NEW YORK--(BUSINESS WIRE)-- Link to Fitch Solutions' Report: Fitch Solutions' Global CDS Liquidity Scores Commentary - Issue 58: http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651040

Global credit default swap (CDS) liquidity retreated slightly following bank holidays in Europe and the United States, though that reprieve will likely be short-lived, according to Fitch Solutions in its latest Global CDS Liquidity Scores commentary.

"Despite the recent move, global CDS liquidity is still outpacing levels seen both throughout the 2009 financial crisis and the onset of the European sovereign turmoil early in 2010," said Author and Director Diana Allmendinger.

"Markets have been consistently pricing in higher risk levels for developed market sovereigns than emerging market sovereigns since early-June," said Allmendinger. "Decoupling the Eurozone from the broader developed market sovereign index, it becomes apparent that sovereigns in the euro area are driving this underperformance."

Among sovereigns, CDS on China saw the biggest increase in liquidity, up 11 global percentile rankings, with Thailand and Malaysia also seeing a notable increase. Hungary remains the most liquid sovereign.

Additional information on sovereign CDS movement can be found in Fitch Solutions' new suite of global CDS Indices, which encompass 15 regional sovereign indices, 40 industry level and 70 sub-sector level corporate indices. See the press release published earlier today ('Fitch Solutions Launches Global CDS Indices') for details.

The full Fitch Solutions' Global CDS liquidity scores commentary, which covers the top five most liquid CDS corporate names in Europe, North America and Asia, as well as the top five most liquid global sovereigns, is available at 'www.fitchratings.com' under 'Fitch Solutions' Global Liquidity Scores Commentary Issue 58'.

In general, the liquidity of a credit derivative asset increases when it is showing signs of financial stress in combination with a significant amount of debt outstanding and/or changes in its capital structure, including new issuance. 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 about present value but disagreement about future value due to heightened uncertainty surrounding the entity.

Additional insightful market data and analysis is available at 'http://twitter.com/fitchsolutions'

Fitch Solutions, a division of the Fitch Group, focuses on the development of fixed-income products and services, bringing to market a wide range of data, analytical tools and related services. The division is also the distribution channel for Fitch Ratings content.

The Fitch Group also includes Fitch Ratings and Algorithmics, and is a majority-owned subsidiary of Fimalac, S.A. For additional information, please visit 'www.fitchsolutions.com'; 'www.fitchratings.com'; 'www.algorithmics.com'; and 'www.fimalac.com'.

CONTACT:

Fitch Solutions
Diana Allmendinger
Director
+1-212-908-0848
Fitch Solutions
1 State Street Plaza
New York, NY 10004
or
Media Relations:
Peter Fitzpatrick, +44 20 3530 1103 (London)
peter.fitzpatrick@fitchratings.com
Sandro Scenga, +1 212-908-0278 (New York)
sandro.scenga@fitchratings.com

KEYWORDS:   United States  North America  New York

INDUSTRY KEYWORDS:   Professional Services  Finance

MEDIA: