Sovereign Risk Monitor Q 3 2010

 

3rd. Quarter 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.

Highest Default Probabilities

Entity Name	Mid Spread	CPD (%)
Venezuela	1109.40	54,20
Greece	775.30	48.70
Argentina	749.30	40.40
Pakistan	606.40	34.60
Ukraine	546.80	32.30
Ireland	458.30	33.00
Dubai	437.40	26.50
Iraq	427.10	26.40
Portugal	408.80	30.20
Romania	350.90	22.10

(CMA Market Data)