20170403-穆迪服务-Latin_American_Credit_Risk_Measures_Deteriorate_Amid_Political_Crisis_in_Venezuela_18页_437kb

Moody's Sector In-Depth Summary: Latin American Credit Risk Measures Deteriorate Amid Political Crisis in Venezuela

Core Content

This document from Moody's Analytics provides an analysis of market-based credit risk measures for various countries, focusing on the impact of political and economic conditions on sovereign credit risk. It highlights changes in Sovereign Expected Default Frequency (EDF™), CDS Implied-Rating, Bond Implied-Rating, and Senior Rating over a specific time period, with a particular emphasis on the deteriorating credit risk in Latin America, especially in Venezuela.

Main Points

• Global Credit Risk Trends: Market price-based measures of credit risk showed a mixed trend over the week ending March 31, 2017, with an average global increase of 1.29% in Sovereign EDF™.

• Latin America & Caribbean: Recorded the largest weekly rise in sovereign default risk, at 4.87%.

  • Venezuela: The most significant increase, with a 8% rise in its five-year Sovereign EDF™. This was attributed to political instability, including the Supreme Court stripping legislative authority.
  • El Salvador: Also saw a notable increase, with a 1.3% rise in its five-year Sovereign EDF™.

• Middle East & Africa: Experienced an average decline of 3.56% in Sovereign EDF™, with Nigeria, South Africa, and Pakistan leading the decline.

• Europe: Overall, credit risk decreased by 2.54%, with several countries showing varying degrees of improvement in their Sovereign EDF™ metrics.

• Asia-Pacific: Thailand, China, and the Philippines recorded the largest declines in Sovereign EDF™, indicating a reduction in perceived credit risk.

• Country-Specific Changes:

  • Venezuela: 8% increase in 5-year EDF.
  • El Salvador: 1.3% increase in 5-year EDF.
  • China: 5-year EDF decreased by 11 bps.
  • Thailand: 5-year EDF decreased by 22 bps.
  • Philippines: 5-year EDF decreased by 1 bps.
  • India: 5-year EDF decreased by 9 bps.
  • Japan: 5-year EDF decreased by 4 bps.
  • Korea: 5-year EDF increased by 2 bps.
  • Malaysia: 5-year EDF decreased by 6 bps.
  • Indonesia: 5-year EDF decreased by 17 bps.
  • Hong Kong: 5-year EDF decreased by 3 bps.

• CDS Implied-Rating and Bond Implied-Rating: These metrics also showed changes, with some countries experiencing upgrades or downgrades, reflecting shifts in market perception of credit risk.

Key Information

• Sovereign EDF™: Measures the expected probability of default over a five-year horizon.
• CDS Implied-Rating: Reflects the market's assessment of credit risk through credit default swaps.
• Bond Implied-Rating: Indicates the market's view of credit risk based on bond yields.
• Senior Rating: Represents the long-term credit rating assigned by Moody's Investors Service.
• Political and Economic Impact: The document emphasizes how political instability in Venezuela significantly affects credit risk measures, while other regions show varying degrees of improvement or decline.

Summary Table

Conclusion

The report underscores the impact of political and economic conditions on sovereign credit risk in different regions, with Venezuela experiencing the most significant rise in credit risk. It also highlights that while Latin America saw a sharp increase, other regions like the Middle East & Africa and parts of Europe and Asia-Pacific experienced declines in credit risk. The data serves as a market-based indicator of credit risk, complementing fundamental analysis provided by Moody's Investors Service.