Country Default Spreads and Risk Premiums

Last updated: January 5, 2022

This table summarizes the latest bond ratings and appropriate default spreads for different countries. While you can use these numbers as rough estimates of country risk premiums, you may want to modify the premia to reflect the additonal risk of equity markets. To estimate the long term country equity risk premium, I start with a default spread, which I obtain in one of two ways:
(1) I use the local currency sovereign rating (from Moody's: www.moodys.com) and estimate the default spread for that rating (based upon traded country bonds) over a default free government bond rate. For countries without a Moody's rating but with an S&P rating, I use the Moody's equivalent of the S&P rating. To get the default spreads by sovereign rating, I use the CDS spreads and compute the average CDS spread by rating. Using that number as a basis, I extrapolate for those ratings for which I have no CDS spreads.
(2) I start with the CDS spread for the country, if one is available and subtract out the US CDS spread, since my mature market premium is derived from the US market. That difference becomes the country spread. For the few countries that have CDS spreads that are lower than the US, I will get a negative number.
You can add just this default spread to the mature market premium to arrive at the total equity risk premium. I add an additional step. 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).  Sicnce government   bonds are  not available or traded in most countries, I approximate the relative equity market volatility by estimating the standard deviations in two indices, the S&P emerging market equity index (for equities) and the S&P emerging market government bond index (for government bonds), and using that ratio for all countries to estimate the additional country risk premium. Finally, I add that country risk premium to my estimate of a mature market equity risk premium, for which I use the implied equity ris premium of the S&P 500.


Country Moody's rating Adj. Default Spread Country Risk Premium Equity Risk Premium Country Risk Premium
Abu Dhabi Aa2 0.42% 0.49% 4.73% 0.49%
Albania B1 3.83% 4.45% 8.69% 4.45%
Algeria NR 5.53% 6.43% 10.67% 6.43%
Andorra (Principality of) Baa2 1.62% 1.88% 6.12% 1.88%
Angola B3 5.53% 6.43% 10.67% 6.43%
Anguilla NR 5.88% 6.83% 11.07% 6.83%
Antigua & Barbuda NR 5.88% 6.83% 11.07% 6.83%
Argentina Ca 10.21% 11.87% 16.11% 11.87%
Armenia Ba3 3.06% 3.56% 7.80% 3.56%
Aruba Baa2 1.62% 1.88% 6.12% 1.88%
Australia Aaa 0.00% 0.00% 4.24% 0.00%
Austria Aa1 0.34% 0.39% 4.63% 0.39%
Azerbaijan Ba2 2.56% 2.97% 7.21% 2.97%
Bahamas Ba3 3.06% 3.56% 7.80% 3.56%
Bahrain B2 4.68% 5.44% 9.68% 5.44%
Bangladesh Ba3 3.06% 3.56% 7.80% 3.56%
Barbados Caa1 6.38% 7.41% 11.65% 7.41%
Belarus B3 5.53% 6.43% 10.67% 6.43%
Belgium Aa3 0.51% 0.60% 4.84% 0.60%
Belize Caa3 8.51% 9.89% 14.13% 9.89%
Benin B1 3.83% 4.45% 8.69% 4.45%
Bermuda A2 0.72% 0.84% 5.08% 0.84%
Bolivia B2 4.68% 5.44% 9.68% 5.44%
Bosnia and Herzegovina B3 5.53% 6.43% 10.67% 6.43%
Botswana A3 1.02% 1.19% 5.43% 1.19%
Brazil Ba2 2.56% 2.97% 7.21% 2.97%
British Virgin Islands NR 5.88% 6.83% 11.07% 6.83%
Brunei NR 0.72% 0.84% 5.08% 0.84%
Bulgaria Baa1 1.36% 1.58% 5.82% 1.58%
Burkina Faso B2 4.68% 5.44% 9.68% 5.44%
Cambodia B2 4.68% 5.44% 9.68% 5.44%
Cameroon B2 4.68% 5.44% 9.68% 5.44%
Canada Aaa 0.00% 0.00% 4.24% 0.00%
Cape Verde B3 5.53% 6.43% 10.67% 6.43%
Cayman Islands Aa3 0.51% 0.60% 4.84% 0.60%
Channel Islands NR 0.72% 0.83% 5.07% 0.83%
Chile A1 0.60% 0.70% 4.94% 0.70%
China A1 0.60% 0.70% 4.94% 0.70%
Colombia Baa2 1.62% 1.88% 6.12% 1.88%
Congo (Democratic Republic of) Caa1 6.38% 7.41% 11.65% 7.41%
Congo (Republic of) Caa2 7.66% 8.90% 13.14% 8.90%
Cook Islands B1 3.83% 4.45% 8.69% 4.45%
Costa Rica B2 4.68% 5.44% 9.68% 5.44%
Croatia Ba1 2.13% 2.47% 6.71% 2.47%
Cuba Ca 10.21% 11.87% 16.11% 11.87%
Curacao Baa2 1.62% 1.88% 6.12% 1.88%
Cyprus Ba1 2.13% 2.47% 6.71% 2.47%
Czech Republic Aa3 0.51% 0.60% 4.84% 0.60%
Denmark Aaa 0.00% 0.00% 4.24% 0.00%
Dominican Republic Ba3 3.06% 3.56% 7.80% 3.56%
Ecuador Caa3 8.51% 9.89% 14.13% 9.89%
Egypt B2 4.68% 5.44% 9.68% 5.44%
El Salvador Caa1 6.38% 7.41% 11.65% 7.41%
Estonia A1 0.60% 0.70% 4.94% 0.70%
Ethiopia Caa2 7.66% 8.90% 13.14% 8.90%
Falkland Islands NR 5.88% 6.83% 11.07% 6.83%
Fiji B1 3.83% 4.45% 8.69% 4.45%
Finland Aa1 0.34% 0.39% 4.63% 0.39%
France Aa2 0.42% 0.49% 4.73% 0.49%
French Guiana NR 3.26% 3.79% 8.03% 3.79%
Gabon Caa1 6.38% 7.41% 11.65% 7.41%
Gambia NR 4.68% 5.44% 9.68% 5.44%
Georgia Ba2 2.56% 2.97% 7.21% 2.97%
Germany Aaa 0.00% 0.00% 4.24% 0.00%
Ghana B3 5.53% 6.43% 10.67% 6.43%
Gibraltar NR 0.72% 0.83% 5.07% 0.83%
Greece Ba3 3.06% 3.56% 7.80% 3.56%
Greenland NR 0.72% 0.83% 5.07% 0.83%
Guatemala Ba1 2.13% 2.47% 6.71% 2.47%
Guernsey Aa3 0.51% 0.60% 4.84% 0.60%
Guinea NR 7.66% 8.90% 13.14% 8.90%
Guinea-Bissau NR 5.53% 6.43% 10.67% 6.43%
Guyana NR 3.83% 4.45% 8.69% 4.45%
Haiti NR 8.51% 9.89% 14.13% 9.89%
Honduras B1 3.83% 4.45% 8.69% 4.45%
Hong Kong Aa3 0.51% 0.60% 4.84% 0.60%
Hungary Baa2 1.62% 1.88% 6.12% 1.88%
Iceland A2 0.72% 0.84% 5.08% 0.84%
India Baa3 1.87% 2.18% 6.42% 2.18%
Indonesia Baa2 1.62% 1.88% 6.12% 1.88%
Iran NR 5.53% 6.43% 10.67% 6.43%
Iraq Caa1 6.38% 7.41% 11.65% 7.41%
Ireland A2 0.72% 0.84% 5.08% 0.84%
Isle of Man Aa3 0.51% 0.60% 4.84% 0.60%
Israel A1 0.60% 0.70% 4.94% 0.70%
Italy Baa3 1.87% 2.18% 6.42% 2.18%
Ivory Coast Ba3 3.06% 3.56% 7.80% 3.56%
Jamaica B2 4.68% 5.44% 9.68% 5.44%
Japan A1 0.60% 0.70% 4.94% 0.70%
Jersey Aaa 0.00% 0.00% 4.24% 0.00%
Jordan B1 3.83% 4.45% 8.69% 4.45%
Kazakhstan Baa2 1.62% 1.88% 6.12% 1.88%
Kenya B2 4.68% 5.44% 9.68% 5.44%
Korea, D.P.R. NR 10.21% 11.87% 16.11% 11.87%
Kuwait A1 0.60% 0.70% 4.94% 0.70%
Kyrgyzstan B2 4.68% 5.44% 9.68% 5.44%
Laos Caa2 7.66% 8.90% 13.14% 8.90%
Latvia A3 1.02% 1.19% 5.43% 1.19%
Lebanon C 17.50% 20.34% 24.58% 20.34%
Liberia NR 7.66% 8.90% 13.14% 8.90%
Libya NR 3.83% 4.45% 8.69% 4.45%
Liechtenstein Aaa 0.00% 0.00% 4.24% 0.00%
Lithuania A2 0.72% 0.84% 5.08% 0.84%
Luxembourg Aaa 0.00% 0.00% 4.24% 0.00%
Macao Aa3 0.51% 0.60% 4.84% 0.60%
Macedonia Ba3 3.06% 3.56% 7.80% 3.56%
Madagascar NR 5.53% 6.43% 10.67% 6.43%
Malawi NR 7.66% 8.90% 13.14% 8.90%
Malaysia A3 1.02% 1.19% 5.43% 1.19%
Maldives Caa1 6.38% 7.41% 11.65% 7.41%
Mali Caa1 6.38% 7.41% 11.65% 7.41%
Malta A2 0.72% 0.84% 5.08% 0.84%
Martinique NR 3.26% 3.79% 8.03% 3.79%
Mauritius Baa2 1.62% 1.88% 6.12% 1.88%
Mexico Baa1 1.36% 1.58% 5.82% 1.58%
Moldova B3 5.53% 6.43% 10.67% 6.43%
Mongolia B3 5.53% 6.43% 10.67% 6.43%
Montenegro B1 3.83% 4.45% 8.69% 4.45%
Montserrat Baa3 1.87% 2.18% 6.42% 2.18%
Morocco Ba1 2.13% 2.47% 6.71% 2.47%
Mozambique Caa2 7.66% 8.90% 13.14% 8.90%
Myanmar NR 10.21% 11.87% 16.11% 11.87%
Namibia Ba3 3.06% 3.56% 7.80% 3.56%
Netherlands Aaa 0.00% 0.00% 4.24% 0.00%
Netherlands Antilles NR 5.88% 6.83% 11.07% 6.83%
New Zealand Aaa 0.00% 0.00% 4.24% 0.00%
Nicaragua B3 5.53% 6.43% 10.67% 6.43%
Niger B3 5.53% 6.43% 10.67% 6.43%
Nigeria B2 4.68% 5.44% 9.68% 5.44%
Norway Aaa 0.00% 0.00% 4.24% 0.00%
Oman Ba3 3.06% 3.56% 7.80% 3.56%
Pakistan B3 5.53% 6.43% 10.67% 6.43%
Palestinian Authority NR 1.38% 1.60% 5.84% 1.60%
Panama Baa2 1.62% 1.88% 6.12% 1.88%
Papua New Guinea B2 4.68% 5.44% 9.68% 5.44%
Paraguay Ba1 2.13% 2.47% 6.71% 2.47%
Peru Baa1 1.36% 1.58% 5.82% 1.58%
Philippines Baa2 1.62% 1.88% 6.12% 1.88%
Poland A2 0.72% 0.84% 5.08% 0.84%
Portugal Baa2 1.62% 1.88% 6.12% 1.88%
Qatar Aa3 0.51% 0.60% 4.84% 0.60%
Ras Al Khaimah (Emirate of) A3 1.02% 1.19% 5.43% 1.19%
Reunion NR 4.51% 5.25% 9.49% 5.25%
Romania Baa3 1.87% 2.18% 6.42% 2.18%
Russia Baa3 1.87% 2.18% 6.42% 2.18%
Rwanda B2 4.68% 5.44% 9.68% 5.44%
Saint Lucia NR 5.88% 6.83% 11.07% 6.83%
Saudi Arabia A1 0.60% 0.70% 4.94% 0.70%
Senegal Ba3 3.06% 3.56% 7.80% 3.56%
Serbia Ba2 2.56% 2.97% 7.21% 2.97%
Sharjah Baa3 1.87% 2.18% 6.42% 2.18%
Sierra Leone NR 8.51% 9.89% 14.13% 9.89%
Singapore Aaa 0.00% 0.00% 4.24% 0.00%
Slovakia A2 0.72% 0.84% 5.08% 0.84%
Slovenia A3 1.02% 1.19% 5.43% 1.19%
Solomon Islands Caa1 6.38% 7.41% 11.65% 7.41%
Somalia NR 10.21% 11.87% 16.11% 11.87%
South Africa Ba2 2.56% 2.97% 7.21% 2.97%
South Korea Aa2 0.42% 0.49% 4.73% 0.49%
Spain Baa1 1.36% 1.58% 5.82% 1.58%
Sri Lanka Caa2 7.66% 8.90% 13.14% 8.90%
St. Maarten Ba2 2.56% 2.97% 7.21% 2.97%
St. Vincent & the Grenadines B3 5.53% 6.43% 10.67% 6.43%
Sudan NR 17.50% 20.34% 24.58% 20.34%
Suriname Caa3 8.51% 9.89% 14.13% 9.89%
Swaziland B3 5.53% 6.43% 10.67% 6.43%
Sweden Aaa 0.00% 0.00% 4.24% 0.00%
Switzerland Aaa 0.00% 0.00% 4.24% 0.00%
Syria NR 17.50% 20.34% 24.58% 20.34%
Taiwan Aa3 0.51% 0.60% 4.84% 0.60%
Tajikistan B3 5.53% 6.43% 10.67% 6.43%
Tanzania B2 4.68% 5.44% 9.68% 5.44%
Thailand Baa1 1.36% 1.58% 5.82% 1.58%
Togo B3 5.53% 6.43% 10.67% 6.43%
Trinidad and Tobago Ba2 2.56% 2.97% 7.21% 2.97%
Tunisia Caa1 6.38% 7.41% 11.65% 7.41%
Turkey B2 4.68% 5.44% 9.68% 5.44%
Turks and Caicos Islands Baa1 1.36% 1.58% 5.82% 1.58%
Uganda B2 4.68% 5.44% 9.68% 5.44%
Ukraine B3 5.53% 6.43% 10.67% 6.43%
United Arab Emirates Aa2 0.42% 0.49% 4.73% 0.49%
United Kingdom Aa3 0.51% 0.60% 4.84% 0.60%
United States Aaa 0.00% 0.00% 4.24% 0.00%
Uruguay Baa2 1.62% 1.88% 6.12% 1.88%
Uzbekistan B1 3.83% 4.45% 8.69% 4.45%
Venezuela C 17.50% 20.34% 24.58% 20.34%
Vietnam Ba3 3.06% 3.56% 7.80% 3.56%
Yemen NR 10.21% 11.87% 16.11% 11.87%
Zambia Ca 10.21% 11.87% 16.11% 11.87%
Zimbabwe NR 6.38% 7.41% 11.65% 7.41%

For more details, download the excel spreadsheet that contains this data on my website: https://www.stern.nyu.edu/~adamodar/pc/datasets/ctryprem.xlsx
If you are interested in my approach to computing the equity risk premium, download my magnum opus (just kidding):
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3825823

And my paper on measuring country risk
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3879109

Last updated: January 2022

Aswath Damodaran