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Moody's Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research (CMR) provides an analysis of sovereign risk measures for various countries, with a focus on Greece's situation as it teeters on the edge of default. The report outlines the current state of sovereign risk and its implications on financial markets and related entities.

Main Points

• Greece's Sovereign Risk: Despite government liquidity issues and potential default, Greece's market-based sovereign risk measures have stabilized. The one-year Sovereign EDF is at 5.17%, indicating a Caa2 rating. The five-year EDF has eased to 4.94% as of May 15, 2015, reflecting a slight decrease in risk.

• Market Reactions: Financial markets have shown relative calm, with the Greek stock market rising 15% since mid-April and bond yields falling. The ten-year bond yield is now at 10.76%, down from a peak near 14%.

• Government Measures: The Greek government has taken various measures to meet its obligations, including using Special Drawing Rights (SDR) funds and seeking foreign embassy support. However, these actions have not significantly impacted market risk measures.

• Potential Contingency Plans: Governments and institutions in surrounding countries are preparing for a potential Greek default or Eurozone exit. The major Greek banks are heavily exposed to government debt, and their default could trigger a financial crisis.

• Correlation with Banks: There is a strong correlation between Greece's sovereign risk and the default risk of its major banks. The report includes a figure showing the relationship between the Greek sovereign EDF and the EDFs of its four largest banks.

• Other Countries' Sovereign Risk: The report also includes data on sovereign risk measures for several other countries, such as Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, New Zealand, Philippines, Singapore, Sri Lanka, Taiwan, Thailand, Vietnam, and others in Europe.

Key Information

• Sovereign EDF Trends: Greece's one-year Sovereign EDF has decreased from a high of 12% in mid-April to 5.17% as of May 15, 2015, but remains elevated compared to the year ago level of 0.52%.

• CDS Implied-Rating: The CDS implied-rating for Greece has remained at C for the past few weeks, but there is a slight decrease of -5 points from the year ago level.

• Bond Implied-Rating: The bond implied-rating for Greece has also decreased slightly, from Ca to Caa3, but remains low, indicating high risk.

• Senior Rating: The senior rating for Greece has remained at Caa2, showing a slight improvement from the year ago level of Caa3.

• Other Countries: The report highlights that the sovereign risk for other countries has remained relatively stable, with some showing slight improvements or declines in their risk measures.

Conclusion

The report indicates that Greece's sovereign risk has stabilized, despite ongoing financial difficulties. The government's efforts to meet obligations have not significantly affected market risk measures, and the financial markets have remained relatively calm. The report also emphasizes the importance of monitoring the risk of Greece's major banks and the potential impact of a default or Eurozone exit. The data provided for other countries shows a range of sovereign risk measures, with some indicating slight improvements and others showing no change.