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CMA Global Sovereign Credit Risk Report Q4 2010

CMA Global Sovereign Credit Risk Report Q4 2010

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Published by seangmclaughlin

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Categories:Business/Law, Finance
Published by: seangmclaughlin on Jan 14, 2011
Copyright:Attribution Non-commercial

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01/14/2011

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Published 7
th
January 2011
CMA Global SovereignDebt Credit Risk Report
Includes a special report on the top wideners and tighteners of 2010 andliquidity changers.
 
4
th
quarter 2010
 
Global Sovereign Debt Credit Risk Report
 
4th quarter 2010
2
Contents 
 
Global Sovereign Debt Credit Risk Report
 
4th quarter 2010
3
Data: methodology and definitions
This paper focuses on changes in the risk profile of sovereign debt issuers, with the intention of identifying keytrends and drivers of change.We have divided world
’s sovereign credit
debt risk into eight regions:
 
USA & UK
 
Western Europe
 
Emerging Europe
 
Scandinavia
 
Central & South America
 
Middle East & Africa
 
Australasia
 
Asia.In addition to identifying themes within each of these regions, we also discuss macro trends across the sovereigndebt sector.The
CDS
values
 
used
 
are calculated by CMA Datavision
TM
, an independent credit default swap (CDS) pricingservice based on data
collected from CMA’s consortium of over 35 CDS buy
-side firms. CMA Datavision
TM
is theonly CDS pricing service to provide independent, intraday price verification for single name CDS, indices andtranches. Unless otherwise stated, all CDS values are the midpoint on the five year tenor and are based on Londonclosing values from 31
st
December 2010. Record highs are determined by using closing values and do not factor inintra-day highs. All levels are PAR CDS Spreads which may not reflect the convention quoted in the market.
Cumulative probability of default (CPD)
quantifies the probability of a country being unable to honour its debtobligations over a given period of time. For Sovereign CDS, this typically includes the probability of a restructuringof debt. Unless otherwise indicated, all stated values are for the five year CPD. CPD is calculated using an industrystandard model and proprietary credit data from CMA Datavision
TM
. Reference to ‘risky’ is purely in terms of the
probability of default derived from the price of the CDS.
CMA Implied Ratings
are calculated using a proprietary model developed by CMA and input with CDS pricingdata from CMA Datavision
TM
.
Access to data:
CMA provides independent, intra-day pricing on approximately 1,400 single name CDS and CDSIndices. Widely used by traders, risk managers, treasurers and researchers in financial institutions across theworld, CDS data is available directly from CMA or via our strategic partners. For more information about how CMAcan help you effectively monitor and manage your credit exposures please contact us via info@cmavision.com 
Changes in CMA sovereign debt coverage
Deletions:
 
Guatemala
 
Dominican Republic
 
Pakistan
 
Uruguay
 
El SalvadorThe following names remain very illiquid and the levels are based on
previous observations and CMA’s sector 
curve model:
 
Iraq
 
Switzerland
Additions:
None.

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