The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Markit Adds Sensitvities Data to CDS Pricing

Markit, a leading, global financial information services company, today announced it is supplementing its end-of-day prices for credit default swaps (CDS) with a new sensitivities report that will give clients valuable information about the relationship between a CDS price and other market variables.

The new Markit CDS Sensitivities service gives clients the ability to understand how sensitive a particular CDS spread level is to changes in interest rates, credit quality and recovery assumptions, among other factors affecting CDS pricing. The report is comprised of seven variables and covers all 2,600 five-year, single name CDS and CDS indices (on- and off-the-run) priced by Markit.

Independent, objective data from Markit CDS Sensitivities on how a CDS could respond to changing market conditions are important not only to traders, but to risk managers and the management of investment firms which need tools to run sensitivity analysis on their portfolios and comply with IFRS 7 and other regulations that require management to disclose how the firm perceives, measures and manages financial risk.

Armins Rusis, Managing Director and Global Head of Data, Indices and Research at Markit, said: “CDS Sensitivities is another example of how Markit is expanding its core data sets to include derived data that provide more context for clients. Having independent data to enable analysis of the relationship between price and variables like interest rates and credit quality is very valuable in giving additional metrics for quantitative and qualitative assessment of the potential volatility of a portfolio.”

Related content

WEBINAR

Upcoming Webinar: Managing the transaction reporting landscape post Brexit: MiFID II, SFTR, EMIR

Date: 16 March 2021 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes The transaction reporting landscape has, for many financial institutions, expanded considerably in size since the end of the UK’s Brexit transition period on 31 December 2020 and the resulting need for double reporting of some transactions to both EU...

BLOG

ANNA and GLEIF Expand ISIN-to-LEI Mapping Service

The Association of National Numbering Agencies (ANNA) has further expanded the ISIN-to-LEI mapping service it provides in conjunction with the Global Legal Entity Identifier Foundation (GLEIF) to cover ISINs in an additional group of jurisdictions. The mapping service developed collectively by the GLEIF, ANNA and its National Numbering Agencies (NNAs) was launched as a pilot...

EVENT

Data Management Summit London

The Data Management Summit Virtual explores how financial institutions are shifting from defensive to offensive data management strategies, to improve operational efficiency and revenue enhancing opportunities. We’ll be putting the business lens on data and deep diving into the data management capabilities needed to deliver on business outcomes.

GUIDE

Data Lineage Handbook

Data lineage has become a critical concern for data managers in capital markets as it is key to both regulatory compliance and business opportunity. The regulatory requirement for data lineage kicked in with BCBS 239 in 2016 and has since been extended to many other regulations that oblige firms to provide transparency and a data...