The BlackRock Sovereign Risk Index: A Performance Assessment and Update
A Publication of the BlackRock Investment Institute
October 2011
About The BlackRock Investment Institute
The BlackRock Investment Institute is a
global platform that leverages BlackRock’s
expertise in markets, asset classes, and
client segments. Launched in 2011, the
Institute’s goal is to produce information
that makes BlackRock’s portfolio managers
better investors and helps deliver positive
investment results for our clients.
Table of Contents
The BlackRock Sovereign Risk Index: A Performance Assessment and Update ........................ 2
Quarterly Update ................................... 3
BlackRock Sovereign Risk Index Performance ................................ 4
Conclusion ............................................. 5
Appendix A: A Side-Note on Technical Challenges ........................ 6
Appendix B: Ratings Actions .................. 6
The BlackRock Sovereign Risk Index: A Performance Assessment and Update
} In our June publication, “Introducing the BlackRock Sovereign Risk Index: A More Comprehensive View of Credit Quality”1 , we detailed a framework of fundamental analysis highlighting the relative risk among 44 developed and emerging market countries.
} Our initial analysis was judgmentally based, and contemporaneously validated by a high correlation with sovereign credit default swap (CDS) market spreads. Over recent months we have constructed the back history of this approach running from January 2005 to July 2011, taking care to use ‘real-time’ data (unrevised data, which was available at the time).
} In this quarterly update for the index, we complement our earlier analysis, showing how the BlackRock Sovereign Risk Index (BSRI) has outperformed both ratings agencies2 and sovereign credit default swap spreads in highlighting downgrade risks.
} Further to this, we demonstrate how the BSRI effectively stratified forward-market-returns based on country-specific local-rate issues, with the weakest names substantially underperforming the rest of the index.
} Considering heightened activity within the Eurozone periphery in recent years, we present a case study that focuses on Greece, Ireland, Italy, Spain, and Portugal. We show how the BSRI would have led agency activity over the span of these countries, while leading markets in their shift from complacency.
1 This document can be accessed at: https://www2.blackrock.com/webcore/litService/search/getDocument.seam?venue=PUB_IND&source=GLOBAL&contentId=1111142235
2 ‘Ratings agencies’ refers to Moody’s, Standard and Poor’s, and Fitch within this document.
The opinions expressed are those of the BlackRock Investment Institute as of October 2011, and may change as subsequent conditions vary.
Benjamin Brodsky, CFA Managing Director
Fixed Income Asset Allocation
Garth Flannery, CFA Director
Fixed Income Asset Allocation
Sami Mesrour, CFA Director
Fixed Income Asset Allocation
Ewen Cameron Watt Chief Investment Strategist
BlackRock Investment Institute
[ 2 ] S O V E R E I G N R I S k I N D E x Q U A R T E R l y U P D A T E
Figure 1: BlackRock Sovereign Risk Index Score
2.0
1.0
0.0
-1.0
-2.0
Nor
way
Swed
en
Finl
and
Swit
zerl
and
Can
ada
S. K
orea
Aus
tral
ia
Chi
le
Den
mar
k
Ger
man
y
Net
herl
ands
New
Zea
land
Aus
tria
USA
Mal
aysi
a
Thai
land
Rus
sia
Chi
na
Isra
el
Cze
ch R
epub
lic
Peru UK
Phili
ppin
es
Fran
ce
Pola
nd
Indo
nesi
a
Col
ombi
a
Bel
gium
Bra
zil
Mex
ico
Cro
atia
S. A
fric
a
Turk
ey
Japa
n
Spai
n
Indi
a
Hun
gary
Arg
enti
na
Ital
y
Irel
and
Egyp
t
Port
ugal
Vene
zuel
a
Gre
ece
SEPT
EMBE
R BS
RI
Quarterly Update
The quarterly update for the BlackRock Sovereign Risk Index (BSRI)
is shown below. Previous themes of stable Scandinavian countries
at the far left of the chart and the riskiness of the Eurozone periphery
remain intact, with many emerging market countries faring better
in comparison to their developed market counterparts, despite
their ratings agency ranking.
Two notable moves this quarter are Australia, where increases
to primary budget deficit projections3 have led to deterioration
in the fiscal space component; and Poland where, conversely,
substantial primary deficit improvements have led to a climb up
the index.
Reviewing market movements since our last publication with a
focus on the Eurozone, the table to the right ranks constituent
countries first by sovereign risk according to their BSRI scores in
June, then by their respective sovereign credit default swap (CDS)
spreads at the time, and finally by their current spreads. Between
June and September, the ranking of market spreads has shifted to
align more closely with the BSRI.
Most notably, Italy’s 5-year CDS spread is now over 90bps wider
than Spain’s equivalent instrument; at the time of our white paper,
within which we highlighted Italy as a special case of weakness,
it was more than 90bps tighter than Spain.
3 Increased by the equivalent of c.1.3% of GDP in both 2011 and 2012.
Eurozone Country
BSRI Ranking,
June Publication
5y CDS Spread 13-Jun-
2011
Market Ranking 13-Jun-
2011
5y CDS Spread
21-Sept-2011
Market Ranking 21-Sept-
2011
Finland 1 39 2 79 1
Germany 2 44 3 95 2
Nether-lands
3
39
1
101
3
Austria 4 66 4 155 4
France 5 77 5 188 5
Belgium 6 143 6 274 6
Spain 7 257 8 428 7
Ireland 8 654 9 800 9
Italy 9 165 7 519 8
Portugal 10 677 10 1140 10
Greece 11 1568 11 3229 11
Table 1: Eurozone Ranking Table
Source: BlackRock.
During the interim Standard and Poor’s, Moody’s, and Fitch
have all downgraded Italy between one and three notches. As
discussed in the following section, our backtest work indicates
that the ability of the index to highlight downgrade risk in
advance of actions being taken is well-established.
Source: BlackRock.
[ 3 ]A P U B l I C A T I O N O F T h E B l A C k R O C k I N V E S T M E N T I N S T I T U T E — O C T O B E R 2 0 1 1
4 As CDS spreads are not available for the full backhistory for all countries, there were 96 rather than 97 downgrades in the space where CDS quintiles could be generated, 5 The Barcap index includes 30 of the 44 countries spanned by the BSRI, omitting China, Russia, Peru, Israel, Indonesia, Philippines, Brazil, Croatia, Colombia, India, Turkey, Argentina, Egypt and Venezuela. Greece fell out of this index in July 2010. 6 The average rating bucket for the agencies uses ordinal mapping (e.g. AAA = 1; AA1 = 2; through to 21).
Figure 2: Proportion of Downgrade Actions (By Quintile)
100%908070605040302010
0
5th
Qui
ntile
(Wea
kest
)
4th
Qui
ntile
3rd
Qui
ntile
2nd
Qui
ntile
1st Q
uint
ile(S
tron
gest
)
BSRI Ratings Agency CDS Spreads
PERC
ENT
(%)
Figure 3: Cumulative Excess Return (By Quintile)
0.15%
0.10
0.05
0.00
-0.05
-0.10
-0.15
-0.20
’05 ’09 ’10 ’11’06 ’07 ’08
5th Quintile (Weakest)
3rd Quintile
4th Quintile
2nd Quintile1st Quintile (Strongest)
PERC
ENT
(%)
Figure 4: What Are The Biggest Tail Risks?
100%
75
50
25
0
8/10 2/11 4/11 6/11 8/1110/10 12/10
Municipal Default in US
Commodity Price Inflation
Chinese Real Estate Market
Premature Fiscal Tightening
European Sovereign Debt Funding
PERC
ENT
(%)
Source: BOAML Fund Manager Survey.
Source: BlackRock.
Source: BlackRock.
BlackRock Sovereign Risk Index Performance
As the BSRI pertains to fundamental sovereign risks, we first assess
its leading properties with reference to ratings agency activity, as
these are also based on fundamental risks. Over the backtest period
(January 2005–July 2011) there were 97 rating downgrade actions
within the 44 country universe of coverage, by the 3 principal rating
agencies (Moody’s, Standard and Poor’s, and Fitch).
We stratify the 44 countries into quintiles, first using BSRI scores,
then separately by agency ratings, and finally by their 5-year
CDS spreads. The levels used in each case are the month-end
observations prior to a ratings agency downgrade announcement.
The results of our backtest exercise, in Figure 2, show that the
BSRI has historically a better record for identifying downgrade risk
within the weakest quintile, followed by CDS spreads, followed by
agency ratings. Unlike CDS spreads and ratings agencies, none of
the 97 downgrades were present in any of the 3 strongest
quintiles for the real-time BSRI backhistory.4
The analysis above uses downgrades as grounds for performance
of the BSRI. More relevant grounds to an investor may be the returns
from country-specific sovereign bond indices. Using returns from
the Barclays Capital Global Treasury Index, Figure 3 shows the
cumulative monthly performance, in excess over an equally
weighted index, by BSRI quintiles. The underperformance of the
weakest quintile, defined by the BSRI using real-time data, is stark.
Considering the saliency of European sovereign distress over
the last year, (see Figure 4), for case studies we focus on the
Eurozone ‘periphery’, and compare the country-level BSRI score
with the ratings actions of Moody’s, Standard and Poor’s and
Fitch, for Greece, Ireland, Portugal, Italy and Spain.
In Figure 5 overleaf, we compare the average BSRI score for
the European Periphery with their average agency rating through
time.6 This graph shows a clear lead in the deterioration of
sovereign fundamentals which is highlighted by the BSRI prior
to downgrade actions being taken.
While the lead is substantial in the case above, in fairness it should be
noted that as the BSRI is a continuous series and ratings are discrete,
at the margin continuous series ought to have a technical advantage.
By contrast, the comparison in Figure 6 of 5Y CDS spreads for
these 5 countries against their average BSRI score is more of an
even comparison. Here the BSRI marginally leads spread widening —
but does not mirror the spread tightening of 2009 as the countries’
credit fundamentals were deteriorating, not improving.
[ 4 ] S O V E R E I G N R I S k I N D E x Q U A R T E R l y U P D A T E
10
9
8
7
6
5
4
3
2
-1.0-0.9-0.8-0.7-0.6-0.5-0.4-0.3-0.2-0.1
’05 ’08 09’06 ’07 ’10 ’11
Average BSRI ScoreAverage Rating Bucket
AVER
AGE
RATI
NG
S BU
CK
ET
AVERAG
E BSRI SCO
RE (INV
ERTED)
Figure 5: Eurozone Periphery, Ratings vs. BSRI
800900
700600500400300200100
0
-1.0-0.9-0.8-0.7-0.6-0.5-0.4-0.3-0.2
0-0.1
’05 ’08 09’06 ’07 ’10 ’11
AVER
AGE
5Y C
DS
SPRE
AD
(BPS
)
AVERAG
E BSRI SCO
RE (INV
ERTED)
Average BSRI ScoreAverage 5 Year CDS Spread
Figure 6: Eurozone Periphery, CDS vs. BSRI
Figure 7: Varieties of Crises — World Aggregate (1900–June 2010)8
180%
160
140
120
100
80
60
40
20
0
1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010
WWI-Hyperinflation WWII-More Defaults
Oil-Shock Inflation
Emerging Market Crisis andNordic and Japanese Banking Crisis
Global Crisis and Crash
Panic of 1907
Great Depression
BDCI Index + Stock Market CrashBanking, Currency Default and Inflation Crisis (BCDI Index)
WO
RLD
INC
OM
E W
EIG
HTE
D S
HA
RE
Source: Reinhart (2010) “After the Fall;” http://www.nber.org/papers/w16334.
7 So-named for the trend of diminishing volatility in GDP growth and inflation, in advanced economies, that ran from 1980 until the Great Recession.
8 A composite index of banking, currency, sovereign default and inflation crises, and stock market crashes (world income share weighted; 66 countries spanning c.90% of world GDP).
Source: BlackRock. Source: BlackRock.
Conclusion
Driven by multiple fundamental insights to the nature of sovereign
credit risk, the BSRI presents a useful tool for profiling the strengths
and weaknesses of countries against one another.
Our research suggests these insights can lead rating agency activity,
with an excellent track record at preceding downgrades, and
historically would have highlighted areas of market complacency.
We believe its application to a range of underlying indices, whether
market-weighted, GDP-weighted or otherwise, can reduce risks
for the portfolio, while still benefitting from the inclusion of
stronger sovereign credits.
As a backdrop for the future, we believe the multi-decade compilation
of sovereign and banking crises by Reinhart and Rogoff presents
a compelling case that in recent years financial markets have been
complacent about risks that have always been present (Figure 7).
The low incidence of distress experienced by developed countries
in the post-war years have been distinguished by a phase of
financial repression and subsequently the Great Moderation7 ,
rather than reflect the norm of the years preceding. As more
countries approach their upper limits of sustainable leverage, a
return to a higher incidence of crises seems likely, and the BSRI
should remain a relevant tool for these risks.
[ 5 ]A P U B l I C A T I O N O F T h E B l A C k R O C k I N V E S T M E N T I N S T I T U T E — O C T O B E R 2 0 1 1
Country Agency Date From Rating To Rating
Argentina Fitch 01-Aug-2006 B- B
Argentina Fitch 18-Dec-2008 B B-
Argentina Fitch 12-Jul-2010 B- B
Argentina S&P 23-Mar-2006 B- B
Argentina S&P 02-Oct-2006 B B+
Argentina S&P 11-Aug-2008 B+ B
Argentina S&P 31-Oct-2008 B B-
Argentina S&P 13-Sep-2010 B- B
Belgium Fitch 02-May-2006 AA AA+
Brazil Fitch 28-Jun-2006 BB- BB
Brazil Fitch 10-May-2007 BB BB+
Brazil Fitch 29-May-2008 BB+ BBB-
Brazil Fitch 04-Apr-2011 BBB- BBB
Brazil Moody’s 31-Aug-2006 Ba3 Ba2
Brazil Moody’s 23-Aug-2007 Ba2 Ba1
Brazil Moody’s 22-Sep-2009 Ba1 Baa3
Brazil Moody’s 20-Jun-2011 Baa3 Baa2
Brazil S&P 28-Feb-2006 BB BB+
Brazil S&P 16-May-2007 BB+ BBB
Brazil S&P 30-Apr-2008 BBB BBB+
Chile Fitch 01-Feb-2011 A+ AA-
Chile Moody’s 16-Jun-2010 A1 Aa3
China Fitch 17-Oct-2005 A A+
China Fitch 06-Nov-2007 A+ AA-
China Moody’s 11-Nov-2010 A1 Aa3
China S&P 20-Jul-2005 BBB+ A-
China S&P 27-Jul-2006 A- A
China S&P 31-Jul-2008 A A+
China S&P 16-Dec-2010 A+ AA-
Colombia Fitch 22-Jun-2011 BBB- BBB
Colombia Moody’s 29-Jun-2006 Baa2 Baa3
Colombia S&P 05-Mar-2007 BBB BBB+
Croatia Fitch 21-May-2009 BBB+ BBB
Croatia Moody’s 19-Nov-2008 Baa1 Baa2
Croatia Moody’s 17-Apr-2009 Baa2 Baa3
Croatia S&P 16-Mar-2009 BBB+ BBB
Appendix B: Ratings Actions
Appendix A: A Side-Note on Technical Challenges
Collecting country-level variables for all 44 countries in our
universe was not possible for 2 inputs within our fundamental
framework. Our principal source for stratifying a country’s debt
profile along dimensions of currency and term structure does not
store this information prior to Q4 2009 (and the noncurrent data
that is available only encompasses principal liabilities, excluding
interest payments).
As a result, for the backtest exercise we have used proxies for the
term structure and external debt model-inputs, sourced to Moody’s
and Fitch, from country profiles they had published over the backtest
period. Within future updates we adhere to the primary source of
our June white paper; these secondary sources are only used for
the proof-of-concept historical exercise. It should be noted that
as a result of these input substitutions, the contemporaneous
data-point within these backtest series do not exactly match with
our earlier publication, though correlation across the set is still
very high (0.986).
Another challenge was that some series which commenced after
2005 simply cannot be proxied. The International Monetary Fund
and Economist Intelligence Unit publish long-horizon (5+ years)
projections for inflation and real GDP growth for all the countries
in our index, but these only date back to April 2008 and August
2010 respectively. Consensus Economics by contrast have published
long-horizon forecasts since 1989, but these span only 21 of the
44 countries in our universe. Where coverage is incomplete but
projections are available, the subcomponents have been left empty
for missing countries, and cross-sectional scores have been
calculated across the remaining set of countries.
Country Agency Date From Rating To Rating
Croatia S&P 21-Dec-2010 BBB BBB-
Czech Republic Fitch 26-Aug-2005 A A+
Czech Republic Fitch 04-Mar-2008 A+ AA-
Czech Republic S&P 02-Oct-2007 A A+
Egypt Fitch 18-Aug-2008 BBB BBB-
Egypt Fitch 03-Feb-2011 BBB- BB+
Egypt Moody’s 18-May-2005 Baa1 Baa3
Egypt Moody’s 23-Jun-2008 Baa3 Ba1
Egypt Moody’s 31-Jan-2011 Ba1 Ba2
Egypt Moody’s 16-Mar-2011 Ba2 Ba3
Egypt S&P 01-Feb-2011 BB+ BB
Greece Fitch 22-Oct-2009 A A-
Greece Fitch 08-Dec-2009 A- BBB+
Greece Fitch 09-Apr-2010 BBB+ BBB-
Greece Fitch 14-Jan-2011 BBB- BB+
Greece Fitch 20-May-2011 BB+ B+
Greece Fitch 13-Jul-2011 B+ CCC
Greece Moody’s 22-Dec-2009 A1 A2
Greece Moody’s 22-Apr-2010 A2 A3
Greece Moody’s 14-Jun-2010 A3 Ba1
Greece Moody’s 07-Mar-2011 Ba1 B1
Greece Moody’s 01-Jun-2011 B1 Caa1
Greece Moody’s 25-Jul-2011 Caa1 Ca
Greece S&P 14-Jan-2009 A A-
Greece S&P 16-Dec-2009 A- BBB+
Greece S&P 27-Apr-2010 BBB+ BB+
Greece S&P 29-Mar-2011 BB+ BB-
Greece S&P 09-May-2011 BB- B
Greece S&P 13-Jun-2011 B CCC
Greece S&P 27-Jul-2011 CCC CC
Hungary Fitch 12-Jan-2005 A+ A
Hungary Fitch 06-Dec-2005 A A-
Hungary Fitch 10-Nov-2008 A- BBB+
Hungary Fitch 23-Dec-2010 BBB+ BBB
Hungary Moody’s 22-Dec-2006 A1 A2
Hungary Moody’s 07-Nov-2008 A2 A3
[ 6 ] S O V E R E I G N R I S k I N D E x Q U A R T E R l y U P D A T E
Appendix B: Ratings Actions (continued)
Country Agency Date From Rating To Rating
Hungary Moody’s 31-Mar-2009 A3 Baa1
Hungary Moody’s 06-Dec-2010 Baa1 Baa3
Hungary S&P 27-May-2005 A A-
Hungary S&P 15-Jun-2006 A- BBB+
Hungary S&P 17-Nov-2008 BBB+ BBB
Hungary S&P 30-Mar-2009 BBB BBB-
India Fitch 01-Aug-2006 BB+ BBB-
India Moody’s 26-Jul-2010 Ba2 Ba1
India S&P 30-Jan-2007 BB+ BBB-
Indonesia Fitch 27-Jan-2005 B+ BB-
Indonesia Fitch 14-Feb-2008 BB- BB
Indonesia Fitch 25-Jan-2010 BB BB+
Ireland Fitch 08-Apr-2009 AAA AA+
Ireland Fitch 04-Nov-2009 AA+ AA-
Ireland Fitch 06-Oct-2010 AA- A+
Ireland Fitch 09-Dec-2010 A+ BBB+
Ireland Moody’s 02-Jul-2009 Aaa Aa1
Ireland Moody’s 19-Jul-2010 Aa1 Aa2
Ireland Moody’s 17-Dec-2010 Aa2 Baa1
Ireland Moody’s 15-Apr-2011 Baa1 Baa3
Ireland Moody’s 12-Jul-2011 Baa3 Ba1
Ireland S&P 30-Mar-2009 AAA AA+
Ireland S&P 08-Jun-2009 AA+ AA
Ireland S&P 24-Aug-2010 AA AA-
Ireland S&P 23-Nov-2010 AA- A
Ireland S&P 02-Feb-2011 A A-
Ireland S&P 01-Apr-2011 A- BBB+
Israel Fitch 11-Feb-2008 A A+
Israel Moody’s 17-Apr-2008 A2 A1
Israel S&P 27-Nov-2007 A+ AA-
Italy Fitch 19-Oct-2006 AA AA-
Italy S&P 19-Oct-2006 AA- A+
Japan Moody’s 11-Oct-2007 A2 A1
Japan Moody’s 30-Jun-2008 A1 Aa3
Japan Moody’s 18-May-2009 Aa3 Aa2
Japan S&P 22-Apr-2007 AA- AA
Japan S&P 27-Jan-2011 AA AA-
Malaysia Fitch 09-Jun-2009 A+ A
Malaysia S&P 27-Jul-2011 A+ A
Mexico Fitch 07-Dec-2005 BBB BBB+
Mexico Fitch 19-Sep-2007 BBB+ A-
Mexico Fitch 23-Nov-2009 A- BBB+
Mexico S&P 31-Jan-2005 A- A
Mexico S&P 08-Oct-2007 A A+
Mexico S&P 14-Dec-2009 A+ A
Mexico S&P 28-Jul-2011 A A-
Peru Fitch 14-Dec-2005 BB BB+
Peru Fitch 31-Aug-2006 BB+ BBB-
Peru Fitch 02-Apr-2008 BBB- BBB
Peru S&P 20-Nov-2006 BB+ BBB-
Peru S&P 14-Jul-2008 BBB- BBB+
Philippines Fitch 23-Jun-2011 BB+ BBB-
Philippines Moody’s 16-Feb-2005 Ba2 B1
Source: BlackRock.
Country Agency Date From Rating To Rating
Philippines Moody’s 23-Jul-2009 B1 Ba3
Philippines Moody’s 15-Jun-2011 Ba3 Ba2
Philippines S&P 17-Jan-2005 BBB BB+
Poland S&P 29-Mar-2007 A- A
Portugal Fitch 24-Mar-2010 AA AA-
Portugal Fitch 23-Dec-2010 AA- A+
Portugal Fitch 24-Mar-2011 A+ A-
Portugal Fitch 01-Apr-2011 A- BBB-
Portugal Moody’s 13-Jul-2010 Aa2 A1
Portugal Moody’s 15-Mar-2011 A1 A3
Portugal Moody’s 05-Apr-2011 A3 Baa1
Portugal Moody’s 05-Jul-2011 Baa1 Ba2
Portugal S&P 27-Jun-2005 AA AA-
Portugal S&P 21-Jan-2009 AA- A+
Portugal S&P 27-Apr-2010 A+ A-
Portugal S&P 24-Mar-2011 A- BBB
Portugal S&P 29-Mar-2011 BBB BBB-
Russia Fitch 03-Aug-2005 BBB- BBB
Russia Fitch 25-Jul-2006 BBB BBB+
Russia Fitch 04-Feb-2009 BBB+ BBB
Russia Moody’s 25-Oct-2005 Baa3 Baa2
Russia Moody’s 16-Jul-2008 Baa2 Baa1
Russia S&P 31-Jan-2005 BBB- BBB
Russia S&P 15-Dec-2005 BBB BBB+
Russia S&P 04-Sep-2006 BBB+ A-
Russia S&P 08-Dec-2008 A- BBB+
South Africa Fitch 25-Aug-2005 A- A
South Africa Moody’s 16-Jul-2009 A2 A3
South Africa S&P 01-Aug-2005 A A+
South Africa S&P 25-Jan-2011 A+ A
South Korea Fitch 24-Oct-2005 AA- AA
South Korea Moody’s 25-Jul-2007 A3 A2
South Korea Moody’s 14-Apr-2010 A2 A1
Spain Fitch 28-May-2010 AAA AA+
Spain Moody’s 30-Sep-2010 Aaa Aa1
Spain Moody’s 10-Mar-2011 Aa1 Aa2
Spain S&P 19-Jan-2009 AAA AA+
Spain S&P 28-Apr-2010 AA+ AA
Thailand Fitch 11-May-2005 A- A
Thailand Fitch 16-Apr-2009 A A-
Thailand S&P 14-Apr-2009 A A-
Turkey Fitch 13-Jan-2005 B+ BB-
Turkey Fitch 12-Dec-2007 BB- BB
Turkey Fitch 03-Dec-2009 BB BB+
Turkey Moody’s 11-Feb-2005 B2 B1
Turkey Moody’s 14-Dec-2005 B1 Ba3
Turkey Moody’s 08-Jan-2010 Ba3 Ba2
Turkey S&P 19-Feb-2010 BB BB+
Venezuela Fitch 14-Nov-2005 B+ BB-
Venezuela Fitch 15-Dec-2008 BB- B+
Venezuela S&P 12-Aug-2005 B B+
Venezuela S&P 03-Feb-2006 B+ BB-
[ 7 ]A P U B l I C A T I O N O F T h E B l A C k R O C k I N V E S T M E N T I N S T I T U T E — O C T O B E R 2 0 1 1
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