20170717-穆迪服务-Sovereign_Risk_Report_Sovereign_Risk_Declines_Broadly_17页_441kb

Moody's Sovereign Risk Report Summary - 17 July 2017

Core Content

This report from Moody's Capital Markets Research (CMR) provides an analysis of sovereign credit risk trends, focusing on changes in the Expected Default Frequency (EDF) metric across various regions and countries. The EDF measures the probability of default over a five-year horizon, based on market prices. The report highlights that sovereign risk declined broadly in the week ending 14 July 2017, but notes that some countries still face high levels of risk.

Main Findings

Latin America

• Overall Trend: Sovereign EDF declined by 2.5%.
• Key Countries: Brazil, Colombia, and Mexico showed the strongest weekly improvements.
• Venezuela:
  • Sovereign EDF dropped from 18.9% to 18.3%.
  • The decline was attributed to a 5.2% rise in US crude oil prices.
  • Despite the drop, Venezuela remains the sovereign most likely to default.

Asia-Pacific

• Overall Trend: The largest weekly drop in EDF was recorded at 5.1%.
• Key Countries: Philippines, China, and Malaysia showed the strongest improvements.
• China:
  • Sovereign EDF (5-Year) decreased by 3 bps.
  • CDS Implied-Rating improved from Baa3 to Baa2.
  • Bond Implied-Rating dropped by 2.
• Hong Kong:
  • Sovereign EDF (5-Year) declined by 3 bps.
  • Senior Rating dropped by 1.
• Indonesia:
  • Sovereign EDF (5-Year) decreased by 11 bps.
  • Bond Implied-Rating remained stable.
• Thailand:
  • Sovereign EDF (5-Year) decreased by 5 bps.
  • Senior Rating remained stable.
• Vietnam:
  • Sovereign EDF (5-Year) increased by 15 bps.
  • CDS Implied-Rating remained stable.
  • Senior Rating remained stable.

Europe

• Overall Trend: Sovereign risk declined across the region.
• Key Countries:
  • Greece had the most significant drop in Sovereign EDF (5-Year) from 3.57% to 2.65%, a decrease of 92 bps.
  • Italy saw a 21 bps drop in Sovereign EDF (5-Year) from 0.41% to 0.62%.
  • Ireland experienced a 5 bps drop in Sovereign EDF (5-Year) from 0.19% to 0.14%.
  • France had a 2 bps drop in CDS Implied-Rating from Aa3 to Aa1.
  • Germany had a 1 bps increase in Sovereign EDF (5-Year) from 0.03% to 0.04%.
  • Hungary had a 12 bps increase in Sovereign EDF (5-Year) from 0.23% to 0.35%.
  • Czech Republic saw a 4 bps increase in Sovereign EDF (5-Year) from 0.08% to 0.12%.
  • Belgium had a 3 bps drop in CDS Implied-Rating from A1 to Aa3.
  • Netherlands had a 1 bps increase in Bond Implied-Rating from Aa1 to Aaa.

Key Information

• EDF Metric: Represents the expected probability of default over a five-year period.
• CDS Implied-Rating: Reflects the creditworthiness based on Credit Default Swap (CDS) prices.
• Bond Implied-Rating: Reflects the creditworthiness based on bond market prices.
• Senior Rating: Moody's Investors Service (MIS) rating for the country.
• CMR Note: CMR does not provide investment advisory services or products. It is part of Moody's Analytics and operates independently from the ratings business.

Conclusion

The report indicates a broad decline in sovereign credit risk in the week ending 14 July 2017, with notable improvements in several regions. However, countries like Venezuela and Greece still exhibit high levels of credit risk, and some regions, such as Asia-Pacific and Europe, show mixed trends. The analysis is based on market price signals and complements fundamental research from MIS.