CMA Release Sovereign Debt Credit Risk Report Q4 2011
Jan Tue 10 2012 at 1.00 pm
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.