20180118-穆迪服务-Greece_s_Sovereign_EDF_Implies_Upbeat_Next_Act_in_Greek_Economic_Drama_18页_499kb

Moody's Sector In-Depth Summary: Greece's Sovereign EDF and Market Confidence

Core Content

This document from Moody's Capital Markets Research provides an analysis of market-based credit risk indicators for various countries, with a specific focus on Greece's sovereign credit risk and investor sentiment. It highlights the changes in the Expected Default Frequency (EDF) and market-implied ratings over a specific period and discusses the implications of these changes for the country's economic outlook and its potential exit from the bailout regime.

Main Points

• Greece's Sovereign EDF Decline:
  Greece's five-year EDF measure dropped significantly from 1.94% on December 29, 2017, to 1.36% on January 17, 2018, a 30% decline in less than three weeks. This indicates a marked improvement in the market's perception of Greece's credit risk.

• Economic Reforms and Investor Confidence:
  The recent approval of economic reforms by Greece's parliament has boosted investor confidence. These reforms are seen as a step toward Greece's potential exit from its bailout regime, which could ease the burden on the Greek populace who have endured years of austerity.

• Economic Recovery:
  Greece's economic upswing, aligned with the broader European economic expansion, has also contributed to the improved sentiment. This has reduced concerns about a potential sovereign bankruptcy, which could have had severe consequences for the European and US economies.

• Market Implied Rating:
  The CDS-implied EDF market-implied rating for Greece is B2, which is three notches higher than its Moody's Investors Service (MIS) rating of Caa2. This reflects a more optimistic view of Greece's creditworthiness based on market sentiment.

• Historical Context:
  Greece's situation was a major concern during the European credit crisis starting in late 2009. The country received multiple bailouts from the European Central Bank and the International Monetary Fund, but it is expected to remain under creditors' supervision until 75% of its debts are paid off, which may take many decades.

• Comparison with Other Countries:
  The document includes a table comparing EDF, CDS-implied ratings, bond-implied ratings, and senior ratings for several countries including Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, New Zealand, Philippines, India, Thailand, and others. It shows the changes in credit risk assessments over the period from December 15, 2017, to January 12, 2018, and compares them with the same period a year earlier.

Key Information

• EDF Definition:
  Sovereign EDF™ is a forward-looking probability of default derived from credit default swap (CDS) spreads. It is adjusted for loss-given default and the market price of risk to estimate actual future default risk.

• Market Implied Ratings:
  These ratings are a more rapid reflection of market sentiment compared to Moody's MIS ratings, which consider long-term fundamentals.

• Country-Specific Insights:

  • Australia: Maintained stable EDF and ratings, with no significant change.
  • China: Slight improvement in 5-year EDF and CDS-implied rating.
  • Hong Kong: No significant change in EDF, but a slight improvement in 5-year EDF.
  • Indonesia: Improved EDF and CDS-implied rating.
  • Japan: Slight improvement in 5-year EDF.
  • Korea: Improved EDF and CDS-implied rating.
  • Malaysia: Improved EDF and CDS-implied rating.
  • New Zealand: Slight improvement in 5-year EDF.
  • Philippines: Improved EDF and CDS-implied rating.
  • India: Improved EDF and CDS-implied rating.
  • Thailand: Improved EDF and CDS-implied rating.
  • Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, and others also showed varying degrees of improvement or stability in their EDF and ratings.

Conclusion

The analysis underscores a significant shift in market sentiment towards Greece, driven by recent economic reforms and an economic recovery. This has led to a notable decrease in its sovereign EDF, indicating a lower risk of default. However, Greece is expected to remain under creditor supervision for a long time. The document also provides insights into the credit risk assessments of other countries, showing a mix of improvements and stability.