Narrower CDS spreads

Probability of defaulting on debt obligations down slighty

Lebanon’s spreads on five-year Credit Default Swaps (CDS) ended the first quarter of 2012 with a 4.1 percent contraction since the beginning of the year, according to credit default swaps and bond pricing firm CMA Datavision. 

Lebanon posted the fifth worst performance worldwide in terms of the quarterly change in its CDS spread, according to CMA's Global Sovereign Credit Risk Report for the first quarter of 2012, published on April 17. 

Spreads on Lebanon’s five-year CDS fell to 446.3 basis points at end-March 2012, down from 447.5 basis points at the end of the fourth quarter of 2011. Lebanon’s five-year CDS spreads widened by 149.4 bps in 2011 compared to end-2010. 

Lebanon’s five-year cumulative probability of default (CPD) was 27.5 percent over the covered period, slightly down from 27.6 percent at the end of the fourth quarter of 2011. The CPD measures the probability of an issuer being unable to honor its debt obligations over a given time period.

Globally, Lebanon had the 12th highest CPD. Among regional countries, only Egypt had a CPD higher than Lebanon. 

Reported by Hanadi Chami