20160718-穆迪服务-Dust_Begins_to_Settle_After_the_Brexit_Vote_20页_576kb

Moody's Sovereign Risk Report Summary: Post-Brexit Analysis (18 July 2016)

Core Content

This report from Moody's Analytics provides an analysis of sovereign credit risk in various countries, focusing on the impact of the Brexit vote on the UK and other regions. It includes data on Expected Default Frequency (EDF), Credit Default Swap (CDS) implied ratings, Bond implied ratings, and Senior ratings, comparing pre- and post-Brexit levels.

Main Points

• UK Sovereign Credit Risk:

  • The UK's five-year Sovereign EDF rose from 0.06% to 0.10% immediately after the Brexit vote but eased to 0.09% by the week ended July 15.
  • This corresponds to an implied rating of A1, which is three notches below the agency rating of Aa1.
  • Volatility in the EDF metric increased, but no dramatic changes were observed.
  • The 5-year CDS spread increased to 38 basis points, slightly above the pre-vote level of 35 basis points.
  • The Market Sharpe Ratio is below its pre-vote level, indicating higher investor risk aversion.
  • Expected loss given default is assumed constant at 75%.
  • The UK government retains monetary sovereignty, which allows it to potentially finance its deficit by printing money, providing a credit advantage over continental European countries.

• Asia-Pacific:

  • Australia: Sovereign EDF (5-Year) decreased by 1 basis point to 0.06%, with CDS implied rating unchanged at Aa3.
  • China: Sovereign EDF (5-Year) decreased by 2 basis points to 0.28%, with CDS implied rating decreased by 1 to Baa3.
  • Hong Kong: Sovereign EDF (5-Year) decreased by 6 basis points to 0.07%, with CDS implied rating unchanged at Baa3.
  • Indonesia: Sovereign EDF (5-Year) decreased by 11 basis points to 0.47%, with CDS implied rating increased by 1 to Ba1.
  • Philippines: Sovereign EDF (5-Year) decreased by 3 basis points to 0.27%, with CDS implied rating increased by 1 to Ba1.
  • Thailand: Sovereign EDF (5-Year) decreased by 7 basis points to 0.24%, with CDS implied rating increased by 1 to Ba1.
  • Vietnam: Sovereign EDF (5-Year) decreased by 6 basis points to 0.37%, with CDS implied rating increased by 1 to Ba2.

• Europe:

  • Austria: Sovereign EDF (5-Year) decreased by 1 basis point to 0.08%, with CDS implied rating unchanged at Aa3.
  • Belgium: Sovereign EDF (5-Year) decreased by 1 basis point to 0.08%, with CDS implied rating unchanged at Aa3.
  • Bulgaria: Sovereign EDF (5-Year) decreased by 21 basis points to 0.45%, with CDS implied rating increased by 1 to Ba1.
  • Croatia: Sovereign EDF (5-Year) decreased by 22 basis points to 0.46%, with CDS implied rating unchanged at Ba1.
  • Cyprus: Sovereign EDF (5-Year) decreased by 24 basis points to 0.64%, with CDS implied rating increased by 2 to Caa2.
  • Denmark: Sovereign EDF (5-Year) decreased by 1 basis point to 0.05%, with CDS implied rating unchanged at Aa2.
  • Estonia: Sovereign EDF (5-Year) decreased by 1 basis point to 0.15%, with CDS implied rating unchanged at Ba1.
  • Finland: Sovereign EDF (5-Year) decreased by 1 basis point to 0.06%, with CDS implied rating decreased by 2 to A3.
  • France: Sovereign EDF (5-Year) decreased by 1 basis point to 0.08%, with CDS implied rating decreased by 1 to A1.
  • Germany: Sovereign EDF (5-Year) unchanged at 0.03%, with CDS implied rating unchanged at Aa1.
  • Greece: Sovereign EDF (5-Year) decreased by 361 basis points to 2.93%, with CDS implied rating decreased by 3 to Caa2.
  • Hungary: Sovereign EDF (5-Year) decreased by 5 basis points to 0.22%, with CDS implied rating unchanged at Ba1.
  • Iceland: Sovereign EDF (5-Year) decreased by 26 basis points to 0.23%, with CDS implied rating increased by 2 to Baa2.
  • Ireland: Sovereign EDF (5-Year) increased by 3 basis points to 0.19%, with CDS implied rating decreased by 2 to Baa1.
  • Italy: Sovereign EDF (5-Year) increased by 5 basis points to 0.42%, with CDS implied rating decreased by 1 to Ba1.
  • Latvia: Sovereign EDF (5-Year) decreased by 13 basis points to 0.13%, with CDS implied rating increased by 2 to A3.
  • Lithuania: Sovereign EDF (5-Year) decreased by 12 basis points to 0.14%, with CDS implied rating increased by 2 to A3.
  • Netherlands: Sovereign EDF (5-Year) increased by 2 basis points to 0.06%, with CDS implied rating decreased by 1 to Aa2.
  • Norway: Sovereign EDF (5-Year) increased by 1 basis point to 0.05%, with CDS implied rating decreased by 1 to Aa2.
  • Poland: Sovereign EDF (5-Year) increased by 3 basis points to 0.25%, with CDS implied rating unchanged at Baa2.
  • Portugal: Sovereign EDF (5-Year) increased by 30 basis points to 0.65%, with CDS implied rating decreased by 2 to B1.
  • Romania: Sovereign EDF (5-Year) decreased by 9 basis points to 0.32%, with CDS implied rating increased by 1 to Baa3.
  • Russian Federation: Sovereign EDF (5-Year) decreased by 42 basis points to 0.41%, with CDS implied rating increased by 2 to Ba3.
  • Serbia: Sovereign EDF (5-Year) decreased by 18 basis points to 0.52%, with CDS implied rating unchanged at Baa3.

Key Information

• Sovereign EDF measures the probability of a government defaulting on a bond over the next five years.
• CDS Implied-Rating reflects market expectations of credit risk based on credit default swap spreads.
• Bond Implied-Rating indicates the market's assessment of a government's creditworthiness for bonds.
• Senior Rating is the agency's rating of the country's credit risk.
• The report highlights that while the UK's sovereign risk increased initially, it has since eased, and the country's monetary sovereignty provides a key advantage.
• The VIX measure of implied volatility rose immediately after the Brexit vote but has since fallen to its lowest level since August 2015.
• The analysis also includes comparisons of sovereign debt levels and structural deficits with neighboring countries.

Conclusion

The Brexit vote caused a temporary increase in UK sovereign credit risk, but the market has since stabilized. The UK's monetary sovereignty allows it to manage its debt more flexibly compared to other European countries. The report also provides detailed data on sovereign risk for various countries in Asia-Pacific and Europe, showing both increases and decreases in EDF and implied ratings.