CDS Implied Ratings
Early warning signals
CMA CDS Implied Ratings compare the CDS market's assessment of an entity's credit ratings with those of S&P's short term and long term ratings, enabling you to evaluate whether the scale of the differential is merited and therefore take action before any likely re-rating.
The CDS markets react immediately to changes in credit risk – generally faster than rating agencies, which tend to take a broader and sometimes qualitative view of an entity's default risk. This makes the CDS market a useful guide when monitoring an entity's changing default probability.
Understand market activity in context
Risk managers, researchers, data managers and corporate treasurers use CMA CDS Implied Ratings to:
- identify and manage risks proactively
- gain an early indication of market movement.
Who can benefit
- Product Control
- Risk Managers
- Researchers
- Corporate Treasurers
Our implied ratings are calculated using a proprietary model and the S&P rating. The one-year point is used for short-term implied ratings and the five-year point for long term implied ratings. In many cases an entity's actual rating moves towards the implied rating calculated by CMA. However, the CDS market is subject to factors outside the credit market, such as market liquidity, and does not always take into account issues which a rating agency may take into consideration when assigning a rating, such as implicit, but not guaranteed, availability of funds (eg access to IMF, or large corporations which have implicit government support).
Receive CDS implied ratings daily
CMA Short- and Long-Term Implied Ratings provide accurate consensus-based pricing for the OTC credit instruments CMA Datavision™ currently covers – CDS Single Name, Indices, Tranches and LCDS. They are published daily in the CMA Datavision™ Analytics File.