Fuente: www.bankingtech.com Fecha: 18.03.2009
Fitch has extended the launch of its liquidity scores and percentile rankings for credit derivative assets to buy-side market participants, to try and help them strengthen their liquidity risk management procedures and meet regulatory commitments.
Buy-side users can now use features including regional sector scores for corporate assets in Asia-Pacific, Europe and the Americas, as well as global sovereigns. As of 13 March, Korea Development Bank, British Telecom, General Electric Capital Corporation 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 at Fitch Solutions in 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," he added.
Fitch Solutions will publish 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 covers over 3,000 of the most widely traded CDS assets. Each asset is assigned a score, representing the most through to the least liquid names, and then given a global percentage ranking according to its liquidity profile against the overall CDS universe.