LONDON, Jan. 22, 2013 /PRNewswire/ -- Global sovereign CDS prices tightened 16% in Q4 2012 overall, as Europe rallied strongly and Greece repurchased debt, allaying fears of a Euro exit, says CMA, part of S&P Capital IQ, in its Global Sovereign Debt Credit Risk report for Q4 2012. The report, published today, names its top ten most and least risky sovereigns, as well as the best and worst performers of the quarter. All Credit Default Swap (CDS) values contained within the document are calculated by CMA Datavision™, which provides independent CDS prices intraday and end-of-day based on data collected from CMA's consortium of CDS buy-side firms.
The report states that Western Europe continued rallying from Q3 into Q4, with spreads tightening 19% overall. "Nordic countries ended a strong quarter with Sweden, Norway, Finland and Denmark occupying the top four places in the table of the ten least risky sovereign credits, and Sweden edging Norway off the top spot with five year CDS at 19bps," says Jav Bose, Head of Data Products at CMA. Austria and the Netherlands enter the table with spreads, at 45bps and 46bps respectively, aligning with the strong economies of Germany and Switzerland. Spain and Italy, seen as the key economies in Southern Europe, tightened 23% and 19% respectively and, as the turnaround story continues, Ireland tightened 31% closing the year at 218bps.
As the U.S. 'fiscal cliff' and debt ceiling concerns continued into the year end, U.S. CDS spreads remained relatively stable and range bound in Q4, ending the year at 38bps. However, the U.S. slipped down two places in the table to fifth least risky sovereign credit.
According to CMA's data, the only sovereign to widen significantly in the quarter was Argentina, with spreads widening 52%. "Investors in Argentinian debt faced a roller-coaster ride in Q4 as five year CDS prices, expressed in upfront terms, reached a high of 4832bps at the end of November, but dropped 10% in a day on 29 November," comments Bose. "This was due to concerns of a default following an appeal court ruling allowing Argentina more time to pay 'hold out investors'." Ending the quarter on 1450bps, Argentina occupies the position of most risky sovereign credit in Q4.
This quarter's report also includes commentary provided by S&P Dow Jones Indices, highlighting developments on S&P/ISDA Credit Default Swap Indices across various asset classes.
*As Greece CDS pricing availability was extremely thin and illiquid this quarter, with activity in bonds rather than CDS, Greece has not been included in the rankings for this quarter's report – although it is still listed in the CPD table.
Download the CMA Sovereign Credit Risk Report
About CMA's Global Sovereign Debt Credit Risk Report
The Global Sovereign Debt Credit Risk report focuses on changes in the risk profile of sovereign debt issuers, with the intention of identifying key trends and drivers of change. The report uses data from CMA Datavision™ to determine Q4 2012 rankings and commentary for:
- the world's top ten most risky sovereign debt
- the world's top ten least risky sovereign debt
- the largest percentage tighteners
- the largest percentage wideners
- regional comparisons.
About CMA, part of S&P Capital IQ
1. CMA, the world's leading source of independent OTC market data, is headquartered in London with offices in New York. CMA combines independent pricing data with innovative technology to deliver OTC information and transparency to leading financial institutions around the world. CMA was acquired by S&P Capital IQ in 2012, and is a wholly owned subsidiary of McGraw-Hill Financial.
2. CMA Quotevision™ provides intraday, real time quotes parsed from user emails, giving a clear view of indicative quotes and containing real bid-offer spreads.
3. CMA Datavision™ CDS delivers independent and timely consensus-based pricing on OTC credit instruments. CMA provides pricing on approximately 1,450 single name CDS and CDS indices.
4. CMA NAVigate™ is an independent, transparent OTC valuations solution that provides derivative valuations for automated and on-demand valuations reporting.
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SOURCE S&P Capital IQ