20170911-穆迪服务-Hurricanes,_Natural_and_Manmade,Weigh_on_Sovereign_Risk_18页_475kb

报告摘要

Moody's Sovereign Risk Report Summary (11 September 2017)

Core Content

This report from Moody's Analytics provides an analysis of global sovereign risk based on market-based credit risk metrics, particularly the Sovereign EDF™ (Expected Default Frequency). It highlights how natural disasters and geopolitical tensions have influenced sovereign risk levels in various regions.

Main Points

Global Credit Risk Trends

Global market-based measures of credit risk were higher over the past week.
Crude oil prices rose by 6.9% to a two-year high of $49.16 on September 6.
Gulf coast refinery and pipeline activity is gradually returning to normal after Hurricane Harvey's impact.
The US Southeast is preparing for Hurricane Irma, described as the worst on record.

Sovereign EDF™ Changes

The US Sovereign EDF™ increased by 0.01% to 0.07% over the past week.
The Asia-Pacific region's average Sovereign EDF rose from 0.21% to 0.23% over seven days.
South Korea, China, and Japan experienced the greatest increases in their sovereign EDF metrics.

Geopolitical Impact on Risk

North Korea's pursuit of nuclear weapons has led to increased sanctions by the US, South Korea, Japan, and the UN.
South Korea's Sovereign EDF increased significantly from 0.23% to 0.28%, its highest reading since 2013.
The five-year Sovereign EDF for South Korea converts to a market-implied rating of Baa2, which is still investment grade but six notches below the MIS agency rating of Aa2.

Key Information Overview

Asia-Pacific

Country	Sovereign EDF (1-Year)	Sovereign EDF (5-Year)	CDS Implied-Rating	Bond Implied-Rating	Senior Rating
Australia	0.01%	0.07%	Aa1	Aaa	Aa2
China	0.01%	0.19%	Baa1	Baa1	A1
Hong Kong	0.01%	0.12%	--	--	Aa2
Indonesia	0.03%	0.38%	Ba1	Baa2	Baa3
Malaysia	0.02%	0.24%	Baa3	Baa1	A3
Philippines	0.02%	0.22%	Baa3	A2	Baa2
Thailand	0.02%	0.23%	Baa2	--	Baa1
Vietnam	0.05%	0.48%	Ba2	Ba1	B1

Europe

Country	Sovereign EDF (1-Year)	Sovereign EDF (5-Year)	CDS Implied-Rating	Bond Implied-Rating	Senior Rating
Austria	0.01%	0.06%	Aa1	Aaa	A1
Belgium	0.01%	0.08%	Aa1	Baa2	Baa3
Bulgaria	0.02%	0.36%	Ba1	Baa2	Baa3
Croatia	0.01%	0.18%	Baa3	Aa1	A3
Czech Republic	0.01%	0.12%	Baa1	Aa1	A3
Denmark	0.01%	0.04%	Aaa	Aaa	Aaa
Estonia	0.01%	0.20%	Baa1	Aaa	A1
Finland	0.01%	0.07%	Baa1	Aaa	Aa1
France	0.01%	0.06%	Aa1	Aaa	Aa2
Germany	0.01%	0.04%	Aaa	Aaa	Aaa
Greece	0.60%	2.76%	Caa1	B3	Caa2
Hungary	0.01%	0.28%	Ba1	Baa2	Baa3
Iceland	0.02%	0.32%	Baa3	Baa1	A3
Ireland	0.01%	0.11%	Aa2	Aaa	A3
Italy	0.04%	0.61%	Ba2	Baa1	Baa2
Latvia	0.01%	0.17%	Baa1	Aaa	A3
Lithuania	0.01%	0.18%	Baa1	Aaa	A3
Netherlands	0.01%	0.05%	Aaa	Aaa	Aaa
Norway	0.01%	0.05%	Aaa	--	Aaa
Poland	0.01%	0.18%	Baa1	Aa3	A2
Portugal	0.06%	0.70%	B1	Baa3	Ba1
Romania	0.02%	0.33%	Ba1	Baa1	Baa3
Slovakia	0.01%	0.13%	A2	Aa1	A2
Slovenia	0.01%	0.22%	Baa2	Aa3	Baa3
Spain	0.01%	0.26%	Baa2	A3	Baa2
Sweden	0.01%	0.18%	Aaa	--	Aa2

Key Takeaways

Natural disasters such as Hurricane Harvey and the anticipation of Hurricane Irma have affected credit risk in the US and Asia-Pacific regions.
Geopolitical tensions, particularly those involving North Korea, have raised sovereign risk in South Korea.
Sovereign EDF™ is a key metric used to assess the expected probability of default over a five-year horizon.
The market-implied ratings reflect the credit risk perception in the capital markets, but are not the same as the agency ratings from Moody's Investors Service.
Moody's Analytics does not provide investment advisory services or products, and its research is separate from the ratings business of Moody's Investors Service.