20170206-穆迪服务-Japan_Challenged_by_Geopolitical_Risks_Despite_Faster_Growth_19页_526kb

Moody's Sovereign Risk Report Summary

Core Information

• Document Title: Japan Challenged by Geopolitical Risks Despite Faster Growth
• Date: 6 February 2017
• Author: Moody's Capital Markets Research
• Purpose: Analyze the sovereign risk landscape, focusing on Japan and other countries in the Asia-Pacific region, and discuss how geopolitical risks affect their credit profiles.

Key Points

• Moody's Sovereign EDF (Expected Default Frequency) is used to assess the probability of sovereign default.
• Of the 70 countries in the Sovereign EDF database, about two-thirds have seen improved measures since the start of the year.
• The two main factors influencing Sovereign EDF are:
  • Market Sharpe Ratio: Reflects investor risk aversion.
  • CDS Spreads: Indicates the cost of insuring against default on government bonds.

Asia-Pacific Sovereign EDF Trends

• Overall Trend: Nine of the 12 countries in the Asia-Pacific region saw a decline in their five-year Sovereign EDF measures.
• Exceptions:
  • Vietnam: 5-year Sovereign EDF increased by 27.8%
  • Hong Kong: 5-year Sovereign EDF increased by 21.2%
  • Korea: 5-year Sovereign EDF increased by 27.8%

Japan's Sovereign EDF

• Japan's five-year Sovereign EDF declined from 0.08% to 0.06% over the last three months.
• At 0.06%, Japan's risk of default is among the lowest in the Asia-Pacific region, alongside New Zealand and Australia.
• The five-year CDS spread narrowed from 32 bp to 28 bp year-to-date.
• However, the Sovereign EDF showed volatility in the past week due to uncertainty around US President Donald Trump's policies, particularly the travel ban on Muslim-majority countries and the temporary halt on Syrian refugee entries.
• This geopolitical uncertainty negatively impacted investor sentiment and led to a rise in the yield of Japan's 10-year yen-denominated government bonds, which surged from 0.077% to 0.100% on 3 February 2017, the highest since January 2016.

Bank of Japan's Actions

• The Bank of Japan kept its monetary policy unchanged.
• Raised its GDP growth forecast for the current fiscal year from 1% to 1.4%.
• Increased the forecast for fiscal 2017 from 1.3% to 1.5%.
• Expected inflation to reach its 2% target around fiscal 2018.
• Despite positive economic data, the bank highlighted ongoing geopolitical risks such as developments in the US economy, Federal Reserve policy, emerging markets, and Brexit.

Additional Context

• The report includes detailed tables with data on Sovereign EDF, CDS implied ratings, bond implied ratings, and senior ratings for multiple countries in the Asia-Pacific and Europe regions.
• These tables show the changes in Sovereign EDF and other metrics over various time frames, including weekly and yearly comparisons.

Conclusion

• While Japan has seen a decline in its Sovereign EDF and is currently among the lowest default risk countries in the Asia-Pacific, it faces significant geopolitical challenges that have affected investor sentiment and bond yields.
• The report underscores the importance of monitoring geopolitical developments as they can impact credit risk assessments and market behavior.