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Fitch Solutions Pitches CDS Liquidity Scores and Rankings at Buy Side Market

In a bid to increase its market coverage, Fitch Solutions has been actively marketing its credit default swap (CDS) data to buy side institutions, says Thomas Aubrey, managing director of the data solutions division of ratings agency Fitch. The liquidity scores and percentile rankings, which are derived from Fitch’s proprietary statistical model, for these widely traded credit derivatives are now being made available to buy side users.

According to Aubrey, the data will help these firms to strengthen their liquidity risk management procedures and better meet regulatory commitments. “Better understanding the relative liquidity of an asset remains a critical market issue and through this launch the buy side community will now be able to assess the relative liquidity of global CDS assets and the global CDS market,” he says.

Buy side users now have access to data such as regional sector scores for corporate assets in Asia Pacific, Europe and the Americas, as well as global sovereigns. “Our research has highlighted that whilst global CDS market liquidity hit an all time low in January, liquidity has begun to return to the market during this year and, for the first time, the Americas region became more liquid than Europe earlier this month,” says Aubrey.

The vendor has also indicated it will be publishing a fortnightly list of the top five most liquid CDS corporate names in Europe, North America and Asia Pacific, as well as the top five most liquid global sovereigns on its website.

The Fitch Solutions business has been steadily upping its game with the addition of new functionality and solutions over the last year, under the watchful eye of ex-Thomson Financial director Aubrey. Earlier this month, the vendor incorporated new risk and pricing benchmarks into its Fitch Risk and Performance Platform, which was launched in June last year.

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