20160808-穆迪服务-Venezuela_s_Sovereign_Credit_Risk_Fails_to_Improve_on_Recent_Oil_Price_Gains_20页_607kb

Venezuela's Sovereign Credit Risk Analysis Summary

Core Content

This document from Moody's Capital Markets Research provides an analysis of Venezuela's sovereign credit risk, highlighting how recent oil price gains have not significantly improved its credit profile. It contrasts Venezuela's credit risk with other major oil exporters and discusses the broader economic and market factors affecting sovereign credit risk in the Asia-Pacific and Europe regions.

Main Points

• Venezuela's Credit Risk: Despite a recent rebound in oil prices, Venezuela's five-year Sovereign EDF measure remains high at 13.99%, indicating it is still the most likely sovereign to default among the entities analyzed.

• Oil Price Impact: The probability of default for Venezuela has a strong negative correlation with oil prices, and while prices have increased, the EDF has not decreased substantially.

• Economic Challenges: Venezuela faces severe economic issues, including a 180.9% increase in consumer prices, strict currency controls, and shortages of basic goods, which continue to impact its credit risk.

• Debt and Liquidity Crisis: The country is expected to make significant debt payments starting in October, and its foreign exchange reserves have declined significantly since 2015, raising concerns about liquidity.

• Comparison with Other Oil Exporters: Other major oil exporters such as Saudi Arabia, Qatar, Russia, Colombia, and Mexico have shown some improvement in their five-year Sovereign EDF measures, with Russia's dropping from 0.73% to 0.44% since January 2016.

Key Information

• Sovereign EDF Trends:

  • Venezuela's five-year EDF measure increased from 17% in January to 32% in April but has since declined to 13.99%.
  • Russia's five-year EDF measure dropped by over 30% since January 2016.

• Market Reactions:

  • Government debt and CDS markets are pricing in a higher risk of default for Venezuela.
  • US dollar-denominated notes maturing in 2022 traded as low as 50.85, yielding over 33%.
  • Five-year CDS spreads widened by over 140 basis points to 3,762 basis points.

• Global Context:

  • The report includes data on credit risk metrics for several countries in the Asia-Pacific and Europe, with notable changes in EDF measures and implied ratings.
  • Countries like Greece and Iraq have lower EDF measures compared to Venezuela, but their own economic challenges are also highlighted.

• Moody's Analytics:

  • It is part of Moody's Corporation and operates independently from the ratings business.
  • The report does not provide investment advisory services or products.

Summary of Key Entities

Asia-Pacific

• Australia: Sovereign EDF (5-year) decreased by 5 bps to 0.05%.
• China: Sovereign EDF (5-year) decreased by 6 bps to 0.27%.
• Hong Kong: Sovereign EDF (5-year) decreased by 4 bps to 0.07%.
• Indonesia: Sovereign EDF (5-year) decreased by 24 bps to 0.44%.
• India: Sovereign EDF (5-year) decreased by 24 bps to 0.43%.
• Malaysia: Sovereign EDF (5-year) decreased by 14 bps to 0.36%.
• New Zealand: Sovereign EDF (5-year) decreased by 3 bps to 0.07%.
• Philippines: Sovereign EDF (5-year) decreased by 8 bps to 0.25%.
• Thailand: Sovereign EDF (5-year) decreased by 13 bps to 0.23%.

Europe

• Austria: Sovereign EDF (5-year) remained stable at 0.06%.
• Belgium: Sovereign EDF (5-year) remained stable at 0.28%.
• Bulgaria: Sovereign EDF (5-year) decreased by 21 bps to 0.45%.
• Croatia: Sovereign EDF (5-year) decreased by 21 bps to 0.44%.
• Denmark: Sovereign EDF (5-year) remained stable at 0.05%.
• Finland: Sovereign EDF (5-year) increased by 1 bps to 0.06%.
• France: Sovereign EDF (5-year) increased by 2 bps to 0.07%.
• Germany: Sovereign EDF (5-year) remained stable at 0.04%.
• Greece: Sovereign EDF (5-year) remained stable at 3.01%.
• Hungary: Sovereign EDF (5-year) decreased by 5 bps to 0.22%.
• Iceland: Sovereign EDF (5-year) decreased by 23 bps to 0.25%.
• Ireland: Sovereign EDF (5-year) increased by 5 bps to 0.21%.
• Italy: Sovereign EDF (5-year) increased by 2 bps to 0.42%.
• Latvia: Sovereign EDF (5-year) decreased by 9 bps to 0.14%.
• Lithuania: Sovereign EDF (5-year) decreased by 9 bps to 0.14%.
• Netherlands: Sovereign EDF (5-year) increased by 2 bps to 0.06%.
• Norway: Sovereign EDF (5-year) increased by 1 bps to 0.04%.
• Poland: Sovereign EDF (5-year) increased by 1 bps to 0.22%.
• Portugal: Sovereign EDF (5-year) increased by 27 bps to 0.62%.
• Romania: Sovereign EDF (5-year) decreased by 14 bps to 0.27%.
• Russian Federation: Sovereign EDF (5-year) decreased by 52 bps to 0.45%.

Conclusion

Venezuela's sovereign credit risk remains elevated despite recent oil price gains, largely due to ongoing economic challenges and liquidity concerns. While other oil-exporting nations have seen some improvement in their credit profiles, Venezuela's situation is more dire, with its credit risk metrics still significantly higher than those of its peers. The analysis underscores the importance of oil prices and broader economic conditions in assessing sovereign credit risk.