Following the recent turmoil in equity markets during February, we have observed a decoupling of different Global Risk Aversion (GRA) indicators. Markets seem to be giving much less value to the risk accounted for sovereign ratings. The tightening of sovereign spreads (CDS) is outstanding. Summary:

• Colombia and Brazil were downgraded by S&P. Greece was improved by S&P and Fitch, which also improved Spain, Croatia and Indonesia.
• Following the recent turmoil in equity markets during February, we have observed a decoupling of different Global Risk Aversion (GRA) indicators. While VIX and FTI have surged, both corporate and sovereign spreads continued declining.[…]