CDS spreads widen in third quarter

Lebanon’s debt less risky than Dubai, Italy, and Greece: report says

Lebanon’s credit default swaps (CDS) spreads widened during the first and second quarter of 2011 due the deterioration of political conditions in the country as well as to the turmoil across the MENA region, according to CMA Datavision, a CDS and bond pricing firm.

Figures released by the firm showed that the country’s spreads on five-year CDS ended the third quarter of 2011 at 429.7 basis points (bps), widening by 78.7 bps from the second quarter and by 82 bps from the first quarter of the year.

According to the report, only Ireland, the U.S., and Venezuela were better performers than Lebanon in the third quarter of 2011.

CMA Datavision indicated that Lebanon ended the third quarter of 2011 with a five-year cumulative probability of default (CPD) of 26.6 percent. The CPD calculates the probability of an issuer being unable to respect its debt obligations over a given time period. Lebanon’s debt was thus less risky than 15 other sovereigns including Dubai (30.4 percent), Italy (33.3 percent), and Greece (90.6 percent).