Fitch Ratings - Fitch CDS Pricing

Version: 8.0.4

Liquidity rankings as at 23 January 2012

ASIA
position	name	liquidity score
1	Telstra Corporation Limited	7.1
2	Rio Tinto Ltd	7.1
3	Australia and New Zealand Banking Group Ltd	7.12
4	Westpac Banking Corporation	7.14
5	Qantas Airways Ltd	7.3

EUROPE
position	name	liquidity score
1	Renault SA	6.14
2	Banco Santander, S.A.	6.32
3	Banca Monte dei Paschi di Siena SpA	6.33
4	Banco Bilbao Vizcaya Argentaria SA	6.34
5	Lloyds TSB Bank Plc	6.4

NORTH AMERICA
position	name	liquidity score
1	SLM Corporation (a.k.a Sallie Mae)	6.01
2	MGIC Investment Corporation	6.14
3	ALCOA Inc.	6.16
4	Merrill Lynch & Co., Inc.	6.23
5	General Electric Capital Corporation	6.28

SOVEREIGNS
position	name	liquidity score
1	Hungary (Republic of / National Bank of)	6.27
2	Italy (Republic of)	6.3
3	Belgium (Kingdom of)	6.39
4	Federation of Russian States	6.44
5	Republic of Brazil	6.61

* Data is calculated by Fitch Solutions based on actual contributions received from market participants

Fitch Solutions calculates CDS Liquidity Scores on it's universe of over 3,000 reference entities on a daily basis and are available via Fitch CDS Pricing. The above Fitch CDS Liquidity Scores are a sample of the available data and are updated on a bi-weekly basis.

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 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.

To learn more about the product and to see our bi-weekly Fitch Solutions' Global Liquidity Scores Commentary click here or email pricingservices@fitchsolutions.com