Wednesday, September 8, 2010

Highest Sovereign Default Probabilities

Sovereign Risk Monitor

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. CDS values are calculated by CMA’s market leading CDS price verification service, DataVision.

CMA DataVision provides a daily calculation of CPD, and a variety of other risk metrics, on over 1,200 CDS issuers.

Highest Default Probabilities Entity Name/ Mid Spread/ CPD (%)

Venezuela 1292.52/  58.09

Greece       917.55/ 53.37

Argentina   886.47/ 44.26

Pakistan    835.00/ 43.04

Ukraine     544.01/ 31.05

Ireland      398.28/ 28.47

Dubai       464.38/ 27.06

Iraq          432.10/ 25.71

Portugal   337.76/ 24.90

Romania  395.00/ 23.74


  1. and where stands the USA ??

  2. PEU Report has gotten alot of traffic the last three days on Dubai World CDS. Dubai World's debt restructuring has an October 1 target date.

    Reuters suggested that UAE sovereign debt would be negatively impacted by a Dubai World default.

    The total amount of DW debt stood at $39.9 billion, higher than the widely expected mid-$20 billion range. It seems a high stakes game of chicken is underway between Dubai World's debt holders and the state owned company.

  3. There is an irony on Dubai. They lock up debtors without trial. When Dubai itself goes bust, will they lock themsleves up, or release those in jail for the same alledged offence??

  4. Alasdair, great point. Don't forget the UAE Prince who tortured an immigrant for a missing shipment of grain: