20131216-穆迪服务-Portugal_s_Market_-Based_Probability_of_Default_Deteriorates_Slightly_Following_Recent_Bond_Swap_16页_1mb

Moody's Market Signals Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research (CMR) provides an analysis of market-based risk signals for various sovereign issuers, focusing on the probability of default (EDF) and credit ratings derived from credit default swaps (CDS) and bond prices. It highlights the changes in risk perception across different regions, particularly in Europe and Asia-Pacific, and discusses how recent financial actions, such as Portugal's debt swap, have affected these signals.

Main Points

Portugal

• Debt Swap: On December 3, Portugal executed a debt swap, exchanging €6.66 billion of debt maturing in 2014 and 2015 for debt maturing in 2017 and 2018.
• Moody's Assessment: The swap was considered "credit positive" for Portugal, as it lengthened the maturity profile and reduced short-term borrowing needs.
• EDF Change: Portugal's five-year cumulative CDS-implied EDF increased slightly from 2.77% to 3.14%.
• Short vs Long Debt: The swap positively impacted short-term debt prices, with the two-year note rising from 10.33 to 100.42, but long-term debt (30-year bond) prices fell from 73.58 to 72.69.
• Yield Difference: The yield difference between Portugal's two-year and 30-year debt is 320 basis points (bps), which is less than for Italy and Spain but higher than Germany.
• Moody's Outlook Change: On November 8, Moody's changed the outlook on Portugal's Ba3 government bond rating from negative to stable, citing improved fiscal trends, a slowly improving economic outlook, and reduced restructuring risk.

Asia-Pacific

• Australia: CDS-implied EDF remained stable at 0.02%, with a slight decline in the 12-month change. The CDS implied rating decreased by 2 notches, while the senior rating remained unchanged.
• China: CDS-implied EDF increased slightly, and the CDS implied rating decreased by 2 notches. The bond implied rating also showed a decline.
• Hong Kong: CDS-implied EDF was stable, with a decrease in the CDS implied rating by 3 notches. The senior rating remained the same.
• Indonesia: CDS-implied EDF increased significantly by 11 bps, with a 3-notch decline in the CDS implied rating. The bond implied rating decreased by 2 notches.
• Japan: CDS-implied EDF decreased by 11 bps, and the CDS implied rating improved by 1 notch. The bond implied rating remained stable.
• Korea: CDS-implied EDF decreased by 2 bps, and the CDS implied rating improved by 1 notch. The bond implied rating also improved by 1 notch.
• Malaysia: CDS-implied EDF remained stable, with a 3-notch decline in the CDS implied rating. The bond implied rating decreased by 1 notch.
• New Zealand: CDS-implied EDF was stable, with a 2-notch decline in the CDS implied rating. The senior rating remained unchanged.
• Philippines: CDS-implied EDF increased by 2 bps, and the CDS implied rating decreased by 1 notch. The bond implied rating decreased by 2 notches.
• Singapore: CDS-implied EDF was stable, and the senior rating remained unchanged.
• Sri Lanka: CDS-implied EDF increased by 12 bps, and the CDS implied rating decreased by 2 notches. The bond implied rating also decreased by 2 notches.
• Taiwan: CDS-implied EDF was stable, with a 1-notch decline in the CDS implied rating. The senior rating remained unchanged.

Europe

• Austria: CDS-implied EDF increased slightly, with a 1-notch decline in the CDS implied rating. The senior rating remained unchanged.
• Belgium: CDS-implied EDF increased slightly, with a 1-notch decline in the CDS implied rating. The bond implied rating increased by 1 notch.
• Bulgaria: CDS-implied EDF decreased by 2 bps, and the CDS implied rating decreased by 2 notches. The bond implied rating increased by 1 notch.
• Croatia: CDS-implied EDF decreased by 7 bps, and the CDS implied rating decreased by 3 notches. The bond implied rating increased by 1 notch.
• Cyprus: CDS-implied EDF decreased by 59 bps, and the CDS implied rating decreased by 2 notches. The bond implied rating increased by 1 notch.
• Czech Republic: CDS-implied EDF decreased by 3 bps, and the CDS implied rating decreased by 1 notch. The bond implied rating increased by 1 notch.
• Denmark: CDS-implied EDF was stable, and the senior rating remained unchanged.
• Finland: CDS-implied EDF was stable, and the senior rating remained unchanged.
• France: CDS-implied EDF increased slightly, with a 1-notch decline in the CDS implied rating. The senior rating remained unchanged.
• Germany: CDS-implied EDF decreased by 3 bps, and the senior rating remained unchanged.
• Greece: CDS-implied EDF was stable, and the senior rating improved by 2 notches.
• Hungary: CDS-implied EDF decreased by 21 bps, and the CDS implied rating decreased by 1 notch. The bond implied rating increased by 1 notch.
• Iceland: CDS-implied EDF decreased by 12 bps, and the CDS implied rating decreased by 1 notch. The bond implied rating decreased by 1 notch.
• Ireland: CDS-implied EDF decreased by 20 bps, and the CDS implied rating increased by 1 notch. The bond implied rating increased by 3 notches.
• Italy: CDS-implied EDF decreased by 33 bps, and the CDS implied rating increased by 1 notch. The bond implied rating increased by 2 notches.
• Latvia: CDS-implied EDF decreased by 4 bps, and the CDS implied rating remained stable. The bond implied rating remained stable.
• Lithuania: CDS-implied EDF decreased by 2 bps, and the CDS implied rating decreased by 2 notches. The bond implied rating decreased by 1 notch.
• Malta: CDS-implied EDF decreased by 21 bps, and the CDS implied rating remained stable. The bond implied rating increased by 1 notch.
• Netherlands: CDS-implied EDF decreased by 3 bps, and the CDS implied rating decreased by 2 notches. The senior rating remained unchanged.
• Norway: CDS-implied EDF was stable, and the senior rating remained unchanged.
• Poland: CDS-implied EDF decreased by 3 bps, and the CDS implied rating decreased by 1 notch. The bond implied rating increased by 2 notches.
• Portugal: CDS-implied EDF increased by 62 bps, and the CDS implied rating remained stable. The bond implied rating decreased by 1 notch.
• Romania: CDS-implied EDF decreased by 17 bps, and the CDS implied rating remained stable. The bond implied rating remained stable.
• Russian Federation: CDS-implied EDF decreased by 3 bps, and the CDS implied rating decreased by 2 notches. The bond implied rating decreased by 1 notch.
• Serbia: CDS-implied EDF increased by 48 bps, and the CDS implied rating remained stable. The bond implied rating remained stable.
• Slovakia: CDS-implied EDF decreased by 5 bps, and the CDS implied rating remained stable. The bond implied rating increased by 2 notches.
• Slovenia: CDS-implied EDF decreased by 25 bps, and the CDS implied rating remained stable. The bond implied rating remained stable.
• Spain: CDS-implied EDF decreased by 43 bps, and the CDS implied rating increased by 2 notches. The bond implied rating increased by 2 notches.
• Sweden: CDS-implied EDF was stable, and the CDS implied rating decreased by 1 notch. The senior rating remained unchanged.
• Switzerland: CDS-implied EDF decreased by 3 bps, and the CDS implied rating decreased by 1 notch. The senior rating remained unchanged.
• United Kingdom: CDS-implied EDF decreased by 2 bps, and the CDS implied rating decreased by 1 notch. The bond implied rating remained stable.

Key Information

• EDF Measure: The EDF (Expected Default Frequency) is a market-based measure derived from CDS spreads, adjusted for loss-given default and the market price of risk.
• CDS Implied-Rating: This is the credit rating inferred from CDS spreads and is mapped to the Moody's Investors Service rating scale.
• Bond Implied-Rating: This is the credit rating inferred from bond prices.
• Senior Rating: This refers to the highest credit rating assigned by Moody's Investors Service to the sovereign issuer.
• Yield Difference: The yield difference between short-term and long-term debt is used to assess market perception of risk and liquidity.
• Market Volatility: Portugal's market-based risk signals were more volatile than those of other peripheral European nations following the debt swap.

Conclusion

The report indicates that market signals for sovereign risk have shown mixed trends, with some countries experiencing a slight increase in default probability and others a decrease. The debt swap in Portugal had a limited impact on long-term debt prices and increased the EDF, but it was considered credit positive by Moody's. The analysis also highlights the importance of market-based credit measures in assessing the financial health and risk perception of sovereign issuers.