20161114-穆迪服务-US_Political_Shock_Jolts_Global_Credit_Risk_Measures_19页_505kb

Moody's Sovereign Risk Report Summary (14 November 2016)

Core Content Overview

This report from Moody's Capital Markets Research (CMR) provides an analysis of global credit risk measures, particularly focusing on the impact of Donald Trump's presidential election victory on market perceptions of sovereign risk. It highlights how market-based credit risk indicators, such as Sovereign EDF (Expected Default Frequency), CDS (Credit Default Swap) implied ratings, and bond implied ratings, have changed in response to the election results and subsequent policy uncertainties.

Main Points

• Trump's Impact on Global Markets: Trump's unexpected win over Hillary Clinton triggered a significant increase in global credit risk measures, as market participants feared the potential for policy changes that could affect trade, immigration, and the Affordable Care Act.
• US Sovereign EDF Increase: The United States' Sovereign EDF rose from 0.04% to 0.06% following the election, indicating a heightened perception of default risk.
• Mexico's Deterioration: Mexico experienced the largest absolute increase in Sovereign EDF, rising from 0.46% to 0.66% in a week. This was attributed to Trump's promises to renegotiate or end trade deals with Mexico, leading to a sharp 12% drop in its currency.
• Emerging Markets Response: Central banks in India, Malaysia, and Indonesia intervened to stabilize their currencies and bond markets due to fears of capital outflows and weakened exports under a Trump administration.
• Indonesia's Actions: Indonesia's Sovereign EDF increased from 0.48% to 0.62% over the past week. The government pledged to buy government bonds and intervene in the foreign exchange market to maintain stability.
• Asia-Pacific Analysis: The report includes a detailed table of Sovereign EDF, CDS implied ratings, bond implied ratings, and senior ratings for various countries in the Asia-Pacific region, including Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, New Zealand, the Philippines, Thailand, and Vietnam. It shows varying degrees of change in credit risk measures, with some countries experiencing increases and others minor decreases.
• Europe Analysis: The report also provides data for European countries such as Austria, Belgium, Bulgaria, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Netherlands, Norway, Poland, Portugal, Romania, and the Russian Federation. The data reveals a range of changes in credit risk indicators, with Greece and Portugal showing notable increases in Sovereign EDF and CDS implied ratings.

Key Findings

• Sovereign EDF Trends: The five-year Sovereign EDF for many countries increased, reflecting heightened risk perceptions. However, some countries like Australia and New Zealand showed stability or minor declines.
• CDS Implied Ratings: There was a noticeable shift in CDS implied ratings, with some countries experiencing a downgrade, while others saw a slight improvement.
• Bond Implied Ratings: Bond implied ratings remained largely unchanged for most countries, indicating that the market still viewed them as relatively safe investments.
• Senior Ratings: Senior ratings for most countries were stable, though some, like Greece, saw a slight increase, suggesting a more cautious outlook.

Conclusion

The report underscores the significant impact of political uncertainty on credit risk measures globally, with the US election being a key driver of increased risk perceptions. It also highlights the varied responses of different countries to these risks, with some emerging markets taking active steps to stabilize their economies. The data serves as a reference for understanding market sentiment and potential economic shifts in the wake of political changes.