Argentina Credit Default Swaps and International Reserves

by Eduardo Petazze
Between Oct-2011 and Jan-2013 (compared to the average of the previous 16 months), for each US$ 1,000 million reduction in
reserves of the Central Bank, the price of Argentina credit default swaps (CDS) increased by 83.7 bps
Between Feb-2013 and May-2014 (compared to the average of the previous 16 months), for each US$ 1,000 million reduction in
reserves of the Central Bank, the price of Argentina credit default swaps (CDS) increased by 89.4 bps
The following table shows the evolution of the risk premiums on sovereign bonds of Argentina, as measured by the price of 5-year
Credit Default Swaps, and international reserves in gold and foreign currencies in the Central Bank of Argentina.
CDS, 5-yr., Monthly Average (in bps) International Reserves (FX in million USD)
Month
bps
M/M
FX
M/M
Month
bps
M/M
FX
M/M
Oct-2011
1,018.1
111.1 47,516.8 -1,060.9
Feb-2013
2,184.3
460.0 41,598.7
-930.5
Nov-2011
982.6
-35.5 45,955.4 -1,561.4
Mar-2013
2,780.7
596.3 40,401.2 -1,197.5
Dec-2011
962.4
-20.2 46,250.6
295.2
Apr-2013
2,351.1 -429.6 39,416.4
-984.8
Jan-2012
843.0 -119.5 46,590.9
340.3
May-2013
2,686.3
335.3 38,473.9
-942.6
Feb-2012
785.9
-57.1 46,645.8
54.9
Jun-2013
3,131.5
445.1 36,914.8 -1,559.1
Mar-2012
788.6
2.7 47,234.1
588.3
Jul-2013
2,615.4 -516.0 36,955.9
41.1
Apr-2012
944.9
156.3 47,770.2
536.1
Aug-2013
2,457.4 -158.0 36,572.8
-383.1
May-2012
1,121.4
176.5 46,873.1
-897.1
Sep-2013
2,515.5
58.1 34,692.1 -1,880.7
Jun-2012
1,319.4
197.9 46,226.5
-646.6
Oct-2013
2,111.4 -404.1 33,077.6 -1,614.5
Jul-2012
1,169.7 -149.7 46,689.4
462.9
Nov-2013
1,801.4 -310.0 30,621.6 -2,456.1
Aug-2012
1,145.0
-24.7 45,012.7 -1,676.7
Dec-2013
1,691.9 -109.6 30,408.9
-212.7
Sep-2012
1,011.5 -133.5 44,983.1
-29.6
Jan-2014
2,081.0
389.1 27,747.0 -2,661.9
Oct-2012
1,051.5
40.0 45,183.2
200.2
Feb-2014
2,351.0
270.0 27,528.3
-218.7
Nov-2012
2,292.2 1,240.7 45,067.9
-115.3
Mar-2014
1,997.6 -353.4 26,934.1
-594.2
Dec-2012
1,495.0 -797.2 43,107.3 -1,960.6
Apr-2014
1,731.6 -266.0 28,046.5
1,112.5
Jan-2013
1,724.4
229.3 42,529.3
-578.1
May-2014
1,668.0
-63.6 28,546.0
499.5
Average 16-month 1,166.0
453.1 45,852.3 -5,414.8 Average 16-month 2,259.8 1,093.8 33,621.0 -12,231.3
Own calculation
Bloomberg calculation May14 average upto May 29, 2014 and estimate
The FX reserves are at the end of each month (Gold and currency, net) May 2014: provisional estimate