20170821-穆迪服务-Tensions_on_the_Korean_Peninsula_Keep_Market-Based_Sovereign_Credit_Risk_Elevated_18页_534kb

Moody's Sovereign Risk Report Summary (August 21, 2017)

Core Content

This report from Moody's Analytics provides an analysis of market-based sovereign credit risk metrics across various countries in the Asia-Pacific and Europe regions. It highlights how geopolitical tensions, particularly on the Korean Peninsula, have impacted sovereign credit risk measures, as well as the broader trends in credit default swap (CDS) implied ratings, bond implied ratings, and senior ratings.

Main Points

• Korea (South):

  • Sovereign EDF (5-Year) rose to 0.25%, the highest since 2013, due to increased military tensions with North Korea and the U.S.
  • The five-year CDS spread peaked at 71 bp before easing.
  • The market-implied rating is Baa1, which is five notches below the agency rating of Aa2.
  • Government debt remains relatively low at 39% of GDP, helping to keep sovereign credit risk from rising dramatically.

• Asia-Pacific Region:

  • Australia: Sovereign EDF (5-Year) slightly increased by +2 bps, with a CDS implied rating of Aa1 and a senior rating of Aaa.
  • China: Sovereign EDF (5-Year) increased by -3 bps to 0.25%, with a CDS implied rating of Baa2 and a senior rating of A1.
  • Hong Kong: Sovereign EDF (5-Year) increased by +2 bps to 0.08%, with a senior rating of Aa2.
  • Indonesia: Sovereign EDF (5-Year) increased by +4 bps to 0.46%, with a CDS implied rating of Ba1 and a senior rating of Baa3.
  • Japan: Sovereign EDF (5-Year) increased by +1 bps to 0.09%, with a CDS implied rating of Aa2 and a senior rating of A1.
  • Malaysia: Sovereign EDF (5-Year) decreased by -6 bps to 0.29%, with a CDS implied rating of Baa3 and a senior rating of Baa3.
  • Philippines: Sovereign EDF (5-Year) remained stable at 0.26%, with a CDS implied rating of Baa2 and a senior rating of Baa3.
  • India: Sovereign EDF (5-Year) increased by -5 bps to 0.35%, with a CDS implied rating of Baa3 and a senior rating of Baa3.
  • Thailand: Sovereign EDF (5-Year) slightly decreased by -1 bps to 0.22%, with a CDS implied rating of Baa2 and a senior rating of Baa1.
  • Vietnam: Sovereign EDF (5-Year) increased by +22 bps to 0.57%, with a CDS implied rating of Ba3 and a senior rating of B1.

Europe Region

• Austria: Sovereign EDF (5-Year) remained stable at 0.06%, with a CDS implied rating of Aaa and a senior rating of Aa1.
• Belgium: Sovereign EDF (5-Year) decreased by -3 bps to 0.06%, with a CDS implied rating of Aa1 and a senior rating of Aa2.
• Bulgaria: Sovereign EDF (5-Year) decreased by -7 bps to 0.39%, with a CDS implied rating of Ba1 and a senior rating of Baa2.
• Croatia: Sovereign EDF (5-Year) slightly decreased by -1 bps to 0.45%, with a CDS implied rating of Ba2 and a senior rating of Ba2.
• Cyprus: Sovereign EDF (5-Year) increased by +34 bps to 1.01%, with a CDS implied rating of B2 and a senior rating of B1.
• Denmark: Sovereign EDF (5-Year) increased by +1 bps to 0.05%, with a CDS implied rating of Baa1 and a senior rating of Baa3.
• Estonia: Sovereign EDF (5-Year) increased by +5 bps to 0.18%, with a CDS implied rating of Baa1 and a senior rating of A3.
• Finland: Sovereign EDF (5-Year) remained stable at 0.06%, with a CDS implied rating of Baa1 and a senior rating of Aa1.
• France: Sovereign EDF (5-Year) remained stable at 0.05%, with a CDS implied rating of Aaa and a senior rating of Aa2.
• Germany: Sovereign EDF (5-Year) slightly decreased by +1 bps to 0.04%, with a CDS implied rating of Aaa and a senior rating of Aaa.
• Greece: Sovereign EDF (5-Year) decreased by -29 bps to 2.95%, with a CDS implied rating of Caa1 and a senior rating of Caa2.
• Hungary: Sovereign EDF (5-Year) increased by +11 bps to 0.33%, with a CDS implied rating of Ba1 and a senior rating of Baa3.
• Iceland: Sovereign EDF (5-Year) increased by +9 bps to 0.34%, with a CDS implied rating of Baa3 and a senior rating of A3.
• Italy: Sovereign EDF (5-Year) increased by +14 bps to 0.59%, with a CDS implied rating of Ba2 and a senior rating of Baa2.
• Latvia: Sovereign EDF (5-Year) increased by +5 bps to 0.18%, with a CDS implied rating of Baa1 and a senior rating of A3.
• Lithuania: Sovereign EDF (5-Year) increased by +5 bps to 0.18%, with a CDS implied rating of Baa1 and a senior rating of A3.
• Netherlands: Sovereign EDF (5-Year) decreased by -1 bps to 0.05%, with a CDS implied rating of Aaa and a senior rating of Aaa.
• Norway: Sovereign EDF (5-Year) slightly decreased by -1 bps to 0.04%, with a CDS implied rating of Aaa and a senior rating of Aaa.
• Poland: Sovereign EDF (5-Year) increased by +1 bps to 0.20%, with a CDS implied rating of Baa1 and a senior rating of A2.
• Portugal: Sovereign EDF (5-Year) remained stable at 0.73%, with a CDS implied rating of B1 and a senior rating of Ba1.
• Romania: Sovereign EDF (5-Year) increased by +7 bps to 0.37%, with a CDS implied rating of Ba1 and a senior rating of Baa3.
• Russian Federation: Sovereign EDF (5-Year) increased by +9 bps to 0.61%, with a CDS implied rating of Ba3 and a senior rating of Ba1.
• Slovakia: Sovereign EDF (5-Year) increased by +4 bps to 0.14%, with a CDS implied rating of A2 and a senior rating of A2.
• Slovenia: Sovereign EDF (5-Year) slightly increased by +1 bps to 0.24%, with a CDS implied rating of Baa2 and a senior rating of Baa3.
• Spain: Sovereign EDF (5-Year) increased by +4 bps to 0.27%, with a CDS implied rating of Baa2 and a senior rating of Baa2.
• Sweden: Sovereign EDF (5-Year) remained stable at 0.06%, with a CDS implied rating of Aaa and a senior rating of Aaa.

Key Information

• The report notes that military tensions on the Korean Peninsula have significantly influenced market perceptions of South Korea's sovereign credit risk.
• South Korea's sovereign EDF (5-Year) has risen to 0.25%, which is still within investment grade when converted to a market-implied rating (Baa1), though this is five notches below the agency rating (Aa2).
• Despite the rise in risk measures, South Korea's government debt remains relatively low at 39% of GDP, which has mitigated the impact of the geopolitical tensions.
• The report also provides trend data for other countries, showing changes in sovereign EDF, CDS implied ratings, bond implied ratings, and senior ratings over the past month and year.
• Moody's Analytics provides market-based sovereign credit risk assessments, which are distinct from Moody's Investors Service (MIS) ratings, and does not offer investment advisory services.

Conclusion

The report emphasizes the market-based sovereign credit risk in South Korea, driven by geopolitical tensions, and provides a comparative analysis of other countries in the Asia-Pacific and Europe regions. While South Korea's risk levels have increased, its relatively low government debt ensures it remains in investment grade. The data also highlights trends in credit risk across different countries, indicating varying levels of market concern and stability.