Fitch Solutions' Global Liquidity Scores Commentary - Issue 21 - 30 October 2009 - Special Report - 2009/11/03 - Fitch Research

Report title: Fitch Solutions' Global Liquidity Scores Commentary - Issue 21 - 30 October 2009

from Fitch Research
4 page (1644 word) report published Nov 03, 2009

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...In November 2008, Fitch Solutions' extensive knowledge of the credit default swap (CDS) market led to the creation of new liquidity measures for every widely traded credit derivative asset. It meant that, for the first time, a financial institution would be able to obtain independent information which identified the relative liquidity of each asset and its percentile ranking across the CDS universe. As a result, risk managers can compare the relative liquidity of assets across regions, sectors and rating bands as well as provide information on the liquidity of an asset and the broader CDS market over time. Fitch Solutions' liquidity measures are derived from a proprietary statistical model which produces a liquidity score for each credit derivative asset by modelling a broad set of information taken from the CDS market. 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...

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Fitch Ratings is a leading global rating agency committed to providing the world's credit markets with independent, timely and prospective credit opinions. Built on a foundation of organic growth and strategic acquisitions, Fitch Ratings has grown rapidly during the past decade gaining market presence throughout the world and across all fixed income markets.

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