← modelrisk.app · Assumptions · A-046
credit domain

CDS bid-ask spread (transaction cost)

A-046 · active · low sensitivity

Value

IG: 1-3bp on 5Y; HY: 5-15bp; off-the-run: 2x

sourceTRACE + dealer quotes
derivationdata_calibrated
qualityestimated
set2026-05-25
last reviewed2026-05-25
next review due2026-06-30

Notes

Used in CVA + CDS pricing for execution cost.