CDS liquidity rises during stress

The credit default swap market becomes more liquid during periods of market stress, according to research by Fitch Solutions, a division of Fitch Ratings.

Previous models have assumed that all assets become less liquid at times of financial turmoil. Fitch maintains that this is not necessarily the case with markets providing protection on the underlying assets, such as the CDS market.

Over the last three years, assets rated B, BB and BBB have consistently been the most liquid, followed by A, AA

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