Country In 2019 ` Country In 2020

Australia 2.19% Australia 1.24%

Brazil 9.18% Brazil 6.77%
Bulgaria 0.85% Bulgaria 0.40%
Canada 1.86% Canada 1.63%
Chile 4.45% Chile 3.28%
China 3.19% China 3.17%
Colombia 6.77% Colombia 5.97%
Croatia 2.09% Croatia 0.66%
Czech Republic 1.73% Czech Republic 1.62%
Denmark 0.14% Denmark -0.25%
Germany 0.15% France 0.06%
Hong Kong 1.92% Germany -0.28%
Hungary 2.84% Greece 1.46%
Iceland 5.44% Hong Kong 1.60%
India 7.43% Hungary 2.10%
Indonesia 8.08% Iceland 3.51%
Israel 2.22% India 6.56%
Japan 0.00% Indonesia 7.07%
Kenya 12.25% Israel 0.77%
Latvia 0.55% Italy 1.44%
Lithuania 1.15% Japan -0.02%
Malaysia 4.08% Kenya 12.20%
Mexico 8.62% Latvia 0.55%
New Zealand 2.32% Lithuania 0.43%
Nigeria 15.53% Malaysia 3.28%
Norway 1.68% Mexico 6.86%
Pakistan 13.15% Mexico 6.86%
Peru 5.43% Netherlands -0.16%
Philippine 6.93% New Zealand 1.52%
Poland 2.72% Nigeria 10.95%
Qatar 3.89% Norway 1.40%
Romania 4.72% Philippine 4.71%
Russia 8.68% Poland 2.21%
Singapore 2.05% Portugal 0.40%
Slovakia 0.90% Qatar 2.69%
South Africa 8.85% Romania 4.41%
South Korea 1.95% Russia 6.28%
Sweden 0.40% Singapore 1.73%
Switzerland -0.24% Slovakia 0.14%
Taiwan 0.84% South Africa 8.25%
Thailand 2.40% South Korea 1.63%
Turkey 16.34% Spain 0.44%
UK 1.20% Sweden 0.13%
US 2.59% Switzerland -0.61%
Venezuela 10.43% Taiwan 0.66%
Vietnam 5.17% Thailand 1.41%
Zambia 19.50% Turkey 11.86%
UK 0.82%
US 1.92%
Vietnam 3.12%
Zambia Government
32.50%
Bond 10y
 0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
Australian $
Brazilian Reai
British Pound
Bulgarian Lev
Canadian $
Chilean Peso
Chinese Yuan
Colombian Peso
Croatian Kuna
Czech Koruna
Danish Krone
Euro
HK $
Hungarian Forint
Iceland Krona
Indian Rupee
Indonesian Rupiah
Israeli Shekel
Japanese Yen
Kenyan Shilling
Korean Won
Malyasian Ringgit

Default Spread based on rating

Mexican Peso
ing)

Nigerian Naira
Norwegian Krone
NZ $
Pakistani Rupee
Peruvian Sol

Bond Rating (Moody's)

Phillipine Peso
Polish Zloty
Qatari Dinar
Romanian Lev
Russian Ruble
Singapore $
South African Rand
Swedish Krona
Swiss Franc
Taiwanese $
Thai Baht
Turkish Lira
Ten-year Government Bond Rates, net of Default spread (based on sovereign rat-

US $
Vietnamese Dong
Zambian kwacha
 -5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%

0.00%
5.00%
Australian $
Brazilian Reai
British Pound
Bulgarian Lev
Canadian $
Chilean Peso
Chinese Yuan
Colombian Peso
Croatian Kuna
Czech Koruna
Danish Krone
Euro
HK $
Hungarian Forint
Iceland Krona
Indian Rupee
Indonesian Rupiah
Israeli Shekel

Risk free Rate

Japanese Yen
Kenyan Shilling
Korean Won
Malyasian Ringgit
Mexican Peso
Nigerian Naira
Norwegian Krone
NZ $
Pakistani Rupee
Peruvian Sol

Default Spread based on rating

Phillipine Peso
Polish Zloty
Qatari Dinar
Romanian Lev
Russian Ruble
Singapore $
South African Rand
Swedish Krona
Swiss Franc
Taiwanese $
Risk free Rates by Currency in January 2019: Government Bond Based

Thai Baht
Turkish Lira
US $
Vietnamese Dong
Zambian kwacha
Currency Govt Bond Rate 12/31/19 Bond Rating (Moody's)

Australian $ 1.24% Aaa

Brazilian Reai 6.77% Ba2
British Pound 0.82% Aa2
Bulgarian Lev 0.40% Baa2
Canadian $ 1.63% Aaa
Chilean Peso 3.28% A1
Chinese Yuan 3.17% A1
Colombian Peso 5.97% Baa2
Croatian Kuna 0.66% Ba2
Czech Koruna 1.62% A1
Danish Krone -0.25% Aaa
Euro -0.28% Aaa
HK $ 1.60% Aa2
Hungarian Forint 2.10% Baa3
Iceland Krona 3.51% A3
Indian Rupee 6.56% Baa2
Indonesian Rupiah 7.07% Baa2
Israeli Shekel 0.77% A1
Japanese Yen -0.02% A1
Kenyan Shilling 12.20% B2
Korean Won 1.63% Aa2
Malyasian Ringgit 3.28% A3
Mexican Peso 6.86% A3
Nigerian Naira 10.95% B2
Norwegian Krone 1.40% Aaa
NZ $ 1.52% Aaa
Pakistani Rupee 11.02% B3
Peruvian Sol 5.43% A3
Phillipine Peso 4.71% Baa2
Polish Zloty 2.21% A2
Qatari Dinar 2.69% Aa3
Romanian Lev 4.41% Baa3
Russian Ruble 6.28% Ba1
Singapore $ 1.73% Aaa
South African Rand 8.25% Baa3
Swedish Krona 0.13% Aaa
Swiss Franc -0.61% Aaa
Taiwanese $ 0.66% Aa3
Thai Baht 1.41% Baa1
Turkish Lira 11.86% Ba3
US $ 1.92% Aaa
Vietnamese Dong 3.12% Ba3
Zambian kwacha 32.50% Caa2
Default Spread based on rating Risk free Rate

0.00% 1.24%
2.51% 4.26%
0.41% 0.41%
1.59% -1.19%
0.00% 1.63%
0.59% 2.69%
0.59% 2.58%
1.59% 4.38%
2.51% -1.85%
0.59% 1.03%
0.00% -0.25%
0.00% -0.28%
0.41% 1.19%
1.84% 0.26%
1.00% 2.51%
1.59% 4.97%
1.59% 5.48%
0.59% 0.18%
0.59% -0.61%
4.60% 7.60%
0.41% 1.22%
1.00% 2.28%
1.00% 5.86%
4.60% 6.35%
0.00% 1.40%
0.00% 1.52%
5.44% 5.58%
1.00% 4.43%
1.59% 3.12%
0.71% 1.50%
0.51% 2.18%
1.84% 2.57%
2.09% 4.19%
0.00% 1.73%
1.84% 6.41%
0.00% 0.13%
0.00% -0.61%
0.51% 0.15%
1.34% 0.07%
3.01% 8.85%
0.00% 1.92%
3.01% 0.11%
7.53% 24.97%
Country In 2020 RatingDefault spread in basis points
Australia 1.24% A1 59
Brazil 6.77% A2 71
Bulgaria 0.40% A3 100
Canada 1.63% Aa1 33
Chile 3.28% Aa2 41
China 3.17% Aa3 51
Colombia 5.97% Aaa 0
Croatia 0.66% B1 376
Czech Republic 1.62% B2 460
Denmark -0.25% B3 544
France 0.06% Ba1 209
Germany -0.28% Ba2 251
Greece 1.46% Ba3 301
Hong Kong 1.60% Baa1 134
Hungary 2.10% Baa2 159
Iceland 3.51% Baa3 184
India 6.56% C 1500
Indonesia 7.07% Ca 1003
Israel 0.77% Caa1 627
Italy 1.44% Caa2 753
Japan -0.02% Caa3 836
Kenya 12.20%
Latvia 0.55%
Lithuania 0.43%
Malaysia 3.28%
Mexico 6.86%
Mexico 6.86%
Netherlands -0.16%
New Zealand 1.52%
Nigeria 10.95%
Norway 1.40%
Philippine 4.71%
Poland 2.21%
Portugal 0.40%
Qatar 2.69%
Romania 4.41%
Russia 6.28%
Singapore 1.73%
Slovakia 0.14%
South Africa 8.25%
South Korea 1.63%
Spain 0.44%
Sweden 0.13%
Switzerland -0.61%
Taiwan 0.66%
Thailand 1.41%
Turkey 11.86%
UK 0.82%
US 1.92%
Vietnam 3.12%
Zambia Government Bond 10y 32.50%
pread in basis points
S&P Moody's
Sovereign Sovereign Default
Rating Rating Spread
AAA Aaa 0.00%
AA+ Aa1 0.33%
AA Aa2 0.41%
AA- Aa3 0.51%
A+ A1 0.59%
A A2 0.71%
A- A3 1.00%
BBB+ Baa1 1.34%
BBB Baa2 1.59%
BBB- Baa3 1.84%
BB+ Ba1 2.09%
BB Ba2 2.51%
BB Ba3 3.01%
B+ B1 3.76%
B B2 4.60%
B- B3 5.44%
CCC+ Caa1 6.27%
CCC Caa2 7.53%
CCC- Caa3 8.36%
CC+ Ca1 10.03%
CC Ca2 12.00%
CC- Ca3 14.00%
C+ C1 15.00%
C C2 18.00%
C- C3 23.00%
RatingDefault spread in basis points
Aaa 0
Aa1 33
Aa2 41
Aa3 51
A1 59
A2 71
A3 100
Baa1 134
Baa2 159
Baa3 184
Ba1 209
Ba2 251
Ba3 301
B1 376
B2 460
B3 544
Caa1 627
Caa2 753
Caa3 836
Ca 1003
C 1500