Fathom’s proprietary ‘probability of default’ indicators use market pricing to infer the perceived likelihood of sovereign defaults occurring within various time periods. The volatility in these indicators has declined substantially since the heights of the euro area crisis. Nevertheless, recent events in Italy have caused a spike in volatility. At 14%, the market-implied probability of default within the next five years remains relatively low. However, the risk is twice as high at the ten-year horizon, with market participants evidently concerned by the country’s elevated public debt burden For now, the sovereign still enjoys access to capital markets with the government