Fitch Solutions: Major Structural Shifts in Global CDS Liquidity Apparent

LONDON & NEW YORK--(Business Wire)--
Fitch Solutions says today that liquidity across the CDS market is back at
similar levels to where it was in the months preceding the Lehman bankruptcy.
However, Fitch Solutions has identified two major structural shifts in the
liquidity of the CDS market that distinguishes the current levels of liquidity
to those back in April 2008.

The percentage of names with liquidity scores below 7.5, or the most liquid
names, has dropped significantly from 12.6% as of 30 April 2008 to only 5.1% as
of 30 October 2009.

"This would appear to suggest that liquidity has to an extent dropped out of the
market," says Thomas Aubrey, Managing Director, Fitch Solutions. "However, the
other crucial difference is that the semi-liquid section of the market has
become much more liquid."

This increased liquidity is indicated by the significant increase in the
percentage of names between 7.5 and 10.5 to 59% from 47% between 30 April 2008
and 30 October 2009.

"This shift in the CDS market shows how it has responded to the demand for
credit protection across a broader set of names as a result of the uncertain
economic outlook; resulting in improved liquidity for a wider set of credits,"
says Aubrey.

Fitch Solutions also notes in the report published today that Europe remains
more liquid than the Americas. The European index closed on 2 November at 9.77,
with the Americas at 9.99.

The report, "Fitch Solutions' Global Liquidity Scores Commentary - Issue 21",
dated 3 November 2009 is available at www.fitchratings.com.

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'.

Fitch Ratings
Author Contact:
Thomas Aubrey, +44 (0)20 7682 7226 (London)
Jonathan Di Giambattista, +1-212-908-0273 (New York)
or
Media Relations:
Peter Fitzpatrick, + 44 (0)20 7417 4364 (London)
peter.fitzpatrick@fitchratings.com
Sandro Scenga, +1 212-908-0278 (New York)
sandro.scenga@fitchratings.com
Shivani Sundralingam, + 65 6796 7215 (Singapore)
shivani.sundralingam@fitchratings.com

Copyright Business Wire 2009