20140602-穆迪服务-European_Credit_Risk_Eases；Thailand_Steady_Despite_Military_Coup_17页_1mb

Moody's Market Signals Sovereign Risk Report Summary

Core Content

This report provides an analysis of sovereign credit risk across various regions, focusing on market-based measures such as the Sovereign EDF (Expected Default Frequency), CDS (Credit Default Swap) implied ratings, and Bond implied ratings. The analysis highlights how these market signals reflect the credit risk and investment opportunities for different countries, complementing fundamental research by Moody's Investors Service.

Main Points

• European Credit Risk Eases:

  • The European region showed the largest improvement in credit risk over the week ending 30 May 2014.
  • The average one-year Sovereign EDF for Europe was 0.14%, significantly lower than the 1.04% for Latin America.
  • Portugal and Ukraine were the key drivers of the improvement, with their Sovereign EDF measures falling by 17% and 13%, respectively.
  • Despite the improvement, Ukraine still had the highest probability of default among European sovereigns at 1.72%.
  • Other European credit measures, such as CDS spread-implied and Bond-implied ratings, remained steady.
  • The average Bond-implied rating for European countries is A2, which is one notch higher than the average Moody's rating and CDS-implied rating of A3.

• Thailand's Sovereign Risk:

  • A military coup occurred on May 22, 2014, leading to political instability.
  • Thailand's one-year Sovereign EDF improved slightly from 0.08% to 0.07% since the coup.
  • Despite the improvement, Thailand still exhibits one of the highest credit risks in the Asia-Pacific region, following Vietnam (0.11%) and Indonesia (0.09%).
  • Thailand's GDP growth contracted by 2.1% in the first quarter of 2014, down from 0.1% in the previous quarter.
  • The government lowered its growth targets for the year to 1.5% to 2.5%.
  • The military junta announced plans to revive the economy, including infrastructure projects and budget disbursement.
  • Global investors reacted positively, as seen in the improvement of Thailand's Sovereign EDF and the rise of the Bangkok SET Index by 1.5%.
  • Five-year CDS spreads tightened by 8% to 120 bp.

• Moody's Ratings:

  • Moody's Investors Service currently rates Thailand's government bonds at Baa1.
  • On June 2, 2014, Moody's affirmed the country's long-term issuer rating with a stable outlook.
  • The affirmation was based on Thailand's fundamental credit strengths remaining largely intact despite political turmoil.
  • Key factors included the government's ability to manage finances, strong institutional anchors, and sustained external strength.

Key Information

• Sovereign EDF measures are forward-looking probabilities of default derived from CDS spreads.
• CDS spread-implied ratings are adjusted for loss-given default and the market price of risk to estimate future default risk.
• The report also includes tables with data for various countries, including Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, New Zealand, Philippines, Singapore, Sri Lanka, Taiwan, Vietnam, and others in Europe, detailing their Sovereign EDF, CDS implied ratings, Bond implied ratings, and Senior ratings with changes over time.

Summary of Key Countries

Conclusion

The report indicates that while European sovereign credit risk has eased, Latin America remains the region with the highest credit risk. Thailand, despite political instability, has seen a slight improvement in its credit risk indicators, suggesting a positive market sentiment. The data underscores the importance of monitoring both market signals and fundamental credit strengths to assess sovereign risk accurately.