Fitch Solutions' CDS liquidity scores will now offer CDS liquidity measures at the contract level in addition to the existing entity level scores launched last year.
The service will allow users to review market liquidity based on several views and time periods, including all available CDS contracts, most liquid contract per name, or most liquid contract by entity and rank, the rating agency announced today.
Users will also be able to tailor Fitch liquidity scores to monitor various cuts of the data depending on their needs.
"Sovereigns can have CDS contracts written on several different currencies"; said Fitch Solutions Managing Director Jonathan Di Giambattista. "The enhanced liquidity scores can now determine which contract is the most liquid now or in the past, which was historically not an easy task."
Fitch Solutions' global CDS liquidity score provides percentile rankings for widely traded credit derivative assets. This is a way to help banks strengthen their liquidity risk management procedures. The scores and rankings cover more than 3,000 of the most widely traded CDS assets.
