穆迪-欧洲-主权信贷-希腊和西班牙的EDF达到近年最低-20171214-19页_709kb

Moody's Sector In-Depth Summary: Greece and Spain

Core Content

This report from Moody's Capital Markets Research (CMR) provides an analysis of the sovereign credit risk and market sentiment for Greece and Spain, based on market-based measures such as Credit Default Swap (CDS)-Implied Expected Default Frequency (EDF). It also includes a broader overview of sovereign EDF and CDS-implied ratings for several European and Asian countries.

Main Points

• Greece and Spain:

  • Both countries have seen a decline in their 5-year CDS-Implied EDF and CDS spreads over the past three years, indicating improved credit risk perceptions.
  • Greece's 5-year CDS-Implied EDF reached a low of 2.1% on December 11, 2017, down from 2.6% on October 31, 2017, and 4.6% on March 6, 2017.
  • Greece's 5-year CDS spread dropped to 421 bp, from 481 bp on October 31, 2017, and 992 bp on March 6, 2017.
  • Spain's 5-year EDF reached a recent low of 0.22%, down from 0.29% on October 27, 2017, and 0.28% in April 2017.
  • Spain's 5-year CDS spread was 56 bp, compared to 72 bp on October 27, 2017, and 286 bp in June 2013.
  • The EDF for Greece and Spain has shown a prolonged improvement trend, with Greece's EDF peaking at 26.0% on July 7, 2015, and Spain's EDF peaking at 0.28% in April 2017.

• Political Impact on EDF and CDS:

  • Political volatility in Spain, particularly the Catalan independence referendum on October 1, 2017, led to a temporary rise in EDF and CDS spreads.
  • After the referendum, EDF and CDS spread dropped to a low on October 12, 2017, but then increased again due to continued political uncertainty.

• Moody's Ratings:

  • On December 11, 2017, Greece's 1-year CDS-implied rating was B1, and the 5-year was B3. Moody's Investors Service maintained a Caa2 rating with a positive outlook.
  • Spain's EDF and CDS spreads have been in a downtrend since October 27, 2017, and the EDF is now significantly lower than Greece's, at 0.22% compared to 2.20%.

Key Information

• EDF and CDS Relationship:

  • The EDF metric is derived from CDS spreads, adjusted for loss-given default and the market price of risk.
  • The CDS spread is a key driver of the EDF metric.

• Regional Overview:

  • The report also provides data on EDF and CDS-implied ratings for other countries, including:
    • Australia: EDF remained stable at 0.01% for 1-year and 0.06% for 5-year, with a +0 bps 12-month change.
    • China: 5-year EDF dropped to 0.20%, a -12 bps change.
    • Hong Kong: 5-year EDF decreased to 0.12%, a -6 bps change.
    • Indonesia: 5-year EDF dropped to 0.39%, a -10 bps change.
    • Japan: 5-year EDF decreased to 0.09%, a +1 bps change.
    • Korea: 5-year EDF dropped to 0.23%, a -14 bps change.
    • Malaysia: 5-year EDF decreased to 0.23%, a -18 bps change.
    • New Zealand: 5-year EDF increased to 0.20%, a +5 bps change.
    • Philippines: 5-year EDF dropped to 0.39%, a -9 bps change.
    • India: 5-year EDF dropped to 0.31%, a -8 bps change.
    • Iceland: 5-year EDF increased to 0.30%, a +2 bps change.
    • Latvia: 5-year EDF decreased to 0.15%, a -1 bps change.
    • Lithuania: 5-year EDF increased to 0.18%, a +3 bps change.
    • Netherlands: 5-year EDF decreased to 0.04%, a -3 bps change.
    • Poland: 5-year EDF decreased to 0.16%, a -7 bps change.
    • Portugal: 5-year EDF decreased to 0.43%, a -41 bps change.
    • Romania: 5-year EDF remained stable at 0.35%, with a 0 bps change.
    • Czech Republic: 5-year EDF increased to 0.13%, a +2 bps change.
    • Austria: 5-year EDF decreased to 0.05%, a -3 bps change.
    • Belgium: 5-year EDF decreased to 0.06%, a -3 bps change.
    • Bulgaria: 5-year EDF decreased to 0.32%, a -15 bps change.
    • Croatia: 5-year EDF decreased to 0.36%, a -18 bps change.
    • Cyprus: 5-year EDF decreased to 0.57%, a -18 bps change.
    • Denmark: 5-year EDF decreased to 0.04%, a -2 bps change.
    • Estonia: 5-year EDF increased to 0.20%, a +5 bps change.
    • Finland: 5-year EDF remained stable at 0.06%, with a 0 bps change.
    • France: 5-year EDF decreased to 0.06%, a -4 bps change.
    • Germany: 5-year EDF decreased to 0.03%, a -2 bps change.
    • Ireland: 5-year EDF decreased to 0.10%, a -9 bps change.
    • Italy: 5-year EDF decreased to 0.49%, a -14 bps change.
    • Norway: 5-year EDF remained stable at 0.04%, with a 0 bps change.
    • Russia: Data is incomplete, but the report shows a trend in the region.

Summary of Trends

• Overall Trend: There has been a decrease in ratings volatility in Europe since 2015, with a notable increase in Greek upgrades and a decrease in downgrades for Greece, Spain, and the broader European region.
• Market Sentiment: Investors have become more optimistic about the default risk of Greece and Spain, as reflected in the declining EDF and CDS spread metrics.
• Political Impact: Political events, such as the Catalan referendum, have had a measurable effect on market sentiment, with temporary spikes in EDF and CDS spreads followed by a return to lower levels as political tensions eased.