July update available here.
This note extends our monitoring of international credit markets in the Covid-19 Crisis. As the crisis evolves, we will provide regular analyses of how the credit standing of sovereigns and sectors is changing.
We estimate Probabilities of Default (PDs) from Credit Default Swap (CDS) spreads and infer real time ratings. The transparent methodology we employ is described in an earlier Insight (see the note)
We conclude that:
Sovereign risk continued to dissipate with many countries experiencing real-time rating upgrades.
Based on the 1-year implied historical PDs, the ratings of 47 countries remained unchanged in July, 16 countries increased and 3 countries decreased.
Ratings increased by 1 notch for Brazil, Chile, China, Indonesia, Kazakhstan, Malaysia, Portugal, Saudi Arabia, South Korea, Spain, UK and Vietnam.
Ratings increased by 2 notches for Australia, Panama and Philippines. Ratings increased by 3 notches for Qatar.
Ratings dropped only for three countries: Greece, Slovakia and Uruguay.
Regional average ratings improved by 1 notch for the Middle East and for Asia & Pacific and were unchanged over the month for other regions.