Country risk index

Daniel Davies d_squared_2002 at yahoo.co.uk
Mon Jul 16 00:28:40 PDT 2001


--- Michael Pollak <mpollak at panix.com> wrote: >
> The last paragraph of an article in today's FT says, "By close of trading
> yesterday Argentine country risk stood at 1,400 points, down from 1,519
> the previous day."
>
> What do these numbers refer to?
>
> Michael
>

Spread over US Treasuries of Argentine debt, measured in basis points. For countries like ARG where the benchmark bond is a Brady, you have to do some funky maths to strip out the effect of the US T-Bond collateral, hence you often see "stripped yield spread" used interchangeably.

That thing I half-wrote on "How To Default" may become topical in the next couple of weeks -- if it does, I will finish it. But my current belief is that Argy is too big to fail.

dd, long and wrong.

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