Credit Default Swaps - August 2013 Report

Eduardo Petazze
First, the daily evolution during the month of August averages of CDS for 60 countries and 18 international financial institutions
Credit default swaps Summary
CDS Other (not included in 60-sovereign average)
60
Weekly
sovereigns chg.
30 Jul 13
189.6
8.3
31 Jul 13
190.9
6.3
1 Aug 13
188.6
1.2
2 Aug 13
187.9
0.9
5 Aug 13
187.1
-1.4
6 Aug 13
188.2
-1.3
7 Aug 13
190.0
-0.9
8 Aug 13
189.5
0.9
9 Aug 13
188.4
0.5
12 Aug 13
187.7
0.6
13 Aug 13
185.3
-3.0
14 Aug 13
187.2
-2.7
15 Aug 13
190.1
0.6
16 Aug 13
192.0
3.6
19 Aug 13
198.3
10.6
20 Aug 13
199.4
14.1
21 Aug 13
203.2
15.9
22 Aug 13
201.8
11.7
23 Aug 13
197.3
5.3
26 Aug 13
196.5
-1.8
27 Aug 13
202.6
3.2
28 Aug 13
204.4
1.2
29 Aug 13
201.3
-0.5
30 Aug 13
201.8
4.5
2 Sep 13
199.3
2.8
60
Monthly
CDS 5 yr. (bps)
sovereigns chg.
June average
193.2
32.8
July average
192.8
-0.4
August, average
194.0
1.2
Provisional or estimate data
(see clarification at the bottom)
CDS 5 yr. (bps)

18 Int. Weekly Sovereign Weekly

Banks
chg. Vs. Banks chg.
140.2
0.5
49.4
7.8
139.3
0.9
51.5
5.4
133.9
-7.7
54.8
8.9
134.0
-7.7
53.9
8.6
133.8
-8.7
53.3
7.4
132.7
-7.5
55.5
6.1
134.1
-5.2
55.9
4.3
131.1
-2.8
58.4
3.6
131.3
-2.6
57.1
3.2
131.4
-2.4
56.3
3.0
129.2
-3.5
56.1
0.6
129.5
-4.6
57.7
1.9
134.7
3.6
55.4
-3.0
136.7
5.4
55.3
-1.8
139.0
7.6
59.3
3.0
140.3
11.1
59.1
3.0
142.0
12.5
61.2
3.4
139.7
5.0
62.1
6.7
136.8
0.1
60.5
5.2
137.1
-1.9
59.4
0.1
140.7
0.5
61.8
2.7
141.4
-0.6
63.0
1.8
138.5
-1.2
62.7
0.7
139.6
2.7
62.2
1.8
137.2
0.1
62.1
2.7
18 Int. Monthly Sovereign Monthly
Banks
chg. Vs. Banks chg.
150.5
26.8
42.7
6.0
150.3
-0.2
42.5
-0.2
135.8
-14.5
58.2
15.7

Other
Abu
Argentina Cyprus Greece Iraq
Swiss
sovereign
Dhabi
30 Jul 13
2,448.0 1,180.6 1,209.0 470.4 64.5 30.0
31 Jul 13
2,401.1 1,181.9 1,259.5 472.3 65.0 30.0
1 Aug 13
2,400.6 1,101.7 1,208.6 465.2 64.5 30.0
2 Aug 13
2,425.5 1,240.3 1,215.2 459.5 64.3 30.0
5 Aug 13
2,450.9 1,114.4 1,261.6 457.5 63.0 30.0
6 Aug 13
2,429.9 1,144.2 1,239.8 456.2 63.5 30.0
7 Aug 13
2,375.0 1,191.5 1,236.6 458.6 65.5 30.0
8 Aug 13
2,375.0 1,174.9 1,216.1 455.2 65.0 30.0
9 Aug 13
2,377.5 1,149.5 1,203.6 447.1 66.0 30.0
12 Aug 13
2,351.1 1,204.9 447.1 441.4 65.7 30.0
13 Aug 13
2,234.7 1,142.0 1,136.8 424.8 64.5 30.0
14 Aug 13
2,238.6 1,094.7 1,212.7 436.6 64.5 30.0
15 Aug 13
2,269.2 1,095.1 1,172.4 440.9 65.5 30.0
16 Aug 13
2,243.3 1,046.4 1,191.9 441.1 67.5 30.0
19 Aug 13
2,307.7 1,099.1 1,191.7 453.8 77.7 30.0
20 Aug 13
2,306.0 1,084.0 1,248.8 453.4 71.5 30.0
21 Aug 13
2,300.0 1,099.6 1,230.0 467.6 79.1 30.0
22 Aug 13
2,281.8 1,101.6 1,232.4 464.7 83.0 30.0
23 Aug 13
2,483.0 1,103.5 1,218.1 411.1 70.5 30.0
26 Aug 13
2,479.8 1,100.2 1,212.4 403.8 70.5 30.0
27 Aug 13
2,826.0 1,087.7 1,199.6 414.6 74.5 30.0
28 Aug 13
2,943.9 1,071.6 1,229.9 425.0 76.5 30.0
29 Aug 13
2,998.0 1,054.0 1,200.7 471.0 76.5 30.0
30 Aug 13
2,965.0 1,072.6 1,254.0 500.0 77.0 28.0
2 Sep 13
2,910.0 1,056.4 1,256.7 493.8 73.4 30.0
Other
Abu
Argentina Cyprus Greece Iraq
Swiss
sovereign
Dhabi
June average
3,131.5 1,025.7 1,145.7 451.3 76.4 29.6
July average
2,615.4 1,126.3 1,234.5 467.1 69.4 30.1
August, average
2,457.4 1,117.0 1,180.0 447.7 69.8 29.9

Second, the quarterly, monthly and fortnightly CDS on Sovereign Debt for 60 countries
Credit Default Swaps (5yr) Cumulative Probability of Default (CPD)
No. CPD
Quarterly average
Monthly Average
Avg month ending on:
Daily
Country
3Q12 4Q12 1Q13 2Q13 3Q13 Q-Chg Apr-13 May-13 Jun-13 Jul-13 Aug-13 M-Chg 15 Jul 31 Jul 15 Aug 30 Aug Chg Previous Last D-Chg
0 73.46% Argentina
1,112.3 1,625.0 2,214.7 2,709.8 2,546.2 -163.6 2,351.1 2,674.3 3,131.5 2,615.4 2,457.4 -158.0 2,905.3 2,349.7 2,357.1 2,557.7 200.6 2,998.0 2,965.0 -33.0
1 46.94% Venezuela
842.5 722.7 653.8 853.9 944.6 90.7 756.1 784.9 1,037.9 964.8 922.5 -42.2 1,023.6 910.8 892.4 952.7 60.3
975.0 976.8
1.8
2 44.09% Ukraine
787.5 643.3 573.8 636.1 826.3 190.3 588.8 579.0 752.5 809.5 841.9
32.4 833.2 787.8 812.9 871.0 58.1
879.3 880.0
0.7
3 43.33% Pakistan
886.8 790.2 815.9 824.2 844.1 19.9 821.0 804.6 849.5 846.5 844.7
-1.8 840.6 851.9 838.6 850.8 12.2
853.1 784.7 -68.4
4 41.72% Egypt
528.4 435.0 559.6 664.4 776.9 112.5 617.6 622.9 763.6 769.0 785.7
16.7 779.6 759.3 775.2 796.2 21.0
762.3 770.3
8.0
5 29.43% Portugal
693.0 490.8 390.3 364.7 463.9 99.3 400.2 323.4 372.7 473.9 451.5 -22.4 475.8 472.1 437.5 465.5 28.0
490.0 514.1 24.1
6 26.75% Lebanon
493.2 431.1 420.6 444.2 426.2 -18.0 428.9 427.7 479.5 442.8 409.5 -33.3 476.9 411.5 399.8 419.1 19.3
423.5 417.1
-6.4
7 26.32% Tunisia (CB)
307.7 357.2 364.2 389.8 399.1
9.3 383.7 380.4 407.0 396.0 401.8
5.8 401.5 391.0 395.3 408.3 13.1
423.2 428.4
5.1
8 23.03% Slovenia
436.2 282.7 253.3 314.8 340.8 26.0 339.1 280.6 326.8 338.5 343.0
4.4 347.5 330.3 336.0 349.9 13.9
350.0 350.0
0.0
9 22.38% Croatia
433.7 261.5 280.8 309.6 324.1 14.6 315.3 285.3 330.0 314.2 334.0
19.8 318.2 310.6 329.3 338.7
9.4
338.0 339.0
1.0
10 21.52% Hungary
441.9 292.5 304.7 305.1 309.3
4.2 326.4 277.3 312.9 299.7 318.7
19.0 297.8 301.5 314.8 322.6
7.8
327.0 322.3
-4.7
11 19.54% Vietnam
312.4 224.6 210.5 217.1 260.0 42.9 209.6 198.7 245.3 242.0 276.4
34.3 244.6 239.7 256.1 296.7 40.6
295.0 300.0
5.0
12 18.05% Indonesia
166.0 129.5 139.8 164.4 228.7 64.3 145.4 138.5 213.2 207.8 247.7
39.9 211.5 204.4 218.5 277.0 58.5
270.0 278.1
8.1
13 17.19% Bahrain
304.6 213.7 199.1 212.0 233.5 21.5 203.3 200.8 234.1 227.1 239.7
12.7 230.2 224.2 234.1 245.4 11.3
255.9 255.7
-0.2
14 17.13% Italy
437.4 280.7 259.8 260.3 253.7
-6.6 272.5 239.2 270.0 269.9 237.5 -32.4 276.0 264.3 238.1 236.9 -1.2
238.6 242.4
3.8
15 16.77% South Africa
142.1 152.8 164.6 178.1 225.2 47.1 166.4 160.2 209.9 214.1 236.3
22.2 221.7 207.1 227.0 245.6 18.6
238.0 240.0
2.0
16 16.65% Spain
488.2 315.3 269.0 250.3 249.8
-0.4 265.6 224.5 262.3 270.5 229.4 -41.1 279.0 262.7 231.3 227.5 -3.8
228.2 232.5
4.3
17 16.54% Morocco
245.1 240.0 215.7 216.8 227.3 10.5 214.2 202.0 236.0 227.5 226.4
-1.1 235.7 220.0 219.9 232.8 12.9
245.0 245.6
0.6
18 16.40% Dubai
316.8 243.4 217.6 218.0 225.0
7.0 215.0 199.4 242.3 222.5 227.5
5.0 228.1 217.4 223.1 231.8
8.7
237.5 238.6
1.1
19 16.23% Turkey
184.9 144.5 132.1 140.2 211.6 71.3 128.3 118.5 177.7 198.5 224.1
25.6 201.9 195.4 211.9 236.2 24.3
240.0 240.0
0.0
20 14.91% Kazakhstan
198.9 156.0 148.4 165.9 198.4 32.6 156.5 146.3 197.6 193.4 203.2
9.8 201.3 186.2 195.8 210.6 14.8
210.0 215.0
5.0
21 14.85% Romania
387.5 232.6 206.8 201.2 201.1
-0.1 215.8 180.8 208.2 198.4 203.7
5.3 201.6 195.6 197.6 209.8 12.1
209.0 209.0
0.0
22 14.36% Brazil
129.2 107.4 120.6 138.1 190.5 52.4 122.2 121.5 173.5 185.8 194.9
9.1 197.2 175.4 185.3 204.6 19.3
197.0 202.5
5.5
23 14.20% Russia
172.0 142.3 140.9 155.9 188.2 32.3 147.4 136.2 186.9 183.3 193.0
9.7 193.2 174.1 184.7 201.3 16.6
199.3 200.0
0.7
24 11.19% Iceland
260.7 193.6 162.1 147.5 153.0
5.5 152.5 145.7 144.5 155.0 151.4
-3.6 155.0 155.0 154.1 148.6 -5.5
147.0 147.0
0.0
25 10.92% Ireland
443.7 215.7 181.2 160.7 149.0 -11.7 173.3 148.8 160.4 155.9 142.0 -13.9 163.5 148.9 141.2 142.8
1.5
144.5 150.2
5.7
26 10.85% Peru
124.2 100.2
93.7 106.1 140.7 34.6
90.3
92.5 138.5 140.1 141.1
0.9 149.3 131.8 133.1 149.0 15.9
149.9 149.0
-0.9
27 10.43% Malaysia
106.5
74.7
82.2
90.3 124.6 34.3
84.6
78.7 109.3 114.8 133.6
18.8 121.5 108.8 120.2 147.1 26.9
151.5 150.5
-1.0
28 10.33% Panama
114.6
99.1
93.9 101.6 134.2 32.7
89.2
84.0 134.4 135.0 133.1
-1.9 144.1 126.7 127.5 138.6 11.2
139.1 143.8
4.7
29 10.33% Thailand
129.2
91.3
92.1
95.3 123.2 27.9
93.1
84.4 109.9 114.7 130.9
16.2 121.5 108.4 116.8 145.0 28.2
151.0 150.5
-0.5
30 10.24% Philippines
140.0 103.5 101.7 102.6 125.6 23.0 100.3
87.4 121.9 119.8 130.9
11.1 126.4 113.8 120.0 141.8 21.7
141.7 146.5
4.8
31 10.22% Colombia
115.2
99.5
94.8 103.1 133.6 30.5
91.3
84.9 136.0 135.0 131.8
-3.2 145.4 125.5 127.0 136.5
9.5
136.3 141.3
5.0
32 10.16% Latvia
223.1 136.8 114.2 119.2 131.1
11.9 117.2 112.9 128.0 127.8 134.3
6.5 128.2 127.5 132.3 136.3
4.0
138.0 138.0
0.0
33 10.08% Lithuania
200.6 125.0 104.7 115.5 128.9 13.4 113.5 109.4 124.5 125.8 131.8
6.0 126.5 125.1 128.2 135.5
7.2
139.0 139.0
0.0
34 9.77% Mexico
111.8
99.9
95.7
99.9 126.7 26.7
89.5
83.7 129.4 126.9 126.2
-0.7 135.7 118.8 122.2 130.2
8.0
128.4 134.5
6.1
35 9.70% Israel
154.5 143.2 123.8 118.0 118.2
0.2 116.6 114.3 123.5 113.6 122.1
8.6 119.3 108.3 112.4 131.9 19.5
139.0 141.0
2.0
36 9.27% Bulgaria
255.1 118.6 109.1 111.6 119.5
7.9 110.0 103.2 122.9 118.9 120.0
1.1 123.1 115.0 115.5 124.5
9.0
126.0 125.0
-1.0
37 8.40% China
101.8
67.5
64.8
83.5 110.5 27.0
72.0
74.1 106.4 111.1 110.0
-1.1 118.7 104.2 107.8 112.2
4.5
108.0 107.0
-1.0
38 7.47% Chile
96.5
77.4
67.0
76.7
94.4 17.7
65.5
69.3
97.3
93.0
95.7
2.7
98.4
88.1
91.6
99.8
8.2
94.3
98.0
3.8
39 6.98% Slovakia
183.0 105.1
91.7
88.7
91.1
2.4
89.1
86.8
90.6
92.1
90.2
-1.9
95.0
89.4
89.7
90.7
1.0
87.0
89.0
2.0
40 6.95% Poland
159.0
89.3
87.7
83.8
89.2
5.4
85.5
76.7
90.2
91.3
87.0
-4.3
94.8
88.0
83.6
90.4
6.8
92.5
92.5
0.0
41 6.57% South Korea
104.5
67.6
67.6
79.6
83.7
4.1
79.0
70.4
90.4
84.6
82.8
-1.8
87.8
81.8
79.4
86.3
6.9
83.5
85.8
2.3
42 6.24% Qatar
112.7
92.7
69.5
72.0
76.1
4.0
68.5
68.6
79.5
74.3
77.5
3.2
78.4
70.6
73.1
81.9
8.7
88.0
85.0
-3.0
43 5.49% France
144.1
86.4
82.1
73.3
71.5
-1.8
76.7
69.2
74.2
74.9
68.0
-6.9
80.1
70.2
65.6
70.4
4.8
70.5
70.5
0.0
44 5.43% Saudi Arabia
105.1
79.0
67.6
68.4
67.3
-1.1
65.4
65.8
74.6
68.2
66.1
-2.1
73.3
63.6
63.0
69.2
6.3
76.0
74.5
-1.5
45 5.25% Japan
85.6
75.8
72.7
71.8
66.1
-5.8
69.9
65.0
81.1
67.7
64.3
-3.4
71.7
64.0
61.9
66.6
4.7
69.0
70.5
1.5
46 5.19% Estonia
109.3
74.3
62.5
62.2
67.4
5.2
60.9
59.6
66.8
68.6
66.2
-2.4
70.9
66.5
67.8
64.6 -3.2
66.0
66.0
0.0
47 4.86% Belgium
164.7
86.3
75.1
67.2
62.7
-4.5
72.2
64.0
65.6
65.6
59.7
-5.8
70.5
61.0
57.7
61.8
4.1
62.2
62.5
0.3
48 4.84% Czech Rep.
112.6
73.2
57.3
55.9
62.5
6.6
55.6
51.8
60.6
63.4
61.6
-1.8
64.6
62.3
62.4
60.7 -1.7
60.0
61.0
1.0
49 4.40% Hong Kong
63.0
46.4
42.5
47.0
55.5
8.5
44.0
42.6
55.1
56.7
54.3
-2.5
58.0
55.6
52.2
56.3
4.1
56.1
56.3
0.1
50 3.96% Netherlands
79.8
47.4
51.8
55.6
50.7
-5.0
57.5
55.6
53.9
53.4
47.9
-5.5
57.1
50.1
46.2
49.7
3.5
50.5
51.5
1.0
51 3.96% Australia
64.4
46.7
43.3
43.8
50.3
6.5
40.9
38.9
52.1
51.5
49.1
-2.4
52.9
50.1
48.6
49.6
1.1
50.0
50.5
0.5
52 3.94% New Zealand
78.8
51.0
45.3
43.9
50.1
6.2
41.5
39.0
51.9
51.3
49.0
-2.3
52.8
49.9
48.3
49.6
1.3
48.5
50.0
1.5
53 2.96% UK
55.6
35.4
47.3
46.3
39.2
-7.1
45.5
45.9
47.6
42.6
35.9
-6.7
47.8
37.8
35.4
36.4
0.9
35.9
36.7
0.8
54 2.47% Austria
106.0
46.6
43.6
36.9
31.9
-5.0
39.7
35.9
35.3
34.5
29.2
-5.3
37.9
31.4
28.2
30.2
1.9
31.5
31.8
0.3
55 2.26% Germany
67.2
36.2
40.1
32.2
28.8
-3.4
34.7
32.1
29.7
30.3
27.2
-3.1
32.1
28.6
26.4
28.1
1.6
28.0
28.0
0.0
56 1.90% Denmark
80.7
34.0
31.4
30.1
24.8
-5.3
32.7
29.8
27.9
27.3
22.3
-5.0
30.1
24.8
21.9
22.7
0.8
24.3
24.5
0.2
57 1.82% USA
41.4
35.9
40.1
30.7
23.8
-7.0
33.6
30.3
28.2
25.4
22.1
-3.3
27.7
23.3
22.1
22.2
0.1
22.4
22.2
-0.2
58 1.71% Finland
50.5
30.8
30.2
28.1
21.8
-6.3
31.1
27.7
25.5
23.4
20.2
-3.1
25.4
21.6
19.9
20.6
0.7
22.5
22.2
-0.3
59 1.46% Sweden
41.5
21.2
20.0
20.5
19.4
-1.1
22.0
20.0
19.4
21.1
17.7
-3.4
22.5
19.7
18.1
17.2 -0.9
17.8
18.0
0.2
60 1.26% Norway
28.1
18.9
19.1
18.6
16.2
-2.4
20.0
18.2
17.4
17.0
15.2
-1.8
18.7
15.6
14.9
15.5
0.6
15.7
15.5
-0.2
14.31% 60-Avg(ex-Arg) 232.5 171.9 163.5 173.6 193.5 20.0 169.4 160.0 193.2 192.8 194.0
1.2 199.1 187.1 188.2 199.9 11.7
201.3 201.8
0.5
3Q12 4Q12 1Q13 2Q13 3Q13 Q-Chg Apr-13 May-13 Jun-13 Jul-13 Aug-13 M-Chg 15 Jul 31 Jul 15 Aug 30 Aug Chg Previous Last D-Chg
Country
No. CPD
Quarterly average
Monthly Average
Avg month ending on:
Daily
Credit Default Swaps (5yr) Cumulative Probability of Default (CPD)
(see clarification at the bottom)
Third, the quarterly, monthly and fortnightly CDS on debt of 18 international financial institutions, based on daily data published by CMA
Credit Default Swap - Selected International Financial Institutions
Quarterly average
Monthly Average
Average month
Daily
Bank Name - CDS 5yr bps
3Q12 4Q12 1Q13 2Q13 3Q13 Change Apr-13 May-13 Jun-13 Jul-13 Aug-13 Change 15 Jul 31 Jul 15 Aug 30 Aug Change previous last change
UniCredit SpA
467.2 329.0 318.8 314.2 325.6
11.4 339.8 271.4 335.0 345.5 305.3
-40.2 360.8 331.5 293.2 317.4
24.1
318.9 322.0
3.1
Banco Santander, S.A.
385.2 304.6 269.1 254.5 269.3
14.8 274.5 223.7 267.9 290.9 247.5
-43.4 298.3 284.1 239.2 255.8
16.6
255.0 257.0
2.0
Royal Bank of Scotland Group Plc 257.2 183.2 169.7 176.9 187.5
10.5 177.0 153.8 202.7 203.9 171.2
-32.7 221.1 188.1 172.5 170.0
-2.5
169.8 171.5
1.7
Credit Agricole SA
265.6 178.0 165.6 173.3 167.0
-6.3 188.0 155.8 177.3 177.4 156.5
-20.9 179.7 175.3 153.9 159.1
5.2
161.5 162.0
0.5
Morgan Stanley
313.2 209.8 145.1 139.4 147.3
7.9 145.0 121.4 153.6 152.6 141.9
-10.6 165.4 140.8 138.7 145.1
6.4
140.5 142.5
2.0
Standard Chartered Bank
138.6 112.3 102.6 117.1 142.5
25.3 110.3
97.1 146.7 147.8 136.9
-10.9 159.7 136.9 130.0 143.8
13.8
145.5 146.5
1.0
Lloyds TSB Bank Plc
245.0 165.9 148.6 152.6 142.3
-10.3 161.6 137.1 160.3 150.6 133.9
-16.7 159.6 142.4 128.4 139.4
11.0
139.7 141.9
2.1
Goldman Sachs Group Inc
240.5 169.9 132.9 125.7 137.1
11.4 130.4 107.5 141.1 141.6 132.6
-9.0 154.0 130.2 129.5 135.8
6.3
131.7 132.9
1.3
Nomura Securities Co Ltd
343.9 256.0 152.3 148.8 140.7
-8.1 154.4 143.4 148.6 144.5 137.0
-7.5 148.2 141.0 138.4 135.5
-2.9
135.0 135.0
0.0
Barclays Bank Plc
208.8 154.9 134.5 138.7 132.8
-5.9 143.9 124.4 149.1 141.7 123.7
-18.0 152.7 131.6 117.6 129.8
12.3
130.7 132.5
1.8
ING Bank NV
203.1 144.0 123.6 144.6 121.8
-22.8 159.8 130.8 144.1 129.0 114.6
-14.4 136.6 122.0 108.3 120.9
12.6
118.7 120.0
1.3
Bank of America Corp.
220.8 148.2 117.3 113.6 114.8
1.1 127.9
94.8 119.4 117.6 111.9
-5.7 126.3 109.6 110.2 113.6
3.4
111.6 112.9
1.3
Deutsche Bank AG
182.5 123.1 102.0 106.5 109.4
2.9 113.5
94.8 112.1 111.3 107.4
-3.9 113.3 109.5 104.1 110.7
6.6
111.1 112.7
1.6
Australia & NZ Banking Group
145.2 118.7 97.0 90.1 110.3
20.2
90.1
75.9 106.0 113.2 107.5
-5.8 120.0 107.0 106.7 108.3
1.6
106.0 105.3
-0.8
JP Morgan Chase & Co.
122.9 103.2 81.1 85.1 87.1
2.0
88.3
79.1
88.4 88.3
85.7
-2.6 94.6 82.5
81.0
90.3
9.3
92.3 91.7
-0.6
Mitsubishi UFJ Financial Group 118.2 96.9 84.1 86.5 94.8
8.3
81.1
75.5 104.1 99.6
90.3
-9.3 107.8 92.1
92.4
88.2
-4.2
85.0 85.0
0.0
Bank of Scotland plc
149.2 93.4 69.8 72.8 76.7
3.9
71.3
66.1
82.1 79.3
74.2
-5.2 84.0 75.0
72.6
75.8
3.3
75.1 74.7
-0.4
Wells Fargo & Company
88.7 81.4 70.6 68.8 68.1
-0.7
71.3
65.0
70.4 69.9
66.4
-3.6 73.7 66.5
65.5
67.2
1.8
65.5 66.0
0.5
Banks listed, average CDS
227.5 165.1 138.0 139.4 143.1
3.7 146.0 123.2 150.5 150.3 135.8
-14.5 158.7 142.6 132.3 139.3
6.9
138.5 139.6
1.0
Based on daily data published by Credit Market Analysis (CMA)
Clarifications:
The published data are not official
Last data August 30, 2013
Data from 29 and August 30 are provisional, or estimates
Data on certain days (in New York or London holidays) contain estimates.
The calculation of the Cumulative Probability of Default (CPD) is based on a proprietary methodology, with certain differences in the methodologies prevailing in the market
Particularly in the assessment of the amount of debt that can be recovered immediately after declared an event of default.