Thomson Reuters today announced that Fitch Solutionsâ CDS liquidity scores and percentile rankings for the most widely traded credit derivative assets are now available to Thomson Reuters 3000 Xtra users.
Fitchâs scores and rankings help market participants identify their exposure to the most and least liquid CDS - strengthening their liquidity risk management procedures and helping them to meet regulatory requirements.
âCDS have become an integral part of gauging credit market sentiment towards an asset which in turn has a big influence on investment and risk management decisions," said Andrew Hausman, Global Head of Fixed Income, Thomson Reuters. âGiven market interest in CDS, we believe the addition of unique CDS liquidity scores from an independent source with a proven track record will provide our users with even better insight into the direction of risk in the CDS market,â Hausman added.
Thomson Reuters 3000 Xtra users will now be able to access Fitchâs CDS liquidity scores and percentile rankings via their âCreditViewsâ page, using three new tabs:
Ranks the 2000 entities by liquidity score and percentile ranking.
Provides ability to search the universe of 2000 names based on region, country, sector/subsector, fundamental credit rating, and individual entity name.
Provides ability to monitor the relationship between individual name liquidity scores versus sector liquidity scores and CDS spreads.
Provides historical data charting functionality.
Lists the biggest movers up and down (in terms of liquidity) based on selected time period (1 day, 1 week, 1 month, 1 quarter, 1 year).
Provides ability to select universe based on region, sector, and fundamental credit rating criteria.
Provides sector and regional liquidity score index levels.
The liquidity scores and rankings are derived from Fitchâs proprietary statistical model. 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. The liquidity scores of assets have historically traded between 4 at the most liquid end, through to 29 at the least liquid end. Entities also tend to be more liquid when there is agreement in the CDS market about present value but disagreement about future value.
âTodayâs announcement is further recognition of Fitch Solutionsâ approach to measuring CDS liquidity,â said Ian Rothery, Fitch Solutionsâ Global Head of Third-Party Distribution and Partnerships. âGiven Thomson Reutersâ global reach this agreement will significantly boost market access to our liquidity scores and also underscores Fitch Solutionsâ position as a leading market data vendor,â Rothery added.