Friday, October 18, 2013

Credit Default Swaps Say Puerto Rico Has the Highest Default Probability in the World Right Now; The S&P Municipal Bond Puerto Rico Index is Down 21.23% From a Year Ago

According to CMA (S&P Capital IQ), Puerto Rico is currently the riskiest sovereign credit in the world right now with a 77.59% CPD% (cumulative probability of default percentage). Its 5-year credit default swap mid-spread is at 718.77 basis points, which is $718,000 per year to insure $10 million of its bonds. It's interesting that Greece is now two notches above Illinois on CMA's top ten list of sovereign default probabilities. Argentina is still up there...


Source: CMA a division of S&P Capital IQ


Below are charts of the S&P Municipal Bond Puerto Rico Index and yield, which can be found at S&P Dow Jones Indices. Yesterday (10/17/2013), the index closed at 156.47, down 21.23% from a year ago, but still up 2.99% from 5 years ago. How low will Puerto Rico's bonds go? You can see that the index's weighted average yield (YTW = yield to worst) made a new high of 7.19%. Read yesterday's post for more info on Puerto Rico's current crisis and progress.


S&P Municipal Bond Puerto Rico Index (5 year chart)

Source: S&P DJ Indices


S&P Municipal Bond Puerto Rico Index (1 year chart)

Source: S&P DJ Indices


S&P Municipal Bond Puerto Rico Index Yield (5 year chart)

Source: S&P DJ Indices


S&P Municipal Bond Puerto Rico Index Yield (1 year chart)

Source: S&P DJ Indices

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