>Global Sovereign Credit Risk Report: 1st Quarter, 2010

This paper focuses on changes in the risk profile of sovereign debt issuers, with the intention to identify trends and drivers of change.

We have divided world debt risk into eight regions: US & UK, Western Europe, Emerging Europe, Scandinavia, Latin & South America, Middle East & Africa, Australasia and Asia. In addition to identifying themes within each of these regions, macro trends across the sovereign debt sector are also discussed.

CDS Values are calculated by CMA DataVision – an independent CDS pricing service based on data collected from CMA’s consortium of over 30 swap market participants. CMA DataVision is the only CDS pricing service to provide independent, intraday price verification for single name CDS, indices and tranches. Unless otherwise stated, all CDS values will be the midpoint on the 5 year tenor and are based on London closing values from 30th March, 2010.

Cumulative Probability of Default (CPD) quantifies the probability of a country being unable to honour its debt obligations over a given time period. Unless otherwise stated, all stated values are for the 5 year CPD. CPD is calculated using an industry standard model fed with proprietary credit data from CMA DataVision.

Implied Ratings are calculated using a proprietary model developed by CMA and fed with CDS pricing data from CMA DataVision.

Data Access: CMA provides independent, intra-day pricing on over 1,500 single name CDS and CDS Indices. Widely used by risk managers, treasurers and researchers in financial institutions across the world, CDS data is available directly from CMA or via our strategic partners.

To read the full report: CREDIT RISK