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Moody's Sovereign Credit Risk Summary - June 22, 2015

Core Content Overview

This document from Moody's Analytics provides an analysis of market-based credit risk measures for various countries in Europe and the Asia-Pacific region as of June 22, 2015. It highlights the increasing credit risk for Greece due to the ongoing political and economic impasse, while noting improvements in risk measures for other regions such as Latin America and Asia-Pacific. The report also discusses the impact of market signals on sovereign credit ratings and investor sentiment.

Main Points

Greece

• Sovereign EDF (1-Year): Increased sharply from 5.8% to 10.5% over the past week, indicating a significant rise in perceived default risk.
• CDS Implied Rating: Remained at C for the week, reflecting extreme market stress.
• Bond Implied Rating: Also remained at Ca.
• Senior Rating: Stood at Caa2 with a stable rating.
• Context: Greece faces a critical €1.53 billion payment deadline to the IMF. An emergency summit is scheduled for June 22 to resolve the crisis. If no agreement is reached, capital controls may be imposed.
• Market Reactions: Greek banks experienced large withdrawals, and the Athens stock exchange saw a 11% drop in the past week. European equity markets showed similar declines, with the Euro Stoxx Index down 1% on average.

European Sovereigns

• Average CDS Implied Rating: Baa1, which is one notch below Moody's average rating of A3 and two notches below the average Bond-implied rating of A2.
• Sovereign EDF Trends:
  • Spain: Increased from 0.01% to 0.02%.
  • Other Countries: Most remained stable, with some slight increases or decreases.
• Market Volatility: Reflects investor caution regarding potential Greek default and its impact on the Eurozone.

Key Information

Asia-Pacific Region

• Indonesia: Recorded the largest decline in Sovereign EDF, from 0.07% to 0.05%.
• Malaysia: Experienced a 0.03% Sovereign EDF, with a slight increase in the 12-month change.
• Thailand: Sovereign EDF dropped to 0.02%, showing improved credit risk.
• Philippines: Sovereign EDF remained stable at 0.02%.
• Hong Kong: Sovereign EDF at 0.01%, with a B2 CDS Implied Rating.
• Japan: Sovereign EDF at 0.01%, with a +1 change in CDS Implied Rating.
• Australia: Sovereign EDF remained stable at 0.01%.
• New Zealand: Sovereign EDF at 0.01%, with stable ratings.

Emerging Markets

• Turkey: Sovereign EDF increased from 0.05% to 0.09%, corresponding to a B1 rating. The yield spread on 10-year dollar bonds rose by 3%, and the CDS spread widened to 233bp.
• Moody's Outlook: Turkey's government bonds are rated Baa3 with a negative outlook due to political uncertainty and challenges in economic reforms.

Summary of Regional Trends

Additional Notes

• Moody's Capital Markets Research (CMR) provides market-based credit risk assessments and does not offer investment advisory services.
• The report includes data on CDS-implied ratings, Bond-implied ratings, and Sovereign EDF measures for various countries.
• Investors remain cautious about the potential for market contagion, with the ECB and Eurozone rescue funds playing a role in stabilizing the situation.
• The document emphasizes the importance of political and economic stability in shaping sovereign credit risk and investor confidence.