Fathom uses CDS spreads and zero-coupon bond yields to calculate the market-implied likelihood of member states abandoning the euro and returning to their own national currencies. The calculations reveal that investors’ perceptions of such a risk were little changed in February and that they continue to see this as an unlikely outcome. Italy continues to be seen as the country most at risk, but its market-implied probability still remains close to 10%. Concerns over Grexit ― once deemed a near-certainty by investors ― have also abated in recent years, with Fathom’s indicator for Greece dropping to 2% in February. A similar message is reflected in gauges of public opinion ― last November’s Eurobarometer survey revealed strong support for the euro, with 67% of Greeks and 63% of Italians polled indicating that they remain in favour of the single currency.
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