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.”