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A-Team Insight Blogs

Fitch Solutions Launches Global CDS Indices

Fitch Solutions, a division of the Fitch Group, has today launched a new family of global CDS indices – including 15 regional sovereign indices, over 40 industry level corporate indices and a further 70 sub-sector corporate indices – which are designed to provide portfolio and risk managers with a comprehensive insight into the direction of credit risk, portfolio correlations and wider CDS market trends.

The Corporate CDS Indices family are uniquely liquidity driven and cover the top 75% of the most liquid names based on Fitch’s existing global CDS liquidity scores service, which utilizes data derived from banks which are members of Fitch’s global pricing services consortium.

“This new generation of indices will provide a powerful addition to Fitch Solutions’ CDS pricing and valuation product suite, enabling users to conduct longer term trend analysis of spread movements by region, country, industry sector or sub-sector,” said Thomas Aubrey, Managing Director, Fitch Solutions, London.

“The combination of Fitch’s CDS liquidity scores, CDS implied ratings and CDS indices will enable users to overlay liquidity trends on spread trends to help identify sector or regional outliers – enhancing the decision making which underpins effective portfolio and risk management,” Aubrey added.

The CDS indices track daily spread changes and incorporate over five years of searchable historical data. In addition to indices across Europe, the Americas, Asia Pacific and Middle East & Africa, Fitch Solutions can provide bespoke country and instrument subordination level indices. This service can be used for correlation analysis, peer comparison and benchmark creation, including those for entities which are not actively traded or where there is no CDS data.

Both the liquidity driven and fixed component index families are equally weighted and, for industry levels, sub-sectors are aggregated based upon relative size in order to preclude a bias towards any one sector – for example, to avoid over representation of the banking sector within the Financials industry index. The liquidity driven set is rebalanced every 3 months.

The indices data will initially be made available to users upon request and will shortly be incorporated within Fitch Solutions’ Integrated Data Service (IDS). Commentary on the indices can be found in Fitch Solutions’ regular Risk & Performance Monitor and Global CDS Liquidity Scores publications.

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