The 23 Countries Most Likely To Default

Croatia

Right now, sovereign debt is the main worry many investors have about the health of their own portfolios and those of key financial institutions.

Exposure to any of these countries may be a tail risk threat you or your bank is ignoring, as pressure increases on countries to follow austerity budgets and cut down on debt.

CMA Datavision have compiled a list of the countries most likely to default, with them ranked by CPD, or cumulative probability of default. This rating is separate from a company’s CDS, but is closely related, and based on the volatility and price of that product.

23: Kazakhstan

Cumulative Probability of Default: 14.9%

Current 5-year Mid CDS (bps): 223.8

CMA Implied Rating (June 29): bbb+

CMA Implied Rating (Q1): bbb+

Source: CMA Datavision

22: El Salvador

Cumulative Probability of Default: 14.9%

Current 5-year Mid CDS (bps): 223.8

CMA Implied Rating (June 29): bbb+

CMA Implied Rating (Q1): bb+

Source: CMA Datavision

21: Italy

Cumulative Probability of Default: 15.5%

Current 5-year Mid CDS (bps): 190.1

CMA Implied Rating (June 29): bbb

CMA Implied Rating (Q1): a

Source: CMA Datavision

20: Vietnam

Cumulative Probability of Default: 16.8%

Current 5-year Mid CDS (bps): 256.7

CMA Implied Rating (June 29): bbb-

CMA Implied Rating (Q1): bb

Source: CMA Datavision

19: Lithuania

Cumulative Probability of Default: 18.2%

Current 5-year Mid CDS (bps): 282.7

CMA Implied Rating (June 29): bb+

CMA Implied Rating (Q1): bbb-

Source: CMA Datavision

18: Dominican Republic

Cumulative Probability of Default: 19.4%

Current 5-year Mid CDS (bps): 295.9

CMA Implied Rating (June 29): bb

CMA Implied Rating (Q1): bb-

Source: CMA Datavision

17: Lebanon

Cumulative Probability of Default: 20.5%

Current 5-year Mid CDS (bps): 318.3

CMA Implied Rating (June 29): bb

CMA Implied Rating (Q1): bb

Source: CMA Datavision

16: Croatia

Cumulative Probability of Default: 20.5%

Current 5-year Mid CDS (bps): 321.6

CMA Implied Rating (June 29): bb

CMA Implied Rating (Q1): bbb

Source: CMA Datavision

15: Spain

Cumulative Probability of Default: 20.7%

Current 5-year Mid CDS (bps): 264.7

CMA Implied Rating (June 29): bb

CMA Implied Rating (Q1): a

Source: CMA Datavision

14: Ireland

Cumulative Probability of Default: 20.8%

Current 5-year Mid CDS (bps): 266.5

CMA Implied Rating (June 29): bb

CMA Implied Rating (Q1): bbb+

Source: CMA Datavision

13: Hungary

Cumulative Probability of Default: 21.5%

Current 5-year Mid CDS (bps): 341.6

CMA Implied Rating (June 29): bb

CMA Implied Rating (Q1): bbb+

Source: CMA Datavision

12: Bulgaria

Cumulative Probability of Default: 22.5%

Current 5-year Mid CDS (bps): 357.2

CMA Implied Rating (June 29): bb-

CMA Implied Rating (Q1): bbb

Source: CMA Datavision

11: Iceland

Cumulative Probability of Default: 23.2%

Current 5-year Mid CDS (bps): 329.8

CMA Implied Rating (June 29): bb-

CMA Implied Rating (Q1): bb-

Source: CMA Datavision

10: Latvia

Cumulative Probability of Default: 23.5%

Current 5-year Mid CDS (bps): 378.6

CMA Implied Rating (June 29): bb-

CMA Implied Rating (Q1): bb-

Source: CMA Datavision

9: Portugal

Cumulative Probability of Default: 23.6%

Current 5-year Mid CDS (bps): 310.3

CMA Implied Rating (June 29): bb-

CMA Implied Rating (Q1): bbb+

Source: CMA Datavision

8: Romania

Cumulative Probability of Default: 25.4%

Current 5-year Mid CDS (bps): 410.7

CMA Implied Rating (June 29): bb-

CMA Implied Rating (Q1): bbb

Source: CMA Datavision

7: Iraq

Cumulative Probability of Default: 29.0%

Current 5-year Mid CDS (bps): 476.5

CMA Implied Rating (June 29): b+

CMA Implied Rating (Q1): b+

Source: CMA Datavision

6: Dubai

Cumulative Probability of Default: 29.5%

Current 5-year Mid CDS (bps): 495.2

CMA Implied Rating (June 29): b+

CMA Implied Rating (Q1): b+

Source: CMA Datavision

5: Ukraine

Cumulative Probability of Default: 35.7%

Current 5-year Mid CDS (bps): 624.6

CMA Implied Rating (June 29): b

CMA Implied Rating (Q1): b

Source: CMA Datavision

4: Pakistan

Cumulative Probability of Default: 39.0%

Current 5-year Mid CDS (bps): 719.0

CMA Implied Rating (June 29): b

CMA Implied Rating (Q1): b-

Source: CMA Datavision

3: Argentina

Cumulative Probability of Default: 48.0%

Current 5-year Mid CDS (bps): 967.1

CMA Implied Rating (June 29): ccc+

CMA Implied Rating (Q1): ccc+

Source: CMA Datavision

2: Greece

Cumulative Probability of Default: 53.0%

Current 5-year Mid CDS (bps): 934.3

CMA Implied Rating (June 29): ccc

CMA Implied Rating (Q1): bb-

Source: CMA Datavision

1: Venezuela

Cumulative Probability of Default: 58.4%

Current 5-year Mid CDS (bps): 1295.6

CMA Implied Rating (June 29): ccc-

CMA Implied Rating (Q1): ccc+

Source: CMA Datavision

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