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CMA Global Sovereign Debt Credit Risk Report Q1 2011

CMA Global Sovereign Debt Credit Risk Report Q1 2011

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Published by BRR_DAG
CMA Global Sovereign Debt
Credit Risk Report, Includes a special report using CMA Datavision™ Bonds, 1st Quarter 2011
CMA Global Sovereign Debt
Credit Risk Report, Includes a special report using CMA Datavision™ Bonds, 1st Quarter 2011

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Published by: BRR_DAG on Apr 13, 2011
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07/22/2014

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Published 6
th
April 2011
CMA Global Sovereign Debt
Credit Risk Report
Includes a special report using CMA Datavision
Bonds
1
st
Quarter 2011
 
Global Sovereign Credit Risk Report
 
1st Quarter 2011 Confidential & Proprietary
2
Contents
 
 
Global Sovereign Credit Risk Report
 
1st Quarter 2011 Confidential & Proprietary
3
Data: methodology and definitions
This report focuses on changes in the risk profile of sovereign debt issuers between 1
st
January 2011 and 31March 2011, with the intention of identifying key trends and drivers of change.We have divided world debt risk into eight regions: US & UK, Western Europe, Emerging Europe, Scandinavia,Latin & South America, Middle East & Africa, Australasia and Asia. In addition to identifying themes within each ofthese regions, macro trends across the sovereign debt sector are also discussed.
CDS
values
 
are calculated by CMA Datavision
TM
- an independent CDS and bond pricing service based on data
collected from CMA’s consortium of over 35 CDS buy
-side firms. CMA Datavision
TM
CDS is the only CDS pricingservice to provide independent, intraday price verification for single name CDS, indices and tranches. Unlessotherwise stated, all CDS values are the midpoint on the five year tenor and are based on London closing valuesfrom 31
st
March 2011. Record highs are determined by closing values and do not factor in intraday highs.
Cumulative probability of default
(CPD) quantifies the probability of a country being unable to honour its debtobligations over a given time period. For sovereign CDS, this typically includes the probability of a restructuring ofdebt. Unless otherwise stated, all values are for the five year CPD. CPD is calculated using an industry standardmodel 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
.
Data access:
CMA Datavision
TM
CDS provides independent, intraday pricing on approximately 1,400 single nameCDS and CDS Indices. Widely used by traders, risk managers, treasurers and researchers in financial institutionsacross the world, CDS data is available directly from CMA or via our strategic partners.CMA Datavision
Bonds provides independent, consensus-based pricing data for over 12,000 corporate,convertibles and emerging market government bonds. It includes liquidity and other contextual information thatenables investment and risk management professionals to determine liquidity and pricing uncertainty withincreased confidence.For more information about how CMA can help you effectively monitor and manage your credit exposures pleasecontact us via info@cmavision.com. 
Changes in CMA sovereign debt coverage
Deletions:
 
IcelandThe following names remain very illiquid and the levels are based on
previous observations and CMA’s sector 
curve model:
 
Switzerland
Additions:
None.Liquidity has picked up in Pakistan, and although not mentioned in the main report, it is included in the SpecialSection on Sovereign Bonds.

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