S&P Capital IQ is pleased to release the Global Sovereign Debt Credit Risk Report (formerly CMA) for 1st Quarter 2013. The paper focuses on changes in the risk profile of sovereign debt issuers, with the intention to identify key trends and drivers of change.

A last minute bail out of Cyprus prevented a default as upfront prices fluctuated 7pts towards the end of the quarter. However, default risks remain high at 70% over five years, according to the report.

Meanwhile, spreads in the UK widened to 55bps after the much anticipated credit rating downgrade, but finished the quarter strongly at 45bps.

Elsewhere, US CDS spreads remain unchanged on the quarter, while the market continues to assess the impact of when the US ceases the $85bn monthly bond repurchase program.

 

 

London, 22 January 2013 – Global sovereign CDS prices tightened 16% in Q4 2012 overall, as Europe rallied strongly and Greece repurchased debt, allaying fears of a Euro exit. The report, published today, names the top ten most and least risky sovereigns, as well as the best and worst performers of the quarter.

Western Europe continued rallying from Q3 into Q4, with spreads tightening 19% overall. “Nordic countries ended a strong quarter with Sweden, Norway, Finland and Denmark occupying the top four places in the table of the then least risky sovereign credits, and Sweden edging Norway off the top spot with five year CDS at 19bps,” says Jav Bose, Head of Data Products at CMA. Austria and the Netherlands enter the table with spreads, at 45bps and 46bps respectively, aligning with the strong economies of Germany and Switzerland. Spain and Italy, seen as the key economies in Southern Europe, tightened 23% and 19% respectively and, as the turnaround story continues, Ireland tightened 31% closing the year at 218bps.

As the U.S. ‘fiscal cliff’ and debt ceiling concerns continued into the year end, U.S. CDS spreads remained relatively stable and range bound in Q4, ending the year at 38bps. However, the U.S. slipped down two places in the table to fifth least risky sovereign credit.

The only sovereign to widen significantly in the quarter was Argentina, with spreads widening 52%. “Investors in Argentinian debt faced a roller-coaster ride in Q4 as five year CDS prices, expressed in upfront terms, reached a high of 4832bps at the end of November, but dropped 10% in a day on 29 November,” comments Bose. “This was due to concerns of a default following an appeal court ruling allowing Argentina more time to pay ‘hold out investors’.” Ending the quarter on 1450bps, Argentina occupies the position of most risky sovereign credit in Q4.

This quarter’s report also includes commentary provided by S&P Dow Jones Indices, highlighting developments on S&P/ISDA Credit Default Swap Indices across various asset classes.

*As Greece CDS pricing availability was extremely thin and illiquid this quarter, with activity in bonds rather than CDS, Greece has not been included in the rankings for this quarter’s report – though it is still listed in the CPD table.

Download CMA Sovereign Debt Credit Risk Report Q4 2012

Globally Sovereign CDS markets tightened in Q3 2012, with only Tunisia widening significantly (16%). European Sovereign CDS markets rallied significantly, with volumes in Italy, France, Spain and Germany leading the traded volume data according to the Depository Trust & Clearing Corporation. Q4 2012 looks set to be a key quarter for Europe as the market looks for a stabilisation of spreads rather than the volatility experienced in the first half of the year.

Denmark spreads tighten nearly 53% from 113bps to 52bps, with equivalent EUR spreadsin Germany at 24bps. Implying EUR/USD devaluation risk of 50%. Generally CDS spreads in Western Europe improved by 38% as the ECB, under Mario Draghi, initiated an unlimited bond buying plan to stabilise the Euro.

Protection prices in Greece remain extremely illiquid, with default risks remaining high however the cash price of the 2% ’42 Bonds did rally four points from 13.5 to 17.5. CDS spreads in Spain reached another all time high this quarter, reaching 635bps on 24th July but rallied strongly, reaching 339bps on the 14th September 2012, before ending the quarter at 384bps.

Discover Q3 rankings and commentary for:

• the world's top ten most risky sovereign debt 
• the world's top ten least risky sovereign debt 
• the largest percentage tighteners 
• the largest percentage wideners 
• regional comparisons

Download CMA Global Sovereign Credit Risk Report Q3 2012

Greece re-enters CMA Sovereign Credit Risk Report

Q2 2012 proved to be a rocky quarter for many sovereigns, as the European debt crisis spread to Spain and Italy. However Greece re-enters the report, after being removed last quarter, as protection prices on the sovereign began trading again a few weeks after its default. In addition to this, although there is no change to the top 4 least risky sovereigns, the average percentage spreads for these countries widened by 45%.

However Portugal ended the quarter 805bps, 331bps tighter than Q1 2012. The UK also experienced a stable quarter, improving its ranking in the report as it looks forward to hosting the Olympics and potentially boosting GDP for the quarter.

Discover Q2 rankings and commentary for:

• the world's top ten most risky sovereign debt
• the world's top ten least risky sovereign debt
• the top five performers
• the botom five performers

In addition, the report includes an historical data graph on Italian CDS Spreads dating back to 2004, based on CMA Datavision™ CDS.

Download CMA Sovereign Credit Risk Report Q2 2012

Greece exits the Sovereign report.

Greece exits the top 10 risky sovereigns following the restructuring of its debt, triggering a CDS default event and a rally in credit markets. Cyprus is named as the most risky sovereign, with portugal ending a volitile quarter as spreads approached 1800bps.

In contrast for many lower risk sovereigns Q1 2012 was a positive quarter, with the cost of protection returning to levels seen before the Eurozone debt crisis. USA spread allown tightned 40% returning the sovereign to an implied rating of CMA_aaa.

Discover Q1 rankings and commentary for:

• the world's top ten most risky sovereign debt
• the world's top ten least risky sovereign debt
• the top five performers
• the bottom five performers
• regional comparisons

Download CMA Sovereign Risk Report for Q1 2012

Nearly all global CDS prices widened during November's volatile period as the Eurozone debt crisis continued, with the region widening 9% overall, indicating the significance of Western Europe to the global economy and the importance of a finding a permanent resolution to the situation.

As predicted by many, Greece remained the most risky sovereign credit, a position it held throughout 2011. Following political turmoil that Egypt has been experiencing in recent months, the country entered the "Top 10 Most Risky Sovereign Credit" table in eighth position, as the spreads widened from 457bp to 621bp. CDS for the USA was also affected during November's events, dipping below 40bp mid-quarter but widened back out with the rest of the market, closing the year below 50bp, 3bp tighter on the quarter.

Asian and Central / South American countries performed strongly in Q4. A rally in October was followed by a widening in November after heightened concerns in the Eurozone. However a December rally saw the levels close just above the October peaks. Sweden, Slovenia and Slovakia where the worst performers for the quarter, as the markets assess the impact of a potential deepening crisis in the Euro and the impact on bank lending and growth prospects.

Download CMA Sovereign Risk Report for Q4 2011

Greece remains the most risky sovereign debt as the market prices in an almost certain default event, according to CMA’s latest Sovereign Debt Credit Risk Report.

In an extremely volatile quarter, the credit markets saw significant rises in the cost of protection across all regions, with downgrades by rating agencies in the US, Japan and Italy, as well as a slow down of growth in China and Eurozone debt concerns affecting the broader region. For the first time, Scandinavian countries saw a significant widening as the size of the fund required to stabilise the Eurozone escalated. The cost of debt protection in the United States however, remained relatively stable throughout the quarter, despite the downgrade which threw global equity markets into turmoil in August and improved five positions in CMA’s “Least Risky table”.

Ireland was the best quarterly performer, improving its position in the “Top 10 Most Risky” table by three. Denmark meanwhile experienced the worst quarterly performance for sovereign CDS, which lead to their new CMA CDS Implied Rating of CMA_aa-.

Download CMA Sovereign Risk Report for Q3 2011

CMA today released its Sovereign Debt Credit Risk Report for the 2nd quarter 2011, in which it names the top ten most and least risky sovereigns, and the best and worst performers.

Unsurprisingly, Greece remains the most risky sovereign debt, according to CMA's latest Sovereign Credit Risk Report. Spreads peaked one day before the austerity measures set by the EU and IMF were approved by the Greek parliament. Portugal and Ireland ranked three and four respectively, swapping places from CMA's previous sovereign report. However, while the media remain firmly focused on the debt crisis in southern European countries, the report finds that only three of the ten most risky sovereign debts are in the region.

The quarter's five best performers include four from the Middle East, led by Bahrain, reflecting improved stability in the region by the end of the quarter.

Northern Europe continues to dominate the least risky sovereign debt rankings, taking the top six places. Norway, Sweden and Finland remain ranked one to three respectively. Germany jumps from ninth to fifth place, as the strength of the economy outweighs worries about exposure to Greece, Portugal and Ireland.

Download the report in Adobe PDF Format (504 KB)

The report found no change in the six riskiest sovereign debts, with Greece retaining its position as the world’s most risky for the second quarter in succession. Despite a rally in January, Greece widened to reach a high of 1100bp following downgrades by Moody’s in early March. Egypt and Lebanon have replaced Spain and Hungary in the top 10, with unrest in the Middle East making it a testing quarter for the region.

Scandinavian countries again dominate the least risky sovereign debts. The Netherlands is a new entry at five, and Chile has ousted Australia from the top ten, a result of the lower market recovery assumption for emerging markets. The best performers of the quarter all came from Western Europe.

Download the report in Adobe PDF Format (1.30 MB)

CMA's Sovereign Debt Credit Risk Report names best and worst performers for Q4 2010. CMA today released its Sovereign Debt Credit Risk Report for the fourth quarter 2010, in which it names the top ten most and least risky sovereigns, and the best and worst performers.

This quarter there were few surprises in the list of the top ten most risky sovereigns, with Greece at the top of the table, followed by Venezuela, Ireland and Portugal, and there were no changes to the top eight least risky, although The Netherlands dropped out of the top ten.

However, the top five worst performers for the quarter are from Western Europe, confirmation that 2010 was one of the most difficult years for the region since the introduction of the euro in 1999.

In contrast, emerging Europe had another good quarter, with liquidity also improving.

For the first time the report also includes liquidity changes, useful to help gauge pricing uncertainity.

 

Download the report in Adobe PDF Format (1,083KB)

CMA's Global Sovereign Credit Risk Report for the third quarter, 2010, focuses on changes in the risk profile of sovereign debt issuers, identifying trends and drivers of change. In addition it highlights themes within global regions, together with macro trends across the sovereign debt sector as a whole.

Download the report in Adobe PDF format (1000KB)

This paper focuses on changes in the risk profile of sovereign debt issuers, with the intention to identify trends and drivers of change.

We have divided the world into eight regions: US & UK, Western Europe, Emerging Europe, Scandinavia, Latin & South America, Middle East & Africa, Asia and Australasia. In addition to identifying themes within each of these regions, macro trends across the sovereign debt sector are also discussed.

Download the report in Adobe PDF format (965 KB)

This paper focuses on changes in the risk profile of sovereign debt issuers, with the intention to identify trends and drivers of change.

Download the report in Adobe PDF format

CMA, the credit information specialist, today announced the release of its quarterly Global Sovereign Credit Risk Report.

The report covers activity in the sovereign CDS market between October and December 2009.

Download a PDF copy of the report (750 KB)

CMA, the credit information specialist, today announced the release of its quarterly Global Sovereign Credit Risk Report.

The report covers activity in the sovereign CDS market between July and September 2009.

Download a PDF copy of the report (721 KB)

This paper focuses on changes in the risk profile of sovereign debt issuers, with the intention to identify trends and other drivers of change.

Download the report in Adobe PDF format

This paper focuses on changes in the risk profile of sovereign debt issuers, with the intention to identify trends and other drivers of change.

Download the report in Adobe PDF format