Sovereign Credit Default Swaps (5 year) - 2Q2013 Pricing Report

by Eduardo Petazze
The following table summarizes the monthly and quarterly average prices for credit default swaps to five years
corresponding to 61 countries. Have been ordered under the cumulative probability of default, in decreasing
No.
0
1
3
2
4
5
6
7
8
9
10
11
12
14
13
15
16
18
17
20
19
21
23
22
24
25
26
27
28
29
30
32
33
34
31
35
36
37
40
38
39
41
42
44
45
43
46
47
48
50
49
52
51
53
54
55
57
56
58
59
60

No.

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

Quarterly average
Monthly Average
2Q12
3Q12
4Q12 1Q13 2Q13 Q-Chg Apr-13 May-13 Jun-13 M-Chg
75.69% Argentina
1,133.7 1,112.3 1,625.0 2,214.7 2,709.8
495.1 2,351.1 2,674.3 3,131.5
457.1
47.97% Venezuela
840.3
842.5
722.7
653.8
853.9
200.1
756.1
784.9 1,037.9
253.0
41.00% Egypt
629.3
528.4
435.0
559.6
664.4
104.7
617.6
622.9
763.6
140.6
43.38% Pakistan
916.1
886.8
790.2
815.9
824.2
8.2
821.0
804.6
849.5
44.9
40.05% Ukraine
834.8
787.5
643.3
573.8
636.1
62.2
588.8
579.0
752.5
173.5
29.28% Lebanon
466.2
493.2
431.1
420.6
444.2
23.5
428.9
427.7
479.5
51.8
25.93% Tunisia (CB)
268.3
306.6
357.2
364.2
389.8
25.6
383.7
380.4
406.9
26.5
24.66% Portugal
1,054.6
693.0
490.8
390.3
364.7
-25.7
400.2
323.4
372.7
49.3
21.89% Slovenia
372.3
436.2
282.7
253.3
314.8
61.6
339.1
280.6
326.8
46.2
21.79% Croatia
484.1
433.7
261.5
280.8
309.6
28.7
315.3
285.3
330.0
44.7
21.03% Hungary
558.6
441.9
292.5
304.7
305.1
0.4
326.4
277.3
312.9
35.6
18.72% Italy
488.1
437.4
280.7
259.8
260.3
0.5
272.5
239.2
270.0
30.9
18.33% Spain
532.9
488.2
315.3
269.0
250.3
-18.7
265.6
224.5
262.3
37.8
16.81% Dubai
366.5
316.8
243.4
217.6
218.0
0.4
215.0
199.4
242.3
42.9
16.81% Vietnam
329.5
312.4
224.6
210.5
217.1
6.6
209.6
198.7
245.3
46.6
16.38% Morocco
257.0
245.1
240.0
215.7
216.8
1.1
214.2
202.0
236.0
34.0
16.25% Bahrain
360.0
304.6
213.7
199.1
212.0
12.9
203.3
200.8
234.1
33.2
14.50% South Africa
169.3
142.1
152.8
164.6
178.1
13.5
166.4
160.2
209.9
49.7
14.81% Romania
390.8
387.5
232.6
206.8
201.2
-5.6
215.8
180.8
208.2
27.4
13.94% Kazakhs tan
241.2
198.9
156.0
148.4
165.9
17.5
156.5
146.3
197.6
51.3
14.37% Indonesia
195.6
166.0
129.5
139.8
164.4
24.7
145.4
138.5
213.2
74.7
13.14% Russ ia
223.5
172.0
142.3
140.9
155.9
15.0
147.4
136.2
186.9
50.7
12.39% Brazil
143.7
129.2
107.4
120.6
138.1
17.5
122.2
121.5
173.5
52.1
12.46% Turkey
251.9
184.9
144.5
132.1
140.2
8.1
128.3
118.5
177.7
59.3
11.97% Ireland
630.6
443.7
215.7
181.2
160.7
-20.5
173.3
148.8
160.4
11.7
10.97% Iceland
282.7
260.7
193.6
162.1
147.5
-14.6
152.5
145.7
144.5
-1.2
9.92% Peru
145.3
124.2
100.2
93.7
106.1
12.4
90.3
92.5
138.5
46.0
9.78% Colombia
132.4
115.2
99.5
94.8
103.1
8.3
91.3
84.9
136.0
51.2
9.60% Panama
132.2
114.6
99.1
93.9
101.6
7.6
89.2
84.0
134.4
50.4
9.27% Mexico
135.4
111.8
99.9
95.7
99.9
4.2
89.5
83.7
129.4
45.7
9.37% Latvia
281.8
223.1
136.8
114.2
119.1
4.9
117.2
112.9
127.8
14.9
9.20% Lithuania
270.1
200.6
125.0
104.7
115.4
10.7
113.5
109.4
124.2
14.8
9.05% Bulgaria
318.1
255.1
118.6
109.1
111.7
2.6
110.0
103.2
123.0
19.8
8.94% Philippines
166.6
140.0
103.5
101.7
102.6
0.8
100.3
87.4
121.9
34.5
9.27% Israel
185.4
154.5
143.2
123.8
118.0
-5.9
116.6
114.3
123.5
9.2
8.18% Thailand
146.6
129.2
91.3
92.1
95.3
3.2
93.1
84.4
109.9
25.5
8.06% Malaysia
121.7
106.5
74.7
82.2
90.3
8.1
84.6
78.7
109.3
30.6
7.79% China
121.9
101.8
67.5
64.8
83.5
18.7
72.0
74.1
106.4
32.3
7.00% Poland
225.3
159.0
89.3
87.7
83.8
-3.9
85.5
76.7
90.2
13.5
7.22% Chile
108.7
96.5
77.4
67.0
76.7
9.7
65.5
69.3
97.3
28.0
7.01% Slovakia
250.9
183.0
105.1
91.7
88.7
-3.1
89.1
86.8
90.6
3.9
6.73% South Korea
129.6
104.5
67.6
67.6
79.6
12.1
79.0
70.4
90.4
20.1
6.08% Qatar
126.6
112.7
92.7
69.5
72.0
2.6
68.5
68.6
79.5
10.9
5.84% France
200.1
144.1
86.4
82.1
73.3
-8.8
76.7
69.2
74.2
5.0
5.76% Saudi Arabia
126.0
105.1
79.0
67.6
68.4
0.8
65.4
65.8
74.6
8.8
6.04% Japan
99.4
85.6
75.8
72.7
71.8
-0.8
69.9
65.0
81.1
16.1
5.27% Belgium
259.7
164.7
86.3
75.1
67.2
-7.9
72.2
64.0
65.6
1.7
5.20% Es tonia
114.0
109.3
74.3
62.5
62.2
-0.3
60.9
59.6
66.8
7.2
4.77% Czech Rep.
125.5
112.6
73.2
57.3
55.9
-1.4
55.6
51.8
60.6
8.8
4.28% Hong Kong
72.3
63.0
46.4
42.5
47.0
4.5
44.0
42.6
55.1
12.5
4.33% Netherlands
120.2
79.8
47.4
51.8
55.6
3.9
57.5
55.6
53.9
-1.6
3.94% New Zealand
90.6
78.8
51.0
45.3
43.9
-1.4
41.5
39.0
51.9
12.9
3.95% Aus tralia
80.0
64.4
46.7
43.3
43.8
0.4
40.9
38.9
52.1
13.2
3.78% UK
69.2
55.6
35.4
47.3
46.3
-1.1
45.5
45.9
47.6
1.7
2.90% Aus tria
177.4
106.0
46.6
43.6
36.9
-6.6
39.7
35.9
35.3
-0.6
2.44% Germany
92.1
67.2
36.2
40.1
32.2
-8.0
34.7
32.1
29.7
-2.4
2.33% Denmark
124.6
80.7
34.0
31.4
30.1
-1.3
32.7
29.8
27.9
-1.9
2.30% USA
41.4
41.4
35.9
40.1
30.7
-9.4
33.6
30.3
28.2
-2.2
2.11% Finland
80.0
50.5
30.8
30.2
28.1
-2.1
31.1
27.7
25.5
-2.2
1.62% Sweden
60.3
41.5
21.2
20.0
20.5
0.5
22.0
20.0
19.4
-0.6
1.43% Norway
27.5
28.1
18.9
19.1
18.6
-0.5
20.0
18.2
17.4
-0.9
13.77%
60- Avg (ex-Arg)
270.8
232.5 171.9 163.5 173.6
10.0
169.4
160.0
193.2
33.2
2Q12
3Q12
4Q12 1Q13 2Q13 Q-Chg Apr-13 May-13 Jun-13 M-Chg
Country
CPD
Quarterly average
Monthly Average
Credit Default Swaps (5yr) Cumulative Probability of Default (CPD)
CPD

Country