CMA today released its Global Sovereign Credit Risk Report for the fourth quarter of 2011, in which it names the top ten most and least risky sovereigns as well as the best and worst performers.
Nearly all global CDS prices widened during November’s volatile period as the Eurozone debt crisis continued, with the region widening 9% overall, indicating the significance of Western Europe to the global economy and the importance of a finding a permanent resolution to the situation.
Key features of this report include:
• CDS for the USA dipped below 40bp mid-quarter but widened back out with the rest of the market in November, closing the year below 50bp, 3bp tighter on the quarter.
• Greece remains the most risky sovereign credit, a position it held throughout 2011.
• Egypt enters the “Top 10 Most Risky Sovereign Credit” table in eighth position, as the spreads widen from 457bp to 621bp.
• Asian and Central / South American countries performed strongly in Q4. A rally in October was followed by a widening in November after heightened concerns in the Eurozone. However a December rally saw the levels close just above the October peaks.
• Sweden, Slovenia and Slovakia are the worst performers for the quarter, as the markets assess the impact of a potential deepening crisis in the Euro and the impact on bank lending and growth prospects.
