20171016-穆迪服务-Spain_s_Sovereign_Credit_Risk_Receding_Post-Referendum_18页_790kb

Moody's: Spain's Sovereign Credit Risk and Regional Analysis (October 16, 2017)

Core Content

This document provides an analysis of sovereign credit risk measures and market signals for various countries, with a focus on Spain following the October 1 referendum on Catalan independence. It includes data on the Expected Default Frequency (EDF) metric, CDS spreads, and implied ratings, comparing them across different time periods and regions.

Main Points

• Spain's Sovereign EDF and CDS Spreads:

  • Spain's Sovereign EDF declined from 0.27% to 0.24% in the week ended October 13, 2017, before ending the week at 0.25%.
  • The five-year CDS spread eased from 77 bp to 69 bp during the same period.
  • The EDF remained closely aligned with the Moody's Investors Service (MIS) rating of Baa2, ranging between Baa1 and Baa2 over the past year.
  • The decline in EDF suggests investor reassurance following Catalan President Carles Puigdemont's remarks on October 10, which emphasized dialogue over immediate secession.

• Impact of the Referendum:

  • The referendum was ruled illegal by Spanish courts, but it caused volatility in Spain's EDF.
  • Following the vote, Spain's EDF reached a three-month high of 0.28%, indicating increased credit risk perception.
  • MIS noted that while Catalan independence is unlikely, it would have a broadly negative credit impact on the remaining Spain, due to reduced tax-raising abilities and a smaller economy.

• EDF in Context:

  • Despite the volatility, Spain's EDF remained well below the regional average of 1.09%.
  • The EDF is a five-year probability of default measure, and its performance reflects market sentiment on credit risk.

Key Information

Spain's Credit Metrics (Week Ended October 13, 2017)

Other Countries' Credit Metrics (Week Ended October 13, 2017)

Europe Overview

• The document outlines the EDF, CDS implied ratings, bond implied ratings, and senior ratings for several European countries.
• It shows that EDF and implied ratings varied across the region, reflecting different levels of credit risk and market sentiment.
• The data for some countries (e.g., Austria, Belgium, Bulgaria, Croatia, etc.) shows EDF fluctuations and changes in implied ratings, with some countries experiencing a slight increase or decrease in risk perception.

Summary

Moody's Analytics provides an assessment of sovereign credit risk and market signals for various countries, including Spain. The analysis highlights how the Catalan independence referendum impacted Spain's credit risk metrics, leading to a temporary rise in EDF but a subsequent decline as investors were reassured by dialogue-focused statements. Spain's EDF remained closely aligned with its investment-grade rating of Baa2, and its risk profile was still lower than the regional average. The document also includes a detailed breakdown of EDF and implied ratings for other countries, offering a comparative view of credit risk across the globe.