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报告摘要

Moody's Sovereign Risk Analysis Summary (30 March 2015)

Core Content

This document provides an analysis of sovereign risk measures as of the week ending 27 March 2015, focusing on Greece and other countries in the Asia-Pacific and Europe regions. It highlights the methodologies used to assess sovereign risk through the Expected Default Frequency (EDF), CDS-implied ratings, bond-implied ratings, and senior ratings. The analysis emphasizes the interplay between political, economic, and financial factors in shaping these risk indicators.

Main Points

Greece

Sovereign Risk: Elevated, though slightly improved in the week.
One-Year EDF: Increased to 6.04%, peaking at 6.22% earlier in the week.
Five-Year EDF: Closed the week at 5.56%, remaining close to a three-month high.
CDS Implied Rating: Caa3, indicating a high risk of default.
Sovereign Default Risk: High due to:
- Looming financial deadlines (€1.7 billion wage and pension bill, €450 million IMF loan repayment).
- Political instability and uncertainty.
- The possibility of exiting the Eurozone, which could trigger a banking crisis.
Government Measures: Shuffling funds from agencies and state-owned corporations to maintain solvency.
Risk of Default: High, with a hard deadline approaching on April 9.

Cyprus

Sovereign Risk: Stabilized with improvements over the past two years.
One-Year EDF: 0.38%, up from a low of 0.19% in September 2014.
Five-Year EDF: B3, which is non-investment grade.
CDS Implied Rating: B3, indicating a moderate level of risk.
Improvements: Capital controls, economic reforms, and a €10 billion bailout helped stabilize the situation.

Russia

Sovereign Risk: Declined slightly, with the one-year EDF at 0.41%.
Five-Year EDF: 0.75%, close to a three-month low.
CDS Implied Rating: B3, indicating a moderate risk of default.
Reasons for Decline: Reduced market volatility and CDS spreads.

Asia-Pacific Overview

Australia: Maintained stable sovereign EDF and CDS implied ratings.
China: Slightly reduced one-year EDF to 0.04%.
Hong Kong: Slightly increased one-year EDF to 0.02%, but maintained high senior ratings.
Indonesia: One-year EDF increased slightly to 0.08%.
Japan: Slightly reduced one-year EDF to 0.01%.
Korea: One-year EDF at 0.02%, with a slight decline in CDS implied rating.
Malaysia: One-year EDF at 0.06%, with a slight increase in CDS implied rating.
Philippines: One-year EDF at 0.08%, with a slight increase in CDS implied rating.
Singapore: Maintained high senior ratings, but EDF and CDS implied ratings were not available.
Sri Lanka: One-year EDF at 0.21%, with a slight decrease.
Taiwan: One-year EDF at 0.02%, with no significant change.
Thailand: One-year EDF at 0.05%, with a slight decrease.
Vietnam: One-year EDF at 0.08%, with a slight decrease in CDS implied rating.

Europe Overview

Austria: Stable sovereign EDF and CDS implied ratings.
Belgium: Slightly increased one-year EDF to 0.02%.
Bulgaria: One-year EDF at 0.05%, with a slight increase in CDS implied rating.
Croatia: One-year EDF at 0.13%, with a slight decrease.
Denmark: Slightly decreased one-year EDF to 0.01%.
Estonia: Slightly decreased one-year EDF to 0.02%.
Finland: Stable sovereign EDF and CDS implied ratings.
France: Slightly decreased one-year EDF to 0.01%.
Germany: Maintained stable sovereign EDF and CDS implied ratings.
Iceland: Slightly decreased one-year EDF to 0.07%.
Ireland: Slightly increased one-year EDF to 0.02%.
Italy: One-year EDF at 0.05%, with a slight decrease.
Latvia: Slightly decreased one-year EDF to 0.03%.
Lithuania: Slightly decreased one-year EDF to 0.03%.
Malta: One-year EDF at 0.12%, with a slight decrease.
Netherlands: Stable sovereign EDF and CDS implied ratings.
Norway: Maintained stable sovereign EDF and CDS implied ratings.
Poland: One-year EDF at 0.02%, with a slight decrease.
Portugal: One-year EDF at 0.05%, with a slight decrease.
Romania: One-year EDF at 0.05%, with a slight decrease.
Slovakia: Slightly increased one-year EDF to 0.02%.
Slovenia: One-year EDF at 0.05%, with a slight decrease.
Serbia: One-year EDF at 0.09%, with a significant decrease from the previous year.

Key Information

Moody's Analytics provides market-based risk assessments, while Moody's Investors Service offers fundamental analysis.
The EDF is a measure of expected default frequency, used to assess sovereign risk.
CDS-implied ratings reflect market expectations of credit risk.
Bond-implied ratings are derived from bond yields and are used to assess investment grade.
Senior ratings are the long-term credit ratings assigned by Moody's Investors Service.
The analysis emphasizes the impact of political and economic factors on sovereign risk, particularly in Greece and Cyprus.
Capital controls and financial reforms have been key in stabilizing sovereign risk in Cyprus.
The Greek banking sector is a critical point of concern, with the risk of a bank run potentially leading to a default.
Moody's does not provide investment advisory services, only research and analysis.