20150713-穆迪服务-Markets_Anticipated_Greece_s_Eleventh_Hour_Deal_19页_1mb

Moody's Sovereign Risk Report Summary (13 July 2015)

Core Content

This report from Moody's Analytics provides an analysis of sovereign risk in various countries based on the Expected Default Frequency (EDF) metrics derived from credit default swap (CDS) markets. It outlines the current state of the Greek debt crisis and its implications on sovereign risk, as well as the risk levels for other countries in the Asia-Pacific and European regions.

Main Points

Greece

• Sovereign Risk Trends:

  • The one-year EDF for Greece dropped significantly from 14.87% at the start of the week to 8.17% by the end of the week on July 10, 2015.
  • The five-year EDF also decreased from 26.36% to 11.70%.
  • Despite the risk, the implied rating for Greece's one-year EDF is Caa3, the third-lowest rating, indicating a high risk of default.
  • The probability of Greece avoiding default is still above 90%, according to market signals, which contrasts with media speculation suggesting a higher chance of default and exit from the Eurozone.

• Recent Developments:

  • A last-minute agreement was reached by Eurozone leaders on July 10, but its impact on sovereign risk is uncertain.
  • The €82-86 billion deal has several hurdles to clear, including approval by national parliaments.
  • The Greek government is under pressure to approve a rescue package quickly, which could lead to an accidental default due to financial strain.

• Banking System:

  • Greek banks are in a parlous state, with severe capital restrictions in place.
  • CDS-Implied EDF for major banks like Eurobank Ergasias, Bank of Piraeus, and National Bank of Greece remains above 20%, indicating a high risk of default.
  • Alpha Bank is the strongest among them, with a lower CDS-Implied EDF.

No Contagion Effect

• The report suggests that the impact of a Greek default would be limited to Greece and not spread to other peripheral European countries.
• Bond yields in Portugal, Italy, Spain, and Ireland increased slightly, but this is attributed to broader Eurozone and global trends, not specific country issues.
• This indicates that the financial system of other European countries is not as vulnerable to a Greek default as previously feared.

Key Countries Overview

Asia-Pacific

Europe

Key Information

• Moody's Analytics is part of Moody's Corporation and provides market-based risk analysis.
• The report emphasizes that Moody's Capital Markets Research does not provide investment advisory services.
• EDF metrics are derived from CDS market data and reflect the market's assessment of default risk.
• The report suggests that while Greece's sovereign risk remains high, the market is optimistic about avoiding default.
• Contagion concerns are not significant, as peripheral European countries show relatively stable bond yields.
• Greek banks are at high risk of default, with only Alpha Bank showing relative strength.
• The new bailout proposal is still under scrutiny and may face political resistance from several Eurozone countries.