Fitch Solutions: CDS Widening May Extend into 2012

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NEW YORK--(BUSINESS WIRE)-- Link to Fitch Solutions' Report: Risk and Performance Monitor: 2011 Year in Review

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=658791

The unprecedented widening of credit default swap (CDS) spreads across many regions and sectors that characterized 2011 figures to continue into next year, according to Fitch Solutions in its year-end Risk and Performance Monitor.

'With no clear resolution to the European debt crisis and the U.S. debt situation still in flux, CDS widening will likely persist in 2012,' said Author and Director Diana Allmendinger.

This likely means added pressure on European sovereign CDS, which reached record highs this year after widening 170%, on average, over the course of 2011. Sovereign CDS liquidity also increased considerably in the Eurozone, with Hungary and Italy now the most liquid sovereigns through the end of November.

Another area of continued underperformance is likely to be financials, with spreads for European banks reaching levels not seen since the height of the credit crisis in 2009. Greek (146%), Italian (145%) and French (125%) financials led the CDS widening.

Spreads on North American banks also widened during 2011 (albeit to a lesser degree), with CDS coming out 90% through the end of November. 'As the landscape for new banking regulations evolves, the markets may distinguish more between the credit risk of big North American banks,' said Allmendinger.

Fitch Solutions' Risk and Performance Monitor is a report that gauges CDS market sentiment and spread movement among major companies and sovereigns throughout the world on a weekly basis. The Risk and Performance Monitor is part of Fitch Solutions' Risk and Performance Platform, which provides a single point of access for CDS pricing data, market indicators of credit quality from a suite of market implied ratings models, as well as portfolio monitoring features.

The year-end 'Fitch Risk and Performance Monitor' is available by clicking on the above link.

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 is a majority-owned subsidiary of Fimalac, S.A. For additional information, please visit 'www.fitchsolutions.com'; 'www.fitchratings.com'; and 'www.fimalac.com'.

Fitch SolutionsDiana Allmendinger, +1-212-908-0848DirectorFitch Solutions, 1 State Street Plaza, New York, NY 10004orMedia Relations:Peter Fitzpatrick, +44 20 3530 1103 (London)[email protected]Sandro Scenga, +1-212-908-0278 (New York)[email protected]

Source: Fitch Solutions

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