Ctryprem

Country Risk Premiums
To estimate the equity risk premium for a country, I start with a mature market premium and add an addit
Step 1: Estimating mature market risk premium

To estimate the mature market risk premium, I compute the implied equity risk premium for the S&P 500.
Link to site:
http://www.damodaran.com
Historical monthlyhttp://www.stern.nyu.edu/~adamodar/pc/implprem/ERPbymonth.xls
ERP:
Step 2: Estimate the default spread for the country in question. I offer two choices, one based upo
Moody's ratings: http://www.moodys.com
(You will have to register, but it is free. Look under sovereign ratin
Ratings to spreads:
Based upon my estimates of typical spreads for each ratings class. I compute these by
CDS spreads: Bloomberg
Step 3: Convert the default spread into a country risk premium

With sovereign ratings default spreads, you have two choices:
Choice 1: Use the default spread as the measure of the additional country risk premium. To make this ch
Choice 2: Scale the default spread up to reflect the higher risk of equity in the market, relative to the defa
With CDS spreads, I compute the base number in two steps

Substep 1: Since the base equity premium is computed for the US, and the US has a CDS spread, I subt
Any country that has a CDS spread lower than the US will have a negative country risk premium and end
Substep 2: I apply the scaling factor that you chose for the default spreads to this number to get a countr
Step 4: Compute a total equtiy risk premium
Add the mature market premium from step 1 to the country risk premium from step 3 to get a total equity
If you are interested in a fuller explanation of these concepts, try these references:
My paper on equity risk premiums:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=20
Campbell Harvey's country risk premium page: http://www.duke.edu/~charvey/Country_risk/couindex.h
Watch my lectures on country risk premiums:
http://echo360.stern.nyu.edu:8080/ess/echo/presentatio
http://echo360.stern.nyu.edu:8080/ess/echo/presentatio
mium and add an additional country risk premium, based upon the risk of the country in question.
mium for the S&P 500. To see the latest estimate for this number, go to my website and you can download the exce
oices, one based upon the local currency sovereign rating for the country from Moody's and the other is the
k under sovereign ratings)
s. I compute these by averaging CDS spreads and sovereign US$ bond spreads by ratings class, at the start of eve
emium. To make this choice, go into the ERP worksheet and set cell E5 to 1.00.
ket, relative to the default spread. You can see the relative ratios for individual countries in the worksheet "Equity vs
s a CDS spread, I subtracted out the US CDS spread from the CDS for other markets.
risk premium and end up with a total equity risk premium lower than the US.
number to get a country risk premium.
p 3 to get a total equity risk premium.
ers.cfm?abstract_id=2027211
ountry_risk/couindex.htm
80/ess/echo/presentation/d5b0232a-ef00-4ffd-b92e-0f95e1685373/media.m4v
80/ess/echo/presentation/e41ef416-aba8-4dda-8d8b-0fe3b0e6283d/media.m4v
d you can download the excel spreadsheet containing the implied premium
Moody's and the other is the CDS spread for the country (if one exists)
ings class, at the start of every year.
s in the worksheet "Equity vs Govt Bond" in this spreadsheet. Set cell E5 in the ERP worksheet to that number.
orksheet to that number.
Estimating Country Risk Premiums

Enter the current risk premium for a mature equity market
Do you want to adjust the country default spread for the additional volatility of the equity market to get to a country premium?
If yes, enter the multiplier to use on the default spread (See worksheet for volatility numbers for selected emerging markets)
Country
Albania
Angola
Argentina
Armenia
Australia
Austria
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium
Belize
Bermuda
Bolivia
Bosnia and Herzegovina
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Region
Eastern Europe & Russia
Africa
Central and South America
Australia & New Zealand
Western Europe
Caribbean
Middle East
Asia
Caribbean
Western Europe
Caribbean
Africa
Asia
North America
Caribbean
Asia
Local Currency Rating Rating-based Default Spread

B1
4.00%
Ba3
3.25%
B3
6.00%
Ba2
2.75%
Aaa
0.00%
Aaa
0.00%
Baa3
2.00%
Baa1
1.50%
Baa1
1.50%
Ba3
3.25%
Baa3
2.00%
B3
6.00%
Aa3
0.70%
Caa3
10.00%
Aa2
0.50%
Ba3
3.25%
B3
6.00%
A2
1.00%
Baa2
1.75%
Baa2
1.75%
B2
5.00%
Aaa
0.00%
Aa3
0.70%
Aa3
0.70%
Aa3
0.70%
Colombia
Costa Rica
Croatia
Cuba
Cyprus
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland
France
Georgia
Germany
Greece
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland
Isle of Man
Israel
Italy
Jamaica
Japan

Caribbean
Western Europe
Western Europe
Caribbean
Africa
Asia
Western Europe
Western Europe
Western Europe
Western Europe
Asia
Western Europe
Asia
Asia
Western Europe
Financial Center
Middle East
Western Europe
Caribbean
Asia
Baa3
Baa3
Baa3
Caa1
B3
A1
Aaa
B1
Caa1
B2
Ba3
A1
B1
Aaa
Aa1
Ba3
Aaa
Caa3
Ba1
B2
Aa1
Ba1
Baa3
Baa3
Baa3
Ba1
Aaa
A1
Baa2
B3
Aa3
2.00%
2.00%
2.00%
7.00%
6.00%
0.85%
0.00%
4.00%
7.00%
5.00%
3.25%
0.85%
4.00%
0.00%
0.25%
3.25%
0.00%
10.00%
2.40%
5.00%
0.25%
2.40%
2.00%
2.00%
2.00%
2.40%
0.00%
0.85%
1.75%
6.00%
0.70%
Jordan
Kazakhstan
Kenya
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg
Macao
Malaysia
Malta
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands
New Zealand
Nicaragua
Nigeria
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Peru
Philippines
Middle East
Africa
Asia
Middle East
Middle East
Western Europe
Asia
Asia
Western Europe
Africa
Asia
Africa
Africa
Western Europe
Africa
Western Europe
Middle East
Asia
Asia
Asia
Ba2
Baa2
B1
Aa3
Aa2
Baa3
B1
Baa1
Aaa
Aa3
A3
A3
Baa1
Baa1
B3
B1
Ba3
Ba1
Baa3
Aaa
Aaa
B3
Ba3
Aaa
A1
Caa1
Baa2
B1
B1
Baa2
Ba1
2.75%
1.75%
4.00%
0.70%
0.50%
2.00%
4.00%
1.50%
0.00%
0.70%
1.15%
1.15%
1.50%
1.50%
6.00%
4.00%
3.25%
2.40%
2.00%
0.00%
0.00%
6.00%
3.25%
0.00%
0.85%
7.00%
1.75%
4.00%
4.00%
1.75%
2.40%
Poland
Portugal
Qatar
Romania
Russia
Saudi Arabia
Senegal
Singapore
Slovakia
Slovenia
South Africa
Spain
Sri Lanka
St. Maarten
St. Vincent & the Grenadines
Suriname
Sweden
Switzerland
Taiwan
Thailand
Trinidad and Tobago
Tunisia
Turkey
Ukraine
United Arab Emirates
United Kingdom
United States of America
Uruguay
Venezuela
Vietnam
Zambia

Western Europe
Middle East
Middle East
Africa
Asia
Africa
Western Europe
Asia
Africa
Caribbean
Caribbean
Western Europe
Western Europe
Asia
Asia
Caribbean
Africa
Western Europe
Middle East
Western Europe
North America
Asia
Africa
A2
Ba3
Aa2
Baa3
Baa1
Aa3
B1
Aaa
A2
Baa2
Baa1
Baa3
B1
Baa1
B2
Ba3
Aaa
Aaa
Aa3
Baa1
Baa1
Baa3
Ba1
B3
Aa2
Aaa
Aaa
Baa3
B1
B2
B1
1.00%
3.25%
0.50%
2.00%
1.50%
0.70%
4.00%
0.00%
1.00%
1.75%
1.50%
2.00%
4.00%
1.50%
5.00%
3.25%
0.00%
0.00%
0.70%
1.50%
1.50%
2.00%
2.40%
6.00%
0.50%
0.00%
0.00%
2.00%
4.00%
5.00%
4.00%
Rating
A1
A2
A3
Aa1
Aa2
Aa3
Aaa
B1
B2
B3
Ba1
Ba2
Ba3
Baa1
Baa2
Baa3
Caa1
Caa2
Caa3
Default spread in basis points

85
100
115
25
50
70
0
400
500
600
240
275
325
150
175
200
700
850
1000
Estimating Country Risk Premiums

5.80%
Yes
1.5
Total Equity Risk Premium

Country Risk Premium
CDS Default Spread
Total Equity Risk Premium
Country Risk PremiumHas to be sorted in ascending order
11.80%
6.00%
NA
NA
NA
Rating
Default spread in basis points
85
10.68%
4.88%
NA
NA
NA
A1
100
14.80%
9.00%
13.07%
24.40%
18.60%
A2
115
9.93%
4.13%
NA
NA
NA
A3
25
5.80%
0.00%
0.86%
6.09%
0.29%
Aa1
50
5.80%
0.00%
0.79%
5.98%
0.18%
Aa2
70
8.80%
3.00%
NA
NA
NA
Aa3
0
8.05%
2.25%
NA
NA
NA
Aaa
400
8.05%
2.25%
2.52%
8.58%
2.78%
B1
500
10.68%
4.88%
NA
NA
NA
B2
600
8.80%
3.00%
NA
NA
NA
B3
240
14.80%
9.00%
NA
NA
NA
Ba1
275
6.85%
1.05%
1.24%
6.66%
0.86%
Ba2
325
20.80%
15.00%
NA
NA
NA
Ba3
150
6.55%
0.75%
NA
NA
NA
Baa1
175
10.68%
4.88%
NA
NA
NA
Baa2
200
14.80%
9.00%
NA
NA
NA
Baa3
700
7.30%
1.50%
NA
NA
NA
Caa1
850
8.43%
2.63%
1.44%
6.96%
1.16%
Caa2
1000
8.43%
2.63%
1.41%
6.91%
1.11%
Caa3
13.30%
7.50%
NA
NA
NA
5.80%
0.00%
NA
NA
NA
6.85%
1.05%
NA
NA
NA
6.85%
1.05%
0.99%
6.28%
0.48%
6.85%
1.05%
1.02%
6.33%
0.53%
8.80%
8.80%
8.80%
16.30%
14.80%
7.08%
5.80%
11.80%
16.30%
13.30%
10.68%
7.08%
11.80%
5.80%
6.18%
10.68%
5.80%
20.80%
9.40%
13.30%
6.18%
9.40%
8.80%
8.80%
8.80%
9.40%
5.80%
7.08%
8.43%
14.80%
6.85%
3.00%
3.00%
3.00%
10.50%
9.00%
1.28%
0.00%
6.00%
10.50%
7.50%
4.88%
1.28%
6.00%
0.00%
0.38%
4.88%
0.00%
15.00%
3.60%
7.50%
0.38%
3.60%
3.00%
3.00%
3.00%
3.60%
0.00%
1.28%
2.63%
9.00%
1.05%
1.35%
3.91%
2.99%
NA
6.55%
0.89%
0.69%
NA
NA
5.76%
NA
0.95%
NA
0.60%
1.44%
NA
0.82%
NA
NA
NA
1.03%
3.16%
2.16%
NA
1.81%
2.54%
NA
1.61%
3.03%
NA
1.32%
6.82%
10.66%
9.28%
NA
14.62%
6.13%
5.83%
NA
NA
13.44%
NA
6.22%
NA
5.70%
6.96%
NA
6.03%
NA
NA
NA
6.34%
9.54%
8.04%
NA
7.51%
8.61%
NA
7.21%
9.34%
NA
6.78%
1.02%
4.86%
3.48%
NA
8.82%
0.33%
0.03%
NA
NA
7.64%
NA
0.42%
NA
-0.11%
1.16%
NA
0.23%
NA
NA
NA
0.54%
3.74%
2.24%
NA
1.71%
2.81%
NA
1.41%
3.54%
NA
0.98%
9.93%
8.43%
11.80%
6.85%
6.55%
8.80%
11.80%
8.05%
5.80%
6.85%
7.53%
7.53%
8.05%
8.05%
14.80%
11.80%
10.68%
9.40%
8.80%
5.80%
5.80%
14.80%
10.68%
5.80%
7.08%
16.30%
8.43%
11.80%
11.80%
8.43%
9.40%
4.13%
2.63%
6.00%
1.05%
0.75%
3.00%
6.00%
2.25%
0.00%
1.05%
1.73%
1.73%
2.25%
2.25%
9.00%
6.00%
4.88%
3.60%
3.00%
0.00%
0.00%
9.00%
4.88%
0.00%
1.28%
10.50%
2.63%
6.00%
6.00%
2.63%
3.60%
NA
1.97%
NA
1.13%
NA
1.70%
4.72%
1.58%
NA
NA
1.14%
NA
NA
1.36%
NA
NA
NA
2.79%
NA
0.83%
0.72%
NA
NA
0.41%
NA
7.90%
1.36%
NA
NA
1.38%
1.59%
NA
7.75%
NA
6.49%
NA
7.35%
11.88%
7.17%
NA
NA
6.51%
NA
NA
6.84%
NA
NA
NA
8.98%
NA
6.04%
5.88%
NA
NA
5.41%
NA
16.65%
6.84%
NA
NA
6.87%
7.18%
NA
1.95%
NA
0.69%
NA
1.55%
6.08%
1.37%
NA
NA
0.71%
NA
NA
1.04%
NA
NA
NA
3.18%
NA
0.24%
0.07%
NA
NA
-0.39%
NA
10.85%
1.04%
NA
NA
1.07%
1.38%
7.30%
10.68%
6.55%
8.80%
8.05%
6.85%
11.80%
5.80%
7.30%
8.43%
8.05%
8.80%
11.80%
8.05%
13.30%
10.68%
5.80%
5.80%
6.85%
8.05%
8.05%
8.80%
9.40%
14.80%
6.55%
5.80%
5.80%
8.80%
11.80%
13.30%
11.80%
1.50%
4.88%
0.75%
3.00%
2.25%
1.05%
6.00%
0.00%
1.50%
2.63%
2.25%
3.00%
6.00%
2.25%
7.50%
4.88%
0.00%
0.00%
1.05%
2.25%
2.25%
3.00%
3.60%
9.00%
0.75%
0.00%
0.00%
3.00%
6.00%
7.50%
6.00%
1.30%
4.93%
1.28%
2.81%
1.82%
0.78%
NA
NA
1.42%
2.59%
2.03%
3.14%
NA
NA
NA
NA
0.41%
0.76%
NA
1.43%
NA
4.21%
1.79%
6.51%
NA
0.74%
0.67%
NA
6.55%
2.74%
NA
6.75%
12.19%
6.72%
9.01%
7.53%
5.97%
NA
NA
6.93%
8.68%
7.84%
9.51%
NA
NA
NA
NA
5.41%
5.94%
NA
6.94%
NA
11.11%
7.48%
14.56%
NA
5.91%
5.80%
NA
14.62%
8.91%
NA
0.95%
6.39%
0.92%
3.21%
1.73%
0.17%
NA
NA
1.13%
2.88%
2.04%
3.71%
NA
NA
NA
NA
-0.39%
0.14%
NA
1.14%
NA
5.31%
1.68%
8.76%
NA
0.11%
0.00%
NA
8.82%
3.11%
NA
ed in ascending order
spread in basis points
Country
GDP
Albania
Angola
Argentina
Armenia
Australia
Austria
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium
Belize
Bermuda
Bolivia
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Colombia
Costa Rica
Croatia
Cuba
Cyprus
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland
France
Georgia
Germany
Long-Term RatingAdj. Default Spread

Total Risk Premium
13
B1
4.00%
11.80%
101
Ba3
3.25%
10.68%
446
B3
6.00%
14.80%
10.2
Ba2
2.75%
9.93%
1371.8
Aaa
0.00%
5.80%
418.5
Aaa
0.00%
5.80%
63.4
Baa3
2.00%
8.80%
7.8
Baa1
1.50%
8.05%
22.9
Baa1
1.50%
8.05%
110.6
Ba3
3.25%
10.68%
3.7
Baa3
2.00%
8.80%
55.1
B3
6.00%
14.80%
511.5
Aa3
0.70%
6.85%
1.5
Caa3
10.00%
20.80%
7.3
Aa2
0.50%
6.55%
24.4
Ba3
3.25%
10.68%
18.1
B3
6.00%
14.80%
17.6
A2
1.00%
7.30%
2476.7
Baa2
1.75%
8.43%
53.5
Baa2
1.75%
8.43%
12.9
B2
5.00%
13.30%
1736
Aaa
0.00%
5.80%
3
Aa3
0.70%
6.85%
248.6
Aa3
0.70%
6.85%
7298.1
Aa3
0.70%
6.85%
331.7
Baa3
2.00%
8.80%
41
Baa3
2.00%
8.80%
63.9
Baa3
2.00%
8.80%
60.8
Caa1
7.00%
16.30%
24.7
B3
6.00%
14.80%
215.2
A1
0.85%
7.08%
332.7
Aaa
0.00%
5.80%
55.6
B1
4.00%
11.80%
67
Caa1
7.00%
16.30%
229.5
B2
5.00%
13.30%
23.1
Ba3
3.25%
10.68%
22.2
A1
0.85%
7.08%
3.8
B1
4.00%
11.80%
266.1
Aaa
0.00%
5.80%
2773
Aa1
0.25%
6.18%
14.4
Ba3
3.25%
10.68%
3570.6
Aaa
0.00%
5.80%
Greece
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland
Isle of Man
Israel
Italy
Jamaica
Japan
Jordan
Kazakhstan
Kenya
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg
Macao
Malaysia
Malta
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands
New Zealand
Nicaragua
Nigeria
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
298.7
46.9
17.3
243.7
140
14.1
1848
846.8
217.3
3
242.9
2194.8
15.1
5867.2
28.8
186.2
33.6
1116.2
176.6
28.3
42.2
42.7
59.5
36.4
278.7
8.9
11.3
1155.3
7
8.6
4.6
100.2
12.3
836.3
142.5
7.3
235.9
485.8
71.8
211.1
30.7
12.9
23.9
Caa3
Ba1
B2
Aa1
Ba1
Baa3
Baa3
Baa3
Ba1
Aaa
A1
Baa2
B3
Aa3
Ba2
Baa2
B1
Aa3
Aa2
Baa3
B1
Baa1
Aaa
Aa3
A3
A3
Baa1
Baa1
B3
B1
Ba3
Ba1
Baa3
Aaa
Aaa
B3
Ba3
Aaa
A1
Caa1
Baa2
B1
B1
10.00%
2.40%
5.00%
0.25%
2.40%
2.00%
2.00%
2.00%
2.40%
0.00%
0.85%
1.75%
6.00%
0.70%
2.75%
1.75%
4.00%
0.70%
0.50%
2.00%
4.00%
1.50%
0.00%
0.70%
1.15%
1.15%
1.50%
1.50%
6.00%
4.00%
3.25%
2.40%
2.00%
0.00%
0.00%
6.00%
3.25%
0.00%
0.85%
7.00%
1.75%
4.00%
4.00%
20.80%
9.40%
13.30%
6.18%
9.40%
8.80%
8.80%
8.80%
9.40%
5.80%
7.08%
8.43%
14.80%
6.85%
9.93%
8.43%
11.80%
6.85%
6.55%
8.80%
11.80%
8.05%
5.80%
6.85%
7.53%
7.53%
8.05%
8.05%
14.80%
11.80%
10.68%
9.40%
8.80%
5.80%
5.80%
14.80%
10.68%
5.80%
7.08%
16.30%
8.43%
11.80%
11.80%
Peru
Philippines
Poland
Portugal
Qatar
Romania
Russia
Saudi Arabia
Senegal
Singapore
Slovakia
Slovenia
South Africa
Spain
Sri Lanka
St. Maarten
Suriname
Sweden
Switzerland
Taiwan
Thailand
Trinidad and Tobago
Tunisia
Turkey
Ukraine
United Kingdom
Uruguay
Venezuela
Vietnam
Zambia
176.7
224.8
514.5
237.5
173
179.8
1857.8
576.8
14.3
239.7
96
49.5
408.2
1490.8
59.2
1
0.7
0.5
538.1
635.7
393.2
345.6
22.5
45.9
773.1
165.2
360.2
2431.6
15094
46.7
316.5
124
19.2
Baa2
Ba1
A2
Ba3
Aa2
Baa3
Baa1
Aa3
B1
Aaa
A2
Baa2
Baa1
Baa3
B1
Baa1
B2
Ba3
Aaa
Aaa
Aa3
Baa1
Baa1
Baa3
Ba1
B3
Aa2
Aaa
Aaa
Baa3
B1
B2
B1
1.75%
2.40%
1.00%
3.25%
0.50%
2.00%
1.50%
0.70%
4.00%
0.00%
1.00%
1.75%
1.50%
2.00%
4.00%
1.50%
5.00%
3.25%
0.00%
0.00%
0.70%
1.50%
1.50%
2.00%
2.40%
6.00%
0.50%
0.00%
0.00%
2.00%
4.00%
5.00%
4.00%
8.43%
9.40%
7.30%
10.68%
6.55%
8.80%
8.05%
6.85%
11.80%
5.80%
7.30%
8.43%
8.05%
8.80%
11.80%
8.05%
13.30%
10.68%
5.80%
5.80%
6.85%
8.05%
8.05%
8.80%
9.40%
14.80%
6.55%
5.80%
5.80%
8.80%
11.80%
13.30%
11.80%
Country Risk PremiumRegion

6.00%
4.88%
Africa
9.00%
4.13%
0.00%
0.00%
Western Europe
3.00%
2.25%
Caribbean
2.25%
Middle East
4.88%
Asia
3.00%
Caribbean
9.00%
1.05%
Western Europe
15.00%
0.75%
Caribbean
4.88%
9.00%
1.50%
Africa
2.63%
2.63%
7.50%
Asia
0.00%
North America
1.05%
Caribbean
1.05%
1.05%
Asia
3.00%
3.00%
3.00%
10.50%
Caribbean
9.00%
Western Europe
1.28%
0.00%
Western Europe
6.00%
Caribbean
10.50%
7.50%
Africa
4.88%
1.28%
6.00%
Asia
0.00%
Western Europe
0.38%
Western Europe
4.88%
0.00%
Western Europe
15.00%
3.60%
7.50%
0.38%
3.60%
3.00%
3.00%
3.00%
3.60%
0.00%
1.28%
2.63%
9.00%
1.05%
4.13%
2.63%
6.00%
1.05%
0.75%
3.00%
6.00%
2.25%
0.00%
1.05%
1.73%
1.73%
2.25%
2.25%
9.00%
6.00%
4.88%
3.60%
3.00%
0.00%
0.00%
9.00%
4.88%
0.00%
1.28%
10.50%
2.63%
6.00%
6.00%
Western Europe
Asia
Western Europe
Asia
Asia
Western Europe
Financial Center
Middle East
Western Europe
Caribbean
Asia
Middle East
Africa
Asia
Middle East
Middle East
Western Europe
Asia
Asia
Western Europe
Africa
Asia
Africa
Africa
Western Europe
Africa
Western Europe
Middle East
Asia
Asia
2.63%
3.60%
1.50%
4.88%
0.75%
3.00%
2.25%
1.05%
6.00%
0.00%
1.50%
2.63%
2.25%
3.00%
6.00%
2.25%
7.50%
4.88%
0.00%
0.00%
1.05%
2.25%
2.25%
3.00%
3.60%
9.00%
0.75%
0.00%
0.00%
3.00%
6.00%
7.50%
6.00%

Asia
Western Europe
Middle East
Middle East
Africa
Asia
Western Europe
Africa
Western Europe
Asia
Caribbean
Caribbean
Caribbean
Western Europe
Western Europe
Asia
Asia
Caribbean
Africa
Western Europe
Middle East
Western Europe
North America
Asia
Africa
Values
Row Labels
Average of Adj. Default SpreadAverage of Total Risk Premium
Average of Country Risk Premium
Africa
2.72%
9.88%
4.08%
Asia
2.32%
9.28%
3.48%
0.00%
5.80%
0.00%
Caribbean
3.00%
10.29%
4.49%
3.65%
11.27%
5.47%
2.75%
9.93%
4.13%
Financial Center
0.00%
5.80%
0.00%
Middle East
1.35%
7.83%
2.03%
North America
0.00%
5.80%
0.00%
Western Europe
1.39%
7.89%
2.09%
Grand Total
2.33%
9.30%
3.50%
y Risk Premium
Country
Angola
Botswana
Egypt
Kenya
Mauritius
Morocco
Namibia
Nigeria
Senegal
South Africa
Tunisia
Zambia
Africa
GDP
Bangladesh
Cambodia
China
Fiji Islands
Hong Kong
India
Indonesia
Japan
Korea
Macao
Malaysia
Mongolia
Pakistan
Papua New Guinea
Philippines
Singapore
Sri Lanka
Taiwan
Thailand
Vietnam
Asia
Australia
New Zealand
Bahamas
Barbados
101
17.6
229.5
33.6
11.3
100.2
12.3
235.9
14.3
408.2
45.9
19.2
1229
Weight in region
8.22%
1.43%
18.67%
2.73%
0.92%
8.15%
1.00%
19.19%
1.16%
33.21%
3.73%
1.56%
100.00%
Country Risk Premium

4.88%
1.50%
7.50%
6.00%
2.25%
3.60%
3.00%
4.88%
6.00%
2.25%
3.00%
6.00%
110.6
12.9
7298.1
3.8
243.7
1848
846.8
5867.2
1116.2
36.4
278.7
8.6
211.1
12.9
224.8
239.7
59.2
393.2
345.6
124
19281.5
0.57%
0.07%
37.85%
0.02%
1.26%
9.58%
4.39%
30.43%
5.79%
0.19%
1.45%
0.04%
1.09%
0.07%
1.17%
1.24%
0.31%
2.04%
1.79%
0.64%
100.00%
4.88%
7.50%
1.05%
6.00%
0.38%
3.00%
3.00%
1.05%
1.05%
1.05%
1.73%
6.00%
10.50%
6.00%
3.60%
0.00%
6.00%
1.05%
2.25%
7.50%
1371.8
142.5
1514.3
90.59%
9.41%
100.00%
0.00%
0.00%
4.38%
2.08%
2.25%
3.00%
7.8
3.7
Bermuda
Cayman Islands
Cuba
Dominican Republic
Jamaica
St. Maarten
Suriname
Trinidad and Tobago
Caribbean
7.3
3
60.8
55.6
15.1
0.7
1
0.5
22.5
178
4.10%
1.69%
34.16%
31.24%
8.48%
0.39%
0.56%
0.28%
12.64%
100.00%
0.75%
1.05%
10.50%
6.00%
9.00%
7.50%
2.25%
4.88%
2.25%
Argentina
Belize
Bolivia
Brazil
Chile
Colombia
Costa Rica
Ecuador
El Salvador
Guatemala
Honduras
Mexico
Nicaragua
Panama
Paraguay
Peru
Uruguay
Venezuela
446
1.5
24.4
2476.7
248.6
331.7
41
67
23.1
46.9
17.3
1155.3
7.3
30.7
23.9
176.7
46.7
316.5
5481.3
8.14%
0.03%
0.45%
45.18%
4.54%
6.05%
0.75%
1.22%
0.42%
0.86%
0.32%
21.08%
0.13%
0.56%
0.44%
3.22%
0.85%
5.77%
100.00%
9.00%
15.00%
4.88%
2.63%
1.05%
3.00%
3.00%
10.50%
4.88%
3.60%
7.50%
2.25%
9.00%
2.63%
6.00%
2.63%
3.00%
6.00%
13
10.2
63.4
55.1
18.1
53.5
63.9
215.2
22.2
14.4
140
186.2
0.35%
0.27%
1.69%
1.47%
0.48%
1.43%
1.70%
5.74%
0.59%
0.38%
3.73%
4.96%
6.00%
4.13%
3.00%
9.00%
9.00%
2.63%
3.00%
1.28%
1.28%
4.88%
3.60%
2.63%
Albania
Armenia
Azerbaijan
Belarus
Bulgaria
Croatia
Czech Republic
Estonia
Georgia
Hungary
Kazakhstan
Latvia
Lithuania
Moldova
Montenegro
Poland
Romania
Russia
Slovakia
Ukraine
28.3
42.7
7
4.6
514.5
179.8
1857.8
96
165.2
3751.1
0.75%
1.14%
0.19%
0.12%
13.72%
4.79%
49.53%
2.56%
4.40%
100.00%
3.00%
2.25%
9.00%
4.88%
1.50%
3.00%
2.25%
1.50%
9.00%
3
3
100.00%
0.00%
Bahrain
Israel
Jordan
Kuwait
Lebanon
Oman
Qatar
Saudi Arabia
Middle East
22.9
242.9
28.8
176.6
42.2
71.8
173
576.8
360.2
1695.2
1.35%
14.33%
1.70%
10.42%
2.49%
4.24%
10.21%
34.03%
21.25%
100.00%
2.25%
1.28%
4.13%
0.75%
6.00%
1.28%
0.75%
1.05%
0.75%
Canada
North America
1736
15094
16830
10.31%
89.69%
0.00%
0.00%
Belgium
Cyprus
Finland
Germany
Portugal
Ireland
Italy
Luxembourg
Malta
Netherlands
Austria
Denmark
France
Greece
511.5
24.7
266.1
3570.6
237.5
217.3
2194.8
42.7
8.9
836.3
1371.8
332.7
2773
298.7
2.68%
0.13%
1.39%
18.69%
1.24%
1.14%
11.49%
0.22%
0.05%
4.38%
7.18%
1.74%
14.51%
1.56%
1.05%
9.00%
0.00%
0.00%
4.88%
3.60%
2.63%
0.00%
1.73%
0.00%
0.00%
0.00%
0.38%
15.00%
Isle of Man
Financial Centers
Iceland
Norway
Slovenia
Spain
Sweden
Switzerland
Turkey
United Kingdom
Western Europe
Row Labels
Africa
Asia
Caribbean
Financial Center
Middle East
North America
Western Europe
Grand Total
14.1
485.8
49.5
1490.8
538.1
635.7
773.1
2431.6
19105.3
0.07%
2.54%
0.26%
7.80%
2.82%
3.33%
4.05%
12.73%
100.00%
3.00%
0.00%
2.63%
3.00%
0.00%
0.00%
3.60%
0.00%
Default Spread (Weighted Country

average)Risk Premium (Weighted
Total Equity
Average)
Risk Premium (Weighted Average)
2.86%
4.29%
10.09%
1.04%
1.55%
7.35%
0.00%
0.00%
5.80%
4.52%
6.77%
12.57%
2.26%
3.38%
9.18%
1.79%
2.68%
8.48%
0.00%
0.00%
5.80%
0.77%
1.16%
6.96%
0.00%
0.00%
5.80%
0.75%
1.12%
6.92%
2.33%
9.30%
3.50%
Total Risk Premium Default Spread * WeightCRP * Weight

10.68%
0.27%
0.40%
7.30%
0.01%
0.02%
13.30%
0.93%
1.40%
11.80%
0.11%
0.16%
8.05%
0.01%
0.02%
9.40%
0.20%
0.29%
8.80%
0.02%
0.03%
10.68%
0.62%
0.94%
11.80%
0.05%
0.07%
8.05%
0.50%
0.75%
8.80%
0.07%
0.11%
11.80%
0.06%
0.09%
2.86%
4.29%
TRP * Weight
0.88%
0.10%
2.48%
0.32%
0.07%
0.77%
0.09%
2.05%
0.14%
2.67%
0.33%
0.18%
10.09%
10.68%
13.30%
6.85%
11.80%
6.18%
8.80%
8.80%
6.85%
6.85%
6.85%
7.53%
11.80%
16.30%
11.80%
9.40%
5.80%
11.80%
6.85%
8.05%
13.30%
0.02%
0.00%
0.26%
0.00%
0.00%
0.19%
0.09%
0.21%
0.04%
0.00%
0.02%
0.00%
0.08%
0.00%
0.03%
0.00%
0.01%
0.01%
0.03%
0.03%
1.04%
0.03%
0.01%
0.40%
0.00%
0.00%
0.29%
0.13%
0.32%
0.06%
0.00%
0.02%
0.00%
0.11%
0.00%
0.04%
0.00%
0.02%
0.02%
0.04%
0.05%
1.55%
0.06%
0.01%
2.59%
0.00%
0.08%
0.84%
0.39%
2.08%
0.40%
0.01%
0.11%
0.01%
0.18%
0.01%
0.11%
0.07%
0.04%
0.14%
0.14%
0.09%
7.35%
5.80%
5.80%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
5.25%
0.55%
5.80%
8.05%
8.80%
0.07%
0.04%
0.10%
0.06%
0.35%
0.18%
6.55%
6.85%
16.30%
11.80%
14.80%
13.30%
8.05%
10.68%
8.05%
0.02%
0.01%
2.39%
1.25%
0.51%
0.02%
0.01%
0.01%
0.19%
4.52%
0.03%
0.02%
3.59%
1.87%
0.76%
0.03%
0.01%
0.01%
0.28%
6.77%
0.27%
0.12%
5.57%
3.69%
1.26%
0.05%
0.05%
0.03%
1.02%
12.57%
14.80%
20.80%
10.68%
8.43%
6.85%
8.80%
8.80%
16.30%
10.68%
9.40%
13.30%
8.05%
14.80%
8.43%
11.80%
8.43%
8.80%
11.80%
0.49%
0.00%
0.01%
0.79%
0.03%
0.12%
0.01%
0.09%
0.01%
0.02%
0.02%
0.32%
0.01%
0.01%
0.02%
0.06%
0.02%
0.23%
2.26%
0.73%
0.00%
0.02%
1.19%
0.05%
0.18%
0.02%
0.13%
0.02%
0.03%
0.02%
0.47%
0.01%
0.01%
0.03%
0.08%
0.03%
0.35%
3.38%
1.20%
0.01%
0.05%
3.81%
0.31%
0.53%
0.07%
0.20%
0.04%
0.08%
0.04%
1.70%
0.02%
0.05%
0.05%
0.27%
0.07%
0.68%
9.18%
11.80%
9.93%
8.80%
14.80%
14.80%
8.43%
8.80%
7.08%
7.08%
10.68%
9.40%
8.43%
0.01%
0.01%
0.03%
0.09%
0.03%
0.02%
0.03%
0.05%
0.01%
0.01%
0.09%
0.09%
0.02%
0.01%
0.05%
0.13%
0.04%
0.04%
0.05%
0.07%
0.01%
0.02%
0.13%
0.13%
0.04%
0.03%
0.15%
0.22%
0.07%
0.12%
0.15%
0.41%
0.04%
0.04%
0.35%
0.42%
8.80%
8.05%
14.80%
10.68%
7.30%
8.80%
8.05%
7.30%
14.80%
0.02%
0.02%
0.01%
0.00%
0.14%
0.10%
0.74%
0.03%
0.26%
1.79%
0.02%
0.03%
0.02%
0.01%
0.21%
0.14%
1.11%
0.04%
0.40%
2.68%
0.07%
0.09%
0.03%
0.01%
1.00%
0.42%
3.99%
0.19%
0.65%
8.48%
5.80%
0.00%
0.00%
0.00%
0.00%
5.80%
5.80%
8.05%
7.08%
9.93%
6.55%
11.80%
7.08%
6.55%
6.85%
6.55%
0.02%
0.12%
0.05%
0.05%
0.10%
0.04%
0.05%
0.24%
0.11%
0.77%
0.03%
0.18%
0.07%
0.08%
0.15%
0.05%
0.08%
0.36%
0.16%
1.16%
0.11%
1.01%
0.17%
0.68%
0.29%
0.30%
0.67%
2.33%
1.39%
6.96%
5.80%
5.80%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.60%
5.20%
5.80%
6.85%
14.80%
5.80%
5.80%
10.68%
9.40%
8.43%
5.80%
7.53%
5.80%
5.80%
5.80%
6.18%
20.80%
0.02%
0.01%
0.00%
0.00%
0.04%
0.03%
0.20%
0.00%
0.00%
0.00%
0.00%
0.00%
0.04%
0.16%
0.03%
0.01%
0.00%
0.00%
0.06%
0.04%
0.30%
0.00%
0.00%
0.00%
0.00%
0.00%
0.05%
0.23%
0.18%
0.02%
0.08%
1.08%
0.13%
0.11%
0.97%
0.01%
0.00%
0.25%
0.42%
0.10%
0.90%
0.33%
8.80%
5.80%
8.43%
8.80%
5.80%
5.80%
9.40%
5.80%
Risk Premium (Weighted Average)
0.00%
0.00%
0.00%
0.16%
0.00%
0.00%
0.10%
0.00%
0.75%
0.00%
0.00%
0.01%
0.23%
0.00%
0.00%
0.15%
0.00%
1.12%
0.01%
0.15%
0.02%
0.69%
0.16%
0.19%
0.38%
0.74%
6.92%
Long-Term Rating Adj. Default Spread

Ba3
3.25%
A2
1.00%
B2
5.00%
B1
4.00%
Baa1
1.50%
Ba1
2.40%
Baa3
2.00%
Ba3
3.25%
B1
4.00%
Baa1
1.50%
Baa3
2.00%
B1
4.00%
Total Risk Premium Country Risk Premium

10.68%
4.88%
7.30%
1.50%
13.30%
7.50%
11.80%
6.00%
8.05%
2.25%
9.40%
3.60%
8.80%
3.00%
10.68%
4.88%
11.80%
6.00%
8.05%
2.25%
8.80%
3.00%
11.80%
6.00%
Ba3
B2
Aa3
B1
Aa1
Baa3
Baa3
Aa3
Aa3
Aa3
A3
B1
Caa1
B1
Ba1
Aaa
B1
Aa3
Baa1
B2
3.25%
5.00%
0.70%
4.00%
0.25%
2.00%
2.00%
0.70%
0.70%
0.70%
1.15%
4.00%
7.00%
4.00%
2.40%
0.00%
4.00%
0.70%
1.50%
5.00%
10.68%
13.30%
6.85%
11.80%
6.18%
8.80%
8.80%
6.85%
6.85%
6.85%
7.53%
11.80%
16.30%
11.80%
9.40%
5.80%
11.80%
6.85%
8.05%
13.30%
4.88%
7.50%
1.05%
6.00%
0.38%
3.00%
3.00%
1.05%
1.05%
1.05%
1.73%
6.00%
10.50%
6.00%
3.60%
0.00%
6.00%
1.05%
2.25%
7.50%
Aaa
Aaa
0.00%
0.00%
5.80%
5.80%
0.00%
0.00%
Baa1
Baa3
1.50%
2.00%
8.05%
8.80%
2.25%
3.00%
Aa2
Aa3
Caa1
B1
B3
B2
Baa1
Ba3
Baa1
0.50%
0.70%
7.00%
4.00%
6.00%
5.00%
1.50%
3.25%
1.50%
6.55%
6.85%
16.30%
11.80%
14.80%
13.30%
8.05%
10.68%
8.05%
0.75%
1.05%
10.50%
6.00%
9.00%
7.50%
2.25%
4.88%
2.25%
B3
Caa3
Ba3
Baa2
Aa3
Baa3
Baa3
Caa1
Ba3
Ba1
B2
Baa1
B3
Baa2
B1
Baa2
Baa3
B1
6.00%
10.00%
3.25%
1.75%
0.70%
2.00%
2.00%
7.00%
3.25%
2.40%
5.00%
1.50%
6.00%
1.75%
4.00%
1.75%
2.00%
4.00%
14.80%
20.80%
10.68%
8.43%
6.85%
8.80%
8.80%
16.30%
10.68%
9.40%
13.30%
8.05%
14.80%
8.43%
11.80%
8.43%
8.80%
11.80%
9.00%
15.00%
4.88%
2.63%
1.05%
3.00%
3.00%
10.50%
4.88%
3.60%
7.50%
2.25%
9.00%
2.63%
6.00%
2.63%
3.00%
6.00%
B1
Ba2
Baa3
B3
B3
Baa2
Baa3
A1
A1
Ba3
Ba1
Baa2
4.00%
2.75%
2.00%
6.00%
6.00%
1.75%
2.00%
0.85%
0.85%
3.25%
2.40%
1.75%
11.80%
9.93%
8.80%
14.80%
14.80%
8.43%
8.80%
7.08%
7.08%
10.68%
9.40%
8.43%
6.00%
4.13%
3.00%
9.00%
9.00%
2.63%
3.00%
1.28%
1.28%
4.88%
3.60%
2.63%
Baa3
Baa1
B3
Ba3
A2
Baa3
Baa1
A2
B3
2.00%
1.50%
6.00%
3.25%
1.00%
2.00%
1.50%
1.00%
6.00%
8.80%
8.05%
14.80%
10.68%
7.30%
8.80%
8.05%
7.30%
14.80%
3.00%
2.25%
9.00%
4.88%
1.50%
3.00%
2.25%
1.50%
9.00%
Aaa
0.00%
5.80%
0.00%
Baa1
A1
Ba2
Aa2
B1
A1
Aa2
Aa3
Aa2
1.50%
0.85%
2.75%
0.50%
4.00%
0.85%
0.50%
0.70%
0.50%
8.05%
7.08%
9.93%
6.55%
11.80%
7.08%
6.55%
6.85%
6.55%
2.25%
1.28%
4.13%
0.75%
6.00%
1.28%
0.75%
1.05%
0.75%
Aaa
Aaa
0.00%
0.00%
5.80%
5.80%
0.00%
0.00%
Aa3
B3
Aaa
Aaa
Ba3
Ba1
Baa2
Aaa
A3
Aaa
Aaa
Aaa
Aa1
Caa3
0.70%
6.00%
0.00%
0.00%
3.25%
2.40%
1.75%
0.00%
1.15%
0.00%
0.00%
0.00%
0.25%
10.00%
6.85%
14.80%
5.80%
5.80%
10.68%
9.40%
8.43%
5.80%
7.53%
5.80%
5.80%
5.80%
6.18%
20.80%
1.05%
9.00%
0.00%
0.00%
4.88%
3.60%
2.63%
0.00%
1.73%
0.00%
0.00%
0.00%
0.38%
15.00%
Baa3
Aaa
Baa2
Baa3
Aaa
Aaa
Ba1
Aaa
2.00%
0.00%
1.75%
2.00%
0.00%
0.00%
2.40%
0.00%
8.80%
5.80%
8.43%
8.80%
5.80%
5.80%
9.40%
5.80%
3.00%
0.00%
2.63%
3.00%
0.00%
0.00%
3.60%
0.00%
Region
Africa
Africa
Africa
Africa
Africa
Africa
Africa
Africa
Africa
Africa
Africa
Africa
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia

Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean
Caribbean



Financial Center
Middle East
Middle East
Middle East
Middle East
Middle East
Middle East
Middle East
Middle East
Middle East
North America
North America
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Western Europe
Foreign
Currency
Albania
B1
Angola
Ba3
Argentina
B3
Armenia
Ba2
Australia
Aaa
Austria
Aaa
Azerbaijan
Baa3
Bahamas
Baa1
Bahrain
Baa1
Bangladesh
Ba3
Barbados
Baa3
Belarus
B3
Belgium
Aa3
Belize
Ca
Bermuda
Aa2
Bolivia
Ba3
Bosnia and Herzegovina B3
Botswana
A2
Brazil
Baa2
Bulgaria
Baa2
Cambodia
B2
Canada
Aaa
Cayman Islands
Aa3
Chile
Aa3
China
Aa3
Colombia
Baa3
Costa Rica
Baa3
Croatia
Baa3
Cuba
Caa1
Cyprus
B3
Czech Republic
A1
Denmark
Aaa
Dominican Republic
B1
Ecuador
Caa1
Egypt
B2
El Salvador
Ba3
Estonia
A1
Fiji Islands
B1
Finland
Aaa
France
Aa1
Georgia
Ba3
Germany
Aaa
Greece
Caa3
Guatemala
Ba1
Honduras
B2
Hong Kong
Aa1
Hungary
Ba1
Iceland
Baa3
India
Baa3
Indonesia
Baa3
Ireland
Ba1
Isle of Man
Aaa
Israel
A1
Italy
Baa2
Jamaica
B3
Local Currency
B1
Ba3
B3
Ba2
Aaa
Aaa
Baa3
Baa1
Baa1
Ba3
Baa3
B3
Aa3
Caa3
Aa2
Ba3
B3
A2
Baa2
Baa2
B2
Aaa
Aa3
Aa3
Aa3
Baa3
Baa3
Baa3
Caa1
B3
A1
Aaa
B1
Caa1
B2
Ba3
A1
B1
Aaa
Aa1
Ba3
Aaa
Caa3
Ba1
B2
Aa1
Ba1
Baa3
Baa3
Baa3
Ba1
Aaa
A1
Baa2
B3
GOVERN
IN LOCAL A
Local-Currency Government Bond Ratings reflect the governments capacity and
Foreign-Currency Government Bond Ratings reflect the governments capacity a
Japan
Aa3
Jordan
Ba2
Kazakhstan
Baa2
Kenya
B1
Korea
Aa3
Kuwait
Aa2
Latvia
Baa3
Lebanon
B1
Lithuania
Baa1
Luxembourg
Aaa
Macao
Aa3
Malaysia
A3
Malta
A3
Mauritius
Baa1
Mexico
Baa1
Moldova
B3
Mongolia
B1
Montenegro
Ba3
Morocco
Ba1
Namibia
Baa3
Netherlands
Aaa
New Zealand
Aaa
Nicaragua
B3
Nigeria
Ba3
Norway
Aaa
Oman
A1
Pakistan
Caa1
Panama
Baa2
Papua New Guinea
B1
Paraguay
B1
Peru
Baa2
Philippines
Ba1
Poland
A2
Portugal
Ba3
Qatar
Aa2
Romania
Baa3
Russia
Baa1
Saudi Arabia
Aa3
Senegal
B1
Singapore
Aaa
Slovakia
A2
Slovenia
Baa2
South Africa
Baa1
Spain
Baa3
Sri Lanka
B1
St. Maarten
Baa1
B2
Suriname
Ba3
Sweden
Aaa
Switzerland
Aaa
Taiwan
Aa3
Thailand
Baa1
Trinidad and Tobago Baa1
Tunisia
Baa3
Turkey
Ba1
Ukraine
B3
United Arab Emirates Aa2
Aa3
Ba2
Baa2
B1
Aa3
Aa2
Baa3
B1
Baa1
Aaa
Aa3
A3
A3
Baa1
Baa1
B3
B1
Ba3
Ba1
Baa3
Aaa
Aaa
B3
Ba3
Aaa
A1
Caa1
Baa2
B1
B1
Baa2
Ba1
A2
Ba3
Aa2
Baa3
Baa1
Aa3
B1
Aaa
A2
Baa2
Baa1
Baa3
B1
Baa1
B2
Ba3
Aaa
Aaa
Aa3
Baa1
Baa1
Baa3
Ba1
B3
Aa2
United Kingdom
Aaa
United States of AmericaAaa
Uruguay
Baa3
Venezuela
B2
Vietnam
B2
Zambia
B1
Aaa
Aaa
Baa3
B1
B2
B1
GOVERNMENT BOND RATINGS

IN LOCAL AND FOREIGN CURRENCY
Ratings reflect the governments capacity and willingness to generate local-currency revenue to repay its local-currency bonds on a timely
d Ratings reflect the governments capacity and willingness to mobilize foreign exchange to repay its foreign-currency denominated bonds on
Country
Albania
Angola
Argentina
Armenia
Australia
Austria
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium
Belize
Bermuda
Bolivia
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Colombia
Costa Rica
Croatia
Cuba
Cyprus
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland
France
Georgia
Germany
Region
Albania
Africa
Angola
Argentina
Armenia
Australia
Western Europe
Caribbean
Middle East
Asia
Caribbean
Western Europe
Caribbean
Africa
Asia
North America
Caribbean
Asia
Caribbean
Western Europe
Western Europe
Caribbean
Africa
Asia
Western Europe
Western Europe
Western Europe
Austria
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium
Belize
Bermuda
Bolivia
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Colombia
Costa Rica
Croatia
Cuba
Cyprus
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland
France
Georgia
Germany
Greece
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland
Isle of Man
Israel
Italy
Jamaica
Japan
Jordan
Kazakhstan
Kenya
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg
Macao
Malaysia
Malta
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands
New Zealand
Nicaragua
Nigeria
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Western Europe
Asia
Western Europe
Asia
Asia
Western Europe
Financial Center
Middle East
Western Europe
Caribbean
Asia
Middle East
Africa
Asia
Middle East
Middle East
Western Europe
Asia
Asia
Western Europe
Africa
Asia
Africa
Africa
Western Europe
Africa
Western Europe
Middle East
Asia
Asia
Greece
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland
Isle of Man
Israel
Italy
Jamaica
Japan
Jordan
Kazakhstan
Kenya
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg
Macao
Malaysia
Malta
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands
New Zealand
Nicaragua
Nigeria
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Peru
Philippines
Asia
Poland
Portugal
Western Europe
Qatar
Middle East
Romania
Russia
Saudi Arabia
Middle East
Senegal
Africa
Singapore
Asia
Slovakia
Slovenia
South Africa
Africa
Spain
Western Europe
Sri Lanka
Asia
St. Maarten
Africa
Caribbean
Suriname
Caribbean
Sweden
Western Europe
Switzerland
Western Europe
Taiwan
Asia
Thailand
Asia
Trinidad and Tobago
Caribbean
Tunisia
Africa
Turkey
Western Europe
Turkmenistan
Ukraine
Middle East
United Kingdom
Western Europe
United States of America North America
Uruguay
Venezuela
Vietnam
Asia
Zambia
Africa
Peru
Philippines
Poland
Portugal
Qatar
Romania
Russia
Saudi Arabia
Senegal
Singapore
Slovakia
Slovenia
South Africa
Spain
Sri Lanka
St. Maarten
Suriname
Sweden
Switzerland
Taiwan
Thailand
Trinidad and Tobago
Tunisia
Turkey
Ukraine
United Kingdom
Uruguay
Venezuela
Vietnam
Zambia
Albania
Angola
Argentina
Armenia
Australia
Austria
Azerbaijan
Bahamas
Bahrain
Bangladesh
Barbados
Belarus
Belgium
Belize
Bermuda
Bolivia
Botswana
Brazil
Bulgaria
Cambodia
Canada
Cayman Islands
Chile
China
Colombia
Costa Rica
Croatia
Cuba
Cyprus
Czech Republic
Denmark
Dominican Republic
Ecuador
Egypt
El Salvador
Estonia
Fiji Islands
Finland
France
Georgia
Germany
Greece
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland
Isle of Man
Israel
Italy
Jamaica
Japan
Local Currency
B1
Ba3
B3
Ba2
Aaa
Aaa
Baa3
Baa1
Baa1
Ba3
Baa3
B3
Aa3
Caa3
Aa2
Ba3
B3
A2
Baa2
Baa2
B2
Aaa
Aa3
Aa3
Aa3
Baa3
Baa3
Baa3
Caa1
B3
A1
Aaa
B1
Caa1
B2
Ba3
A1
B1
Aaa
Aa1
Ba3
Aaa
C
Ba1
B2
Aa1
Ba1
Baa3
Baa3
Baa3
Ba1
Aaa
A1
Baa2
B3
Aa3
10-year CDS
NA
NA
13.07%
NA
0.86%
0.79%
NA
NA
2.52%
NA
NA
NA
1.24%
NA
NA
NA
NA
NA
1.44%
1.41%
NA
NA
NA
0.99%
1.02%
1.35%
3.91%
2.99%
NA
6.55%
0.89%
0.69%
NA
NA
5.76%
NA
0.95%
NA
0.60%
1.44%
NA
0.82%
NA
NA
NA
1.03%
3.16%
2.16%
NA
1.81%
2.54%
NA
1.61%
3.03%
NA
1.32%
Jordan
Kazakhstan
Kenya
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg
Macao
Malaysia
Malta
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands
New Zealand
Nicaragua
Nigeria
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
Peru
Philippines
Poland
Portugal
Qatar
Romania
Russia
Saudi Arabia
Senegal
Singapore
Slovakia
Slovenia
South Africa
Spain
Sri Lanka
St. Maarten
Suriname
Sweden
Switzerland
Taiwan
Thailand
Trinidad and Tobago
Tunisia
Turkey
Ukraine
United Kingdom
Ba2
Baa2
B1
Aa3
Aa2
Baa3
B1
Baa1
Aaa
Aa3
A3
A3
Baa1
Baa1
B3
B1
Ba3
Ba1
Baa3
Aaa
Aaa
B3
Ba3
Aaa
A1
Caa1
Baa2
B1
B1
Baa2
Ba1
A2
Ba3
Aa2
Baa3
Baa1
Aa3
B1
Aaa
A2
Baa2
Baa1
Baa3
B1
Baa1
B2
Ba3
Aaa
Aaa
Aa3
Baa1
Baa1
Baa3
Ba1
B3
Aa2
Aaa
NA
1.97%
NA
1.13%
NA
1.70%
4.72%
1.58%
NA
NA
1.14%
NA
NA
1.36%
NA
NA
NA
2.79%
NA
0.83%
0.72%
NA
NA
0.41%
NA
7.90%
1.36%
NA
NA
1.38%
1.59%
1.30%
4.93%
1.28%
2.81%
1.82%
0.78%
NA
NA
1.42%
2.59%
2.03%
3.14%
NA
NA
NA
NA
0.41%
0.76%
NA
1.43%
NA
4.21%
1.79%
6.51%
NA
0.74%

Uruguay
Venezuela
Vietnam
Zambia
Aaa
Baa3
B1
B2
B1
0.67%
NA
6.55%
2.74%
NA
Country
Std deviation in Equities (weekly over 2 years)Std deviation in Bond PriceRelative Standard Deviation
Argentina
Bangladesh
Bosnia
Brazil
Bulgaria
Chile
China
Colombia
Croatia
Czech Republic
Egypt
Estonia
Greece
Hungary
Iceland
India
Indonesia
Ireland
Israel
Italy
Kenya
Korea
Lativia
Lithuania
Macedonia
Malaysia
Mexico
Morocco
Namibia
Nigeria
Pakistan
Peru
Philippines
Poland
Portugal
Romania
Russia
Serbia
Slovakia
Slovenia
South Africa
Spain
29.85%
36.07%
14.21%
21.80%
16.62%
15.66%
22.00%
17.81%
15.00%
21.45%
26.29%
21.58%
32.90%
27.08%
14.31%
19.87%
20.58%
22.56%
18.58%
29.96%
28.41%
19.92%
15.24%
19.43%
16.87%
10.95%
18.02%
11.36%
19.51%
14.40%
16.66%
26.51%
18.35%
18.68%
20.46%
23.73%
24.41%
14.45%
17.06%
15.76%
16.33%
29.14%
18.27%
1.63
NA
NA
NA
NA
12.58%
1.73
NA
NA
8.50%
11.20%
14.52%
9.08%
10.90%
16.35%
1.84
1.96
1.23
1.65
1.97
1.61
NA
NA
39.17%
18.24%
12.41%
8.01%
20.43%
24.86%
9.20%
15.30%
0.84
NA
NA
6.55%
3.04
NA
NA
NA
NA
NA
NA
8.64%
11.06%
8.35%
1.27
NA
NA
NA
NA
7.54%
2.21
12.24%
12.24%
11.67%
29.69%
2.17
16.97%
1.40
12.55%
1.95
1.48
1.15
2.48
1.01
0.91
2.02
1.96
1.63
1.36
1.50
1.60
0.69
NA
NA
10.44%
12.63%
10.18%
30.83%
1.63
1.25
1.60
0.95
Sri Lanka
Thailand
Tunisia
Turkey
Ukraine
Venezuela
Vietnam
US
Average
Median
19.28%
17.77%
17.00%
24.52%
37.83%
14.38%
25.42%
19.55%
NA
NA
9.88%
1.80
NA
NA
11.97%
2.05
NA
NA
20.87%
12.65%
0.69
2.01
1.61
1.63
dard Deviation
Country
GDP (in billions)
Albania
13
Angola
101
Argentina
446
Armenia
10.2
Australia
1371.8
Austria
418.5
Azerbaijan
63.4
Bahamas
7.8
Bahrain
22.9
Bangladesh
110.6
Barbados
3.7
Belarus
55.1
Belgium
511.5
Belize
1.5
Bermuda
7.3
Bolivia
24.4
18.1
Botswana
17.6
Brazil
2476.7
Bulgaria
53.5
Cambodia
12.9
Canada
1736
Cayman Islands
3
Chile
248.6
China
7298.1
Colombia
331.7
Costa Rica
41
Croatia
63.9
Cuba
60.8
Cyprus
24.7
Czech Republic
215.2
Denmark
332.7
Dominican Republic
55.6
Ecuador
67
Egypt
229.5
El Salvador
23.1
Estonia
22.2
Fiji Islands
3.8
Finland
266.1
France
2773
Georgia
14.4
Germany
3570.6
Greece
Guatemala
Honduras
Hong Kong
Hungary
Iceland
India
Indonesia
Ireland
Isle of Man
Israel
Italy
Jamaica
Japan
Jordan
Kazakhstan
Kenya
Korea
Kuwait
Latvia
Lebanon
Lithuania
Luxembourg
Macao
Malaysia
Malta
Mauritius
Mexico
Moldova
Mongolia
Montenegro
Morocco
Namibia
Netherlands
New Zealand
Nicaragua
Nigeria
Norway
Oman
Pakistan
Panama
Papua New Guinea
Paraguay
298.7
46.9
17.3
243.7
140
14.1
1848
846.8
217.3
3
242.9
2194.8
15.1
5867.2
28.8
186.2
33.6
1116.2
176.6
28.3
42.2
42.7
59.5
36.4
278.7
8.9
11.3
1155.3
7
8.6
4.6
100.2
12.3
836.3
142.5
7.3
235.9
485.8
71.8
211.1
30.7
12.9
23.9
Peru
Philippines
Poland
Portugal
Qatar
Romania
Russia
Saudi Arabia
Senegal
Singapore
Slovakia
Slovenia
South Africa
Spain
Sri Lanka
St. Maarten
Suriname
Sweden
Switzerland
Taiwan
Thailand
Trinidad and Tobago
Tunisia
Turkey
Turkmenistan
Ukraine
United Kingdom
Uruguay
Venezuela
Vietnam
Zambia
176.7
224.8
514.5
237.5
173
179.8
1857.8
576.8
14.3
239.7
96
49.5
408.2
1490.8
59.2
1
0.7
0.5
538.1
635.7
393.2
345.6
22.5
45.9
773.1
24.1
165.2
360.2
2431.6
15094
46.7
316.5
124
19.2

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Country Risk Premiums

Step 1: Estimating mature market risk premium

Step 3: Convert the default spread into a country risk premium

With CDS spreads, I compute the base number in two steps

p 3 to get a total equity risk premium.

ings class, at the start of every year.

orksheet to that number.

Estimating Country Risk Premiums

Local Currency Rating Rating-based Default Spread

Central and South America

Eastern Europe & Russia

Default spread in basis points

Estimating Country Risk Premiums

Total Equity Risk Premium

spread in basis points

Long-Term RatingAdj. Default Spread

Country Risk PremiumRegion

Central and South America

Country Risk Premium

Default Spread (Weighted Country

Total Risk Premium Default Spread * WeightCRP * Weight

Risk Premium (Weighted Average)

Long-Term Rating Adj. Default Spread

Total Risk Premium Country Risk Premium

Australia & New Zealand

Central and South America

Eastern Europe & Russia

Eastern Europe & Russia

GOVERNMENT BOND RATINGS

Central and South America

Eastern Europe & Russia

Australia & New Zealand

United States of America

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