20150323-穆迪服务-Greece_s_Cash_Shortfall_Raises_the_Risk_of_Default_19页_1mb

Moody's Sector In-Depth Summary: Greece's Cash Shortfall and Sovereign Risk

Core Content

This report from Moody's Capital Markets Research (CMR) focuses on the rising sovereign risk associated with Greece, particularly in the context of its financial crisis. It highlights the increase in the one-year Sovereign EDF (Expected Default Frequency) and the implications of this trend on market participants and the broader economic outlook.

Main Points

• Sovereign Risk Increase:

  • The one-year Sovereign EDF for Greece increased from 3.85% to 5.96% (a 71% jump) by the week ending March 20, 2015.
  • The five-year Sovereign EDF rose from 3.97% to 5.5%.
  • The one-year EDF has increased almost 200% since the start of 2015, indicating significant market concerns about a potential Greek default.

• Economic Challenges:

  • General government debt stands at 170% of GDP, making it extremely difficult for the Greek government to service its debt.
  • The economy grew by 0.7% in 2014, but shrank in nominal terms by 2%.
  • High unemployment (around 26%) and over 40% of the population living below the poverty line are exacerbating the crisis.

• Political Shift:

  • The January 25 legislative election led to the installation of Alexis Tsipras as Prime Minister from the left-wing Syriza party.
  • His promises to reduce austerity and challenge creditors have increased fears of a downside credit event, such as a Greek exit from the Eurozone or a sharp debt write-down.

• Market Reactions:

  • CDS spreads have widened, and the five-year CDS-implied rating is now at Caa2.
  • Bond yields have also increased, though not as sharply as CDS spreads.
  • The divergence between bond yields and CDS spreads suggests market participants are pricing in both a higher probability of a downside credit event and the risk of an accidental default.

• CDS vs. Bond Yields:

  • CDS spreads are more sensitive to accidental defaults, especially as some CDS contracts are binary and pay out a fixed amount in case of default.
  • Bond yields reflect both the probability of default and the loss given default, making them less sensitive to accidental events.

• Recent Talks and Outcomes:

  • High-level talks in Brussels aimed at unlocking €7.2 billion in frozen bailout funds failed to produce a substantive agreement.
  • The Greek government's cash reserves are rapidly depleting, increasing the risk of a near-term credit event.

Key Information

• Moody's Analytics is separate from the ratings business and does not provide investment advisory services.
• The report includes a table with data for various countries, including Greece, showing changes in Sovereign EDF, CDS implied ratings, bond implied ratings, and senior ratings.
• Greece's EDF has reached its highest level since 2011, signaling a critical juncture in its financial situation.

Figures and Data Highlights

• Figure 1: Greek one and five-year Sovereign EDF measures show a sharp increase.
• Figure 2: Five-year Greek sovereign CDS spread increased significantly.
• Figure 3: Yield spread between Greek and German bonds versus CDS spreads highlights market concerns.

Conclusion

Greece's financial situation is deteriorating rapidly, with significant implications for its credit risk. The combination of high debt levels, economic contraction, and political tensions has led to increased market concerns and a rise in EDF and CDS spreads. The risk of a credit event remains high, and there is no clear resolution in sight.