20170803-穆迪服务-Market-Based_Sovereign_Risk_Measures_Rising_in_El_Salvador_18页_494kb

报告摘要

Moody's Market-Based Sovereign Risk Measures Summary (July 2017)

Core Content

This report provides an analysis of market-based sovereign risk measures for various countries in the Asia-Pacific and Europe regions as of July 2017. The data includes sovereign EDF (Expected Default Frequency), CDS (Credit Default Swap) implied ratings, bond implied ratings, and senior ratings. These metrics are used to assess the credit risk associated with sovereign debt and are compared across time periods to evaluate changes in market perception of risk.

Main Points

Market-Based Risk Measures: The report highlights the trend in sovereign EDF and other market-based credit risk indicators.
Sovereign EDF: This measure reflects the probability of default over a given period, with specific attention to El Salvador.
Rating Agencies: The report compares the ratings from major agencies with the EDF-implied ratings.
Country-Specific Data: Detailed data for each country is presented, including changes in EDF, CDS implied ratings, bond implied ratings, and senior ratings.

Key Information

El Salvador

Sovereign EDF (5-Year): Rose to 2.10% in the week ended July 28, 2017, from 1.57% at the start of 2017 and 1.03% at the start of 2016.
EDF Implied Rating: Corresponds to B3, which is one notch above Moody's rating of Caa1.
EDF All-Time High: Reached 2.19% on July 27, 2017.
Fiscal Constraints: Government debt is at 60% of GDP, and the budget deficit is near its 3% limit.
April 2017 Event: The government failed to make interest payments to private pension funds, leading to rating downgrades.

Asia-Pacific

Country	Sovereign EDF (1-Year)	Sovereign EDF (5-Year)	CDS Implied-Rating	Bond Implied-Rating	Senior Rating	12-Month Change
Australia	0.01%	0.07%	Aa1	Aaa	Aaa	0 bps
China	0.02%	0.25%	Baa2	Baa1	A1	-2 bps
Hong Kong	0.01%	0.03%	--	--	Aa2	-1 bps
Indonesia	0.04%	0.46%	Ba1	Baa3	Baa3	0 bps
Japan	0.01%	0.07%	Aa1	Aaa	A1	0 bps
Korea	0.01%	0.17%	Baa1	A1	Aa2	-2 bps
Malaysia	0.02%	0.30%	Baa3	Baa1	A3	0 bps
Philippines	0.02%	0.28%	Baa3	A1	Baa2	0 bps
Thailand	0.02%	0.23%	Baa2	--	Baa1	0 bps
Vietnam	0.06%	0.57%	Ba2	Ba1	B1	+16 bps

Europe

Country	Sovereign EDF (1-Year)	Sovereign EDF (5-Year)	CDS Implied-Rating	Bond Implied-Rating	Senior Rating	12-Month Change
Austria	0.01%	0.07%	Aa1	Aaa	Aaa	0 bps
Belgium	0.01%	0.06%	Aa1	Aaa	A3	-1 bps
Bulgaria	0.02%	0.41%	Ba1	Aa3	Baa3	-7 bps
Croatia	0.03%	0.49%	Baa3	Baa2	Baa3	0 bps
Cyprus	0.09%	0.93%	B2	Baa3	B1	+3 bps
Czech Republic	0.01%	0.12%	Aa3	Aaa	A1	+3 bps
Denmark	0.01%	0.05%	Baa1	Aaa	A1	0 bps
Estonia	0.01%	0.18%	Baa1	Aaa	A3	-1 bps
Finland	0.01%	0.07%	Baa1	Aaa	Aa1	-1 bps
France	0.01%	0.06%	Ba2	Baa2	Aa2	-2 bps
Germany	0.01%	0.05%	Aaa	Aaa	Aaa	0 bps
Greece	0.64%	2.83%	Caa1	B3	Caa2	-13 bps
Hungary	0.02%	0.37%	Ba1	Baa2	Baa3	+13 bps
Iceland	0.02%	0.38%	Baa3	A3	A3	+2 bps
Ireland	0.01%	0.14%	Aa3	Aaa	A3	-7 bps
Italy	0.05%	0.62%	Ba2	Baa2	Baa2	+13 bps
Latvia	0.01%	0.18%	Baa1	Aaa	A3	+4 bps
Lithuania	0.01%	0.17%	Baa1	Aaa	A3	+3 bps
Netherlands	0.01%	0.07%	Aaa	Aaa	Aaa	-1 bps
Norway	0.01%	0.04%	Aaa	Aaa	Aaa	-1 bps
Poland	0.01%	0.20%	Baa1	Aa2	A2	-7 bps
Portugal	0.06%	0.73%	B1	Baa3	Ba1	-1 bps
Romania	0.02%	0.41%	Ba1	Baa1	Baa3	+7 bps
Russian Federation	0.05%	0.63%	Ba3	Baa3	Ba1	+20 bps
Slovakia	0.01%	0.14%	A2	Aa1	A2	+5 bps
Slovenia	0.01%	0.25%	Baa2	A2	Baa3	+2 bps
Spain	0.01%	0.45%	Baa2	Baa2	Baa3	0 bps

Summary

The report discusses the trend in market-based sovereign risk measures for multiple countries in the Asia-Pacific and Europe regions. El Salvador shows a notable increase in its 5-year EDF, reaching an all-time high of 2.19%, which maps to an EDF-implied rating of B3, higher than its Moody's rating of Caa1. This increase is attributed to the government's failure to meet interest payments in April 2017, which led to rating downgrades from major agencies.

In the Asia-Pacific region, countries like China and Vietnam show varying degrees of risk increase, with China's 5-year EDF rising to 0.25% and Vietnam's increasing to 0.57%. The report also highlights that market-based measures often move in line with rating agency actions, but this has not been the case for El Salvador.

In Europe, countries such as Greece and Italy have higher EDF levels, with Greece's 5-year EDF at 2.83%, and Italy's at 0.62%. The CDS implied ratings and bond implied ratings are also provided, showing changes in credit risk perception across different countries.

Overall, the report serves as a comprehensive overview of sovereign risk in these regions, emphasizing the importance of market signals in assessing credit risk and their alignment with traditional rating agency assessments.

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