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Moody's Sector In-Depth Summary: Greece's Sovereign EDF and Other Countries

Core Content

This document provides an analysis of Moody's Capital Markets Research (CMR) regarding the sovereign credit risk of several countries, focusing on Greece. It outlines the market-based indicators and investor sentiment related to the likelihood of default and the economic performance of the countries in question.

Main Points

Greece

• Sovereign EDF (Expected Default Frequency):
  • Declined from 1.94% on December 29 to 1.36% on January 17, representing a 30% drop in less than three weeks.
  • This is a significant improvement compared to a 34% decline over the prior six months.
• Economic Reforms:
  • The recent approval of further economic reforms by Greece's parliament has encouraged investors and is seen as a step towards Greece's potential exit from its bailout regime.
• Market Implied Rating:
  • The CDS-implied EDF market-implied rating for Greece is B2, which is three notches higher than its Moody's Investors Service (MIS) rating of Caa2.
  • On June 23, 2017, the EDF-implied rating was B3, and the MIS rating was raised to Caa2.
• Bailout Context:
  • Greece received significant bailout loans in 2010, 2012, and 2015.
  • It is expected to remain under creditors' supervision until 75% of its debts are paid off, which could take many decades.

Other Countries

Asia-Pacific

• Australia:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.05% (unchanged).
  • CDS Implied-Rating: Aaa (unchanged).
  • Bond Implied-Rating: Aaa (unchanged).
  • Senior Rating: Aaa (unchanged).

• China:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.17% (declined by 18 bps from the year ago).
  • CDS Implied-Rating: Baa1 (increased by 2 notches from the year ago).
  • Bond Implied-Rating: Baa1 (increased by 1 notch from the year ago).
  • Senior Rating: A1 (declined by 1 notch from the year ago).

• Hong Kong:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.11% (increased by 4 bps from the year ago).
  • Senior Rating: Aa2 (declined by 1 notch from the year ago).

• Indonesia:

  • Sovereign EDF (1-Year): 0.03% (unchanged).
  • Sovereign EDF (5-Year): 0.33% (declined by 18 bps from the year ago).
  • CDS Implied-Rating: Baa3 (increased by 1 notch from the year ago).
  • Bond Implied-Rating: Baa1 (increased by 2 notches from the year ago).
  • Senior Rating: Baa2 (unchanged).

• Japan:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.08% (increased by 1 bps from the year ago).
  • CDS Implied-Rating: Aa1 (increased by 2 notches from the year ago).
  • Senior Rating: A1 (unchanged).

• Korea:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.17% (declined by 6 bps from the year ago).
  • CDS Implied-Rating: A3 (declined by 1 notch from the year ago).
  • Bond Implied-Rating: Aa3 (declined by 1 notch from the year ago).
  • Senior Rating: Aa2 (unchanged).

• Malaysia:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.20% (declined by 21 bps from the year ago).
  • CDS Implied-Rating: Baa2 (increased by 2 notches from the year ago).
  • Senior Rating: A3 (unchanged).

• New Zealand:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.06% (increased by 4 bps from the year ago).
  • Senior Rating: Aa2 (declined by 1 notch from the year ago).

• Philippines:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.33% (declined by 9 bps from the year ago).
  • CDS Implied-Rating: Baa3 (increased by 1 notch from the year ago).
  • Bond Implied-Rating: Baa1 (increased by 2 notches from the year ago).
  • Senior Rating: Baa2 (unchanged).

• Thailand:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.14% (declined by 7 bps from the year ago).
  • CDS Implied-Rating: Baa3 (increased by 2 notches from the year ago).
  • Bond Implied-Rating: Baa2 (increased by 2 notches from the year ago).
  • Senior Rating: Baa3 (unchanged).

• Vietnam:

  • Sovereign EDF (1-Year): 0.04% (unchanged).
  • Sovereign EDF (5-Year): 0.45% (declined by 5 bps from the year ago).
  • CDS Implied-Rating: Ba2 (unchanged).
  • Bond Implied-Rating: Baa2 (increased by 1 notch from the year ago).
  • Senior Rating: B1 (unchanged).

Europe

• Austria:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.06% (declined by 2 bps from the year ago).
  • CDS Implied-Rating: Aaa (unchanged).
  • Bond Implied-Rating: Aa1 (declined by 3 notches from the year ago).
  • Senior Rating: Aa2 (unchanged).

• Belgium:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.06% (declined by 3 bps from the year ago).
  • CDS Implied-Rating: Aa1 (declined by 3 notches from the year ago).
  • Bond Implied-Rating: Aa1 (declined by 1 notch from the year ago).
  • Senior Rating: Aa3 (unchanged).

• Bulgaria:

  • Sovereign EDF (1-Year): 0.01% (declined by 2 bps from the year ago).
  • Sovereign EDF (5-Year): 0.22% (declined by 17 bps from the year ago).
  • CDS Implied-Rating: Baa2 (unchanged).
  • Bond Implied-Rating: Baa1 (declined by 1 notch from the year ago).
  • Senior Rating: Baa3 (unchanged).

• Croatia:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.34% (declined by 17 bps from the year ago).
  • CDS Implied-Rating: Ba1 (unchanged).
  • Bond Implied-Rating: Baa1 (declined by 1 notch from the year ago).
  • Senior Rating: Ba2 (unchanged).

• Cyprus:

  • Sovereign EDF (1-Year): 0.03% (unchanged).
  • Sovereign EDF (5-Year): 0.47% (declined by 18 bps from the year ago).
  • CDS Implied-Rating: Ba2 (increased by 1 notch from the year ago).
  • Bond Implied-Rating: Baa2 (increased by 4 notches from the year ago).
  • Senior Rating: Ba3 (increased by 1 notch from the year ago).

• Czech Republic:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.12% (increased by 2 bps from the year ago).
  • CDS Implied-Rating: Aa3 (declined by 1 notch from the year ago).
  • Bond Implied-Rating: Aa1 (increased by 1 notch from the year ago).
  • Senior Rating: A1 (unchanged).

• Denmark:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.09% (declined by 2 bps from the year ago).
  • CDS Implied-Rating: Aaa (unchanged).
  • Bond Implied-Rating: Aa3 (increased by 4 notches from the year ago).
  • Senior Rating: A3 (unchanged).

• Estonia:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.15% (unchanged).
  • CDS Implied-Rating: A3 (unchanged).
  • Bond Implied-Rating: Aa1 (increased by 1 notch from the year ago).
  • Senior Rating: A3 (unchanged).

• Finland:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.05% (declined by 2 bps from the year ago).
  • CDS Implied-Rating: A3 (declined by 2 notches from the year ago).
  • Bond Implied-Rating: Aaa (unchanged).
  • Senior Rating: Aa1 (unchanged).

• France:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.06% (declined by 6 bps from the year ago).
  • CDS Implied-Rating: Aa2 (declined by 5 notches from the year ago).
  • Bond Implied-Rating: Aa3 (declined by 3 notches from the year ago).
  • Senior Rating: Aa2 (unchanged).

• Germany:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.03% (declined by 2 bps from the year ago).
  • CDS Implied-Rating: Aaa (declined by 2 notches from the year ago).
  • Bond Implied-Rating: Aaa (unchanged).
  • Senior Rating: Aaa (unchanged).

• Iceland:

  • Sovereign EDF (1-Year): 0.01% (declined by 1 bps from the year ago).
  • Sovereign EDF (5-Year): 0.29% (declined by 1 bps from the year ago).
  • CDS Implied-Rating: Baa3 (unchanged).
  • Bond Implied-Rating: Aa3 (increased by 4 notches from the year ago).
  • Senior Rating: A3 (unchanged).

• Ireland:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.10% (declined by 9 bps from the year ago).
  • CDS Implied-Rating: Aa2 (declined by 5 notches from the year ago).
  • Bond Implied-Rating: Aa1 (increased by 1 notch from the year ago).
  • Senior Rating: A2 (increased by 1 notch from the year ago).

• Italy:

  • Sovereign EDF (1-Year): 0.03% (unchanged).
  • Sovereign EDF (5-Year): 0.48% (declined by 12 bps from the year ago).
  • CDS Implied-Rating: Ba2 (unchanged).
  • Bond Implied-Rating: Baa2 (unchanged).
  • Senior Rating: Baa2 (unchanged).

• Latvia:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.14% (declined by 1 bps from the year ago).
  • CDS Implied-Rating: A3 (unchanged).
  • Bond Implied-Rating: Aaa (increased by 1 notch from the year ago).
  • Senior Rating: A3 (unchanged).

• Lithuania:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.16% (increased by 2 bps from the year ago).
  • CDS Implied-Rating: Baa1 (declined by 1 notch from the year ago).
  • Bond Implied-Rating: Aaa (increased by 4 notches from the year ago).
  • Senior Rating: A3 (unchanged).

• Netherlands:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.04% (declined by 3 bps from the year ago).
  • CDS Implied-Rating: Aaa (declined by 3 notches from the year ago).
  • Bond Implied-Rating: Aaa (increased by 1 notch from the year ago).
  • Senior Rating: Aaa (unchanged).

• Norway:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.04% (declined by 1 bps from the year ago).
  • CDS Implied-Rating: Aaa (declined by 2 notches from the year ago).
  • Senior Rating: Aaa (unchanged).

• Poland:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.17% (declined by 1 bps from the year ago).
  • CDS Implied-Rating: Baa1 (unchanged).
  • Bond Implied-Rating: Aaa (increased by 3 notches from the year ago).
  • Senior Rating: A2 (unchanged).

• Portugal:

  • Sovereign EDF (1-Year): 0.01% (declined by 11 bps from the year ago).
  • Sovereign EDF (5-Year): 0.30% (declined by 62 bps from the year ago).
  • CDS Implied-Rating: Baa3 (increased by 5 notches from the year ago).
  • Bond Implied-Rating: A3 (increased by 4 notches from the year ago).
  • Senior Rating: Ba1 (unchanged).

• Romania:

  • Sovereign EDF (1-Year): 0.01% (declined by 1 bps from the year ago).
  • Sovereign EDF (5-Year): 0.31% (increased by 2 bps from the year ago).
  • CDS Implied-Rating: Ba1 (unchanged).
  • Bond Implied-Rating: A3 (increased by 2 notches from the year ago).
  • Senior Rating: Baa3 (unchanged).

• Russian Federation:

  • Sovereign EDF (1-Year): 0.02% (declined by 2 bps from the year ago).
  • Sovereign EDF (5-Year): 0.43% (declined by 4 bps from the year ago).
  • CDS Implied-Rating: Ba2 (unchanged).
  • Bond Implied-Rating: Baa2 (increased by 1 notch from the year ago).
  • Senior Rating: Ba1 (unchanged).

• Slovakia:

  • Sovereign EDF (1-Year): 0.01% (unchanged).
  • Sovereign EDF (5-Year): 0.06% (unchanged).
  • Senior Rating: Aa2 (declined by 1 notch from the year ago).

Key Information

• Sovereign EDF™ is a forward-looking probability of default derived from credit default swap (CDS) spreads.
• CDS Implied-Rating reflects market sentiment more rapidly than Moody's Investors Service (MIS) ratings, which consider long-term fundamentals.
• Bond Implied-Rating and Senior Rating are also market-based indicators of credit risk.
• The European credit crisis of 2009 had a significant impact on Greece, which was close to bankruptcy.
• The improvement in Greece's EDF is attributed to recent reforms and an economic upswing, leading to a more optimistic outlook from investors.