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Aug022010

Country Default Risk

Monday, August 2, 2010 at 12:47PM

Default risk for sovereign debt has declined quite a bit since the start of July when equity markets here in the US made their correction lows. Below we highlight the default risk as measured by 5-year credit default swap prices for a large number of countries as well as four US states that have the highest default risk. The left side is sorted by percent change since July 2nd, and the right side is sorted by CDS price (highest to lowest).

European countries rank first through fifth in terms of decline since July 2nd. Belgium has seen default risk decline the most at 30.1%. Belgium is followed closely by Spain (-29.1%), Italy (-27.3%), and France (-26.2%). The four US states highlighted are Illinois, California, New York, and New Jersey. All four states declined roughly 20%, with California decline the most (-22.3%) and New Jersey declining the least (-18.6%).

In terms of default risk levels, Venezuela ranks highest, followed by Argentina, Greece, and Dubai. The four US states highlighted aren't too far from the top of the list and have higher default risk than countries like Spain and Italy. The US, Germany, Australia, the UK, and France currently have the lowest default risk.

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Reader Comments (3)

Anyone know what the CDS price is for Canada? It is odd that it is not included in this chart when many much smaller countries are.

August 2, 2010 |

Brent

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August 10, 2010 |

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August 19, 2010 |

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