20140127-穆迪服务-Ukrainian_Market-Based_Default_Risk_Measures_Rise_on_Government_Crackdown_on_Demonstrations_16页_1mb

Moody's Market-Based Default Risk Measures Summary

Core Content

Moody's Capital Markets Research (CMR) provides an analysis of market-based default risk measures for various countries, highlighting how these measures reflect the credit risk and investment opportunities of sovereign issuers. The report includes data on CDS-implied EDF (Expected Default Frequency), CDS Implied-Rating, Bond Implied-Rating, and Senior Rating for different regions, including Asia-Pacific, Europe, and Latin America & Caribbean.

Main Points

• Ukraine:

  • The five-year cumulative CDS-implied EDF for Ukrainian government debt rose sharply from 7.45% on January 8 to 11.47% in the past week.
  • Ukraine's EDF measures now exceed those of all other countries in the dataset except Argentina and Venezuela.
  • Government crackdown on demonstrations led to a rise in default risk, with multiple deaths reported.
  • Ukraine's short-term bond yields are now higher than its long-term yields, indicating distress signals.
  • On September 20, 2013, Moody's Investors Service downgraded Ukraine's rating to Caa1, citing very high external liquidity risks, fiscal pressures, and very low institutional quality as major credit challenges.
  • The country's moderate government debt and debt servicing costs are noted as offsetting factors.

• Asia-Pacific:

  • Australia: CDS-implied EDF remained stable at 0.02%, with CDS Implied-Rating and Senior Rating unchanged.
  • China: CDS-implied EDF increased from 0.04% to 0.06%, while CDS Implied-Rating decreased by 3 levels.
  • Hong Kong: CDS-implied EDF was stable at 0.02%, with a -2 change in CDS Implied-Rating.
  • Indonesia: CDS-implied EDF fluctuated but generally increased, with a +10 bps change.
  • Japan: CDS-implied EDF decreased from 0.11% to 0.03%, and CDS Implied-Rating improved by +1.
  • Korea: CDS-implied EDF increased slightly, with a -2 change in CDS Implied-Rating.
  • Malaysia: CDS-implied EDF increased by +1 bps, with a -3 change in CDS Implied-Rating.
  • Philippines: CDS-implied EDF increased by +4 bps, and CDS Implied-Rating decreased by -2.
  • Singapore: CDS-implied EDF and CDS Implied-Rating were not available.
  • Sri Lanka: CDS-implied EDF increased by +8 bps, with a -1 change in CDS Implied-Rating.
  • Taiwan: CDS-implied EDF increased by +1 bps, and CDS Implied-Rating was stable.
  • Vietnam: CDS-implied EDF increased by +6 bps, with a -2 change in CDS Implied-Rating.

Europe

• Austria: CDS-implied EDF was stable at 0.02%, with a -2 bps change.
• Belgium: CDS-implied EDF was stable, but CDS Implied-Rating improved by +1.
• Bulgaria: CDS-implied EDF decreased by -2 bps, and CDS Implied-Rating decreased by -2.
• Croatia: CDS-implied EDF decreased by -10 bps, and CDS Implied-Rating decreased by -3.
• Cyprus: CDS-implied EDF decreased by -299 bps, and CDS Implied-Rating decreased by +1.
• Czech Republic: CDS-implied EDF decreased by -2 bps, and CDS Implied-Rating decreased by -1.
• Denmark: CDS-implied EDF was stable at 0.01%, with a -1 bps change.
• Estonia: CDS-implied EDF decreased by -1 bps, and CDS Implied-Rating decreased by -1.
• Finland: CDS-implied EDF was stable at 0.01%, with a -1 bps change.
• France: CDS-implied EDF decreased by -4 bps, and CDS Implied-Rating improved by +1.
• Germany: CDS-implied EDF decreased by -2 bps, and CDS Implied-Rating improved by +2.
• Iceland: CDS-implied EDF increased by -6 bps, and CDS Implied-Rating decreased by -1.
• Ireland: CDS-implied EDF decreased by -14 bps, and CDS Implied-Rating improved by +2.
• Netherlands: CDS-implied EDF decreased by -3 bps, and CDS Implied-Rating improved by +1.
• Norway: CDS-implied EDF was stable at 0.01%, with a 0 bps change.
• Poland: CDS-implied EDF decreased by -3 bps, and CDS Implied-Rating decreased by -1.
• Portugal: CDS-implied EDF decreased by -39 bps, and CDS Implied-Rating was stable.
• Romania: CDS-implied EDF decreased by -5 bps, and CDS Implied-Rating was stable.
• Russian Federation: CDS-implied EDF increased by +1 bps, and CDS Implied-Rating decreased by -2.
• Serbia: No data available for CDS-implied EDF, CDS Implied-Rating, or Bond Implied-Rating.
• Slovakia: CDS-implied EDF decreased by -3 bps, and CDS Implied-Rating improved by 0.
• Slovenia: CDS-implied EDF decreased by -19 bps, and CDS Implied-Rating was stable.
• Spain: CDS-implied EDF decreased by -30 bps, and CDS Implied-Rating improved by +2.
• Sweden: CDS-implied EDF was stable at 0.01%, with a 0 bps change.
• Switzerland: CDS-implied EDF decreased by -2 bps, and CDS Implied-Rating decreased by -1.
• United Kingdom: CDS-implied EDF decreased by -3 bps, and CDS Implied-Rating improved by +3.

Key Information

• EDF (Expected Default Frequency): This is a measure of the probability of default over a one-year period, derived from CDS (Credit Default Swap) prices.
• CDS Implied-Rating: The credit rating implied by CDS prices, indicating the market's perception of credit risk.
• Bond Implied-Rating: The credit rating derived from bond prices, reflecting the market's assessment of creditworthiness.
• Senior Rating: The highest credit rating assigned by Moody's Investors Service (MIS), which is the rating agency within Moody's.

The report emphasizes that market signals, such as EDF and CDS-implied ratings, are crucial for investors to gauge credit risk and investment opportunities. It also highlights the importance of these measures in complementing fundamental research provided by MIS.