20160509-穆迪服务-Low_Oil_Prices_Have_Had_Little_Lasting_Impact_on_Russia_s_Credit_Profile_17页_541kb

Moody's Sovereign Risk Report Summary

Core Content

This document is a report by Moody's Analytics on sovereign risk metrics, focusing on the impact of low oil prices on Russia's credit profile and providing sovereign EDF (Expected Default Frequency), CDS (Credit Default Swap) implied ratings, bond implied ratings, and senior ratings for various countries. The report highlights how market signals reflect the credit risk and investment opportunities of different sovereigns.

Main Points

• Russia's Credit Profile:

  • Russia's sovereign EDF ticked slightly higher in the week ended May 6th but remained low overall.
  • The five-year sovereign EDF reached a three-year low at 0.43%, implying a Ba1 rating, one notch below investment grade.
  • The one-year EDF was at 0.04%, indicating a low probability of default in the next 12 months.
  • Russia's five-year EDF declined by 19 basis points year-to-date and by 297 basis points from its peak in January 2015.
  • Despite lower oil prices and economic strain, the government's commitment to budget deficit control and potential structural reforms have mitigated the impact on its credit profile.
  • Russia's debt-to-GDP ratio is 21%, which is relatively low compared to Germany and the US.
  • Sovereign default is influenced by both ability and willingness to pay, and Russia's 1998 default remains a factor in its risk premium.

• Comparison with Other Countries:

  • The report provides a comparative analysis of sovereign EDF, CDS implied ratings, bond implied ratings, and senior ratings across several countries in the Asia-Pacific and Europe regions.
  • Countries like Australia, Japan, and the Czech Republic show very low EDF and high ratings, indicating strong creditworthiness.
  • Countries such as Indonesia, Thailand, and India show varying levels of risk, with some experiencing slight increases or decreases in EDF over the past year.
  • Greece has the highest EDF and lowest ratings among the listed countries, reflecting significant credit risk.
  • The report also notes that sovereign EDF and bond yields are influenced by both economic fundamentals and market perceptions.

Key Information

• EDF Metrics:

  • The five-year EDF for Russia has declined significantly since the start of 2016 and from its peak in 2015.
  • The one-year EDF has remained relatively stable, suggesting a low immediate risk of default.
  • Russia's EDF is compared with Germany's, which has a much lower risk profile.

• CDS Implied Ratings:

  • Russia's five-year CDS spread is 259 basis points, higher than Germany's 18 basis points.
  • This reflects the embedded risk premium and market perception of Russia's credit risk.

• Bond Implied Ratings:

  • Russia's bond implied ratings are lower than Germany's, indicating a higher perceived risk.
  • Bond yields in Russia trade at a large premium to those in Germany, partly due to higher policy interest rates and embedded risk premium.

• Senior Ratings:

  • Russia's senior rating is Ba1, consistent with its EDF and CDS implied ratings.
  • Other countries have varying senior ratings, with some showing improvement or deterioration over the year.

Summary Table Highlights

Conclusion

The report emphasizes that while Russia's sovereign EDF has been affected by declining oil prices, the impact has been temporary due to government measures to control the budget deficit and structural reforms. Russia's credit profile remains relatively stable compared to other countries, with its EDF and implied ratings indicating a moderate risk level. The analysis provides a detailed comparison of risk metrics across various countries, highlighting the differences in economic fundamentals and market perceptions.