CMA ranks riskiest countries in sovereign debt default

CMA reported yesterday that, based on credit default swap spreads, many emerging market economies have a high probability of sovereign debt default. In the month between 8 August and 8 September 2008, CMA reveals widened CDS spreads for several sovereigns, such as Pakistan (687.5 basis points to 985bp), Ecuador (685bp to 719bp), and Ukraine (399.8bp to 476bp).

CDS values tightened most for Argentina (870.8bp to 803.7bp) and Venezuela (626.5bp to 606bp). Those least likely to default on their sovereign debt are western European nations. Excluding France, whose CDS values widened by 5.2bp, most have widened by an average of 1.12bp, while Japan and Australia’s values tightened by 1.1bp and 0.8bp, respectively.