20151207-穆迪服务-Monetary_Policy_Anxiety_Leads_to_Rise_in_Global_Sovereign_Credit_Risk_18页_1mb

Moody's Sovereign Risk Report Summary

Core Content

This report from Moody's Analytics analyzes the rise in global sovereign credit risk, focusing on the impact of monetary policy anxiety on the probability of default for various countries. The analysis is based on Sovereign EDF™ (Expected Default Frequency) metrics, which measure the likelihood of a country defaulting on its debt over the next year.

Main Points

• Monetary Policy Anxiety: Global markets were anxious about potential changes in monetary policy, particularly from the US Federal Reserve and the European Central Bank (ECB).
• US Federal Reserve: The Fed was expected to raise interest rates for the first time in nine years, citing economic and labor market improvements, though the core PCE price index was still below the 2% target.
• ECB Actions: The ECB announced a more modest stimulus program, including extending its bond-buying program until March 2017 and cutting interest rates from -0.2% to -0.3%, which was less than expected.
• Global Sovereign EDF Rise: Sovereign EDF metrics increased by an average of 27% across the week, with Latin America, Asia Pacific, and the Middle East & Africa showing the largest increases.
• Regional Analysis:
  • Latin America: Venezuela, Brazil, and Peru had the sharpest deterioration in credit risk.
  • Asia-Pacific: Philippines, Indonesia, and China showed significant increases in Sovereign EDF measures.
  • Middle East & Africa: Qatar, South Africa, and Lebanon led the rise, with an average increase of 8.62%.
  • Europe: Sovereign EDFs rose by 31.56%, driven by investor expectations of more drastic ECB measures.
• Country-Specific Analysis:
  • Portugal: The only European sovereign with a weekly decline in default risk, with one-year EDF at 0.016%.
  • Greece: Showed significant volatility, with one-year EDF rising from 0.68% to 0.94% due to public protests and EU pressure.
  • Russia: One-year EDF increased to 0.06%, with a notable 5-year increase from 0.58% to 0.60%.
  • Venezuela: One-year EDF rose from 8.73% to 11.80% amid political uncertainty and financial turbulence.
  • Brazil: One-year EDF increased from 0.42% to 0.47%, with a worsening economy and a decline in the exchange rate.

Key Information

• Sovereign EDF Metrics: These are used to measure the probability of default over the next year and reflect market sentiment towards sovereign credit risk.
• ECB and Fed Actions: The divergence in monetary policy decisions between the ECB and the Fed led to increased market anxiety and a rise in credit risk.
• Market Reactions: The euro rose by 3.1% after the ECB's announcement, indicating mixed market reactions.
• Economic Indicators: In Brazil, the GDP decline in the third quarter was more severe than the second quarter, and the exchange rate fell.
• Political and Economic Factors: Political uncertainty, violence, and austerity measures in Venezuela and Greece contributed to the rise in credit risk.
• Regional Trends: The report highlights that different regions experienced varying degrees of credit risk increases, influenced by local economic and political conditions.

Summary of Regional and Country Changes

Additional Notes

• Moody's Analytics: The report is part of Moody's Capital Markets Research, which does not provide investment advisory services.
• Moody's Corporation: CMR is a subsidiary of Moody's Corporation and operates independently from the ratings business.
• Data Sources: The report includes data for various countries, showing changes in Sovereign EDF, CDS Implied-Rating, Bond Implied-Rating, and Senior Rating over different time periods.

This summary highlights the key factors influencing sovereign credit risk and the regional and country-specific impacts observed in the report.