Sovereign Credit Default Swaps - 1st fortnight September 2013

by Eduardo Petazze
On Monday September 16, there was a significant and widespread sovereign risk reduction as measured by the CDS, possibly due to an expectation of a smaller reduction in the monthly
program of QE, which will have the U.S. Fed in its meeting on Wednesday September 18, 2013.

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No.

Credit Default Swaps (5yr) Cumulative Probability of Default (CPD)

CPD
Quarterly average
Monthly Average
Avg month ending on:
Daily
Country
3Q12 4Q12 1Q13 2Q13 3Q13 Q-Chg Jul-13 Aug-13 Sep-13 M-Chg 15 Aug 30 Aug 16 Sep
Chg
Previous Last D-Chg
73.31% Argentina
1,112.3 1,625.0 2,214.7 2,709.8 2,563.2 -146.6 2,615.4 2,457.4 2,657.1
199.7 2,357.1 2,557.7 2,669.0
111.3 2,608.2 2,565.9 -42.3
46.82% Venezuela
842.5 722.7 653.8 853.9 949.2
95.3 964.8 922.5 968.4
45.8 892.4 952.7 975.9
23.2
935.4
886.0 -49.4
44.42% Ukraine
787.5 643.3 573.8 636.1 836.0 199.9 809.5 841.9 875.8
33.8 812.9 871.0 874.3
3.4
885.6
875.0 -10.6
42.11% Pakistan
886.8 790.2 815.9 824.2 831.7
7.5 846.5 844.7 779.4
-65.3 838.6 850.8 778.5
-72.2
760.7
786.1 25.4
39.04% Egypt
528.4 435.0 559.6 664.4 762.7
98.3 769.0 785.7 708.3
-77.5 775.2 796.2 714.0
-82.2
652.7
640.0 -12.7
31.55% Portugal
693.0 490.8 390.3 364.7 477.3 112.6 473.9 451.5 531.1
79.6 437.5 465.5 531.0
65.6
557.4
541.6 -15.9
26.34% Lebanon
493.2 431.1 420.6 444.2 423.3 -20.9 442.8 409.5 410.2
0.8 399.8 419.1 410.2
-8.9
390.0
395.0
5.0
26.00% Tunisia (CB)
307.6 357.2 364.2 389.8 400.6
10.8 396.0 401.8 407.9
6.1 395.3 408.3 407.9
-0.4
380.6
395.0 14.4
22.90% Slovenia
436.2 282.7 253.3 314.8 341.3
26.4 338.5 343.0 343.7
0.8 336.0 349.9 343.7
-6.2
340.5
345.0
4.5
22.54% Croatia
433.7 261.5 280.8 309.6 328.1
18.5 314.2 334.0 345.2
11.2 329.3 338.7 345.2
6.5
335.0
329.0
-6.0
20.31% Hungary
441.9 292.5 304.7 305.1 306.9
1.7 299.7 318.7 298.9
-19.8 314.8 322.6 300.4
-22.2
285.5
281.2
-4.3
19.48% Vietnam
312.4 224.6 210.5 217.1 266.4
49.3 242.0 276.4 297.6
21.2 256.1 296.7 297.6
0.9
287.8
267.5 -20.3
17.60% Indonesia
166.0 129.5 139.8 164.4 235.2
70.8 207.8 247.7 264.9
17.2 218.5 277.0 266.8
-10.2
250.5
234.5 -16.0
17.48% Italy
437.4 280.7 259.8 260.3 252.3
-8.0 269.9 237.5 245.8
8.4 238.1 236.9 246.0
9.2
254.2
249.5
-4.7
16.81% Spain
488.2 315.3 269.0 250.3 246.9
-3.3 270.5 229.4 233.9
4.6 231.3 227.5 234.4
6.9
239.7
234.5
-5.2
16.79% Bahrain
304.6 213.7 199.1 212.0 235.4
23.4 227.1 239.7 243.4
3.7 234.1 245.4 242.2
-3.2
234.1
227.5
-6.6
16.13% Morocco
245.1 240.0 215.7 216.8 227.8
11.1 227.5 226.4 231.4
5.0 219.9 232.8 231.4
-1.4
220.3
214.6
-5.7
15.70% Dubai
316.8 243.4 217.6 218.0 224.6
6.5 222.5 227.5 223.3
-4.2 223.1 231.8 224.5
-7.3
210.0
205.0
-5.0
15.62% Turkey
184.9 144.5 132.1 140.2 214.6
74.4 198.5 224.1 229.5
5.4 211.9 236.2 229.5
-6.8
214.3
199.1 -15.2
15.44% South Africa
142.1 152.8 164.6 178.1 224.3
46.2 214.1 236.3 221.7
-14.6 227.0 245.6 221.7
-23.9
202.5
193.5
-9.0
14.61% Romania
387.5 232.6 206.8 201.2 201.9
0.7 198.4 203.7 205.7
2.0 197.6 209.8 205.7
-4.1
200.0
195.0
-5.0
13.84% Kazakhstan
198.9 156.0 148.4 165.9 197.9
32.1 193.4 203.2 196.9
-6.4 195.8 210.6 198.9
-11.7
177.4
166.5 -10.9
13.35% Brazil
129.2 107.4 120.6 138.1 190.1
52.1 185.8 194.9 189.5
-5.4 185.3 204.6 189.5
-15.0
173.0
160.6 -12.4
13.15% Russia
172.0 142.3 140.9 155.9 187.7
31.8 183.3 193.0 186.2
-6.8 184.7 201.3 186.2
-15.1
164.0
157.5
-6.5
11.40% Iceland
260.7 193.6 162.1 147.5 153.1
5.6 155.0 151.6 152.2
0.6 154.1 149.1 152.2
3.1
154.3
155.0
0.8
10.86% Ireland
443.7 215.7 181.2 160.7 148.1 -12.6 155.9 142.0 144.5
2.5 141.2 142.8 144.6
1.9
145.3
143.6
-1.7
10.41% Peru
124.2 100.2
93.7 106.1 140.7
34.6 140.1 141.1 140.9
-0.2 133.1 149.0 142.6
-6.5
136.5
130.3
-6.3
10.03% Latvia
223.1 136.8 114.2 119.2 132.0
12.9 127.8 134.3 136.3
2.0 132.3 136.3 136.3
0.0
137.0
127.5
-9.5
10.00% Lithuania
200.6 125.0 104.7 115.5 130.3
14.7 125.8 131.8 136.5
4.6 128.2 135.5 136.5
1.0
137.0
127.5
-9.5
9.78% Panama
114.6
99.1
93.9 101.6 133.4
31.9 135.0 133.1 131.2
-1.9 127.5 138.6 132.7
-6.0
123.5
120.5
-3.0
9.74% Israel
154.5 143.2 123.8 118.0 121.4
3.4 113.6 122.1 136.3
14.2 112.4 131.9 136.3
4.4
128.0
121.5
-6.5
9.69% Thailand
129.2
91.3
92.1
95.3 124.8
29.5 114.7 130.9 132.9
2.0 116.8 145.0 133.4
-11.6
131.5
121.5 -10.0
9.64% Colombia
115.2
99.5
94.8 103.1 132.5
29.5 135.0 131.8 129.1
-2.7 127.0 136.5 130.5
-6.0
125.0
117.8
-7.3
9.62% Malaysia
106.5
74.7
82.2
90.3 125.6
35.3 114.8 133.6 131.4
-2.2 120.2 147.1 132.1
-15.0
126.5
119.5
-7.0
9.49% Philippines
140.0 103.5 101.7 102.6 126.1
23.5 119.8 130.9 129.2
-1.7 120.0 141.8 130.1
-11.6
124.5
116.0
-8.5
9.26% Bulgaria
255.1 118.6 109.1 111.6 120.3
8.7 118.9 120.0 124.1
4.1 115.5 124.5 124.1
-0.4
122.0
120.0
-2.0
9.07% Mexico
111.8
99.9
95.7
99.9 125.3
25.4 126.9 126.2 120.8
-5.4 122.2 130.2 122.3
-7.9
116.5
109.3
-7.3
7.12% Chile
96.5
77.4
67.0
76.7
94.5
17.8
93.0
95.7
95.3
-0.4
91.6
99.8
95.3
-4.5
90.5
83.3
-7.2
7.05% Poland
159.0
89.3
87.7
83.8
89.9
6.1
91.3
87.0
92.5
5.5
83.6
90.4
93.3
2.9
95.0
89.0
-6.0
6.97% China
101.8
67.5
64.8
83.5 105.7
22.2 111.1 110.0
87.4
-22.7 107.8 112.2
87.8
-24.4
85.0
79.5
-5.5
6.66% Slovakia
183.0 105.1
91.7
88.7
90.1
1.4
92.1
90.2
85.5
-4.7
89.7
90.7
85.5
-5.2
82.5
82.5
0.0
5.87% Qatar
112.7
92.7
69.5
72.0
76.4
4.4
74.3
77.5
78.6
1.1
73.1
81.9
79.6
-2.3
71.0
65.8
-5.2
5.85% South Korea
104.5
67.6
67.6
79.6
81.7
2.1
84.6
82.8
74.1
-8.7
79.4
86.3
74.4
-11.9
75.0
69.5
-5.5
5.33% France
144.1
86.4
82.1
73.3
70.8
-2.5
74.9
68.0
67.9
-0.1
65.6
70.4
68.0
-2.4
65.0
65.2
0.2
5.26% Saudi Arabia
105.1
79.0
67.6
68.4
67.6
-0.8
68.2
66.1
69.3
3.2
63.0
69.2
69.7
0.4
63.0
61.5
-1.5
5.05% Estonia
109.3
74.3
62.5
62.2
66.7
4.5
68.6
66.2
63.5
-2.7
67.8
64.6
63.5
-1.1
63.0
63.0
0.0
4.96% Japan
85.6
75.8
72.7
71.8
65.4
-6.4
67.7
64.3
63.1
-1.1
61.9
66.6
63.4
-3.2
61.0
60.2
-0.8
4.79% Czech Rep.
112.6
73.2
57.3
55.9
62.1
6.2
63.4
61.6
60.5
-1.0
62.4
60.7
60.5
-0.2
60.0
60.0
0.0
4.78% Belgium
164.7
86.3
75.1
67.2
62.3
-4.9
65.6
59.7
60.6
0.8
57.7
61.8
60.7
-1.0
58.5
58.8
0.3
4.44% Hong Kong
63.0
46.4
42.5
47.0
55.6
8.6
56.7
54.3
55.7
1.5
52.2
56.3
56.1
-0.2
54.7
57.0
2.3
3.96% Netherlands
79.8
47.4
51.8
55.6
50.6
-5.1
53.4
47.9
49.9
2.0
46.2
49.7
50.0
0.4
49.7
49.3
-0.3
3.66% New Zealand
78.8
51.0
45.3
43.9
49.2
5.3
51.3
49.0
45.6
-3.4
48.3
49.6
45.6
-4.0
44.4
43.5
-0.9
3.64% Australia
64.4
46.7
43.3
43.8
49.4
5.6
51.5
49.1
45.5
-3.6
48.6
49.6
45.5
-4.1
44.5
42.5
-2.0
2.83% UK
55.6
35.4
47.3
46.3
38.2
-8.0
42.6
35.9
34.3
-1.6
35.4
36.4
34.4
-2.0
33.5
34.3
0.8
2.47% Austria
106.0
46.6
43.6
36.9
31.7
-5.3
34.5
29.2
30.7
1.5
28.2
30.2
30.9
0.7
29.8
29.7
-0.1
2.16% Germany
67.2
36.2
40.1
32.2
28.4
-3.8
30.3
27.2
26.9
-0.3
26.4
28.1
27.1
-1.0
25.0
24.8
-0.2
1.90% Denmark
80.7
34.0
31.4
30.1
24.6
-5.6
27.3
22.3
23.3
1.0
21.9
22.7
23.5
0.7
23.5
22.9
-0.6
1.84% USA
41.4
35.9
40.1
30.7
23.5
-7.2
25.4
22.1
22.6
0.5
22.1
22.2
22.6
0.4
22.3
22.4
0.0
1.74% Finland
50.5
30.8
30.2
28.1
21.7
-6.4
23.4
20.2
21.3
1.0
19.9
20.6
21.3
0.8
21.5
21.7
0.2
1.44% Sweden
41.5
21.2
20.0
20.5
19.0
-1.5
21.1
17.7
17.6
-0.1
18.1
17.2
17.6
0.4
16.9
16.9
-0.1
1.26% Norway
28.1
18.9
19.1
18.6
16.0
-2.6
17.0
15.2
15.5
0.3
14.9
15.5
15.4
-0.1
15.3
15.5
0.2
13.95% 60-Avg (ex-Arg) 232.5 171.9 163.5 173.6 193.6
20.1 192.8 194.0 194.5
0.5 188.2 199.9 195.0
-4.8
188.5
183.8
-4.7
3Q12 4Q12 1Q13 2Q13 3Q13 Q-Chg Jul-13 Aug-13 Sep-13 M-Chg 15 Aug 30 Aug 16 Sep
Chg
Previous Last D-Chg
Country
CPD
Quarterly average
Monthly Average
Avg month ending on:
Daily
Credit Default Swaps (5yr) Cumulative Probability of Default (CPD)