Fitch Solutions, a division of the Fitch Group, has extended its CDS Pricing Service to offer derived CDS pricing for Korean Won (KRW) CDS contracts, bringing transparency to this highly illiquid market to improve users’ investment and risk management decisions.
Covering the Korean corporate and financial sectors, the new service is based on a proprietary model which uses analysis of both implied default rates derived from the US dollar (USD) CDS price, and the volatility of the KRW versus the USD exchange rate.
“By providing improved transparency on Korean Won CDS through derived pricing, Fitch Solutions expects market liquidity to improve, which will then enable Fitch to generate consensus KRW CDS pricing using data from leading market maker banks,” said Catherine Downhill, commercial director, Fitch Solutions, London. Fitch Solutions’ CDS Pricing Service currently provides consensus pricing on up to 3,000 global names across a range of currencies including the USD, EUR, YEN and GBP.
Users will receive a daily feed of both USD and derived KRW CDS prices – the service is currently being trialled by KRW CDS market makers and selected buy side participants. It is anticipated that the KRW CDS Pricing Service will be launched more widely during the second half of this year.
“The introduction of Korean Won CDS pricing will benefit all market participants and is further proof of the significant increase in demand from the Asia-Pacific region for CDS pricing data. It will also eventually augment Fitch’s existing Asian market closing CDS consensus pricing service,” added Downhill.