Top 10 List of Countries‘ CDS-Speads as of 5th of August 2011

While people are awaiting a market massacre following the USA downgrade to AA+ by S&P, I felt it’s about time to update my regular list of country risk premiums.

  • While tomorrow everyone will surely watch the CDS spread of the USA, on Friday there was no mayor movement before closing. Compared with a month ago (8th of July 2011), it widened only 1BP. So either the downgrade did leak or it left the markets completely unimpressed. I’d guess the later.
  • Once again strong increases took place in the Eurozone countries, with especially worrying increases for Cyprus (the spread more than doubled to 809BP), Spain (+40% to 414BP), and Italy (+66% to 373BP).
  • Nearly all other Eurozone countries saw also widening spreads, most worryingly France and Belgium were reminded that nobody is untouchable in this crisis. The only Euro members with narrowing spreads were Greece, Portugal and Ireland that profited from the recent bailout, but stayed at pathological levels. The savings in funding costs for these countries was rather small, so I wonder if the bailout was in the interest of the European people as it likely increased the average funding costs across all countries.
  • Some non-Euro countries like Sweden and Poland also saw widening spreads. Probably due to significant exposures to the Eurozone in their banking systems and because they will be hit by a recession in Europe.

Rang Land Risk Premium PD Note Rating
1 (1) Greece 1644 (-22%) 98% U, R, I, E, S CCC
2 (2) Venezuela 956 (3%) 88%   BB-
3 (4) Pakistan 883 (5%) 86% 5y B-
4 (3) Portugal 855 (-5%) 85%   BBB-
5 (12) Cyprus 809 (118%) 83%   A-
6 (5) Ireland 716 (-5%) 79% U, R, I, E, S, K BBB+
7 (6) Argentine 691 (7%) 77% R B
8 (7) Jamaica 581 (5%) 71%   B-
9 (8) Ukraine 494 (3%) 65% I,U B+
10 (20) Spain 414 (40%) 58%   AA
11 (18) Hungary 406 (30%) 57% I,U,K, E,S BBB-
12 (11) Lebanon 398 (7%) 56%   B
13 (9) Dominican Republic 391 (3%) 56%   B+
14 (10) Dubai 387 (3%) 55%    
15 (15) Croatia 378 (19%) 54%   BBB-
16 (29) Italy 373 (66%) 54%   A+
17 (14) Vietnam 354 (4%) 52%   BB-
18 (13) Serbia 349 (1%) 51% I BB
19 (17) Egypt 344 (9%) 51% 5y BB
20 (16) El Salvador 318 (0%) 48%   BB-
21 (19) Iraq 299 (0%) 46%    
22 (23) Romania 287 (14%) 45% U,K,I BB+
23 (25) Malta 287 (19%) 45%   A
24 (24) Bulgaria 285 (13%) 44% U,K BBB
25 (26) Latvia 269 (15%) 42% I,U,R, K,E,S BB+
26 (27) Lithuania 262 (12%) 42% U,K BBB
27 (22) Bahrain 261 (1%) 41%   BBB
28 (21) Iceland 256 (-8%) 41% I,U,R BBB-
29 (28) Turkey 254 (11%) 41%   BB
30 (40) Belgium 240 (40%) 39%   AA+
31 (32) Poland 230 (19%) 38% E A-
32 (35) Kazakhstan 224 (19%) 37%   BBB
33 (30) Algeria 220 (0%) 36%    
34 (34) Morocco 206 (8%) 34%   BB+
35 (31) Costa Rica 203 (2%) 34%   BB
36 (33) Guatemala 200 (4%) 33%   BB
37 (37) Russia 197 (8%) 33% K BBB
38 (36) Uruguay 189 (1%) 32%   BB
39 (38) Philipines 182 (0%) 31%   BB
40 (39) Indonesia 182 (1%) 31%   BB+
41 (41) Israel 168 (3%) 29%   A
42 (49) Slovenia 167 (26%) 29%   AA
43 (43) Peru 167 (5%) 29%   BBB-
44 (42) Thailand 164 (0%) 28%   BBB+
45 (45) Brazil 161 (11%) 28%   BBB-
46 (44) South Africa 159 (8%) 28%   BBB+
47 (58) France 159 (46%) 28% U AAA
48 (46) Mexico 157 (11%) 27%   BBB
49 (47) Colombia 156 (10%) 27%   BBB-
50 (54) Slovakia 155 (23%) 27%   A+
51 (52) Panama 145 (12%) 25%   BB+
52 (48) Korea 137 (3%) 24%   A
53 (51) Malaysia 135 (4%) 24%   A-
54 (53) China 130 (3%) 23% U AA-
55 (59) Estonia 129 (22%) 23%   A
56 (57) Czech Republic 128 (13%) 23% R A+
57 (50) Qatar 127 (-3%) 23%   AA
58 (55) Abu Dhabi 123 (-1%) 22%   AA
59 (56) Japan 122 (0%) 22%   AA-
60 (63) Austria 117 (39%) 21%   AAA
61 (69) Denmark 101 (63%) 19%   AAA
62 (60) Saudi Arabia 96 (1%) 18% 5y AA-
63 (62) United Kingdom 95 (12%) 17% U AAA
64 (61) Chile 95 (1%) 17%   A+
65 (67) Germany 89 (38%) 17%   AAA
66 (70) Netherlands 78 (40%) 15%   AAA
67 (71) Finland 75 (41%) 14% S AAA
68 (66) Hong Kong 73 (9%) 14%   AAA
69 (65) Singapore 73 (6%) 14%   AAA
70 (64) New Zealand 70 (0%) 13%   AA+
71 (68) USA 65 (2%) 12% U AA+
72 (73) Sweden 61 (50%) 12%   AAA
73 (72) Switzerland 48 (-2%) 9%   AAA
74 (75) Norway 48 (49%) 9%   AAA
75 (74) Australia 37 (0%) 7%   AAA

2 Antworten zu Top 10 List of Countries‘ CDS-Speads as of 5th of August 2011

  1. Nick sagt:

    Could you explain what „CDS“ stands for or what it means?

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