Country RiskQuarterly ReportBBVA ResearchCross-Country Emerging Markets UnitMarch 2013
SummaryFinancial      • The positive effects of Western Central Banks actions have remained relatively intact. This has he...
Summary                • The traditional growth premium of Emerging Markets (EMs) has been reinforced by a significant red...
1. International Financial Markets , Global Risk Aversion and Capital Flows2. Sovereign Markets & Ratings Update3. Macroec...
Section 1Financial Markets StressBBVA Research Financial Stress MapSource: BBVA                                     • The ...
Section 1Capital Flows Update                                                                        Equity & Bond Fund Fl...
Section 2Sovereign Markets UpdateSovereign CDS spreads                                                                    ...
Section 2Sovereign Credit Ratings UpdateSovereign Rating Index 2007-2012Source: BBVA Research by using S&P, Moodys and Fit...
Section 2Sovereign downgrade Pressures MapRating Agencies Downgrade Pressure Map                                          ...
Section 3Regional Risk Update: Core EuropeEurope Core Countries: Vulnerability Radar 2012(all data for 2012, Relative posi...
Section 3Regional Risk Update: Western EuropeEurope Periphery I: Vulnerability Radar 2013(all data for 2012, Relative posi...
Section 3Regional Risk Update: Western EuropeEurope Periphery II: Vulnerability Radar 2013(all data for 2012, Relative pos...
Section 3Regional Risk Update: Emerging EuropeEmerging Europe: Vulnerability Radar 2013(all data for 2012, Relative positi...
Section 3      Regional Risk Update: Latam       Latam: Vulnerability Radar 2013       (all data for 2012, Relative positi...
Section 3Regional Risk Update: AsiaEmerging Asia: Vulnerability Radar 2013(all data for 2012, Relative position for the Em...
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
Country Risk Quarterly Report - 1Q13
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Country Risk Quarterly Report - 1Q13

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The positive effects of Western Central Banks actions have remained relatively intact. This has helped to limit the rise in political uncertainty in some G7 countries (first the US Fiscal Cliff and more recently Italian elections)

Emerging Markets assets continued to outperform rising some doubts about asset valuation in some countries. The debate on “Currency War” heightened as the Japanese authorities steered a sharp depreciation of the yen and capital flows into emerging markets further although moderated during february

The correction in EU Sovereign markets continued. Spain’s risk premium clearly outperformed while political uncertainty avoided further reduction in Italian spreads

The European credit rating cycle stabilized although there were negative news from the UK as it lost its AAA status. Implicit ratings (CD Swaps) corrected but they are still signaling downgrade potential

Emerging markets upgrade cycle did not really materialize with most of the Latam and Asian ratings remaining stable. Some downgrades did take place in Eastern Europe

Liquidity provision and the ratings cycle stabilization have provided the necessary room to reduce uncertainty in developed markets. However, important asymmetries still persist

The situation in Developed Countries has clearly relaxed providing positive news during the past three months. The reduction of risk premiums will support the debt dynamics stabilization but as debt and public financing needs will remain mounting this year, the vulnerability to market sentiment changes will remain an issue. The private sector adjustment (“de-leveraging”) has advanced visibly 5 years after the outburst of the crisis

Emerging Markets’ vulnerabilities remain low relative to historical levels and with regard to developed countries. However, there is no room for complacency as part of the necessary response by Western central banks poses some challenges to them. Although private and public debt remain low, strong capital inflows could lead to credit acceleration and property price misalignments if not properly corrected. On the positive side, the latest figures show some credit moderation in emerging markets

The traditional growth premium of Emerging Markets (EMs) has been reinforced by a significant reduction of their vulnerability

The vulnerability reduction is paying off and sovereign ratings by the main agencies have been continuously upgraded. The increase in the number of investment grade countries since 2000 has been remarkable: currently more than a half of the relevant EMs holds investment grade

But complacency is at the root of every crisis. EM´s policymakers should continue to reinforce efforts in “managing success”. The attractiveness of EM will persist but a relevant "push factor“ is in the hands of major Central Banks. One thing is sure: the debate on currency movements will continue either way

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Country Risk Quarterly Report - 1Q13

  1. 1. Country RiskQuarterly ReportBBVA ResearchCross-Country Emerging Markets UnitMarch 2013
  2. 2. SummaryFinancial • The positive effects of Western Central Banks actions have remained relatively intact. This has helped to limit the rise in political uncertainty in some G7 countries (first the US Fiscal Cliff and more recently Italian elections)Markets & • Emerging Markets assets continued to outperform rising some doubts about asset valuation in some countries.Global Risk The debate on “Currency War” heightened as the Japanese authorities steered a sharp depreciation of theAversion yen and capital flows into emerging markets further although moderated during februarySovereign • The correction in EU Sovereign markets continued. Spain’s risk premium clearly outperformed while political uncertainty avoided further reduction in Italian spreadsMarkets & • The European credit rating cycle stabilized although there were negative news from the UK as it lost its AAARatings status. Implicit ratings (CD Swaps) corrected but they are still signaling downgrade potentialUpdate • Emerging markets upgrade cycle did not really materialize with most of the Latam and Asian ratings remaining stable. Some downgrades did take place in Eastern Europe • Liquidity provision and the ratings cycle stabilization have provided the necessary room to reduce uncertainty in developed markets. However, important asymmetries still persist: • The situation in Developed Countries has clearly relaxed providing positive news during the past three months. The reduction of risk premiums will support the debt dynamics stabilization but as debt and public financingOur own needs will remain mounting this year, the vulnerability to market sentiment changes will remain an issue. The private sector adjustment (“de-leveraging”) has advanced visibly 5 years after the outburst of the crisiscountry risk • Emerging Markets’ vulnerabilities remain low relative to historical levels and with regard to developedassessment countries. However, there is no room for complacency as part of the necessary response by Western central banks poses some challenges to them. Although private and public debt remain low, strong capital inflows could lead to credit acceleration and property price misalignments if not properly corrected. On the positive side, the latest figures show some credit moderation in emerging markets
  3. 3. Summary • The traditional growth premium of Emerging Markets (EMs) has been reinforced by a significant reduction of their vulnerability: – On the macroeconomic side, most emerging countries experienced rapid recoveries after the economic slump in 2008-9 and potential growth remained virtually intact despite the recent financial crisis. – The relative high growth and declining risk premiums will contribute to maintain, or reduce, the already low levels of public debt in these countriesThe “new – The reduction in external vulnerability has been notorious as several years of current accountnormal” surpluses, for emerging countries as a whole, have led to a sizeable reduction in external debtvulnerability – Although private credit is recovering very fast in some countries, we believe it is still manageable.in Emerging Most of the EM actually present healthy balance sheets for household, corporate and banksMarkets • The vulnerability reduction is paying off and sovereign ratings by the main agencies have been continuously upgraded. The increase in the number of investment grade countries since 2000 has been remarkable: currently more than a half of the relevant EMs holds investment grade • But complacency is at the root of every crisis. EM´s policymakers should continue to reinforce efforts in “managing success”. The attractiveness of EM will persist but a relevant "push factor“ is in the hands of major Central Banks. One thing is sure: the debate on currency movements will continue either way
  4. 4. 1. International Financial Markets , Global Risk Aversion and Capital Flows2. Sovereign Markets & Ratings Update3. Macroeconomic Vulnerability and In-house assessment of country risk on a Regional basis4. Special Topics – The “new normal” vulnerability in Emerging Markets – Methodological appendix
  5. 5. Section 1Financial Markets StressBBVA Research Financial Stress MapSource: BBVA • The positive effects of last summer´s Central Banks actions are still in place. Critical segments as Ted Spreads and CDs Banks drove our Financial Tension indexes to neutral levels • Emerging Markets financial indicators continued to outperform extending gains from western central banks actions and increasing attractiveness • Some of the countries (Turkey, Russia, Andeans and Philippines) entered in the very low tension area (not seen since the crisis)
  6. 6. Section 1Capital Flows Update Equity & Bond Fund Flows 4Q12 -1Q13Equity & Bond Fund Flows 2007-feb 2013 (change of averages between periods; standardized units over the(Standardized units of 5wMA over the 2007-2014 period) 2007-2012 period)Source: EPFR and BBVA Research Source: EPFR and BBVA Research 1.8 4.0 1.6 1.4 1.2 3.0 1.0 0.8 0.6 2.0 0.4 0.2 0.0 1.0 -0.2 -0.4 -0.6 0.0 -0.8 -1.0 -1.2 First column: variation between Apr/12-Jul/12 and Aug/12-Nov/12-1.0 -1.4 Second column: variation between Aug/12-Nov/12 and dec/12-feb/13 -1.6 -1.8 East Europe USA&Canada Turkey Japan Nordics Asia Baltics Balkans Russia&CIS S.Saharan Africa Developed GCC North Africa Emerging Middle East Switzerland Australia&N.Zealand West Europe Periphery Europe Latin America-2.0-3.0 Emerging Markets-4.0 Developed Markets ex USA mar-07 mar-08 mar-09 mar-10 mar-11 mar-12 Source: EPFR and BBVA Economic Research• Portfolio flows continued to accelerate during the last three months. However, uncertainty about Italian election results and doubts on the potential US monetary policy exit triggered a reversal during February of 2013• Some portfolio reallocation emerged during the last reversal: Developed markets maintained the positive momentum of the last quarter while EM flows positive momentum recede in most EM (except emerging Europe)
  7. 7. Section 2Sovereign Markets UpdateSovereign CDS spreads February 2013Source: Datastream and BBVA Research • Europe’s periphery CD Swap spreads End of Month 18 continued to tighten although with 19 46 mixed results. Spain, Portugal and 41 Ireland led the correction while Italy´s 85 238 electoral results triggers risk premium 77 257 increase 4480 7773 383 188 1177 730 • EM Europe sovereign CD Swaps 123 129 outperformed.. Turkey & Russia CD 81 58 Swap keeps the downward trend 272 96 • Latin America sovereign CD Swaps 681 191 251 94 declined further with most of them 68 109 reaching below 100 bp levels 94 93 1884 • Asian sovereigns mostly stable during 64 66 883 the last three months 93 933 136 81 101 0 50 100 150 200 250 300 350 400 450 500 550 600Sovereign CD Swaps Map: It shows a color map with 6 different ranges of CD Swaps quotes (darker >500, 300 to500, 200 to 300, 100 to 200, 50 to 100 and the lighter below 50 bp)
  8. 8. Section 2Sovereign Credit Ratings UpdateSovereign Rating Index 2007-2012Source: BBVA Research by using S&P, Moodys and Fitch Data AAA 20 20 AAA AAA 20 AA+ 19 19 AA+ AA+ 19 AA 18 18 AA 18 AA AA- 17 17 17 AA- A+ 16 AA- 16 A+ A+16 A 15 A15 A 15 14 A- 14 A- 13 A-14 13 BBB+ BBB+ 13 12 BBB+ 12 BBB BBB 12 BBB 11 BBB- BBB-11 11 BBB- 10 BB+ BB+ 10 10 BB+ BB 9 BB 9 9 BB 8 BB-8 BB- 8 BB- B+ 7 B+ 7 7 B 6 B 6 B+ 6 B- 5 B B- 5 B- 5 CCC+ 4 CCC+ 4 CCC 4 CCC+ 3 CCC- CCC 3 CCC3 CC2 CCC- CC 2 CCC- 2 D 1 D 1 CC 1 0 0 D 0 AAA20 AAA20 20 AAA AA+19 AA+19 19 AA+ AA18 AA18 AA18 AA-17 AA-17 17 AA- A+16 A+16 A+16 A 15 A 15 A 15 A- 14 A- 14 A-14 13 BBB+ 13 BBB+ 13 BBB+ BBB12 BBB12 12 BBB 11 11 BBB- 11 BBB- BBB- 10 BB+ 10 BB+10 9 BB+9 BB BB 9 BB 8 BB- 8 BB- 8 BB- B+ 7 B+ 7 7 B+ 6 B 6 B 6 B B- 5 B- 5 B- 5 CCC+4 CCC+4 4 CCC+ CCC 3 CCC 3 CCC3 CCC-2 CCC- CCC- 2 CC CC 2 CC 1 1 D 1 D 0 0 D 0Sovereign Rating Index: An index that translates the three important rating agencies ratings letters codes (Moody´s, Standard & Poor´s and Fitch) to numerical positions from 20 (AAA) to default (0) .The index shows the average of the three rescaled numerical ratings.• Developed Economies: The rating agencies downgrade cycle stabilised with some outlook improvements in EU periphery (Ireland & Portugal). However, downgrade risk remains in both AAA countries (UK was downgraded by Moody´s) and EU Periphery (Italy downgraded again by Fitch). Iceland and Greece were upgraded from very low levels• The Emerging Markets: downgrade ratings activity was concentrated in EMEA region (Croatia, Hungary and Slovenia). Latin America positive momentum continues (Uruguay gets the Investment Grade by Fitch and Mexico moved to positive outlook by S&P)
  9. 9. Section 2Sovereign downgrade Pressures MapRating Agencies Downgrade Pressure Map February 2013(actual minus CDS-implied sovereign rating, in notches) End of MonthSource: BBVA Research • Implicit ratings by CD Swaps relaxed in No rway Norway Europe although some countries are still Sweden A ustria Sweden Austria quoting ratings below the official ones Germany France Germany France (France ,Italy and Ireland) Italy Italy Spain B elgium Spain Belgium • In Eastern Europe, the recent Greece P o rtugal Greece Portugal downgraded countries (Hungary and Ireland Turkey Ireland Turkey Croatia) still show potential downgrade Russia P o land Russia Poland pressure Czech Republic Czech Republic Hungary • In Latin America news about reforms in Hungary B ulgaria Bulgaria Romania Mexico have led to some upgrade Ro mania Croatia Croatia M exico B razil Mexico Brazil potential. Andeans are still signalling Chile Co lo mbia Chile Colombia upgrade pressure P eru Peru A rgentina Argentina China China • Asia remains in the neutral territory Korea Korea Thailand Thailand with Philippines upgrade pressure Indonesia increasing on the Philippines Indo nesia M alaysia Malaysia P hilippines Philippines -6 -3 0 3 6 9 12Downgrade Pressure Map: The map shows the difference of the current ratings index (numerically scaled from default (0) to AAA (20)) and the implicit ratings according to the Credit Default Swaps. We calculate implicit probabilitiesof default (PDs) from the observed CDS and the estimated equilibrium spread. For the computation of these PDs we follow a standard methodology as the described in Chan-Lau (2006) and we assume a constant Loss Given Defaultof 0.6 (Recovery Rate equal to 0.4) for all the countries in the sample. We use the resulting PDs in a cluster analysis to classify each country at every point in time in one of 20 different categories (ratings) to emulate the same 20categories used by the Rating Agencies.
  10. 10. Section 3Regional Risk Update: Core EuropeEurope Core Countries: Vulnerability Radar 2012(all data for 2012, Relative position for the Emerging Developed countries. Max Risk=1, Min Risk=0)*Include Austria, Belgium, France, Germany, Denmark, Norway and SwedenSource: BBVA Research GDP Growth Rule of law 1,0 0,9 Inflation De-leveraging is reducing risks from Control of corruption 0,8 Unemployment Rate Excess credit and housing prices. 0,7 Political stability 0,6 Structural Deficit (% GDP) Institutional factors remains an asset 0,5 0,4 Interest rate-GDP Diferential Equity Markets 2012-16 0,3 0,2Real Housing Prices Growth 0,1 Public Debt (% GDP) 0,0 Low economic growth, not enough Private Credit Growth Debt Held by Non Residents (% total) to correct public debt dynamics in Financial liquidity Financial Needs (% GDP) the short term (Credit/Deposits) Corporate credit (% GDP) Short T. Debt Pressure* Household credit (%GDP) External Debt (% GDP) Liquidity indicators poses some Curr. Account Deficit (%GDP) RER Appreciation challenges. Excess credit in some Europe Core 2013 Europe Core 2012 countries (Scandinavian) Developed: (ST Public Debt/ Total Public Debt) Emerging : (Reserves to ST External Debt) Risk Thresholds Developed 2013 1: High vulnerability 0: Low vulnerabilityVulnerability Radar: Shows a static and comparative vulnerability for different countries. For this we assigned several solvency , liquidity and macro variables and we reorder in percentiles from 0(lower ratio among the countries to 1 maximum vulnerabilities.) Furthermore Inner positions in the radar shows lower vulnerability meanwhile outer positions stands for higher vulnerability.
  11. 11. Section 3Regional Risk Update: Western EuropeEurope Periphery I: Vulnerability Radar 2013(all data for 2012, Relative position for the Developed Market countries. Max Risk=1, Min Risk=0)*Include Spain and ItalySource: BBVA Research GDP Growth Significant corrections in both Rule of law 1,0 Inflation 0,9 Control of corruption Unemployment Rate 0,8 0,7 Nominal & Structural public Political stability Structural Deficit (% GDP) 0,6 0,5 balances. Ongoing De-leveraging 0,4 Interest rate-GDP Diferential Equity Markets 2012-16 0,3 0,2 0,1Real Housing Prices Growth 0,0 Public Debt (% GDP) Institutional factors deteriorate. Private Credit Growth Debt Held by Non Residents (% total) Political uncertainty on the rise Financial liquidity Financial Needs (% GDP) (Credit/Deposits) Corporate credit (% GDP) Short T. Debt Pressure* Household credit (%GDP) Curr. Account Deficit (%GDP) External Debt (% GDP) RER Appreciation Poor Activity and employment indicators will avoid rapid debt Europe Periphery I 2013 Europe Periphery I 2012 corrections. Public Financial NeedsDeveloped: (ST Public Debt/ Total Public Debt)Emerging : (Reserves to ST External Debt) Risk Thresholds Developed 2013 still high1: High vulnerability0: Low vulnerability
  12. 12. Section 3Regional Risk Update: Western EuropeEurope Periphery II: Vulnerability Radar 2013(all data for 2012, Relative position for the Developed Market countries. Max Risk=1, Min Risk=0)*Include Greece, Ireland and PortugalSource: BBVA Research Rule of law GDP Growth 1,0 Inflation Structural Budgets improve and Control of corruption 0,9 0,8 Unemployment Rate help in the Housing & Credit Political stability 0,7 0,6 Structural Deficit (% GDP) excesses clean- up. Real exchange Equity Markets 0,5 0,4 Interest rate-GDP Diferential rate adjustment (domestic 2012-16 0,3 0,2 devaluation)Real Housing Prices Growth 0,1 Public Debt (% GDP) 0,0 Inflation reduction will favor real Debt Held by Non Residents Private Credit Growth (% total) devaluation but challenges debt Financial liquidity (Credit/Deposits) Financial Needs (% GDP) dynamics Corporate credit (% GDP) Short T. Debt Pressure* Household credit (%GDP) Curr. Account Deficit (%GDP) External Debt (% GDP) RER Appreciation Very high levels of public bailed out debt (liquidity problems). Public and Europe Periphery II 2013 private debt and Banks funding gaps Europe Periphery II 2012 Risk Thresholds Developed 2013 remain ampleVulnerability Radar: Shows a static and comparative vulnerability for different countries. For this we assigned several solvency , liquidity and macro variables and we reorder in percentiles from 0(lower ratio among the countries to 1 maximum vulnerabilities.) Furthermore Inner positions in the radar shows lower vulnerability meanwhile outer positions stands for higher vulnerability.
  13. 13. Section 3Regional Risk Update: Emerging EuropeEmerging Europe: Vulnerability Radar 2013(all data for 2012, Relative position for the Emerging Market countries. Max Risk=1, Min Risk=0)Source: BBVA Research GDP Growth Rule of law 1,0 0,9 Inflation Private sector de-leveraging will continue. Financial needs at safe Control of corruption Unemployment Rate 0,8 0,7 Political stability 0,6 Structural Deficit (% GDP) levels 0,5 0,4 Interest rate-GDP Diferential Equity Markets 2012-16 0,3 0,2Real Housing Prices Growth 0,1 Public Debt (% GDP) 0,0 Activity and employment are still Private Credit Growth Debt Held by Non Residents (% total) weak. Extenal debt still near the risk Financial liquidity area Financial Needs (% GDP) (Credit/Deposits) Corporate credit (% GDP) Short T. Debt Pressure* Household credit (%GDP) Curr. Account Deficit (%GDP) External Debt (% GDP) RER Appreciation Public and external debt high relative to the rest of Emerging Emerging Europe 2013 Markets Emerging Europe 2012Developed: (ST Public Debt/ Total Public Debt)Emerging : (Reserves to ST External Debt) Risk Thresholds Emerging 20131: High vulnerability0: Low vulnerabilityVulnerability Radar: Shows a static and comparative vulnerability for different countries. For this we assigned several solvency , liquidity and macro variables and we reorder in percentiles from 0 (lowerratio among the countries to 1 maximum vulnerabilities.) Furthermore Inner positions in the radar shows lower vulnerability meanwhile outer positions stands for higher vulnerability.
  14. 14. Section 3 Regional Risk Update: Latam Latam: Vulnerability Radar 2013 (all data for 2012, Relative position for the Emerging Market countries. Max Risk=1, Min Risk=0) Source: BBVA Research GDP Growth Rule of law 1,0 Inflation Control of corruption 0,9 0,8 Unemployment Rate Solid macro indicators & ample Political stability 0,7 0,6 Structural Deficit (% GDP) liquidity buffers. Low private debt 0,5 0,4 Interest rate-GDP Diferential and improving Institutionals Equity Markets 2012-16 0,3 0,2Real Housing Prices Growth 0,1 Public Debt (% GDP) 0,0 Debt Held by Non Residents Excess credit and housing prices Private Credit Growth (% total) need to be monitored Financial liquidity Financial Needs (% GDP) (Credit/Deposits) Corporate credit (% GDP) Short T. Debt Pressure* Household credit (%GDP) Curr. Account Deficit External Debt (% GDP) RER Appreciation Structural fiscal balances should improve as some public debt levels (%GDP) Developed: (ST Public Debt/ Total Public Debt) Latam 2013 near the EM threshold risks Emerging : (Reserves to ST External Debt) Latam 2012 1: High vulnerability 0: Low vulnerability Risk Thresholds Emerging 2013 Vulnerability Radar: Shows a static and comparative vulnerability for different countries. For this we assigned several solvency , liquidity and macro variables and we reorder in percentiles from 0 (lower ratio among the countries to 1 maximum vulnerabilities.) Furthermore Inner positions in the radar shows lower vulnerability meanwhile outer positions stands for higher vulnerability.
  15. 15. Section 3Regional Risk Update: AsiaEmerging Asia: Vulnerability Radar 2013(all data for 2012, Relative position for the Emerging Market countries. Max Risk=1, Min Risk=0)Source: BBVA Research GDP Growth Rule of law 1,0 Inflation Control of corruption 0,9 0,8 Unemployment Rate Solid macro indicators & ample Political stability 0,7 Structural Deficit (% GDP) liquidity buffers. Strong external 0,6 0,5 positions. Credit growth moderates 0,4 Interest rate-GDP Diferential Equity Markets 2012-16 0,3 0,2Real Housing Prices Growth 0,1 Public Debt (% GDP) 0,0 Debt Held by Non Residents Inflation is on the rise in some Private Credit Growth (% total) countries. Geopolitical tensions still Financial liquidity (Credit/Deposits) Financial Needs (% GDP) preveail (North-South Korea & China- Corporate credit (% GDP) Short T. Debt Pressure* Japan) Household credit (%GDP) External Debt (% GDP) Curr. Account Deficit (%GDP) RER Appreciation Private credit growth accelerating Emerging Asia 2013 •Developed: (ST Public Debt/ Total Public Debt) Emerging Asia 2012 •Emerging : (Reserves to ST External Debt) Risk Thresholds Emerging 2013 1: High vulnerability 0: Low vulnerabilityVulnerability Radar: Shows a static and comparative vulnerability for different countries. For this we assigned several solvency , liquidity and macro variables and we reorder in percentiles from 0 (lowerratio among the countries to 1 maximum vulnerabilities.) Furthermore Inner positions in the radar shows lower vulnerability meanwhile outer positions stands for higher vulnerability.
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