20140623-穆迪服务-With_Argentina_in_the_Spotlight,_Latin_American_Credit_Risk_Remains_Elevated_17页_1mb

Market Signals Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research, Inc. (CMR) discusses the current state of sovereign credit risk across different regions, focusing on Argentina as the central case study. It highlights how market signals from credit and equity markets reflect credit risk and investment opportunities for sovereign entities. The report contrasts these market-based measures with the traditional ratings from Moody's Investors Service (MIS), which is the rating agency within Moody's Corporation.

Main Points

• Argentina's Sovereign EDF:

  • The one-year Sovereign EDF increased by 38% to 8.7% on June 16 due to the US Supreme Court ruling.
  • After the government announced a willingness to settle with holdout creditors, the EDF improved slightly to 5.98%.
  • Argentina still has the highest probability of default among 84 sovereign entities.
  • The one-year EDF remains higher than the five-year annualized probability of default, indicating potential financial distress.
  • The yield spread on Argentina's bonds due 2017 is over 1,100bp, and five-year CDS spreads have widened to 1,880bp.
  • The country's CDS-implied rating is B1, while its Bond-implied rating is Ba1, both below the agency's credit rating of Caa1.

• Other Latin American Countries:

  • Credit risk measures for other countries in the region have remained relatively stable, but still show elevated levels compared to Europe.
  • The average one-year Sovereign EDF for Latin America is 0.83%, almost nine times higher than Europe's 0.1%.

• Asia-Pacific Region:

  • Australia: Sovereign EDF remains low at 0.01%, while the CDS-implied rating has improved to Aa3.
  • China: Sovereign EDF is stable at 0.04%, with a CDS-implied rating of Baa2.
  • Hong Kong: Sovereign EDF is stable at 0.02%, with a CDS-implied rating of A3.
  • Indonesia: Sovereign EDF is 0.10%, with a CDS-implied rating of Ba2.
  • Japan: Sovereign EDF is 0.02%, with a CDS-implied rating of A1.
  • Malaysia: Sovereign EDF is 0.05%, with a CDS-implied rating of Baa3.
  • Philippines: Sovereign EDF is 0.05%, with a CDS-implied rating of Ba2.
  • Sri Lanka: Sovereign EDF is 0.29%, with a CDS-implied rating of B3.
  • Vietnam: Sovereign EDF is 0.11%, with a CDS-implied rating of B1.

Europe Region

• Austria: Sovereign EDF remains at 0.01%, with a CDS-implied rating of A1.
• Belgium: Sovereign EDF is 0.02%, with a CDS-implied rating of A2.
• Bulgaria: Sovereign EDF is 0.08%, with a CDS-implied rating of Ba2.
• Croatia: Sovereign EDF is 0.08%, with a CDS-implied rating of Ba2.
• Cyprus: Sovereign EDF is 0.28%, with a CDS-implied rating of B3.
• Denmark: Sovereign EDF is 0.01%, with a CDS-implied rating of Aaa.
• Estonia: Sovereign EDF is 0.03%, with a CDS-implied rating of Ba2.
• Finland: Sovereign EDF is 0.01%, with a CDS-implied rating of Aaa.
• France: Sovereign EDF is 0.02%, with a CDS-implied rating of A2.
• Germany: Sovereign EDF is 0.01%, with a CDS-implied rating of Aaa.
• Greece: Sovereign EDF is 0.48%, with a CDS-implied rating of Caa1.
• Hungary: Sovereign EDF is 0.08%, with a CDS-implied rating of Ba2.
• Iceland: Sovereign EDF is 0.12%, with a CDS-implied rating of Ba2.
• Ireland: Sovereign EDF is 0.02%, with a CDS-implied rating of Baa1.
• Italy: Sovereign EDF is 0.06%, with a CDS-implied rating of Baa3.
• Latvia: Sovereign EDF is 0.05%, with a CDS-implied rating of Baa3.
• Lithuania: Sovereign EDF is 0.05%, with a CDS-implied rating of Baa3.
• Malta: Sovereign EDF is 0.16%, with a CDS-implied rating of Ba2.
• Netherlands: Sovereign EDF is 0.01%, with a CDS-implied rating of Aa1.
• Norway: Sovereign EDF is 0.01%, with a CDS-implied rating of Aaa.
• Poland: Sovereign EDF is 0.03%, with a CDS-implied rating of Baa1.
• Portugal: Sovereign EDF is 0.07%, with a CDS-implied rating of Ba1.
• Romania: Sovereign EDF is 0.07%, with a CDS-implied rating of Ba1.
• Russia: Sovereign EDF is 0.14%, with a CDS-implied rating of Ba3.
• Serbia: Sovereign EDF is 0.17%, with no CDS-implied rating data.
• Slovakia: Sovereign EDF is 0.02%, with a CDS-implied rating of A2.
• Slovenia: Sovereign EDF is 0.07%, with a CDS-implied rating of Ba1.
• Spain: Sovereign EDF is 0.04%, with a CDS-implied rating of Baa2.
• Sweden: Sovereign EDF is 0.01%, with a CDS-implied rating of Aaa.
• Switzerland: Sovereign EDF is 0.01%, with a CDS-implied rating of Aaa.

Key Information

• Sovereign EDF™: A forward-looking probability of default extracted from CDS spreads, adjusted for loss-given default and the market price of risk.
• CDS Implied Rating: Reflects the market's assessment of credit risk based on CDS spreads.
• Bond Implied Rating: Derived from bond yields and reflects market expectations of credit risk.
• Senior Rating: The traditional rating from Moody's Investors Service, which is separate from CMR's market-based measures.
• Moody's Analytics is responsible for distributing CMR materials and is legally separate from MIS.
• Market-Based vs. Traditional Ratings: CMR's market-based ratings differ from traditional ratings due to varying methodologies and focus on market signals rather than fundamental analysis.

Summary of Credit Risk Levels

This report underscores the elevated credit risk in Latin America, primarily due to Argentina's legal and financial challenges, while noting that other regions like Asia-Pacific and Europe show more stable conditions, though with varying levels of risk.