20141124-穆迪服务-Market_Signals_Show_Investor_Wariness_of_Ukraine_and_Japan_21页_1mb

Moody's Sovereign Risk Report Summary (24 November 2014)

Core Content

This report from Moody's Capital Markets Research provides an analysis of sovereign risk in various regions, focusing on market-based indicators such as Sovereign EDF (Expected Default Frequency), CDS (Credit Default Swap) implied ratings, and bond implied ratings. It highlights the credit risk trends and market reactions to economic developments in Ukraine and Japan.

Main Points

• Credit Risk Overview:

  • Credit risk in the markets improved slightly over the week ending 21 November 2014.
  • Latin America remains the region with the highest credit risk, with an average one-year Sovereign EDF of 0.76%, which is four times higher than Europe's 0.19%.
  • In Europe, only four out of 33 countries experienced a weekly increase in default risk.
  • Czech Republic and Belgium had the largest increases in sovereign credit risk in Europe, with EDF measures rising by 8% and 5%, respectively.
  • Ukraine has the highest one-year Sovereign EDF measure in Europe at 3.56%, indicating the highest probability of default.

• Ukraine:

  • Market-based risk measures for Ukrainian government debt have deteriorated due to ongoing conflict in the east.
  • The one-year EDF measure increased from 2.1% on 5 September to 3.56% as of 21 November.
  • The price of Ukraine's 10-year notes has fallen by seven points to just under 79.
  • The 5-year CDS spread widened by 300 bp.
  • Market signals reflect concerns about Ukraine's ability to finance $14 billion of maturing foreign currency debt by the end of 2016.

• Japan:

  • Japan's GDP contracted by 0.4% in the third quarter of 2014, marking an unexpected second consecutive decline.
  • Year-over-year GDP contraction reached 1.1%, raising concerns about a return to deflation.
  • Japan's Sovereign EDF measure increased by 22% to 0.022%, the highest weekly increase among Asia-Pacific countries.
  • The yen weakened to 118.21 per US dollar, part of the central bank's strategy to boost domestic job growth.
  • The 5-year CDS spread edged up slightly to 58 bp.
  • The yield on Japan's 10-year government bonds dropped to 0.45% after the delay in the second sales tax increase.
  • The Nikkei Index increased by 2% over the same period.

Key Information

• Market Signals:

  • Market-based credit risk measures for sovereigns have generally improved.
  • CDS and bond implied ratings remained steady in Europe.
  • The average bond-implied rating for European countries is A2, which is one notch above Moody's average rating of A3 and two notches above the CDS-implied rating of Baa1.
  • Iceland showed the largest decrease in default risk among European countries, with an EDF of 0.06%.

• Asia-Pacific Overview:

  • The report includes data for several countries, including Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, New Zealand, Philippines, Singapore, Sri Lanka, Taiwan, and Thailand.
  • Most countries in the region showed stable or slightly improved sovereign risk measures.
  • Japan stands out with a significant rise in EDF, indicating increased market concern.

• Moody's Analytics:

  • CMR is part of Moody's Analytics and does not provide investment advisory services or products.
  • It is legally and organizationally separate from Moody's Investors Service and operates independently.

Summary Table

Conclusion

The report emphasizes the importance of market signals in assessing sovereign credit risk and highlights the increased risk in Ukraine and concerns in Japan due to economic instability and political developments. It provides a comparative analysis of risk measures across regions and underscores the difference between market-based and fundamental ratings.