20161121-穆迪服务-Likely_Fed_Rate_Hike_and_Oil_Prices_Grab_Market_Attention_19页_518kb

报告摘要

Moody's Sovereign Risk Report Summary (21 November 2016)

Core Content

This report from Moody's Capital Markets Research (CMR) discusses the impact of potential Federal Reserve rate hikes and oil price movements on global financial markets, particularly focusing on sovereign credit risk. It provides an overview of the Sovereign EDF (Expected Default Frequency) metrics and other credit indicators for various countries in the Asia-Pacific and Europe regions.

Main Points

Fed Rate Hike Expectations: The US Federal Reserve is under scrutiny for potential rate hikes at its December 13-14 meeting. Fed Chair Janet Yellen emphasized that the strengthening economy and labor market support the case for raising rates, though the core PCE price index remains below the 2% target. She warned that delaying the rate increase could lead to abrupt tightening and encourage excessive risk-taking, undermining financial stability.
Oil Price Recovery: Crude oil prices have been recovering from a three-month low of $43.12 per barrel, driven by renewed hopes for an OPEC production cut. The price closed at $45.58 per barrel on November 18. The OPEC and 14 oil-producing nations are expected to meet on November 30 to formalize a production reduction agreement.
Sovereign EDF Metrics: The Sovereign EDF metrics, which reflect the probability of default over five years, were mixed across the dataset. Some countries showed a decline in credit risk, while others experienced increases. The report highlights the influence of the strengthening US dollar and low oil prices on credit risk levels.

Key Countries Analysis

Asia-Pacific

Country	Sovereign EDF (1-Year)	Sovereign EDF (5-Year)	CDS Implied-Rating	Bond Implied-Rating	Senior Rating	12 MO Change
Australia	0.01%	0.06%	Aa2	Aaa	Aaa	0 bps
China	0.03%	0.31%	Baa3	Baa1	Aa3	+8 bps
Hong Kong	0.01%	0.06%	Aa1	Aa1	Aa1	0 bps
Indonesia	0.05%	0.48%	Ba1	Baa3	Baa3	-6 bps
Japan	0.01%	0.08%	Aa3	Aaa	A1	+2 bps
Korea	0.01%	0.03%	A1	Aa1	Aa2	+1 bps
Malaysia	0.03%	0.34%	Baa3	A3	A3	-4 bps
New Zealand	0.01%	0.05%	Aa2	Aaa	Aaa	0 bps
Philippines	0.03%	0.35%	Baa3	A3	Baa2	+1 bps
India	0.04%	0.43%	Ba1	Baa3	Baa3	-1 bps
Thailand	0.02%	0.28%	Baa2	Baa3	Baa1	-12 bps
Vietnam	0.04%	0.43%	Ba2	Ba1	B1	-1 bps

Europe

Country	Sovereign EDF (1-Year)	Sovereign EDF (5-Year)	CDS Implied-Rating	Bond Implied-Rating	Senior Rating	12 MO Change
Austria	0.01%	0.06%	Aa3	Aaa	Aa1	+2 bps
Belgium	0.01%	0.08%	Aa3	Aaa	Aa3	0 bps
Bulgaria	0.03%	0.39%	Ba1	Baa1	Baa2	-15 bps
Croatia	0.04%	0.47%	Baa3	Baa3	Baa3	-19 bps
Denmark	0.01%	0.06%	A3	Aaa	Aa1	-4 bps
Estonia	0.01%	0.16%	A2	Aa1	A3	-4 bps
Finland	0.01%	0.06%	A3	Aaa	Aa1	-2 bps
France	0.01%	0.07%	Aa3	Aaa	Aa2	+7 bps
Germany	0.01%	0.04%	Aa2	Aaa	Aaa	+2 bps
Greece	1.29%	3.71%	Caa2	Caa2	Caa3	+15 bps
Hungary	0.01%	0.27%	Baa3	Baa1	Ba1	+15 bps
Iceland	0.01%	0.28%	Baa2	A3	A3	-17 bps
Ireland	0.01%	0.17%	A3	Aaa	A3	+7 bps
Italy	0.04%	0.46%	Ba1	Baa2	Baa2	+32 bps
Latvia	0.01%	0.12%	A2	Aa1	A3	-4 bps
Lithuania	0.01%	0.12%	A2	Aa3	A3	-5 bps
Netherlands	0.01%	0.05%	Aa2	Aaa	Aaa	+4 bps
Norway	0.01%	0.04%	Aa2	Aaa	Aaa	+1 bps
Poland	0.01%	0.21%	Baa1	A3	A2	+3 bps
Portugal	0.10%	0.83%	B1	Baa3	Ba1	+40 bps
Romania	0.01%	0.28%	Baa3	Baa1	Baa3	-11 bps
Russia	0.05%	0.58%	Ba3	Baa3	Ba1	-5 bps
Serbia	0.04%	0.50%	Ba2	Baa3	B1	-10 bps
Slovakia	0.01%	0.11%	A1	Aaa	A1	-2 bps

Key Insights

Sovereign EDF Trends: The Sovereign EDF metrics showed mixed trends, with some countries experiencing significant declines in credit risk, while others saw increases. Countries like Hong Kong, New Zealand, and Japan had notable declines, while Greece, Italy, and Portugal showed significant increases.
CDS and Bond Implied Ratings: The CDS and bond implied ratings varied, with some countries seeing improvements and others facing downgrades. The report highlights how these ratings reflect market perceptions of credit risk.
Senior Ratings: Senior ratings for most countries remained stable, with some showing minor changes. These ratings are typically more conservative and based on fundamental analysis.
Market Focus: Global financial markets are closely watching the potential Fed rate hike and oil price recovery, as these factors influence credit risk and investment opportunities.

This report underscores the dynamic nature of sovereign credit risk and the importance of monitoring macroeconomic indicators and market signals for informed investment decisions.

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