating, Redemption, Redemption Factor (For Gbp Indexes), Sector Classification, Seniority Level, Sinking Factor (For Gbp Indexes), Street Convexity/Modified Duration/Yield, Symbol, Tier, Top Level Index Membership, Total Return, Work Out Date, Years To Maturity, Yeild To Worse, Yield, Z-Spread, etc.
  • Index Items: Asset Swap Margin, Average Ytm, Cash Accrued Interest (Liquid Indices), Convexity, Cost Factor, Coupon Income Index, Excess Return, Gross Price Index, Income Index, Index Benchmark Spread, ISIN of Price Index, Last Price Date, Market Value Base, Modified Duration, Number of Constituents, Option Adjusted Convexity/Spread, Price Duration, Price Index, Redemption Income Index, Semi Annual Portfolio Convexity, Ticker, Total Return Index, Yield, Yield To Worse, Z-Spread, etc.

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