Fitch Solutions extended the launch of its liquidity scores and percentile rankings for widely traded CDS assets to investors.
This is a way to help these buy-siders strengthen their liquidity risk management procedures as well as meet regulatory commitments.
Investor users benefit from new features such as regional sector scores for corporate assets in Asia-Pacific, Europe and the Americas and global sovereigns. As of March 13, Korea
Development Bank, British Telecom, General Electric Capital Corp. and the United Mexican States were the most liquid CDS names respectively.
"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," said Thomas Aubrey,
managing director, Fitch Solutions, London. "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."
Fitch Solutions will also publish on its public Web site 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.
The liquidity scores and rankings are derived from Fitch's proprietary statistical model which provides a unique insight into the CDS market liquidity, covering over 3,000 of the most widely traded CDS assets. Each asset is assigned a score, representing the most through to
least liquid names, and then given a global percentage ranking according to its liquidity profile against the overall CDS universe.
