Sovereign Risk Monitor

March 1, 2010 
 

The CMA Sovereign Risk Monitor identifies and ranks the world’s most volatile sovereign debt issuers according to percentage changes in their 5 year CDS. The countries are ranked by their cumulative probability of default (CPD), which gives the market's assessment of an issuer's likelihood of default over the life of a CDS contract. So, if a country has a 20% CPD rating for its five-year CDS contracts, the market believes this debt has a two-in-ten chance of defaulting in the next five years.

10. Dominican Republic

CPD: 23.37%
Mid Spread: 375.00

S&P Credit Rating:
Foreign Long Term: B
Foreign Short Term: B

Credit Watch/Outlook: Stable 

9. Greece

CPD: 24.92%
Mid Spread: 341.54

S&P Credit Ratings:
Foreign Long Term: BBB+
Foreign Short Term: A-2

Credit Watch/Outlook: Negative 

8. Iceland

CPD: 27.03%
Mid Spread: 476.34

S&P Credit Rating:
Foreign Long Term: BBB-
Foreign Short Term: A-3

Credit Watch/Outlook: Negative

7. Iraq

CPD: 28.25%
Mid Spread: 475.97

S&P Credit Ratings:
Foreign Long Term: N/A
Foreign Short Term: N/A 

6. Republic of Latvia

CPD: 29.13%
Mid Spread: 513.31

S&P Credit Rating:
Foreign Long Term: BB
Foreign Short Term: B

Credit Watch/Outlook: Stable 

5. Dubai, UAE

CPD: 32.46%
Mid Spread: 572.92

S&P Credit Rating:
Foreign Long Term: N/A
Foreign Short Term: N/A 

4. Pakistan

CPD: 42.17%
Mid Spread: 803.20

S&P Credit Ratings:
Foreign Long Term: B-
Foreign Short Term: C

Credit Watch/Outlook: Stable 

3. Ukraine

CPD: 44.12%
Mid Spread: 884.91

S&P Credit Ratings:
Foreign Long Term: CCC+
Foreign Short Term: C

Credit Watch/Outlook: Stable 

2. Venezuela

CPD: 49.76%
Mid Spread: 1013.78

S&P Credit Ratings:
Foreign Long Term: BB-
Foreign Short Term: B

Credit Watch/Outlook: Stable
Credit Watch/Outlook: Negative 

1. Argentina

CPD: 50.14%
Mid Spread: 1081.14

S&P Credit Ratings:
Foreign Long Term: B-
Foreign Short Term: C

Credit Watch/Outlook: Stable 

cma Market Data