Bangkok--7 Oct--Fitch Ratings
Fitch Solutions-New York/London-06 October 2010: Fitch Solutions, a division of the Fitch Group, says that over the past two weeks the CDS market has turned its focus back to the prospects for developed market sovereigns, causing Fitch's indices for average CDS liquidity for developed and emerging economies to begin to converge again for the first time since late August 2010.
"Whilst the CDS market was most focussed on the global technology sector during the holiday period this interest has now levelled off. Developed market sovereign liquidity has again begun to increase more rapidly than for emerging market sovereigns, albeit with both at comfortably lower levels than seen during the first quarter of 2010," said Jonathan Di Giambattista, Managing Director, Fitch Solutions, New York."
From 20 September to 1 October, average developed market sovereign CDS liquidity moved from 8.97 to 8.85, whereas emerging market sovereign liquidity remained broadly stable, moving from 8.74 to 8..73 during the same period (the lower the liquidity score the greater the CDS liquidity).
In terms of Fitch's regional total market CDS liquidity indices, both the Americas and Europe became slightly more liquid in the past two weeks whereas Asia Pacific remained broadly stable. However, much of these movements are likely attributable to markets fully returning from the summer holiday period.
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 40"
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.
Contact: Jonathan Di Giambattista, New York, Tel: +1 212 908 0273.
Media Relations: Peter Fitzpatrick, London, Tel: + 44 (0)20 7417 4364, Email:
[email protected]; Sandro Scenga, New York, Tel: +1 212-908-0278, Email:
[email protected].
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'.