Single-name CDS spreads (DTCC TIWPRR aggregates) and CDX index levels (CDX.NA.IG, CDX.NA.HY) for hazard-rate calibration in M-133 Credit family
| type | market_data |
| url | https://pddata.dtcc.com/ppd/cftcdashboard |
| auth | none |
| cost | free |
| update frequency | weekly |
| consumers | finview |
| classification | public_market |
| criticality | tier-2 |
Critical gap surfaced by PL-07. Currently M-133 Credit family leans on BAML OAS (in DS-001 as proxy) for hazard-rate calibration, which understates idiosyncratic credit risk and obscures counterparty exposure. Free-source candidates under DR-007: (1) DTCC TIWPRR weekly aggregate CDS reports (single-name and index; free public data); (2) FRED CDX series (CDX.NA.IG, CDX.NA.HY where available); (3) FINRA TRACE corporate bond transactions as indirect proxy. DTCC is the primary candidate. Markit/IHS is the paid gold standard but barred by DR-007. Sourcing decision to be made in WS3 free-source pass.