20151221-穆迪服务-Sovereign_Risk_Report__Fed_Rate_Hike_Convulses_Global_Credit_Risk__South_Africa_Slips_18页_719kb

Moody's Sovereign Risk Report Summary - December 2015

Core Content

This report from Moody's Capital Markets Research (CMR) discusses the impact of the US Federal Reserve's rate hike on global credit risk, with a particular focus on South Africa's credit risk increase and the broader effects on emerging markets.

Main Points

• Fed Rate Hike Impact: On December 16, 2015, the Federal Reserve increased the fed funds rate target from 0.00%–0.25% to 0.25%–0.50%, marking the first increase since 2006. This reflects the Fed's confidence in continued US economic growth but also signals that future increases will be gradual, potentially at one percentage point per year over the next three years.

• Inflation Outlook: Despite the rate hike, inflation remains near zero and is expected to rise only gradually. Federal Reserve President Janet Yellen noted that temporary factors, including lower oil prices, are suppressing inflation, and it may not meet the 2% target in 2016.

• Global Credit Risk Trends:

  • Credit risk measures improved in over a third of the countries in the dataset.
  • Morocco, Turkey, and Chile saw the most significant one-week improvements in credit risk.
  • Countries vulnerable to the strengthening US dollar and those affected by depressed oil prices experienced the worst deterioration in credit risk.

• Emerging Market (EM) Credit Risk:

  • The average one-year Sovereign EDF for EM countries increased from 0.78% to 0.91%.
  • South Africa was a key driver of this increase, with its one-year Sovereign EDF rising from 18% to 0.23%.
  • South Africa's economic slowdown, primarily due to reduced demand from China, and its vulnerability to the Fed's rate hike (due to a limited foreign exchange reserve compared to its external debt) contributed to this rise in credit risk.

• Moody's Credit Opinion on South Africa:

  • Moody's Investors Service changed South Africa's outlook to negative and affirmed its Baa2 rating.
  • The main factors cited were the prolonged period of low growth due to structural challenges in the mining industry and other sectors, and the rising fiscal risks due to slower growth and political pressures.
  • Despite these risks, South Africa's credit strengths include abundant natural resources, a developed domestic financial market, and a well-capitalized banking system, which supported the Baa2 rating.

• Credit Metrics:

  • South Africa's bond-implied rating is Ba2, which is three notches below its Moody's rating of Baa2.
  • Its CDS-implied rating is B2, six notches below the Baa2 rating.

• Market Sharpe Ratios:

  • Market Sharpe ratios for both investment grade and below investment grade sovereigns increased after the Fed's rate hike.
  • This suggests that investors are concerned about prolonged global economic turbulence.

Key Information

• Moody's Analytics: Part of Moody's Corporation, it provides market-based credit risk analysis and is separate from Moody's Investors Service (MIS), which offers fundamental credit ratings.
• Sovereign EDF: A measure of the probability of default over a given period, used to assess sovereign credit risk.
• CDS Implied Rating: Reflects the credit risk based on credit default swap (CDS) prices.
• Bond Implied Rating: Reflects the credit risk based on bond market data.
• Senior Rating: Refers to the highest credit rating assigned by Moody's Investors Service.

Country-Specific Data (Asia-Pacific and Europe)

Asia-Pacific

Europe

Conclusion

The Fed's rate hike triggered mixed responses in global credit risk measures, with some countries seeing improvements and others facing deterioration. South Africa's credit risk significantly increased, driven by economic slowdown and external debt vulnerabilities. The report highlights the importance of monitoring economic conditions and market signals in assessing credit risk, especially in emerging markets.