Global Sovereign CDS Prices Tighten 16% in Q4 2012, Says CMA, Part of S&P
LONDON, Jan. 22, 2013
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
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:
othe world's top ten most risky sovereign debt
othe world's top ten least risky sovereign debt
othe largest percentage tighteners
othe largest percentage wideners
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
2.CMA Quotevision™ provides intraday, real time quotes parsed from user
emails, giving a clear view of indicative quotes and containing real bid-offer
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
Credit Market Analysis Ltd.
Registered in England No. 4337482.
20 Canada Square, Canary Wharf
London E14 5LH,
SOURCE S&P Capital IQ
Contact: Eleanor Childs, S&P Capital IQ Communications, +44 (0)20 7179 9754,
Eleanor_Childs@spcapitaliq.com, or Europe & Asia: +44 (0)20 7176 3500, US:
Press spacebar to pause and continue. Press esc to stop.