Fitch Pricing Services

Offered as part of the Pricing & Valuation Services product suite, Fitch Pricing Services is a credit default swap (CDS) pricing service that includes CDS Pricing, ABCDS Pricing, Loan CDS Pricing and CDS Benchmarking; together they provide premium quality pricing data from credit derivative market makers. All content goes through a stringent data cleaning process to eliminate stale and unreliable data ensuring the composite published prices are of the highest quality. Fitch Pricing Services also includes CDS liquidity scores, a measure for identifying and understanding liquidity risk in the CDS market. View a sample of the CDS liquidity scores data

Fitch Solutions supports the industry’s migration to a standardized CDS trading and quoting convention, and thus provides upfront and fixed running spreads for senior and subordinated CDS contracts.

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Coverage:

• Pricing data on single-name CDS, loan CDS, CDS indices, and CDS of Asset-Backed securities (ABCDS)
• Benchmark pricing for illiquid CDS and ABCDS derived from comparing similar entities and assets where pricing is available
• Liquidity scores and percentile rankings for corporate and sovereign CDS
• Consensus pricing for CDS of ABS includes credit cards, automobiles, RMBS and CMBS as well as a series of five U.S. RMBS Subprime Indices covering:
  
  - Total Market Index - blend of all vintages
  - Vintage specific - 2004 to 2007 inclusive

Key Benefits:

• Measure and monitor credit quality thereby leading to more informed investment decisions
• Reduce costly errors by providing automated processes
• Provide more efficient management processes by using a single source of data from a reputable source rather than consolidating and cleaning data from multiple sources
• Provide greater transparency for shareholders and regulators
• Perform broader trend analysis and improve relative valuation techniques across different asset classes with access to a series of U.S. RBMS Subprime Indices

Key Features:

• Managed data cleansing processes to produce premium quality and reliable spreads
• Consensus end-of-day pricing on Index, Sovereign and Corporate and Loan CDS
• “On-the-run” and “off-the-run” index information including iTraxx and CDX
• Meets market industry standards by providing upfront and fixed running spreads for senior and subordinated CDS contracts
• Consensus month-end pricing on ABS of CDS including credit cards, automobiles, RMBS and CMBS
• Full range of curves across the spectrum of maturities

CDS and ABCDS pricing data feeds are also available via Fitch Solutions’ Integrated Data Service offering that packages and delivers a variety of customized data sets into a single standardized feed.