Country LongTerm Rating Adj.
Default Spread Total Risk Premium
Albania B1 450 11.25%
Argentina B3 650 14.25%
Armenia Ba2 300 9.00%
Australia Aaa 0 4.50%
Austria [1] Aaa 0 4.50%
Azerbaijan Ba1 250 8.25%
Bahamas A3 120 6.30%
Bahrain A2 105 6.08%
Barbados Baa2 180 7.20%
Belarus B1 450 11.25%
Belgium [1] Aa1 30 4.95%
Belize B3 650 14.25%
Bermuda Aa2 60 5.40%
Bolivia B2 550 12.75%
Bosnia and Herzegovina B2 550 12.75%
Botswana A2 105 6.08%
Brazil Baa3 200 7.50%
Bulgaria Baa3 200 7.50%
Cambodia B2 550 12.75%
Canada Aaa 0 4.50%
Cayman Islands Aa3 75 5.63%
Chile A1 90 5.85%
China A1 90 5.85%
Colombia Baa3 200 7.50%
Costa Rica Ba1 250 8.25%
Croatia Baa3 200 7.50%
Cuba Caa1 750 15.75%
Cyprus [1] Aa3 75 5.63%
Czech Republic A1 90 5.85%
Denmark Aaa 0 4.50%
Dominican Republic B2 550 12.75%
Ecuador Caa3 1000 19.50%
Egypt Ba1 250 8.25%
El Salvador WR 1000 19.50%
Estonia A1 90 5.85%
Fiji Islands B1 450 11.25%
Finland [1] Aaa 0 4.50%
France [1] Aaa 0 4.50%
Germany [1] Aaa 0 4.50%
Greece [1] A2 105 6.08%
Guatemala Ba1 250 8.25%
Honduras B2 550 12.75%
Hong Kong Aa2 60 5.40%
Hungary Baa1 160 6.90%
Iceland Baa3 200 7.50%
India Ba2 300 9.00%
Indonesia Ba2 300 9.00%
Ireland [1] Aa1 30 4.95%
Isle of Man Aaa 0 4.50%
Israel A1 90 5.85%
Italy [1] Aa2 60 5.40%
Jamaica Caa1 750 15.75%
Japan Aa2 60 5.40%
Jordan Baa3 200 7.50%
Kazakhstan Baa2 180 7.20%
Korea A2 105 6.08%
Kuwait Aa2 60 5.40%
Latvia Baa3 200 7.50%
Lebanon B2 550 12.75%
Lithuania Baa1 160 6.90%
Luxembourg [1] Aaa 0 4.50%
Macao Aa3 75 5.63%
Malaysia A3 120 6.30%
Malta [1] A1 90 5.85%
Mauritius Baa2 180 7.20%
Mexico Baa1 160 6.90%
Moldova Caa1 750 15.75%
Mongolia B1 450 11.25%
Montenegro Ba3 350 9.75%
Morocco Ba1 250 8.25%
Netherlands [1] Aaa 0 4.50%
New Zealand Aaa 0 4.50%
Nicaragua B3 650 14.25%
Norway Aaa 0 4.50%
Oman A2 105 6.08%
Pakistan B3 650 14.25%
Panama Ba1 250 8.25%
Papua New Guinea B1 450 11.25%
Paraguay B3 650 14.25%
Peru Baa3 200 7.50%
Philippines Ba3 350 9.75%
Poland A2 105 6.08%
Portugal [1] Aa2 60 5.40%
Qatar Aa2 60 5.40%
Romania Baa3 200 7.50%
Russia Baa1 160 6.90%
Saudi Arabia A1 90 5.85%
Singapore Aaa 0 4.50%
Slovakia A1 90 5.85%
Slovenia [1] Aa2 60 5.40%
South Africa A3 120 6.30%
Spain [1] Aaa 0 4.50%
St. Vincent & the Grenadin B1 450 11.25%
Suriname Ba3 350 9.75%
Sweden Aaa 0 4.50%
Switzerland Aaa 0 4.50%
Taiwan Aa3 75 5.63%
Thailand Baa1 160 6.90%
Trinidad and Tobago Baa1 160 6.90%
Tunisia Baa2 180 7.20%
Turkey Ba3 350 9.75%
Turkmenistan B2 550 12.75%
Ukraine B2 550 12.75%
United Arab Emirates Aa2 60 5.40%
United Kingdom Aaa 0 4.50%
United States of America Aaa 0 4.50%
Uruguay Ba3 350 9.75%
Venezuela B1 450 11.25%
Vietnam Ba3 350 9.75%
Country Risk Premium Region
6.75% Eastern Europe & Russia
9.75% Central and South America
4.50% Eastern Europe & Russia
0.00% Australia & New Zealand
0.00% Western Europe
3.75% Eastern Europe & Russia
1.80% Caribbean
1.58% Middle East
2.70% Caribbean
6.75% Eastern Europe & Russia
0.45% Western Europe
9.75% Central and South America
0.90% Caribbean
8.25% Central and South America
8.25% Eastern Europe & Russia
1.58% Africa
3.00% Central and South America
3.00% Eastern Europe & Russia
8.25% Asia
0.00% North America
1.13% Caribbean
1.35% Central and South America
1.35% Asia
3.00% Central and South America
3.75% Central and South America
3.00% Eastern Europe & Russia
11.25% Caribbean
1.13% Western Europe
1.35% Eastern Europe & Russia
0.00% Western Europe
8.25% Caribbean
15.00% Central and South America
3.75% Africa
15.00% Central and South America
1.35% Eastern Europe & Russia
6.75% Asia
0.00% Western Europe
0.00% Western Europe
0.00% Western Europe
1.58% Western Europe
3.75% Central and South America
8.25% Central and South America
0.90% Asia
2.40% Eastern Europe & Russia
3.00% Western Europe
4.50% Asia
4.50% Asia
0.45% Western Europe
0.00% Financial Center
1.35% Middle East
0.90% Western Europe
11.25% Caribbean
0.90% Asia
3.00% Middle East
2.70% Eastern Europe & Russia
1.58% Asia
0.90% Middle East
3.00% Eastern Europe & Russia
8.25% Middle East
2.40% Eastern Europe & Russia
0.00% Financial Center
1.13% Asia
1.80% Asia
1.35% Western Europe
2.70% Africa
2.40% North America
11.25% Eastern Europe & Russia
6.75% Asia
5.25% Eastern Europe & Russia
3.75% Africa
0.00% Western Europe
0.00% Australia & New Zealand
9.75% Central and South America
0.00% Western Europe
1.58% Middle East
9.75% Asia
3.75% Central and South America
6.75% Asia
9.75% Central and South America
3.00% Central and South America
5.25% Asia
1.58% Eastern Europe & Russia
0.90% Western Europe
0.90% Middle East
3.00% Eastern Europe & Russia
2.40% Eastern Europe & Russia
1.35% Middle East
0.00% Asia
1.35% Eastern Europe & Russia
0.90% Eastern Europe & Russia
1.80% Africa
0.00% Western Europe
6.75% Caribbean
5.25% Caribbean
0.00% Western Europe
0.00% Western Europe
1.13% Asia
2.40% Asia
2.40% Caribbean
2.70% Africa
5.25% Asia
8.25% Eastern Europe & Russia
8.25% Eastern Europe & Russia
0.90% Middle East
0.00% Western Europe
0.00% North America
5.25% Central and South America
6.75% Central and South America
5.25% Asia
Estimating Country Risk Premiums
To estimate the long term country risk premium, I start with the country rating (from Moody's: [Link]) and estimate the default spread for
that rating (US corporates and country bonds) over the treasury bond rate. This becomes a measure of the added country risk premium for that country.
I add this default spread to the historical risk premium for a mature equity market (estimated from US historical data) to estimate the total risk premium.
In the short term especially, the equity country risk premium is likely to be greater than the country's default spread. You can estimate an adjusted country risk
premium by multiplying the default spread by the relative equity market volatility for that market (Std dev in country equity market/Std dev in country bond)
In this spreadsheet, I have used the global average of equity to bond market volatility of 1.5 to estimate the country equity risk premium.
Enter the current risk premium for a mature equity market
Do you want to adjust the country risk premium for the additional volatility of the equity market?
If no, use the country risk premium from the columns below
If yes, you can adjust the country risk premium for the relative volatility of the equity market below:
Enter the country risk premium from default spread =
Enter the standard deviation in the equity market in the country =
Enter the standard deviation in the long term bond issued by the country =
The adjusted country risk premium for your country is =
Country Region LongTerm Rating Adj. Default Spread
Albania Eastern Europe & Russia B1 450
Argentina Central and South America B3 650
Armenia Eastern Europe & Russia Ba2 300
Australia Australia & New Zealand Aaa 0
Austria [1] Western Europe Aaa 0
Azerbaijan Eastern Europe & Russia Ba1 250
Bahamas Caribbean A3 120
Bahrain Middle East A2 105
Barbados Caribbean Baa2 180
Belarus Eastern Europe & Russia B1 450
Belgium [1] Western Europe Aa1 30
Belize Central and South America B3 650
Bermuda Caribbean Aa2 60
Bolivia Central and South America B2 550
Bosnia and Herzegovina Eastern Europe & Russia B2 550
Botswana Africa A2 105
Brazil Central and South America Baa3 200
Bulgaria Eastern Europe & Russia Baa3 200
Cambodia Asia B2 550
Canada North America Aaa 0
Cayman Islands Caribbean Aa3 75
Chile Central and South America A1 90
China Asia A1 90
Colombia Central and South America Baa3 200
Costa Rica Central and South America Ba1 250
Croatia Eastern Europe & Russia Baa3 200
Cuba Caribbean Caa1 750
Cyprus [1] Western Europe Aa3 75
Czech Republic Eastern Europe & Russia A1 90
Denmark Western Europe Aaa 0
Dominican Republic Caribbean B2 550
Ecuador Central and South America Caa3 1000
Egypt Africa Ba1 250
El Salvador Central and South America WR 1000
Estonia Eastern Europe & Russia A1 90
Fiji Islands Asia B1 450
Finland [1] Western Europe Aaa 0
France [1] Western Europe Aaa 0
Germany [1] Western Europe Aaa 0
Greece [1] Western Europe A2 105
Guatemala Central and South America Ba1 250
Honduras Central and South America B2 550
Hong Kong Asia Aa2 60
Hungary Eastern Europe & Russia Baa1 160
Iceland Western Europe Baa3 200
India Asia Ba2 300
Indonesia Asia Ba2 300
Ireland [1] Western Europe Aa1 30
Isle of Man Financial Center Aaa 0
Israel Middle East A1 90
Italy [1] Western Europe Aa2 60
Jamaica Caribbean Caa1 750
Japan Asia Aa2 60
Jordan Middle East Baa3 200
Kazakhstan Eastern Europe & Russia Baa2 180
Korea Asia A2 105
Kuwait Middle East Aa2 60
Latvia Eastern Europe & Russia Baa3 200
Lebanon Middle East B2 550
Lithuania Eastern Europe & Russia Baa1 160
Luxembourg [1] Financial Center Aaa 0
Macao Asia Aa3 75
Malaysia Asia A3 120
Malta [1] Western Europe A1 90
Mauritius Africa Baa2 180
Mexico Central and South America Baa1 160
Moldova Eastern Europe & Russia Caa1 750
Mongolia Asia B1 450
Montenegro Eastern Europe & Russia Ba3 350
Morocco Africa Ba1 250
Netherlands [1] Western Europe Aaa 0
New Zealand Australia & New Zealand Aaa 0
Nicaragua Central and South America B3 650
Norway Western Europe Aaa 0
Oman Middle East A2 105
Pakistan Asia B3 650
Panama Central and South America Ba1 250
Papua New Guinea Asia B1 450
Paraguay Central and South America B3 650
Peru Central and South America Baa3 200
Philippines Asia Ba3 350
Poland Eastern Europe & Russia A2 105
Portugal [1] Western Europe Aa2 60
Qatar Middle East Aa2 60
Romania Eastern Europe & Russia Baa3 200
Russia Eastern Europe & Russia Baa1 160
Saudi Arabia Middle East A1 90
Singapore Asia Aaa 0
Slovakia Eastern Europe & Russia A1 90
Slovenia [1] Eastern Europe & Russia Aa2 60
South Africa Africa A3 120
Spain [1] Western Europe Aaa 0
St. Vincent & the Grenadines Caribbean B1 450
Suriname Caribbean Ba3 350
Sweden Western Europe Aaa 0
Switzerland Western Europe Aaa 0
Taiwan Asia Aa3 75
Thailand Asia Baa1 160
Trinidad and Tobago Caribbean Baa1 160
Tunisia Africa Baa2 180
Turkey Asia Ba3 350
Turkmenistan Eastern Europe & Russia B2 550
Ukraine Eastern Europe & Russia B2 550
United Arab Emirates Middle East Aa2 60
United Kingdom Western Europe Aaa 0
United States of America North America Aaa 0
Uruguay Central and South America Ba3 350
Venezuela Central and South America B1 450
Vietnam Asia Ba3 350
Rating Default spread in basis points
A1 90
A2 105
A3 120
Aa1 30
Aa2 60
Aa3 75
Aaa 0
B1 450
B2 550
B3 650
Ba1 250
Ba2 300
Ba3 350
Baa1 160
Baa2 180
Baa3 200
Caa1 750
Caa2 900
Caa3 1000
Premiums
4.50%
Yes ! Yes or No
5.50%
61% ! Use annualized historical volatility
35% ! Use annualized historical volatility
9.59%
Total Risk Premium Country Risk Premium Has to be sorted in ascending order
11.25% 6.75% Rating Default spread in basis points
14.25% 9.75% A1 90
9.00% 4.50% A2 105
4.50% 0.00% A3 120
4.50% 0.00% Aa1 30
8.25% 3.75% Aa2 60
6.30% 1.80% Aa3 75
6.08% 1.58% Aaa 0
7.20% 2.70% B1 450
11.25% 6.75% B2 550
4.95% 0.45% B3 650
14.25% 9.75% Ba1 250
5.40% 0.90% Ba2 300
12.75% 8.25% Ba3 350
12.75% 8.25% Baa1 160
6.08% 1.58% Baa2 180
7.50% 3.00% Baa3 200
7.50% 3.00% Caa1 750
12.75% 8.25% Caa2 900
4.50% 0.00% Caa3 1000
5.63% 1.13%
5.85% 1.35%
5.85% 1.35%
7.50% 3.00%
8.25% 3.75%
7.50% 3.00%
15.75% 11.25%
5.63% 1.13%
5.85% 1.35%
4.50% 0.00%
12.75% 8.25%
19.50% 15.00%
8.25% 3.75%
19.50% 15.00%
5.85% 1.35%
11.25% 6.75%
4.50% 0.00%
4.50% 0.00%
4.50% 0.00%
6.08% 1.58%
8.25% 3.75%
12.75% 8.25%
5.40% 0.90%
6.90% 2.40%
7.50% 3.00%
9.00% 4.50%
9.00% 4.50%
4.95% 0.45%
4.50% 0.00%
5.85% 1.35%
5.40% 0.90%
15.75% 11.25%
5.40% 0.90%
7.50% 3.00%
7.20% 2.70%
6.08% 1.58%
5.40% 0.90%
7.50% 3.00%
12.75% 8.25%
6.90% 2.40%
4.50% 0.00%
5.63% 1.13%
6.30% 1.80%
5.85% 1.35%
7.20% 2.70%
6.90% 2.40%
15.75% 11.25%
11.25% 6.75%
9.75% 5.25%
8.25% 3.75%
4.50% 0.00%
4.50% 0.00%
14.25% 9.75%
4.50% 0.00%
6.08% 1.58%
14.25% 9.75%
8.25% 3.75%
11.25% 6.75%
14.25% 9.75%
7.50% 3.00%
9.75% 5.25%
6.08% 1.58%
5.40% 0.90%
5.40% 0.90%
7.50% 3.00%
6.90% 2.40%
5.85% 1.35%
4.50% 0.00%
5.85% 1.35%
5.40% 0.90%
6.30% 1.80%
4.50% 0.00%
11.25% 6.75%
9.75% 5.25%
4.50% 0.00%
4.50% 0.00%
5.63% 1.13%
6.90% 2.40%
6.90% 2.40%
7.20% 2.70%
9.75% 5.25%
12.75% 8.25%
12.75% 8.25%
5.40% 0.90%
4.50% 0.00%
4.50% 0.00%
9.75% 5.25%
11.25% 6.75%
9.75% 5.25%
Foreign Currency Local Currency
Rating Rating
Albania B1 B1
Argentina B3 B3
Armenia Ba2 Ba2 Local-Currency Government Bond Ratings reflect the government’s c
Australia Aaa Aaa Foreign-Currency Government Bond Ratings reflect the government’s
Austria [1] Aaa Aaa
Azerbaijan Ba1 Ba1
Bahamas A3 A3
Bahrain A2 A2
Barbados Baa3 Baa2
Belarus B1 B1
Belgium [1] Aa1 Aa1
Belize B3 B3
Bermuda Aa2 Aa2
Bolivia B2 B2
Bosnia and Herzeg B2 B2
Botswana A2 A2
Brazil Baa3 Baa3
Bulgaria Baa3 Baa3
Cambodia B2 B2
Canada Aaa Aaa
Cayman Islands Aa3 Aa3
Chile A1 A1
China A1 A1
Colombia Ba1 Baa3
Costa Rica Ba1 Ba1
Croatia Baa3 Baa3
Cuba Caa1 Caa1
Cyprus [1] Aa3 Aa3
Czech Republic A1 A1
Denmark Aaa Aaa
Dominican Republi B2 B2
Ecuador Caa3 Caa3
Egypt Ba1 Ba1
El Salvador Ba1 WR
Estonia A1 A1
Fiji Islands B1 B1
Finland [1] Aaa Aaa
France [1] Aaa Aaa
Germany [1] Aaa Aaa
Greece [1] A2 A2
Guatemala Ba2 Ba1
Honduras B2 B2
Hong Kong Aa2 Aa2
Hungary Baa1 Baa1
Iceland Baa3 Baa3
India Baa3 Ba2
Indonesia Ba2 Ba2
Ireland [1] Aa1 Aa1
Isle of Man Aaa Aaa
Israel A1 A1
Italy [1] Aa2 Aa2
Jamaica Caa1 Caa1
Japan Aa2 Aa2
Jordan Ba2 Baa3
Kazakhstan Baa2 Baa2
Korea A2 A2
Kuwait Aa2 Aa2
Latvia Baa3 Baa3
Lebanon B2 B2
Lithuania Baa1 Baa1
Luxembourg [1] Aaa Aaa
Macao Aa3 Aa3
Malaysia A3 A3
Malta [1] A1 A1
Mauritius Baa2 Baa2
Mexico Baa1 Baa1
Moldova Caa1 Caa1
Mongolia B1 B1
Montenegro Ba3 Ba3
Morocco Ba1 Ba1
Netherlands [1] Aaa Aaa
New Zealand Aaa Aaa
Nicaragua Caa1 B3
Norway Aaa Aaa
Oman A2 A2
Pakistan B3 B3
Panama Ba1 Ba1
Papua New Guinea B1 B1
Paraguay B3 B3
Peru Baa3 Baa3
Philippines Ba3 Ba3
Poland A2 A2
Portugal [1] Aa2 Aa2
Qatar Aa2 Aa2
Romania Baa3 Baa3
Russia Baa1 Baa1
Saudi Arabia A1 A1
Singapore Aaa Aaa
Slovakia A1 A1
Slovenia [1] Aa2 Aa2
South Africa A3 A3
Spain [1] Aaa Aaa
St. Vincent & the B1 B1
Suriname B1 Ba3
Sweden Aaa Aaa
Switzerland Aaa Aaa
Taiwan Aa3 Aa3
Thailand Baa1 Baa1
Trinidad and Tobag Baa1 Baa1
Tunisia Baa2 Baa2
Turkey Ba3 Ba3
Turkmenistan B2 B2
Ukraine B2 B2
United Arab Emirat Aa2 Aa2
United Kingdom Aaa Aaa
United States of A Aaa Aaa
Uruguay Ba3 Ba3
Venezuela B2 B1
Vietnam Ba3 Ba3
GOVERNMENT BOND RATINGS
IN LOCAL AND FOREIGN CURRENCY
rnment Bond Ratings reflect the government’s capacity and willingness to generate local-currency revenue to repay its local-currency bonds on a timely basis.
vernment Bond Ratings reflect the government’s capacity and willingness to mobilize foreign exchange to repay its foreign-currency denominated bonds on a timely basis.
s on a timely basis.
minated bonds on a timely basis.
