20160912-穆迪服务-ECB_Inaction_Feeds_Modest_Increase_In_European_Sovereign_Credit_Risk_19页_597kb

Moody's Sovereign Risk Report Summary

Core Content

This report from Moody's Analytics discusses changes in sovereign credit risk across various countries, focusing on the impact of the European Central Bank (ECB) inaction on European sovereign credit risk. It also provides an overview of sovereign risk metrics for several Asian, European, and other countries, including Expected Default Frequency (EDF), CDS Implied-Rating, Bond Implied-Rating, and Senior Rating.

Main Points

• ECB Inaction and Sovereign Credit Risk:

  • On September 8, 2016, the ECB left interest rates unchanged and did not extend its bond-buying program past March 2017, surprising market participants.
  • The ECB raised its economic growth forecast for 2016 to 1.7% from 1.6%, but kept the inflation forecast unchanged at 0.3% for 2016 and lowered it to 1.2% for 2017.
  • The ECB emphasized its commitment to maintaining monetary support to return to inflation.
  • This decision led to a modest increase in sovereign credit risk in European countries, as reflected in market-based EDF metrics.

• European Sovereign EDF Metrics:

  • Peripheral European countries experienced a small increase in one-year EDF, while core countries remained largely unchanged.
  • Five-year EDF increased in Portugal and Italy, with Portugal rising from 0.76% to 0.79% and Italy from 0.45% to 0.46%.
  • Spain showed one of the largest increases in EDF, from 0.22% to 0.23%, due to ongoing political deadlock.
  • Despite political issues, Spain's economy showed growth and a drop in unemployment.

• Moody's Investors Services Ratings:

  • Spain is currently rated Baa2 with a stable outlook.
  • The prolonged political impasse is viewed as a "credit negative" by Moody's, as it hampers fiscal targets and public finance reforms.

• Asia-Pacific Sovereign Risk Metrics:

  • Australia: Sovereign EDF (5-Year) decreased by 6 bps, while CDS Implied-Rating increased by 3.
  • China: Sovereign EDF (5-Year) decreased by 10 bps, and CDS Implied-Rating increased by 1.
  • Hong Kong: Sovereign EDF (5-Year) decreased by 3 bps.
  • Indonesia: Sovereign EDF (5-Year) decreased by 48 bps, and CDS Implied-Rating increased by 3.
  • Japan: Sovereign EDF (5-Year) decreased by 3 bps, and CDS Implied-Rating increased by 1.
  • Korea: Sovereign EDF (5-Year) decreased by 3 bps, and CDS Implied-Rating increased by 3.
  • Malaysia: Sovereign EDF (5-Year) decreased by 32 bps, and CDS Implied-Rating increased by 3.
  • Philippines: Sovereign EDF (5-Year) decreased by 13 bps, and CDS Implied-Rating increased by 3.
  • India: Sovereign EDF (5-Year) decreased by 25 bps.
  • Thailand: Sovereign EDF (5-Year) decreased by 28 bps.
  • Vietnam: Sovereign EDF (5-Year) decreased by 23 bps.

• Other European Countries:

  • Austria: EDF metrics remained stable.
  • Belgium: EDF (5-Year) slightly increased.
  • Bulgaria: EDF (5-Year) decreased by 26 bps.
  • Croatia: EDF (5-Year) decreased by 21 bps.
  • Cyprus: EDF (5-Year) decreased by 3 bps.
  • Denmark: EDF (5-Year) increased by 3 bps.
  • Estonia: EDF (5-Year) remained stable.
  • Finland: EDF (5-Year) increased by 3 bps.
  • France: EDF (5-Year) decreased by 2 bps.
  • Germany: EDF (5-Year) remained stable.
  • Greece: EDF (1-Year) decreased by 71 bps, and EDF (5-Year) decreased by 118 bps.
  • Iceland: EDF (5-Year) decreased by 20 bps.
  • Ireland: EDF (5-Year) increased by 2 bps.
  • Italy: EDF (5-Year) increased by 8 bps.
  • Latvia: EDF (5-Year) decreased by 11 bps.
  • Lithuania: EDF (5-Year) decreased by 11 bps.
  • Netherlands: EDF (5-Year) decreased by 1 bps.
  • Norway: EDF (5-Year) decreased by 1 bps.
  • Poland: EDF (5-Year) decreased by 3 bps.
  • Portugal: EDF (5-Year) increased from 0.65% to 0.77%.
  • Romania: EDF (5-Year) decreased by 3 bps.
  • Russian Federation: EDF (5-Year) decreased by 23 bps.
  • Serbia: EDF (5-Year) decreased by 10 bps.
  • Slovakia: EDF (5-Year) decreased by 3 bps.
  • Slovenia: EDF (5-Year) decreased by 10 bps.
  • Spain: EDF (5-Year) increased by 11 bps.
  • Sweden: EDF (5-Year) increased by 3 bps.

Key Information

• Moody's Analytics is part of Moody's Corporation and operates independently from Moody's Investors Service.
• The report highlights the uncertainty in the market regarding the sufficiency of quantitative easing programs.
• Sovereign EDF metrics are used to measure the expected probability of default over a one-year horizon.
• Political instability and fiscal challenges in certain countries have contributed to increased sovereign credit risk.
• The report provides data on EDF, CDS, Bond, and Senior Ratings for various countries, showing trends and changes over specific periods.