Country Default Risk Rises Across the Board

On November 7th, we highlighted the cost to insure against government default through sovereign CDS prices for 38 countries.  Since then, default risk has risen for all but two of these countries (Lebanon and Argentina).  Below we provide the current credit default swap prices for these countries, along with where they were trading one month ago and at the start of the year.  As shown, Argentina, Venezuela, and Iceland have the highest default risk, with Russia not far behind.  Germany, Japan, and France all have lower default risk than the US at the moment.  It now costs $60 per year to insure against US default for the next five years.  While this may not seem high, it was at $8 earlier in the year, and $36 one month ago.

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Ireland, Austria, Greece, and the UK have seen default risk rise the most over the last month.  All have risen close to or more than 100%.  US default risk has risen the 8th most at 68%.

 

Comments

[John]

Any idea why India (only one left out from BRIC) is missing?

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With Argentina north of $4000 per year to insure $10,000 for five years I would have to let it ride.

[Tom Chechatka]

When a financial system has evolved to the point where default risk on sovereign debt can become so volatile, there can be but one conclusion... THE SYSTEM IS BANKRUPT.

[dj]

Any word on how Canada is holding up, UK PM said Canada is doing the best out of g20, Q3 gdp was 1.3 but i'm getting a bit worried. Also cia said debt to gdp was 60% but econ said only 46%. Have any data on debt to gdp or rev.(tax) ratio to debt per country

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