20160307-穆迪服务-Greek_Sovereign_EDF_Measures_Rise_On_Migrant_Crisis_and_Bailout_Dispute_19页_599kb

Moody's Sovereign Risk Report Summary - 7 March 2016

Core Content

This report from Moody's Analytics provides an analysis of sovereign credit risk measures across various regions, focusing on changes in Expected Default Frequency (EDF) metrics and their implications for financial markets. It highlights how geopolitical and economic factors influence these risk measures, particularly in the context of the European migrant crisis and ongoing debt negotiations.

Key Findings

Europe

• Greece:

  • Sovereign EDF increased from 2.21% to 3.76% (5-year) due to ongoing tensions in its third bailout negotiations.
  • The country's probability of default remains elevated at 3.7%.
  • Political uncertainty has caused a reversal of earlier improvements, with the ECB raising its emergency liquidity assistance to €90 billion and Greek banks increasing their capital by €14.4 billion in December.
  • The Athens stock exchange rose by 9% over the past week, showing some market recovery.

• Other Countries:

  • Austria and France saw sharp weekly increases in their Sovereign EDF measures.
  • Germany and Portugal experienced declines in their 5-year Sovereign EDF measures by 18% and 13%, respectively.
  • The European Sovereign EDF metrics were mixed, with some countries showing improvement and others rising due to political and economic instability.

Latin America

• The region continues to have the highest average credit risk at 2.09%.
• There was no significant change in the average credit risk over the past week.
• Brazil and Peru saw the most improvement in their 5-year Sovereign EDF measures, with declines of 50% and 15%, respectively.
• Venezuela had the highest Sovereign EDF measure at 16.5%, up from 15.4%, and remains the most vulnerable in the dataset.

Asia-Pacific

• The average credit risk declined by 3.97%, with Australia, Vietnam, and Thailand showing the most significant improvements.
• Australia's 5-year Sovereign EDF decreased slightly to 0.07%.
• Vietnam's 5-year Sovereign EDF dropped to 0.38%, while China's 5-year Sovereign EDF remained stable at 0.30%.
• Hong Kong's 5-year Sovereign EDF decreased to 0.13%, and its CDS-Implied Rating improved by -2.

Middle East and Africa

• The average credit risk declined by 1%.
• Turkey, South Africa, and Kazakhstan led the group in the decline.
• South Africa's Sovereign EDF was corrected from 18% to 0.18%, and the reason for its vulnerability was revised to its shrinking current account deficit.

Main Points and Implications

• Migrant Crisis Impact: Tensions over migrant inflows into Europe have led to increased sovereign credit risk in several countries, particularly those along the Balkan borders.
• Bailout Negotiations: Greece's political disputes over reaching a budget surplus have raised its credit risk, with a significant increase in Sovereign EDF.
• Market Volatility: European equity markets were volatile in early 2016, but some progress on the refugee crisis led to market gains.
• Credit Risk Trends: Latin America remains the region with the highest credit risk, while the Asia-Pacific and Middle East and Africa showed improvements.
• Moody's Analytics: The report is part of Moody's Capital Markets Research, which analyzes market signals and complements Moody's Investors Service ratings. It does not provide investment advisory services.

Key Data Highlights

• Exhibit 1: Greece's 5-year Sovereign EDF fell from 26% in July 2015 to 3.76% in March 2016, but recent developments have increased it again.
• Exhibit 2: Greece's Sovereign EDF and CDS-Implied EDF for its banks have increased, reflecting renewed political uncertainty.
• Exhibit 3: European stock indices showed some recovery, with the Athens stock exchange gaining 9% in value.
• Exhibit 4: Asia-Pacific's average credit risk declined by 3.97%, with Australia, Vietnam, and Thailand leading the improvement.
• Exhibit 6: Detailed data on Sovereign EDF, CDS-Implied Ratings, and Bond-Implied Ratings for various countries, showing varying degrees of improvement or deterioration in credit risk.

Conclusion

The report underscores the influence of political and economic factors on sovereign credit risk, particularly in Europe and Latin America. While some regions showed signs of improvement, Greece and Venezuela remained at high risk due to ongoing challenges. The data highlights the importance of monitoring market signals and understanding their implications for credit risk assessment.