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RISK SOVEREIGNTY

RISK SOVEREIGNTY

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  • 1. CMA Global SovereignCredit Risk Report1st Quarter 2012
  • 2. Credit Risk Report1st Quarter 2012 Proprietary informationContentsData: Methodology & Definitions ..................................................................................................................................3Changes in CMA Sovereign Debt Coverage ................................................................................................................3Top 10 Most Risky Sovereign Credits ..........................................................................................................................4Top 10 Least Risky Sovereign Credits .........................................................................................................................6Best Quarterly Performances – Percentage Change ...................................................................................................7Worst Quarterly Performances – Percentage Change .................................................................................................8Regional Focus: USA & UK ..........................................................................................................................................9Regional Focus: Western Europe .............................................................................................................................. 10Regional Focus: Emerging Europe ............................................................................................................................ 12Regional Focus: Scandinavia & Nordic Region ......................................................................................................... 13Regional Focus: Middle East & North Africa ............................................................................................................. 14Regional Focus: Asia ................................................................................................................................................. 15Regional Focus: Australia & New Zealand ................................................................................................................ 17Regional Focus: Central & South America ................................................................................................................ 18Global Ranking by CPD ............................................................................................................................................. 19CMA Datavision™ Greek Bonds ............................................................................................................................... 21About CMA & Contact Details .................................................................................................................................... 23Usage, Redistribution & Publication of Data .............................................................................................................. 23Disclaimer & Disclosure ............................................................................................................................................. 23 2
  • 3. Credit Risk Report1st Quarter 2012 Proprietary informationData: Methodology & DefinitionsThis paper focuses on changes in the risk profile of sovereign debt issuers, with the intention to identify key trendsand drivers of change.We have divided world debt risk into eight regions: USA & UK, W estern Europe, Emerging Europe, Scandinavia &Nordic Regions, Middle East & North Africa, Asia, Australia & New Zealand and Central & South America. Inaddition to identifying themes within each of these regions, macro trends across the sovereign debt sector are alsodiscussed. TMCDS values are calculated by CMA Datavision – an independent Credit Default Swap (CDS) pricing service TMbased on data collected from CMA’s consortium of CDS buy-side firms. CMA Datavision is the only CDS pricingservice to provide independent, intraday price verification for CDS (single name, indices, tranches and quantos),Bonds and ABS.All spreads shown are five year mid PAR spreads which is not the normal convention that is quoted in the market.CDS quoting conventions vary according to market conditions and conventions. Par spreads are used given theycan be computed consistently across all credits allowing cross comparison. thUnless otherwise stated, data is as of the 29 March 2012 close. Record highs are determined by using closingvalues and do not factor in intraday highs.Cumulative Probability of Default (CPD) quantifies the probability of a country being unable to honour its debtobligations over a given time period. For sovereign CDS, this typically includes the probability of a restructuring ofdebt. Unless otherwise stated, all values are for the five year CPD. CPD is calculated using an industry standard TMmodel and proprietary credit data from CMA Datavision and is based only the price of the CDS and recoveryassumption. Reference to ‘risky’ in this report is in terms of the CPD.CMA Implied Ratings are calculated using a proprietary model developed by CMA and input with CDS pricing data TMfrom CMA Datavision .Data Access: CMA provides independent, intraday pricing on approximately 1,400 single name CDS and CDSIndices. W idely used by traders, risk managers, treasurers and researchers in financial institutions across the world,CDS data is available directly from CMA or via our strategic channel partners www.cmavision.com/partners/.CMA Datavision™ Bonds provides independent pricing and market metrics for over 14,000 corporate, convertibleand emerging market government bonds. Crucially, it includes liquidity and other contextual information, making itindispensable for front office, price verification and risk management professionals who need to measuretransaction costs and pricing uncertainty, especially for hard-to-price bonds.For more information about how CMA can help you effectively monitor and manage your credit exposures pleasecontact us at info@cmavision.comChanges in CMA Sovereign Debt CoverageDeletions: ■ Greece following a default event.Additions: ■ Cyprus following inclusion in the index replacing Greece. 3
  • 4. Credit Risk Report1st Quarter 2012 Proprietary informationTop 10 Most Risky Sovereign Credits Position Country 5 Year CPD (%) CMA Implied 5 Year CDS Mid Previous Q1 Rating (bps) Ranking 1 Cyprus 63.7% CMA_cc+ 1159.1 New Entry 2 Portugal 60.5% CMA_ccc- 1135.8 2 (No change) 3 Pakistan 46.4% CMA_ccc+ 829.6 3 (No Change) 4 Argentina 45.9% CMA_ccc+ 812.1 5 (Down 1) 5 Ukraine 45.6% CMA_ccc+ 855.2 7 (Down 2) 6 Venezuela 41.5% CMA_ccc+ 715.6 4 (Up 2) 7 Ireland 39.5% CMA_b- 579.2 6 (Up 1) 8 Egypt 32.8% CMA_b 552.0 8 (No change) 9 Hungary 32.2% CMA_b 544.3 9 (No change) 10 Spain 32.1% CMA_b 430.9 New EntryNote: CPD is a function of the recovery level which varies according the several factors and distance to default, e.g. themerging markets assume 25%. Note that CMA historical data for Cyprus starts on 16 March 2012.Greece finally restructures its debt and is no longer in the top 10 risky table – however the sovereign remains riskyas shown in the new bonds in CMA Datavision™ Bonds file. Cyprus replaces Greece and tops the 10 most risky. thSpain enters the table in 10 position as the spreads widen 431bps topping the worst quarterly performance table. ■ Portugal ends a volatile quarter where spreads approached 1,800bps. ■ Egypt ends the quarter 70bps tighter ahead of the presidential elections in Q2 2012. ■ Spreads in Italy closed below 400bps to 390bps down from 486bps - this positive movement for the Eurozone overall was offset by the widening of Spain. ■ Cost of protection against default in Venezuela continues to improve this quarter as it closes to 729bps with one year at 345bps and a short term implied rating of CMA_bb-. 4
  • 5. Credit Risk Report1st Quarter 2012 Proprietary information 5
  • 6. Credit Risk Report1st Quarter 2012 Proprietary informationTop 10 Least Risky Sovereign Credits Position Country 5 Year CPD (%) CMA Implied 5 Year CDS Mid Previous Q1 Rating (bps) Ranking 1 Norway 2.0% CMA_aaa 22.5 1 (No change) 2 USA 2.7% CMA_aaa 30.0 2 (No change) 3 Switzerland 3.6% CMA_aaa 41.1 3 (No change) 4 Sweden 3.8% CMA_aaa 43.6 4 (No change) 5 Hong Kong 5.4% CMA_aa+ 61.7 7 (Up 2) 6 UK 5.6% CMA_aa+ 63.5 9 (Up 3) 7 Finland 5.7% CMA_aa+ 65.3 5 (Down 2) 8 Australia 6.2% CMA_aa 72.2 New Entry 9 Chile 6.3% CMA_aa 91.6 New Entry 10 Germany 6.4% CMA_aa 73.3 10 (No change)A good quarter for the World’s least risky sovereigns, as they begin to revert back to levels seen prior to theEurozone debt crisis. ■ Norway keeps it’s spot as the least risky sovereign and returning to levels in the low 20’s. ■ The UK had a good quarter moving up three positions tightening 40% over the quarter. ■ Spreads in Germany improve a more modest 25%, perhaps reflecting continuing concerns over the cost of protection in Portugal remaining high and Spain entering the top 10 most risky. ■ New Zealand exits the top 10 least risky, replaced by Chile whose spreads close at 92bps from 132bps. 6
  • 7. Credit Risk Report1st Quarter 2012 Proprietary informationBest Quarterly Performances – Percentage Change th th Country 5yr Mid 30 Dec (bps) 5yr Mid 30 Mar (bps) Change % Norway 44.8 22.5 -49.7% Sweden 77.2 43.6 -43.5% Switzerland 68.0 41.1 -39.6% USA 48.9 30.0 -38.7% Lithuania 363.1 233.1 -35.8% ■ Norway ends the year as the least risky Sovereign at 22bps with the cost of debt insurance halving during the quarter. ■ A continuing commitment to low interest rates and signs of growth in the economy helped the USA return to CMA_aaa rating as spreads end the quarter at 30bps from 50bps. ■ A very good quarter for investors long risk in Lithuania as spreads tighten to 232bps and an implied CMA_bbb+ rating. 7
  • 8. Credit Risk Report1st Quarter 2012 Proprietary informationWorst Quarterly Performances – Percentage Change th th Country 5yr Mid 30 Dec 5yr Mid 30 Mar Change % (bps) (bps) Spain 379.0 430.9 13.7% Ukraine 855.5 855.2 0.0% Portugal 1155.9 1135.8 -1.7% Netherlands 117.9 114.9 -2.5% Lebanon 465.5 446.3 -4.1% ■ Q1 2012 was a good quarter as the cost of global credit protection overall comes down with only Spain wider on the quarter. ■ The market will keep a close eye on Spain and Portugal over the quarter - with concerns that Portugal could be tempted to follow the route of Greece and restructure its debt. 8
  • 9. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: USA & UKIt was a very good quarter for the USA and UK, as spreads tighten 40% for both countries. ■ The raising of taxes and stricter government controls on spending in the UK has helped improve the cost of debt insurance. However growth remains sluggish and the economy weak resulting in a negative outlook by Moodys, the rating agency. ■ The USA reported a 3% growth in Q4 2011, but slower growth in the Q1 2012, has prompted a continued commitment to low interest rates in a drive to return to 3% growth in the country’s $15 trillion GDP. 9
  • 10. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: Western EuropeSpreads in Western Europe tightened overall as Greece finally restructures its debt, triggering the first debt defaultin the Eurozone and the ECB provided a €800 billion lending facility. ■ ISDA declared a credit event in Greece – an event that already priced into the CDS market and perhaps came as a relief to the holders of around €2 billion of notional contracts outstanding. However, the timing of the auction was not ideal as it came after the new bonds were trading with the new longer dated bonds trading at similar prices to the old. Nevertheless, the auction was completed successfully settling at 21.5bps, with the market needing to review the process to ensure less uncertainty in any future auctions. (See Appendix for list of all Greece Bond prices as of 30th March 2012.) ■ Concerns Portugal could follow a similar path to Greece, saw the cost of protection peak to nearly 1,800bps before settling back to levels at the beginning of the quarter. ■ The rally in Italy and Spain was followed by a gradual widening in Spain from 350bps to 431bps and Italy from 350 to 390bps towards the end of the quarter. Europe should perhaps keep a close eye on this trend and the cost of protection in Portugal to help avoid another crisis from occurring. ■ Cyprus replaces Greece in the Index Roll. 10
  • 11. Credit Risk Report1st Quarter 2012 Proprietary information 11
  • 12. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: Emerging EuropeEmerging Europe tightened 25% on average as risks of a contagion spreading across the wider European regionand Scandinavia recede. ■ Russia, Poland, Czech Republic, Lithuania and Latvia all tighten by around 35%. ■ Implied ratings remain virtually unchanged as the overall group tightens in also. ■ Ukraine spreads tighten to 840bps only 2% tighter on the quarter but it was enough to see the implied rating drop one notch to CMA_ccc+. 12
  • 13. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: Scandinavia & Nordic Region ■ Sweden and Norway improve 44% and 49% respectively, Norway buoyed by higher oil prices. ■ Denmark ended the session 12% tighter but implied rating dropping to CMA_a from CMA_aa as it fails to keep pace with the rally in its peers. ■ The Icelandic economy continues it steady improvement closing the quarter below 300bps, at 277bps. 13
  • 14. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: Middle East & North Africa ■ CDS prices in the Middle East and North Africa improved 11% overall with Dubai and South Africa improving around 20%. ■ Egypt finished the quarter at 548bps ahead of presidential elections in May. 14
  • 15. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: AsiaCDS prices improved 17% in the region aided by Europe and signs of growth in the USA. ■ Japan tops the region with a 31% improvement to just below 100bps from 142bps as the economy continues to improve, closely followed by Vietnam at 27%. ■ South Korea, Malaysia, Indonesia, Philippines all tighten around 20%. ■ Spreads in India tighten aggressively in the first half of the quarter but fail to break through the 300bps level. The second half saw spreads widen out again perhaps on growth concerns, ending the quarter only 5% tighter. ■ Kazakhstan improved nearly 100bp to end the quarter at 207bps. Note: State Bank of India is used as proxy for India. 15
  • 16. Credit Risk Report1st Quarter 2012 Proprietary information 16
  • 17. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: Australia & New Zealand ■ Australia and New Zealand tighten in highly correlated path this quarter. 17
  • 18. Credit Risk Report1st Quarter 2012 Proprietary informationRegional Focus: Central & South AmericaCDS spreads in Central and South America rallied strongly this quarter improving 22% overall. ■ Peru tops the region with tightening of 27%. ■ Argentina tests the 700bps level, only to widen again towards the end of the quarter. ■ Cost of protection against default in Venezuela continues to improve this quarter as it closes to 729bps with one year at 345bps (short term implied rating CMA_bb-). ■ Chile enters the top 10 least risky global sovereign credits. 18
  • 19. Credit Risk Report1st Quarter 2012 Proprietary informationGlobal Ranking by CPD Country CPD (%) 5yr Mid (bps) CMA Implied Rating Q1 CMA Implied Rating Q4 Cyprus 63.7% 1159.1 CMA_cc+ Portugal 60.5% 1135.8 CMA_ccc- CMA_ccc- Pakistan 46.4% 829.6 CMA_ccc+ CMA_ccc+ Argentina 45.9% 812.1 CMA_ccc+ CMA_ccc+ Ukraine 45.6% 855.2 CMA_ccc+ CMA_b- Venezuela 41.5% 715.6 CMA_ccc+ CMA_ccc+ Ireland 39.5% 579.2 CMA_b- CMA_ccc+ Egypt 32.8% 552.0 CMA_b CMA_b+ Hungary 32.2% 544.3 CMA_b CMA_b+ Spain 32.1% 430.9 CMA_b CMA_bb Italy 29.7% 390.3 CMA_b+ CMA_b+ Lebanon 27.5% 446.3 CMA_b+ CMA_bb India (Proxy) 27.1% 342.5 CMA_b+ CMA_bb- Croatia 25.2% 402.5 CMA_bb- CMA_bb- Iraq 24.1% 382.5 CMA_bb- CMA_bb Vietnam 22.6% 284.3 CMA_bb CMA_bb Bahrain 22.3% 352.1 CMA_bb CMA_bb+ Dubai 22.1% 342.9 CMA_bb CMA_bb Iceland 22.0% 274.8 CMA_bb CMA_bb+ Slovenia 20.5% 321.7 CMA_bb+ CMA_bb+ Romania 20.3% 314.2 CMA_bb+ CMA_bb Belgium 18.7% 230.5 CMA_bb+ CMA_bb+ Bulgaria 17.3% 262.5 CMA_bbb- CMA_bb+ Costa Rica 16.8% 252.7 CMA_bbb- CMA_bbb Tunisia (Proxy) 16.2% 246.5 CMA_bbb- CMA_bbb+ Morocco 15.8% 241.3 CMA_bbb- CMA_bbb+ Latvia 15.5% 233.1 CMA_bbb CMA_bbb- Lithuania 15.5% 233.1 CMA_bbb CMA_bb+ Turkey 15.1% 226.4 CMA_bbb CMA_bbb Slovakia 14.3% 214.8 CMA_bbb CMA_bbb France 13.9% 165.8 CMA_bbb CMA_bbb+ Indonesia 13.9% 164.6 CMA_bbb CMA_a- Kazakhstan 13.7% 203.2 CMA_bbb CMA_bbb Austria 12.9% 153.4 CMA_bbb+ CMA_a- Israel 12.5% 186.2 CMA_bbb+ CMA_a Russia 12.4% 183.4 CMA_bbb+ CMA_bbb+ Philippines 12.2% 142.6 CMA_bbb+ CMA_a Poland 12.1% 178.9 CMA_bbb+ CMA_bbb Thailand 11.4% 133.2 CMA_a- CMA_a- 19
  • 20. Credit Risk Report1st Quarter 2012 Proprietary information South Africa 10.9% 159.4 CMA_a- CMA_a South Korea 10.5% 122.8 CMA_a- CMA_a Netherlands 9.8% 114.9 CMA_a CMA_aa China 9.7% 112.6 CMA_a CMA_a+ Denmark 9.6% 113.1 CMA_a CMA_aa- Uruguay 9.3% 136.8 CMA_a CMA_a+ Malaysia 9.0% 105.0 CMA_a+ CMA_a+ Brazil 8.3% 120.4 CMA_a+ CMA_aa- Peru 8.3% 120.4 CMA_a+ CMA_a+ Qatar 8.2% 118.8 CMA_a+ CMA_aa Saudi Arabia 8.1% 118.4 CMA_a+ CMA_aa Abu Dhabi 8.1% 117.7 CMA_a+ CMA_aa Mexico 8.1% 117.0 CMA_a+ CMA_aa- Japan 8.0% 99.8 CMA_a+ CMA_aa- Estonia 7.8% 114.0 CMA_aa- CMA_a+ Czech Republic 7.8% 113.0 CMA_aa- CMA_a+ Panama 7.5% 109.5 CMA_aa- CMA_aa- Colombia 7.4% 107.9 CMA_aa- CMA_aa- New Zealand 6.7% 77.7 CMA_aa CMA_aa Germany 6.4% 73.3 CMA_aa CMA_aa Chile 6.3% 91.6 CMA_aa CMA_aa Australia 6.2% 72.2 CMA_aa CMA_aa Finland 5.7% 65.3 CMA_aa+ CMA_aa+ UK 5.6% 63.5 CMA_aa+ CMA_aa Hong Kong 5.4% 61.7 CMA_aa+ CMA_aa Sweden 3.8% 43.6 CMA_aaa CMA_aa+ Switzerland 3.6% 41.1 CMA_aaa CMA_aa+ USA 2.7% 30.0 CMA_aaa CMA_aa+ Norway 2.0% 22.5 CMA_aaa CMA_aaa 20
  • 21. Credit Risk Report1st Quarter 2012 Proprietary informationCMA Datavision™ Greek Bonds thThe table below shows 30 March 2012 prices for Greece Bonds. Entity Name Cur Cpn Matures Type Price Mid Bid/Ask Type FR0000489676 EUR 4.915 13/09/2012 Fixed Cash 42 2 GR0106007835 EUR 4.915 13/09/2012 Fixed Cash 42 2 XS0208636091 EUR 3.5625 21/12/2012 Fixed Cash 41 2 XS0354223827 EUR 4.057 26/03/2013 Fixed Cash 38.5 3 XS0165688648 EUR 4.495 02/04/2013 Fixed Cash 36 2 GR0108010498 EUR 4.495 02/04/2013 Fixed Cash 36 2 XS0142390904 EUR 5.46 30/01/2014 Fixed Cash 34 2 FR0010027557 EUR 4.68 29/10/2015 Fixed Cash 38.5 5 XS0165956672 EUR 4.59 08/04/2016 Fixed Cash 32 4 XS0215169706 EUR 4.028 17/03/2017 Fixed Cash 33 2 XS0160208772 EUR 5.014 27/12/2017 Fixed Cash 26.5 5 XS0280601658 EUR 4.218 20/12/2019 Fixed Cash 31.5 3 GR0128010676 EUR 2 24/02/2023 Fixed Cash 24.5 1 GR0128011682 EUR 2 24/02/2024 Fixed Cash 23.5 1 GR0128012698 EUR 2 24/02/2025 Fixed Cash 22.5 1 GR0128013704 EUR 2 24/02/2026 Fixed Cash 21.5 1 GR0128004612 EUR 5.3 20/03/2026 Fixed Cash 22 1 GR0128008654 EUR 5.3 20/03/2026 Fixed Cash 22 1 GR0133004177 EUR 5.3 20/03/2026 Fixed Cash 22 1 GR0128014710 EUR 2 24/02/2027 Fixed Cash 21 1 GR0133006198 EUR 2 24/02/2028 Fixed Cash 20.5 1 XS0110307930 EUR 6.14 14/04/2028 Fixed Cash 20.25 0.6 GR0133007204 EUR 2 24/02/2029 Fixed Cash 20 1 GR0133008210 EUR 2 24/02/2030 Fixed Cash 20 1 GR0338002547 EUR 2.3 25/07/2030 Fixed Cash 19.6 1 GR0133005182 EUR 2.3 25/07/2030 Fixed Cash 19.6 1 GR0338003552 EUR 2.3 25/07/2030 Fixed Cash 19.6 1 GR0133009226 EUR 2 24/02/2031 Fixed Cash 19.75 1 GR0133010232 EUR 2 24/02/2032 Fixed Cash 19.5 1 GR0138005716 EUR 2 24/02/2033 Fixed Cash 19.5 1 GR0138006722 EUR 2 24/02/2034 Fixed Cash 19.5 1 XS0191352847 EUR 5.2 17/07/2034 Fixed Cash 18.95 1.125 GR0138007738 EUR 2 24/02/2035 Fixed Cash 19.25 1 GR0138008744 EUR 2 24/02/2036 Fixed Cash 19.25 1 GR0138009759 EUR 2 24/02/2037 Fixed Cash 19 1 GR0138001673 EUR 4.5 20/09/2037 Fixed Cash 18.9 1.1875 21
  • 22. Credit Risk Report1st Quarter 2012 Proprietary information GR0138004701 EUR 4.5 20/09/2037 Fixed Cash 18.9 1.1875 GR0138003695 EUR 4.5 20/09/2037 Fixed Cash 18.9 1.1875 GR0138010765 EUR 2 24/02/2038 Fixed Cash 19 1 GR0138011771 EUR 2 24/02/2039 Fixed Cash 19 1 GR0138012787 EUR 2 24/02/2040 Fixed Cash 18.75 1 GR0138013793 EUR 2 24/02/2041 Fixed Cash 18.75 1 GR0138014809 EUR 2 24/02/2042 Fixed Cash 18.75 1 GRR000000010 EUR 0 15/10/2042 Fixed Cash 0.6 0.1 JP530005AR32 JPY 7.35 03/03/2015 Fixed Cash 38.5 5 JP530000CS83 JPY 5 22/08/2016 Fixed Cash 33.5 5 XS0071095045 JPY 4.5 08/11/2016 Fixed Cash 38.5 5 JP530005ASC0 JPY 4.5 06/12/2016 Fixed Cash 28.5 5 GR0128010676 EUR 2 24/02/2023 Fixed Yield 20.5745 0.613 GR0128011682 EUR 2 24/02/2024 Fixed Yield 20.1625 0.613 GR0128012698 EUR 2 24/02/2025 Fixed Yield 19.6905 0.609 GR0128013704 EUR 2 24/02/2026 Fixed Yield 19.252 0.606 GR0128014710 EUR 2 24/02/2027 Fixed Yield 19.3625 0.637 GR0133006198 EUR 2 24/02/2028 Fixed Yield 19.0345 0.639 GR0133007204 EUR 2 24/02/2029 Fixed Yield 19.0075 0.667 GR0133008210 EUR 2 24/02/2030 Fixed Yield 18.62 0.654 GR0133009226 EUR 2 24/02/2031 Fixed Yield 18.4405 0.661 GR0133010232 EUR 2 24/02/2032 Fixed Yield 18.21 1.42 GR0138005716 EUR 2 24/02/2033 Fixed Yield 18.045 1.27 GR0138006722 EUR 2 24/02/2034 Fixed Yield 17.98 1.7 GR0138007738 EUR 2 24/02/2035 Fixed Yield 17.815 1.53 GR0138008744 EUR 2 24/02/2036 Fixed Yield 17.55 1.58 GR0138009759 EUR 2 24/02/2037 Fixed Yield 17.345 1.61 GR0138010765 EUR 2 24/02/2038 Fixed Yield 17.215 1.57 GR0138011771 EUR 2 24/02/2039 Fixed Yield 17.185 1.63 GR0138012787 EUR 2 24/02/2040 Fixed Yield 17.03 1.42 GR0138013793 EUR 2 24/02/2041 Fixed Yield 16.97 1.54 GR0138014809 EUR 2 24/02/2042 Fixed Yield 16.76 1.28 XS0165956672 EUR 4.59 08/04/2016 Fixed Z-Spread 4116.5 503 XS0191352847 EUR 5.2 17/07/2034 Fixed Z-Spread 2190.5 499 JP530000CS83 JPY 5 22/08/2016 Fixed Z-Spread 3572.5 483 XS0147393861 EUR 1.137 15/05/2012 Float Cash 57.5 5 XS0260024277 EUR 1.688 05/07/2018 Float Cash 24 2 XS0192416617 EUR 1.892 10/05/2034 Float Cash 24.5 5 XS0147393861 EUR 1.137 15/05/2012 Float Z-Spread 1582 444 22
  • 23. Credit Risk Report1st Quarter 2012 Proprietary informationAbout CMA & Contact DetailsCMA, the world’s leading source of independent, accurate OTC credit market data, has unrivalled access toinformation about what is actually happening in the CDS markets. It combines this unmatched breadth and depth ofpricing data with market-leading technology to deliver clear and valuable information to financial institutions aroundthe world.CMA is a wholly owned subsidiary of CME Group (www.cmegroup.com), the world’s largest and most diversederivatives exchange.CMA DatavisionTM TMCMA Datavision is our intraday and end-of-day CDS pricing service, delivering independent, timely and accurateconsensus-based pricing on OTC credit instruments. CMA provides pricing on approximately 1,400 single nameCDS and CDS indices.If you have questions or comments about this report, or wish to learn more about the products and services thatCMA offers, please contact us:London New York th4 Floor 370 Lexington AvenueOne New Change Suite 200London New YorkEC4M 9AF NY 10017+44 (0)20 3379 3500 +1 (646) 351 8787Follow CMA on Twitter for intra-day updates: Twitter.com/CMANewsUsage, Redistribution & Publication of DataFor more information please contact us:Telephone: +44 (0)20 3379 3500Email: marketing@cmavision.comDisclaimer & DisclosurePlease note that CMA does not give investment advice and no part of the above article provided by the author orCMA shall constitute advice on the merits of buying, selling, subscribing for or underwriting a particular investment.The ideas and or opinions expressed in this article are the author’s own and do not necessarily reflect those ofCMA. CMA does not guarantee the accuracy of the factual content contained in this article and no advice orinformation, obtained by you through or from the enclosed material shall create any warranty or other obligationbetween you and the author and/or CMA.Neither the author, nor CMA has any investments in the OTC credit markets. 23

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