20140616-穆迪服务-Increase_in_Political_Tension_Pressures_Ukrainian_Sovereign_Credit_17页_1mb

Moody's Market Signals Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research provides an analysis of sovereign credit risk based on market signals such as Sovereign EDF (Expected Default Frequency), CDS (Credit Default Swap) implied ratings, and bond implied ratings. The report highlights the impact of political tensions on Ukraine's sovereign credit risk, while also presenting data on other European and Asia-Pacific countries.

Main Points

• Ukraine's Sovereign EDF:

  • The one-year Sovereign EDF for Ukraine increased slightly to 1.43% as of June 13, 2014, which is the highest among all European sovereign entities tracked.
  • This increase is attributed to the natural gas dispute with Russia, which led to the cessation of gas supply by Gazprom.
  • Despite an improvement trend in the country's expected default probability over the past month, the current level remains elevated compared to the European average.
  • Ukraine's five-year CDS spread widened to 788 bp, similar to its level during the 2012 sovereign crisis.
  • The CDS-implied rating for Ukraine is Caa2, and the bond-implied rating is C, indicating a material risk of default in investors' eyes.

• Recent Developments:

  • Ukraine had received $3.19 billion from the IMF, $750 million from the World Bank, and €100 million from the EU, helping it make a $786 million partial debt repayment to Russia.
  • The new president, Petro Poroshenko, called for dialogue with pro-Russian insurgents and expressed willingness to sign an economic partnership agreement with the EU.
  • Ukraine offered to repay $1.9 billion in outstanding debt to Russia if an interim gas price of $346 per 1,000 cubic meters was agreed upon.

• European Sovereign EDF Trends:

  • The European average one-year Sovereign EDF declined by 14% to 0.18% over the past week.
  • CDS spread-implied and bond-implied ratings for European countries remained steady.
  • The average CDS-implied rating for European countries is Baa1, which is one notch below the average Moody's rating and bond-implied rating of A3.

• Other European Countries:

  • Croatia: Sovereign EDF improved from 0.20% to 0.15%, with a -9 bps change.
  • Greece: Sovereign EDF declined from 0.67% to 0.53%, with a -148 bps change.
  • Italy: Sovereign EDF declined from 0.07% to 0.05%, with a -16 bps change.
  • Poland: Sovereign EDF declined from 0.03% to 0.02%, with a -2 bps change.
  • Spain: Sovereign EDF declined from 0.05% to 0.03%, with a -17 bps change.

• Asia-Pacific Countries:

  • Australia: Sovereign EDF remained stable at 0.01%.
  • China: Sovereign EDF declined from 0.05% to 0.04%, with a -1 bps change.
  • Hong Kong: Sovereign EDF remained stable at 0.02%.
  • Indonesia: Sovereign EDF remained stable at 0.09%, with a -5 bps change.
  • Japan: Sovereign EDF declined from 0.02% to 0.01%, with a -3 bps change.
  • Korea: Sovereign EDF declined from 0.03% to 0.02%, with a -3 bps change.
  • Malaysia: Sovereign EDF declined from 0.05% to 0.04%, with a -1 bps change.
  • Philippines: Sovereign EDF remained stable at 0.05%, with a -2 bps change.
  • Sri Lanka: Sovereign EDF declined from 0.16% to 0.16%, with a -3 bps change.
  • Vietnam: Sovereign EDF declined from 0.12% to 0.11%, with a -2 bps change.

Key Information

• Sovereign EDF™ is a forward-looking probability of default extracted from CDS spreads.
• CDS-implied ratings and bond-implied ratings are used to estimate the actual future default risk.
• Moody's Analytics is legally and organizationally separate from Moody's Investors Service.
• The report highlights how political and economic developments are reflected in market-based credit risk measures.
• The Ukrainian government's failure to pay a gas installment led to Gazprom cutting off gas supply, which significantly impacted Ukraine's credit risk.
• Currency depreciation and foreign-currency reserves are also mentioned as indicators of Ukraine's financial stability.