20150309-穆迪服务-Sovereign_Risk_Report_Political_Troubles_Drive_Turkey_s_Credit_Risk_Higher_20页_1mb

Moody's Sector In-Depth Summary - March 9, 2015

Overview

Moody's Capital Markets Research (CMR) provides market-based analyses of credit and equity signals to assess the risks and investment opportunities for issuers and sectors. This report focuses on sovereign credit risk, highlighting how political and economic factors influence market perceptions.

Core Content

• Turkey's Credit Risk:
  • Turkey's one-year Sovereign EDF increased by 0.03 percentage points to 0.12%, a 27% rise.
  • The five-year EDF also increased slightly from 0.24% to 0.28%.
  • The CDS-implied rating for Turkey is Ba3, indicating non-investment grade credit quality.
  • This reflects a widening gap between market signals and Moody's Investors Service (MIS) rating, which is Baa3. The market-based measures are three notches lower than the MIS rating.
  • The political environment is deteriorating, with President Erdogan's push for more presidential power and the erosion of checks and balances, increasing investor concerns.
  • The Turkish lira fell 11% against the USD, and the central bank's interest rate cut (from 7.75% to 7.5%) raised concerns.

Key Information

• Russia's Credit Risk:

  • Russia's one-year Sovereign EDF decreased to 0.50% from a peak of 0.90%, but remains the tenth riskiest sovereign in the database.
  • Russia's EDF is still higher than Turkey's, and its fiscal revenues are heavily linked to the energy sector.
  • The break-even oil price for Russia's budget is $117 per barrel, while Brent crude is currently at $60 per barrel.

• Ukraine's Credit Risk:

  • Ukraine's CDS-implied Sovereign EDF dropped from 35% to 29.98%, but it remains the riskiest sovereign in the CDS database.
  • The Ukrainian hryvnia surged 15% against the USD, suggesting improved market sentiment, though the country still needs IMF approval for emergency aid.

Asia-Pacific Summary

Europe Summary

Main Points

• Political and Economic Factors: Political instability and economic challenges significantly influence sovereign credit risk.
• Market vs. Rating Discrepancy: Market-implied ratings often differ from Moody's Investors Service ratings, reflecting divergent views on creditworthiness.
• Currency Movements: Currency depreciation is a key factor affecting credit risk, especially in countries with large current account deficits.
• Interest Rate Policy: Central bank decisions, particularly in Turkey, have impacted market perceptions and credit risk.
• Sovereign EDF Trends: The EDF measures show varying degrees of risk, with some countries showing improvement and others increasing concern.