20170619-穆迪服务-Sovereign_Risk_Report_Market-Based_Sovereign_Risk_Measures_Decline_in_the_Philippines_18页_475kb
报告摘要
Moody's Market-Based Sovereign Risk Measures Summary (June 19, 2017)
Core Content
This document provides an analysis of market-based sovereign risk measures for various countries as of June 19, 2017. It includes data on the Expected Default Frequency (EDF), Credit Default Swap (CDS) implied ratings, Bond implied ratings, and Senior ratings. The EDF measures the probability of default over a given period, while the CDS and bond implied ratings reflect market perceptions of credit risk.
Key Information
Philippines
- Sovereign EDF (1-Year): 0.02% (June 16, 2017), down from 0.03% a year ago.
- Sovereign EDF (5-Year): 0.26% (June 16, 2017), down from 0.29% a year ago.
- CDS Implied-Rating: Baa2 (June 16, 2017), up from Baa3 a year ago.
- Bond Implied-Rating: A3 (June 16, 2017), unchanged from a year ago.
- Senior Rating: Baa2 (June 16, 2017), unchanged from a year ago.
- CDS Spread (5-Year): Hit an all-time low on June 14, 2017.
Asia-Pacific Overview
- Government Debt: Remains low in the Philippines, contributing to reduced sovereign credit risk.
- Economic Growth: Strong growth in 2017 (around 7%) supports debt management.
- Moody's Rating: Aligns with the EDF-implied rating of Baa2.
Other Countries
| Country | Sovereign EDF (1-Year) | Sovereign EDF (5-Year) | CDS Implied-Rating | Bond Implied-Rating | Senior Rating |
|---|---|---|---|---|---|
| Australia | 0.01% | 0.07% | Aa3 | Aaa | Aaa |
| China | 0.01% | 0.21% | Baa2 | Baa1 | Aa3 |
| Hong Kong | 0.01% | 0.11% | -- | -- | Aa1 |
| Indonesia | 0.04% | 0.44% | Ba1 | Baa3 | Baa3 |
| Japan | 0.01% | 0.07% | Aa3 | Aaa | A1 |
| Korea | 0.01% | 0.17% | A3 | Aa3 | Aa2 |
| Malaysia | 0.02% | 0.30% | Baa3 | Baa1 | A3 |
| New Zealand | 0.01% | 0.07% | Aa3 | -- | Aaa |
| India | 0.03% | 0.33% | Baa3 | -- | Baa3 |
| Thailand | 0.01% | 0.21% | Caa1 | -- | Caa3 |
| Vietnam | 0.04% | 0.45% | Ba2 | Ba1 | B1 |
Main Points
- Philippines: Market-based sovereign risk measures have continued to decline, with the five-year EDF dropping to 0.26% and aligning with its Moody's rating of Baa2. The five-year CDS spread also reached an all-time low.
- Economic Factors: Strong economic growth and low government debt have contributed to the decline in sovereign risk.
- CDS Spread: A key indicator of sovereign risk, the five-year CDS spread for the Philippines eased significantly.
- Global Trends: The report includes a comparative analysis of sovereign risk across multiple countries, showing varying degrees of improvement or deterioration in risk measures.
- Rating Consistency: In many cases, the EDF-implied ratings are in line with Moody's official ratings, indicating that market signals align with fundamental assessments.
Conclusion
The analysis highlights that market-based sovereign risk measures for the Philippines have trended lower, reflecting improved economic conditions and manageable government debt. The report also provides insights into other countries in the Asia-Pacific and Europe regions, showing that sovereign risk measures vary and are influenced by economic performance and debt levels. The data suggests that market signals generally align with fundamental credit assessments, reinforcing the reliability of these measures in evaluating sovereign risk.
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