Anyone know this type or Initial set?

Looks like Vanity Fair.

It is Vanity Fair which was an adaptation by Douglas C. McMurtrie in 1923 of an 18th century face cut by J.F. Rosart in The Netherlands. There is another similar Vanity Fair cut by John S. Carroll in 1964-1965 which is closer to the original Rosart design. Your McMurtrie version is a little more “frilly” than the Carroll version.

Your version was sold by Continental Typefounders Association.